FloatingRateCalculationParameters
Type CDM 7.2.0Defines the structures needed to represent the calculation parameters for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions in Section 7. This type is used to represent modular computed rates in interestRatePayouts.
Extends —
Extended by —
Attributes 6
Namespace cdm.observable.asset.calculatedrate
Attributes
All 6 declared on FloatingRateCalculationParameters. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| calculationMethod | CalculationMethodEnum | 1..1 | calculation type (averaging or compounding). |
| observationShiftCalculation | ObservationShiftCalculation | 0..1 | any obervation shift parameters if applicable. |
| lookbackCalculation | OffsetCalculation | 0..1 | any lookback parameters if applicable. |
| lockoutCalculation | OffsetCalculation | 0..1 | any lockout parameters if applicable. |
| applicableBusinessDays | BusinessCenters | 0..1 | the business days that are applicable for the calculation. |
| observationParameters | ObservationParameters | 0..1 | any applicable observation parameters, such as daily caps or floors. |
Referenced by
2 types hold a FloatingRateCalculationParameters as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| GetCalculatedFROCalculationParameters | returns | Initialize a calculation parameters block for an OIS or a daily average rate. Used to support FROs that include an embedded calculation. |
| EvaluateCalculatedRate | takes | Evaluate a calculated rate as described in the 2021 ISDA Definitions. |
| GenerateObservationDatesAndWeights | takes | Apply shifts to generate the list of observation dates and weights for each of those date. |
| DetermineObservationPeriod | takes | Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift. |
| GenerateWeightings | takes | Determine the weighting dates and the corresponding weights to be used for weighting observation. |
| DetermineWeightingDates | takes | Determine the dates to be used for weighting observation. |
| ProcessObservations | takes | Apply daily observation parameters to rate observation. These are discussed in the 2021 ISDA Definitions, section 7.2.3 and 7.2.4. |
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