FloatingRateIndexDefinition
Type CDM 7.4.0The model carries no description for this type.
Extends —
Extended by —
Attributes 12
Namespace cdm.observable.asset.fro
Attributes
All 12 declared on FloatingRateIndexDefinition. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| fro | FloatingRateIndexIdentification | 1..1 | The underlying FRO name and designated maturity. |
| calculationDefaults | FloatingRateIndexCalculationDefaults | 0..1 | Any calculation default values. |
| supportedDefinition | ContractualDefinition | 0..* | The definition version or versions supported by the FRO. |
| definitionalSource | string | 0..1 | The source of an FRO, particularly if not a Contractual Definition (e.g. the broker rates matrix). |
| designatedMaturityApplicable | boolean | 0..1 | — |
| mappings | FloatingRateIndexMappings | 0..1 | Any mappings to other FRos. |
| externalMappings | FloatingRateIndexExternalMappings | 0..1 | Any mappings to other codes for this index. |
| inLoan | boolean | 0..1 | YES / NO to flag FROs identified by the FpML Syndicated Loan WG as having underlying benchmark that may also be referenced in syndicated loans. |
| history | FroHistory | 0..1 | FRO History |
| deprecationReason | string | 0..1 | Deprecation and Code Descriptions |
| fpmlDescription | string | 0..1 | FpML Description |
| rounding | Rounding | 0..1 | The rounding rules applicable to the floating rate index in case of a calculation. |
Referenced by
2 types hold a FloatingRateIndexDefinition 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 |
|---|---|---|
| ExtractFloatingRateOptionData | returns | This function, given a floating rate option, extracts the floating rate option's metadata from the ISDA FRO Matrix and returns that data in a CDM structured format. Additionally, it uses the reference date specified to select the relevant version of the FRO Matrix. |
| FloatingRateIndexMetadata | returns | Retrieve all available metadata for the floating rate index. |
| Create_DetermineUnadjustedObservationDatesInstruction | takes | This function generates the Instruction Composition step instruction necessary to generate the unadjusted observation dates, and adding them to the DetermineUnadjustedObservationDatesInstruction. |
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