FloatingRateProcessingDetails
Type CDM 7.2.0Type for reporting the details of the rate treatment. This could potentially be replaced by the existing FloatingRateDefinition type , but this is slightly more detailed.
Extends —
Extended by —
Attributes 4
Namespace cdm.product.asset.floatingrate
Attributes
All 4 declared on FloatingRateProcessingDetails. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| rawRate | number | 1..1 | The raw or untreated rate, prior to any of the rate treatments. |
| processingParameters | FloatingRateProcessingParameters | 0..1 | — |
| processedRate | number | 1..1 | The value of the rate after processing. |
| spreadExclusiveRate | number | 1..1 | The value of the processed rate without the spread applied, for subsequent compounding, etc. |
Referenced by
1 type holds a FloatingRateProcessingDetails 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 |
|---|---|---|
| DefaultFloatingRate | returns | — |
| ApplyFloatingRateProcessing | returns | Perform rate treatments on floating rates, such as applying spreads, multipliers, caps and floors, rounding, and negative interest treatment. TODO: initialRate needs to be supported. Also, to support compounding methods, it may be necessary to split the before spread and after spread values and return both, so that cashflows can be computed both ways. This may require this function to be redesigned or split into pieces (e.g. factor out the post-spread processing). Rate treatments are described in Section 6 of the 2021 ISDA Definitions. Negative treatment does not correctly support the case where compounded periods are applicable and will need to be enhanced for that case when compounding calculations are developed. |
| CalculateFloatingCashFlow | takes | — |
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