FloatingRateProcessingParameters
Type CDM 7.2.0Type to hold the processing parameters that should be or were used to calculate a floating amount. These parameters can vary over a schedule so this type holds the acutal values applicable to this calculation.
Extends —
Extended by —
Attributes 8
Namespace cdm.product.asset.floatingrate
Attributes
All 8 declared on FloatingRateProcessingParameters. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| initialRate | Price | 0..1 | The rate to be applied for the initial period. |
| multiplier | number | 0..1 | floating rate multiplier. |
| spread | number | 0..1 | spread to be added to the floating rate. |
| treatment | RateTreatmentEnum | 0..1 | US rate treatment (Bond Equivalent Yield or Money Market Yield, if applicable. |
| capRate | number | 0..1 | capt to be applied to the floating rate. |
| floorRate | number | 0..1 | floor to be applied to the floating rate. |
| rounding | Rounding | 0..1 | THe final rate rounding to be applied. |
| negativeTreatment | NegativeInterestRateTreatmentEnum | 0..1 | How to handle negative interest rates. |
Referenced by
1 type holds a FloatingRateProcessingParameters 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 |
|---|---|---|
| GetFloatingRateProcessingParameters | returns | Determine the processing parameters to use from the InterestRatePayout by looking them up if necessary from the corresponding schedules in the interest rate stream. |
| ApplyFloatingRateProcessing | takes | 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. |
| ApplyFloatingRatePostSpreadProcessing | takes | Perform post-spread rate treatments on floating rates, such as applying caps and floors, rounding, and negative interest treatment. TODOO: 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). |
| ApplyCapsAndFloors | takes | Apply any cap or floor rate as a constraint on a regular swap rate, as discussed in the 2021 ISDA Definitions, section 6.5.8 and 6.5.9. |
Open FloatingRateProcessingParameters in the Model Browser
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