FloatingRateSettingDetails
Type CDM 7.2.0Type for reporting the raw (untreated) observed or calculated rate for a calculation period. If this is a calculated rate, it allows details of the observations and the resulting rate to be returned.
Extends —
Extended by —
Attributes 4
Namespace cdm.product.asset.floatingrate
Attributes
All 4 declared on FloatingRateSettingDetails. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| calculationDetails | CalculatedRateDetails | 0..1 | Calculated rate details (observation dates, values, and weights). |
| observationDate | date | 0..1 | The day upon which the rate was observed (for term rates). |
| resetDate | date | 0..1 | The day for which the rate is needed (e.g. period beginning or end date). |
| floatingRate | number | 1..1 | The resulting rate that was observed or calculated. |
Referenced by
1 type holds a FloatingRateSettingDetails 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 |
|---|---|---|
| EvaluateCalculatedRate | returns | Evaluate a calculated rate as described in the 2021 ISDA Definitions. |
| DetermineFloatingRateReset | returns | Get the value of a floating rate by either observing it directly or performing a rate calculation. This function works differently depending on the rate category and style, as described in the 2021 ISDA Definitions, Section 6.6. |
| ProcessFloatingRateReset | returns | Entry point for the function that performs the floating rate resetting operation. There are different variations depending on the processing type (e.g. screen rate, OIS, modular calculated rate. . |
| EvaluateScreenRate | returns | Evaluate/lookup the value of a screen rate. |
| ApplyFloatingRateSetting | takes | Calculate a floating amount for a calculation period by determining the raw floating rate, applying any rate treatments, looking up the calculation period notional, then performing the multiplication of the notional, rate, and year fraction. Floating amount calculations are described in the 2021 ISDA Definitions in Section 6 and 7. |
| CalculateFloatingCashFlow | takes | — |
Open FloatingRateSettingDetails in the Model Browser
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