IndexTransitionInstruction
Type CDM 7.2.0Defines the information needed to create a Index Transition Business Event.
Extends —
Extended by —
Attributes 3
Namespace cdm.event.common
Attributes
All 3 declared on IndexTransitionInstruction. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| priceQuantity | PriceQuantity | 1..* | Specifies both new floating rate index and spread adjustment for each leg to be updated. The spread adjustment accounts for the difference between the old floating rate index relative to the new one. This spread amount is added to the existing spread to determine the new spread, which is applied from the specified effective date forward. In the case of the IBOR Fallback Rate Adjustments, the adjustment spread (also known as the Fallback Adjustment) accounts for two distinctions: i) the fact that the replacement Risk-Free Rate is an overnight rate while IBORs have term structures (e.g., 1, 3, 6-month LIBOR); and (ii) the historical spread differential between IBORs and their term equivalent Overnight Risk-Free Rate compounded rates. |
| effectiveDate | date | 1..1 | Specifies the effective date of the index transition event. This is first date on which the floating rate calculation will use the new floating rate index and adjusted spread in the floating rate calculation. |
| cashTransfer | Transfer | 0..1 | Specifies the cash transfer that can optionally be tied to an index transition event. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
PriceQuantity Condition
priceQuantity -> price -> priceType contains PriceTypeEnum -> InterestRate
and priceQuantity -> observable as InterestRateIndex exists
and priceQuantity -> quantity is absentReferenced by
1 type holds an IndexTransitionInstruction 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 |
|---|---|---|
| Create_IndexTransitionTermsChange | takes | Function specification to create a terms change that contains changes to the floating rate indexes and adds an adjustment spread to any existing spread. |
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