NonNegativeDatedValue
Type CDM 7.2.0Defines a date and value pair where the value is non-negative. This definition is used for varying rate or amount schedules, e.g. a notional amortisation or a step-up coupon schedule.
Attributes
0 declared on NonNegativeDatedValue, 2 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| date | date | 1..1 | The date on which the associated step value becomes effective. This day may be subject to adjustment in accordance with a business day convention. | DatedValue |
| value | number | 1..1 | The rate of amount which becomes effective on the associated step date. A rate of 5% would be represented as 0.05. | DatedValue |
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 |
|---|---|---|
| UpdateNonNegativeDatedValues | returns | Updates the amounts of the dated values based on the given QuantityChangeDirectionEnum. For all periods after the effective date of the change, if the direction is Increase, the old amount and change amount are summed, if the direction is Decrease, then the change amount is subtracted from the old amount, and if the direction is Replace then the change amount replaces the old amount. |
| MapNonNegativeStepListToDatedValueList | returns | — |
| MapScheduleToDatedValueList | returns | — |
| MapQuantityStepListToDatedValueList | returns | — |
| UpdateNonNegativeDatedValues | takes | Updates the amounts of the dated values based on the given QuantityChangeDirectionEnum. For all periods after the effective date of the change, if the direction is Increase, the old amount and change amount are summed, if the direction is Decrease, then the change amount is subtracted from the old amount, and if the direction is Replace then the change amount replaces the old amount. |
In the product library
Canonical products whose JSON instantiates NonNegativeDatedValue. Useful when
you want to see the type populated rather than described.
| Product | Asset class | Family |
|---|---|---|
| Equity Swap Composite Basket Long Form Separate Spreads | Equity | Swaps |
| IRS Cap-Floor | Interest Rate | Options & forwards |
Open NonNegativeDatedValue in the Model Browser
Walk the tree and the reference graph interactively, and switch releases to see how the type has changed. Free, no signup.