Payout
Choice CDM 7.2.0Represents the set of future cashflow methodologies in the form of specific payout data type(s) which result from the financial product. Examples: a trade in a cash asset will use only a settlement payout; for derivatives, two interest rate payouts can be combined to specify an interest rate swap; one interest rate payout can be combined with a credit default payout to specify a credit default swap.
Extended by —
Variants 8
Namespace cdm.product.template
Variants
Exactly one of these must be present. A choice type is how the CDM models “one of” without a discriminator field.
| Variant | Description |
|---|---|
| AssetPayout | Security finance payout specification in case the product payout involves some form of security collateral, as in a securities financing transaction. Plus additional description for ICMA. |
| CommodityPayout | Payout based on the averaged price of a referenced underlier. (e.g. Commodities). Can represent both average (average of many) & bullet (average of 1) pricing |
| CreditDefaultPayout | The credit default payout specification provides the details necessary for determining when a credit payout will be triggered as well as the parameters for calculating the payout and the settlement terms. The associated globalKey denotes the ability to associate a hash value to the CreditDefaultPayout instantiations for the purpose of model cross-referencing, in support of functionality such as the event effect and the lineage. |
| FixedPricePayout | Represents a fixed price payout. There is no underlier associated with this payout type and is based on fixed pricing per a given unit (e.g. in commodities price per barrel) |
| InterestRatePayout | A class to specify all of the terms necessary to define and calculate a cash flow based on a fixed, a floating or an inflation index rate. The interest rate payout can be applied to interest rate swaps and FRA (which both have two associated interest rate payouts), credit default swaps (to represent the fee leg when subject to periodic payments) and equity swaps (to represent the funding leg). The associated globalKey denotes the ability to associate a hash value to the InterestRatePayout instantiations for the purpose of model cross-referencing, in support of functionality such as the event effect and the lineage. |
| OptionPayout | The option payout specification terms. The associated globalKey denotes the ability to associate a hash value to the respective OptionPayout instantiation for the purpose of model cross-referencing, in support of functionality such as the event effect and the lineage. |
| PerformancePayout | Contains the necessary specifications for all performance payouts, encompassing equity return, dividend, variance, volatility and correlation products. |
| SettlementPayout | Represents a forward settling payout. The underlier attribute captures the underlying payout, which is settled according to the settlementTerms attribute (which is part of PayoutBase). Both FX Spot and FX Forward should use this component. |
Referenced by
7 types hold a Payout as an attribute.
CalculateResetInstructionCalculateTransferInstructionContingentTransferEconomicTermsExerciseInstructionFinalCalculationPeriodDateAdjustmentScheduledTransfer
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 |
|---|---|---|
| MapBondOptionPayout | returns | — |
| MapBrokerEquityOptionPayout | returns | — |
| MapCommodityForwardPayout | returns | — |
| MapCommodityOptionPayout | returns | — |
| MapCommoditySwapLegListToPayoutList | returns | — |
| MapFloatingLegToCommodityPayout | returns | — |
| MapGasPhysicalLegToSettlementPayout | returns | — |
| MapOilPhysicalLegToSettlementPayout | returns | — |
| MapElectricityPhysicalLegToSettlementPayout | returns | — |
| MapEnvironmentalPhysicalLegToSettlementPayout | returns | — |
| MapCoalPhysicalLegToSettlementPayout | returns | — |
| MapFixedLegToFixedPricePayout | returns | — |
| InterestCashSettlementAmount | takes | Defines the performance calculations relevant for a fixed or floating rate payout. |
| MapEuropeanExerciseTerms | takes | — |
| InterestRatePayoutOnlyExists | takes | At least one InterestRatePayout exists and no other payouts exist. |
| SettlementPayoutOnlyExists | takes | At least one SettlementPayout exists and no other payouts exist. |
| PerformancePayoutOnlyExists | takes | At least one PerformancePayout exists and no other payouts exist. |
| CommodityPayoutOnlyExists | takes | At least one CommodityPayout exists and no other payouts exist. |
| OptionPayoutOnlyExists | takes | At least one OptionPayout exists and no other payouts exist. |
| CreditDefaultPayoutOnlyExists | takes | At least one OptionPayout exists and no other payouts exist. |
| PerformancePayoutAndFixedPricePayoutOnlyExists | takes | At least one PerformancePayout exists, and at least one FixedPricePayout exists, and no other payouts exist. |
| PerformancePayoutAndInterestRatePayoutOnlyExists | takes | At least one PerformancePayout exists, and at least one InterestRatePayout exists, and no other payouts exist. |
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