PerformanceValuationDates
Type CDM 7.2.0Defines how and when a performance type option or performance type swap is to be valued.
Extends —
Extended by —
Attributes 5
Namespace cdm.observable.asset
Attributes
All 5 declared on PerformanceValuationDates. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| determinationMethod | DeterminationMethodEnum | 1..1 | Specifies the method according to which an amount or a date is determined. |
| valuationDates | AdjustableRelativeOrPeriodicDates | 0..1 | 2018 ISDA CDM Equity Confirmation for Security Equity Swap: Pricing Date |
| valuationDate | AdjustableOrRelativeDate | 0..1 | 2018 ISDA CDM Equity Confirmation for Security Equity Swap: Pricing Date |
| valuationTime | BusinessCenterTime | 0..1 | The specific time of day at which the calculation agent values the underlying. The SpecificTime is the only case when the valuationTime (time + business center location e.g. 10:00:00 USNY) should be provided. You should be able to provide just the valuationTime without valuationTimeType, which infer that this is a specific time. |
| valuationTimeType | TimeTypeEnum | 0..1 | The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange. |
Referenced by
2 types hold a PerformanceValuationDates 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 |
|---|---|---|
| MapPerformanceValuationDates | returns | — |
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