Price
Type CDM 7.2.0Specifies a price as a single value to be associated to a financial product. This data type extends PriceSchedule and requires that only the amount value exists.
Extended by —
Attributes 11 (0 own)
Namespace cdm.observable.asset
Attributes
0 declared on Price, 11 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| value | number | 0..1 | The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05. | Schedule |
| datedValue | DatedValue | 0..* | The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document. | Schedule |
| unit | UnitType | 0..1 | Qualifies the unit by which the amount is measured. Optional because a measure may be unit-less (e.g. when representing a ratio between amounts in the same unit). | MeasureBase |
| perUnitOf | UnitType | 0..1 | Provides an attribute to define the unit of the thing being priced. For example, {amount, unitOfAmount, PerUnitOfAmount} = [10, EUR, Shares] = (10.00 EUR/SHARE) * (300,000 SHARES) = EUR 3,000,000.00 (Shares cancel out in the calculation). | PriceSchedule |
| priceType | PriceTypeEnum | 1..1 | Specifies the price type as an enumeration: interest rate, exchange rate, asset price etc. This attribute is mandatory so that prices can always be clasiffied according to their type. The price type implies some constraints on the price's units. | PriceSchedule |
| priceSubType | PriceSubTypeEnum | 0..1 | Allows further classification of the chosen price type. | PriceSchedule |
| priceExpression | PriceExpressionEnum | 0..1 | (Optionally) Specifies whether the price is expressed in absolute or percentage terms. | PriceSchedule |
| composite | PriceComposite | 0..1 | (Optionally) Specifies the underlying price components if the price can be expressed as a composite: e.g. dirty price = clean price + accrued. | PriceSchedule |
| arithmeticOperator | ArithmeticOperationEnum | 0..1 | (Optionally) When the price is to be understood as an operator to apply to an observable, i.e. a spread, multiplier or min/max. | PriceSchedule |
| premiumType | PremiumTypeEnum | 0..1 | (Optionally) Additional attribute that can further define any premium to the price. | PriceSchedule |
| derivedQuantity | NonNegativeQuantitySchedule | 0..1 | Specifies the derived quantity associated with the price. For instance when the price is an asset price expressed in a currency, the primary quantity is the asset's quantity while the derived quantity is the corresponding monetary amount in that currency. When the price is an exchange rate, both the primary quantity and the derived quantity are monetary amounts, in the 2 currencies of the exchange rate. | PriceSchedule |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
AmountOnlyExists Condition
The amount must exist when the price represents a single value, and steps must be absent.
value exists and datedValue is absentReferenced by
19 types hold a Price as an attribute.
AdjustmentFactorCalculationTermsAssetDeliveryProfileBlockAvailableInventoryRecordCalculationScheduleDeliveryPeriodsCorrelationReturnTermsCreditEventEvergreenProvisionFloatingRateProcessingParametersFloatingRateSpecificationIdentifiedListMergerObservationOptionStrikeReferenceInformationResetSpinOffValuationVarianceReturnTermsVolatilityReturnTerms
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 |
|---|---|---|
| MapReferencePrice | returns | — |
| MapInitialRate | returns | — |
| ResolveObservationAverage | returns | Specifies the interface that should be used by implementors to resolve a single observation when provided many, applying the averaging method, if one is provided. |
| EquityPerformance | takes | Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity Performance' means, in respect of an Equity Cash Settlement Date, an amount in the Settlement Currency determined by the Calculation Agent as of the Equity Valuation Date to which the Equity Cash Settlement Amount relates, pursuant to the following formula: Equity Performance = (Rate Of Return) Equity Notional Amount. |
| EquityNotionalAmount | takes | Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 74. 'Equity Notional Amount' means the Number Of Securities times the Initial Price, adjusted, if applicable, as provided in Part 1 Section 2.2, 'Equity Notional Reset'. If 'With Reset' is the Equity Notional Reset Election, then in respect of each Equity Cash Settlement Date: (i) the Equity Notional Amount applicable in respect of the first Equity Cash Settlement Date will be the amount specified as such in the definition of Equity Notional Amount; (ii) the Equity Notional Amount applicable in respect of each subsequent Equity Cash Settlement Date will be the sum of (a) the Equity Notional Amount in respect of the prior Equity Cash Settlement Date and (b) the Equity Performance, whether positive or negative, in respect of the prior Equity Cash Settlement Date; and (iii) the Floating Notional Amount will be adjusted as provided in sub-clauses (i) and (ii) above as though it were an Equity Notional Amount. |
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