PriceComposite
Type CDM 7.2.0Defines the inputs required to calculate a price as a simple composite of 2 other values. The inputs consist of 2 numbers and a simple arithmetic operator. This generic data type applies to a variety of use cases where a price is obtained by simple composition, e.g. dirty = clean + accrued (Bond), forward rate = spot rate + forward point (FX) etc.
Attributes
All 4 declared on PriceComposite. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| baseValue | number | 1..1 | The 1st value in the arithmetic operation, which may be non-commutative in some cases: Subtract, Divide). This 1st operand is called 'baseValue' as it refers to the price anchor in the arithmetic operation: e.g. the clean price (Bond) or the spot rate (FX). |
| operand | number | 1..1 | The 2nd value in the arithmetic operation, which may be non-commutative in some cases: Subtract, Divide). The 2nd operand is called 'operand' to distinguish it from the 1st one which is the price anchor. |
| arithmeticOperator | ArithmeticOperationEnum | 1..1 | Specifies the arithmetic operator via an enumeration. |
| operandType | PriceOperandEnum | 0..1 | Optionally qualifies the type of operand: e.g. accrued or forward point. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
if operandType = PriceOperandEnum -> ForwardPoint
or operandType = PriceOperandEnum -> AccruedInterest
then arithmeticOperator = ArithmeticOperationEnum -> Add
or arithmeticOperator = ArithmeticOperationEnum -> SubtractReferenced by
1 type holds a PriceComposite as an attribute.
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