PriceQuantity

Type CDM 7.2.0

Defines a settlement as an exchange between two parties of a specified quantity of an asset (the quantity) against a specified quantity of another asset (the price). The settlement is optional and can be either cash or physical. The quantity can additionally be specified in terms of one or more currency amounts. In the case of non-cash products, the settlement of the price/quantity would not be specified here and instead would be delegated to the product mechanics, as parameterised by the price/quantity values.

Extends —

Extended by —

Attributes 4

Namespace cdm.observable.asset

Attributes

All 4 declared on PriceQuantity. Cardinality in amber is required.

Name	Type	Card.	Description
price	PriceSchedule	0..*	Specifies a price to be used for trade amounts and other purposes.
quantity	NonNegativeQuantitySchedule	0..1	Specifies a quantity to be associated with an event, for example a trade amount.
observable	Observable	0..1	Specifies the object to be observed for a price, it could be an asset or an index. The cardinality is optional as some quantity / price cases have no observable (e.g. a fixed rate in a given currency).
effectiveDate	AdjustableOrRelativeDate	0..1	Specifies the date at which the price and quantity become effective. This day may be subject to adjustment in accordance with a business day convention, or could be specified as relative to a trade date, for instance. Optional cardinality, as the effective date is usually specified in the product definition, so it may only need to be specified as part of the PriceQuantity in an increase/decrease scenario for an existing trade.

Conditions

Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.

NonCurrencyQuantities Condition

There should be at most one quantity which is not a currency, except for commodities where there may be two.

(quantity count - quantity -> unit -> currency count) <= 1 or (observable
    as Commodity
    exists
    and quantity -> unit -> capacityUnit exists and (quantity count - quantity -> unit -> currency count) <= 2)

ArithmeticOperator Condition

When observable is InterestRateIndex, and price exists, then price should have an arithmetic operator.

if observable as InterestRateIndex exists and price exists
then price -> arithmeticOperator exists

InterestRateObservable Condition

When the observable is an interest rate index, the price type must be interest rate and the arithmetic operator must be specified.

InterestRateObservableCondition

PriceQuantityTriangulation Condition

Check price quantity triangulation.

PriceQuantityTriangulation(price, quantity) = True

Referenced by

5 types hold a PriceQuantity as an attribute.

ExecutionInstruction IndexTransitionInstruction PositionBase QuantityChangeInstruction TradeLot

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
UpdateIndexTransitionPriceAndRateOption	returns	—
FindMatchingIndexTransitionInstruction	returns	—
MapFxCoreDetailsModelPriceQuantity	returns	—
MapBondOptionPriceQuantityList	returns	—
MapBrokerEquityOptionPriceQuantityList	returns	—
MapCapFloorPriceQuantityList	returns	—
MapCapfloorPriceQuantity	returns	—
MapCommodityForwardPriceQuantityList	returns	—
MapCommodityOptionPriceQuantityList	returns	—
MapCommoditySwapPriceQuantityList	returns	—
MapFixedLegToPriceQuantity	returns	—
MapFloatingLegToPriceQuantity	returns	—
UpdateSpreadAdjustmentAndRateOptions	takes	For each of the trade state's price quantity, find a matching price quantity instruction, and call the update function.
UpdateIndexTransitionPriceAndRateOption	takes	—
FindMatchingIndexTransitionInstruction	takes	—
Create_RollPrimitiveInstruction	takes	Creates the primitive instructions for a trade roll. A trade roll consists in closing an existing trade and entering into a new one which has the same characteristics as the old one, except with an extended termination date and (possibly) a different price.
Create_OnDemandRateChangePriceChangeInstruction	takes	Creates a price change instruction for an on-demand rate change, based on a new rate provided as a single number by matching it to a single rate price.
Create_PartialDeliveryPrimitiveInstruction	takes	Creates the primitive instruction for partial delivery of a repo transaction at settlement.
Create_SubstitutionPrimitiveInstruction	takes	Creates the primitive instructions for a substitution of collateral by replacing the assetpayout of the trade.
InterestRateObservableCondition	takes	Implementation for PriceQuantity.InterestRateObservable condition.
UpdateAmountForEachMatchingQuantity	takes	Updates any price or quantity from the list of PriceQuantity if the unit of amount matches.
FilterChangePriceQuantity	takes	Filter the change PriceQuantity list to match on Observable if present.
UpdatePriceAmountForEachMatchingQuantity	takes	Updates any price from the PriceSchedule list if the unit of amount matches.
UpdateQuantityAmountForEachMatchingQuantity	takes	Updates any quantity from the NonNegativeQuantitySchedule list if the unit of amount matches.

Showing 12 of each. All 1286 functions →

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Parsed from CDM 7.2.0 · observable-asset-type.rosetta cdm.observable.asset