Quanto
Type CDM 7.2.0Determines the currency rate that the seller of the equity amounts will apply at each valuation date for converting the respective amounts into a currency that is different from the currency denomination of the underlier.
Extends —
Extended by —
Attributes 3
Namespace cdm.product.template
Attributes
All 3 declared on Quanto. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| fxRate | FxRate | 0..* | Specifies a currency conversion rate. |
| fxSpotRateSource | FxSpotRateSource | 0..1 | Specifies the methodology (reference source and, optionally, fixing time) to be used for determining a currency conversion rate. |
| fixingTime | BusinessCenterTime | 0..1 | The time at which the spot currency exchange rate will be observed. It is specified as a time in a business day calendar location, e.g. 11:00am London time. |
Referenced by
1 type holds a Quanto 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 |
|---|---|---|
| MapQuanto | returns | — |
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