Reset
Type CDM 7.2.0Defines the reset value or fixing value produced in cashflow calculations, during the life-cycle of a financial instrument. The reset process defined in Create_Reset function joins product definition details with observations to compute the reset value.
Attributes
All 5 declared on Reset. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| resetValue | Price | 1..1 | Specifies the reset or fixing value. The fixing value could be a cash price, interest rate, or other value. |
| resetDate | date | 1..1 | Specifies the date on which the reset occurred. |
| rateRecordDate | date | 0..1 | Specifies the 'Rate Record Day' for a Fallback rate. Fallback rate fixing processes typically set the fixing rate in arrears, i.e., the Fallback Rate corresponding to a Rate Record Date is set at the end of the interest accural period. When this applies, Reset->resetDate occurs at the end of the interest period, and the Reset->rateRecordDate occurs near the start of the interest period. The Reset->rateRecordDate and Reset->observations->observationIdentifier->observationDate will differ if a Fallback rate is unavailable on the Rate Record Date, and the latest previous available rate is used as the observation. |
| observations | Observation | 1..* | Represents an audit of the observations used to produce the reset value. If multiple observations were necessary to produce the reset value, the aggregation method should be defined on the payout. |
| averagingMethodology | AveragingCalculation | 0..1 | Identifies the aggregation method to use in the case where multiple observations are used to compute the reset value and the method is not defined in a payout. |
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 observations count > 1 then averagingMethodology existsReferenced by
3 types hold a Reset 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 |
|---|---|---|
| ResolveInterestRateReset | returns | Defines how to resolve the reset value for an InterestRatePayout. |
| ResolveReset | returns | Defines the interface for adopters to resolve a reset, given a trade state and a date. |
| ResolvePerformanceReset | returns | Defines how to resolve the reset value for a performance payout. |
| CalculateReset | returns | Function specification to calculate a reset. |
| Create_AssetReset | returns | Defines how to resolve the reset value for an equity payout. |
| InterestCashSettlementAmount | takes | Defines the performance calculations relevant for a fixed or floating rate payout. |
| ResolveSecurityFinanceBillingAmount | takes | Calculates the billing amount for a Security Finance transaction. |
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