ReturnTerms
Type CDM 7.2.0Specifies the type of return of a performance payout.
Attributes
All 5 declared on ReturnTerms. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| priceReturnTerms | PriceReturnTerms | 0..1 | Return terms based upon the underlier's observed price. |
| dividendReturnTerms | DividendReturnTerms | 0..1 | Return terms based upon dividend payments associated to the underlier. |
| varianceReturnTerms | VarianceReturnTerms | 0..1 | Return terms based upon the observed variance of the underlier's price. |
| volatilityReturnTerms | VolatilityReturnTerms | 0..1 | Return terms based upon the observed volatility of the underlier's price. |
| correlationReturnTerms | CorrelationReturnTerms | 0..1 | Return terms based upon the observed correlation between the components of the underlying basket. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
ReturnTermsExists Condition
Checks that the return type label matches the actual return terms structure of the product.
if priceReturnTerms -> returnType = ReturnTypeEnum -> Total
then (priceReturnTerms, dividendReturnTerms) only exists
else if priceReturnTerms -> returnType = ReturnTypeEnum -> Price
then priceReturnTerms only exists
else priceReturnTerms only exists
or dividendReturnTerms only exists
or varianceReturnTerms only exists
or volatilityReturnTerms only exists
or correlationReturnTerms only existsReferenced by
1 type holds a ReturnTerms 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 |
|---|---|---|
| MapFxPerformanceSwapToReturnTerms | returns | — |
| MapFxVolatilitySwapReturnTerms | returns | — |
| MapVolatilitySwapReturnTerms | returns | — |
| MapFxVarianceSwapPayout | takes | — |
Open ReturnTerms in the Model Browser
Walk the tree and the reference graph interactively, and switch releases to see how the type has changed. Free, no signup.