ReturnTermsBase
Type CDM 7.2.0Contains all common elements in variance, volatility and correlation return Terms.
Extends —
Attributes 10
Namespace cdm.product.asset
Attributes
All 10 declared on ReturnTermsBase. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| valuationTerms | ValuationTerms | 1..1 | Contains all non-date valuation information. |
| annualizationFactor | int | 0..1 | This specifies the numerator of an annualization factor. Frequently this number is equal to the number of observations of prices in a year e.g. 252. |
| dividendApplicability | DividendApplicability | 0..1 | The parameters which define whether dividends are applicable |
| equityUnderlierProvisions | EquityUnderlierProvisions | 0..1 | Contains Equity Underlyer provisions regarding jurisdiction and fallbacks. |
| sharePriceDividendAdjustment | boolean | 0..1 | Indicates whether the price of shares is adjusted for dividends or not. |
| expectedN | int | 1..1 | Expected number of trading days. |
| initialLevel | number | 0..1 | Contract will strike off this initial level. Providing just the initialLevel without initialLevelSource, infers that this is AgreedInitialPrice - a specified Initial Index Level. |
| initialLevelSource | DeterminationMethodEnum | 0..1 | In this context, this is AgreedInitialPrice - a specified Initial Index Level. |
| meanAdjustment | boolean | 0..1 | Specifies whether Mean Adjustment is applicable or not in the calculation of the Realized Volatility, Variance or Correlation |
| performance | calculation | 0..1 | Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity Performance'. Cumulative performance is used as a notional multiplier factor on both legs of an Equity Swap. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
InitialLevelOrInitialLevelSource Condition
At least one of initialLevel and initialLevelSource must be present, or both
if initialLevel is absent
then initialLevelSource exists
and if initialLevelSource is absent
then initialLevel exists PositiveExpectedN Condition
The number of expected trading dates must be positive
expectedN > 0Open ReturnTermsBase in the Model Browser
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