SettlementDate
Type CDM 7.2.0A data defining the settlement date(s) for cash or physical settlement as either a set of explicit dates, together with applicable adjustments, or as a date relative to some other (anchor) date, or as any date in a range of contiguous business days. This data type provides a level of abstraction on top of the different legacy methods used to specify a settlement / payment date, which vary across product types, asset classes and delivery types.
Attributes
All 6 declared on SettlementDate. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| adjustableOrRelativeDate | AdjustableOrAdjustedOrRelativeDate | 0..1 | A single settlement date subject to adjustment or specified as relative to another date (e.g. the trade date). This attribute was formerly part of 'SettlementTerms', which is now being harmonised to include a common 'SettlementDate', as inherited from 'SettlementBase'. |
| valueDate | date | 0..1 | The settlement date for a forward settling product. For Foreign Exchange contracts, this represents a common settlement date between both currency legs. To specify different settlement dates for each currency leg, see the ForeignExchange class. This attribute was formerly part of 'SettlementTerms', which is now being harmonised to include a common 'SettlementDate', as inherited from 'SettlementBase'. |
| adjustableDates | AdjustableDates | 0..1 | A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date. This attributes was formerly part of 'CashSettlementPaymentDate' as included into 'OptionCashSettlement' (which is now merged into a unique 'CashSettlementTerms' data type. |
| businessDateRange | BusinessDateRange | 0..1 | A range of contiguous business days. This attribute is meant to be merged with the 'settlementDate' at some future point once we refactor 'Date' to use a single complex type across the model. This attributes was formerly part of 'CashSettlementPaymentDate', as included into 'OptionCashSettlement' (which is now merged into a unique 'CashSettlementTerms' data type. |
| cashSettlementBusinessDays | int | 0..1 | The number of business days used in the determination of the cash settlement payment date. If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date. This attribute was formerly part of 'CashSettlementTerms' as used for credit event settlement, which now includes a common 'SettlementDate' attribute. |
| paymentDelay | boolean | 0..1 | Applicable to CDS on MBS to specify whether payment delays are applicable to the fixed Amount. RMBS typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap. CMBS do not, on the other hand, with both payment dates being on the 25th of each month. |
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 cashSettlementBusinessDays exists
then cashSettlementBusinessDays >= 0
else adjustableOrRelativeDate exists
or valueDate exists
or adjustableDates exists
or businessDateRange existsoptional choice adjustableOrRelativeDate, valueDate, adjustableDates, businessDateRangeReferenced by
1 type holds a SettlementDate 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 |
|---|---|---|
| Create_OnDemandInterestPaymentPrimitiveInstruction | takes | An instruction to make a interium interest payment by adding a payout leg to the deal. |
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