TradableProduct

Type CDM 7.2.0

Definition of a product as ready to be traded, i.e. included in an execution or contract, by associating a specific price and quantity to this product plus an (optional) mechanism for any potential future quantity adjustment.

Extends —

Extended by Trade

Attributes 5

Namespace cdm.product.template

Attributes

All 5 declared on TradableProduct. Cardinality in amber is required.

Name	Type	Card.	Description
product	NonTransferableProduct	1..1	The underlying product to be included in a contract or execution.
tradeLot	TradeLot	1..*	Specifies the price, quantity and effective date of each trade lot, when the same product may be traded multiple times in different lots with the same counterparty. In a trade increase, a new trade lot is added to the list, with the corresponding effective date. In a trade decrease, the existing trade lot(s) are decreased of the corresponding quantity (and an unwind fee may have to be settled). The multiple cardinality and the ability to increase existing trades is used for Equity Swaps in particular.
counterparty	Counterparty	2..2	Specifies the parties which are the two counterparties to the transaction. The product is agnostic to the actual parties to the transaction, with the party references abstracted away from the product definition and replaced by the counterparty enum (e.g. CounterpartyEnum values Party1 or Party2). The counterparty enum can then be positioned in the product (e.g. to specify which counterparty is the payer, receiver etc) and this counterparties attribute, which is positioned outside of the product definition, allows the counterparty enum to be associated with an actual party reference.
ancillaryParty	AncillaryParty	0..*	Specifies the parties with ancillary roles in the transaction. The product is agnostic to the actual parties involved in the transaction, with the party references abstracted away from the product definition and replaced by the AncillaryRoleEnum. The AncillaryRoleEnum can then be positioned in the product and this AncillaryParty type, which is positioned outside of the product definition, allows the AncillaryRoleEnum to be associated with an actual party reference.
adjustment	NotionalAdjustmentEnum	0..1	Specifies the conditions that govern the adjustment to the quantity of a product being traded: e.g. execution, portfolio rebalancing etc. It is typically used in the context of Equity Swaps.

Conditions

Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.

NotionalAdjustment Condition

As the adjustment attribute applies to return swaps, the equity payout needs to be present alongside it.

if adjustment exists
then product -> economicTerms -> payout as PerformancePayout -> returnTerms -> priceReturnTerms exists
        or product -> economicTerms -> payout as PerformancePayout exists

PerformancePayout_ExtraordinaryDividendsParty Condition

if product -> economicTerms -> payout as PerformancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> ExtraordinaryDividendsParty
        and if ancillaryParty -> role contains AncillaryRoleEnum -> ExtraordinaryDividendsParty
            then product -> economicTerms -> payout as PerformancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists

OptionPayout_PredeterminedClearingOrganizationParty Condition

if product -> economicTerms -> payout as OptionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty

ForwardPayout_PredeterminedClearingOrganizationParty Condition

if product -> economicTerms -> payout as SettlementPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty

PredeterminedClearingOrganizationParty Condition

if ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty
then product -> economicTerms -> payout as SettlementPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists
        or product -> economicTerms -> payout as OptionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists

ExerciseNoticeReceiverPartyManual Condition

if product -> economicTerms -> payout as OptionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists
then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyManual
        and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyManual
            then product -> economicTerms -> payout as OptionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists

ExerciseNoticeReceiverPartyOptionalEarlyTermination Condition

if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists
then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyOptionalEarlyTermination
        and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyOptionalEarlyTermination
            then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists

ExerciseNoticeReceiverPartyCancelableProvision Condition

if product -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists
then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyCancelableProvision
        and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyCancelableProvision
            then product -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists

ExerciseNoticeReceiverPartyExtendibleProvision Condition

if product -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists
then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyExtendibleProvision
        and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyExtendibleProvision
            then product -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists

CalculationAgentIndependent Condition

if product -> economicTerms -> calculationAgent -> calculationAgentParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentIndependent
        and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentIndependent
            then product -> economicTerms -> calculationAgent -> calculationAgentParty exists

CalculationAgentOptionalEarlyTermination Condition

if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentOptionalEarlyTermination
        and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentOptionalEarlyTermination
            then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists

CalculationAgentMandatoryEarlyTermination Condition

if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists
then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentMandatoryEarlyTermination
        and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentMandatoryEarlyTermination
            then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists

Referenced by

1 type holds a TradableProduct as an attribute.

CounterpartyPosition

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
AddTradeLot	returns	Add a TradeLot to an existing list of TradeLots.
ExtractTradePurchasePrice	takes	—
ExtractTradeCollateralQuantity	takes	—
ExtractTradeCollateralPrice	takes	—
AddTradeLot	takes	Add a TradeLot to an existing list of TradeLots.

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Parsed from CDM 7.2.0 · product-template-type.rosetta cdm.product.template