Tranche
Type CDM 7.2.0The class to represent a CDS Tranche.
Extends —
Extended by —
Attributes 3
Namespace cdm.product.asset
Attributes
All 3 declared on Tranche. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| attachmentPoint | number | 1..1 | Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal. An attachment point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is called the width of the Tranche. |
| exhaustionPoint | number | 1..1 | Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. |
| incurredRecoveryApplicable | boolean | 0..1 | Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
AttachmentPoint Condition
FpML definition associated with the attachmentPoint element specifies that a schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
attachmentPoint >= 0.0 and attachmentPoint <= 1.0 ExhaustionPoint Condition
FpML definition associated with the exhaustionPoint element specifies that a schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
exhaustionPoint >= 0.0 and exhaustionPoint <= 1.0 AttachmentPointLessThanExhaustionPoint Condition
FpML validation rule cd-40 - Context: Tranche (complex type) attachmentPoint must be less or equal to exhaustionPoint.
attachmentPoint <= exhaustionPointReferenced by
2 types hold a Tranche 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 |
|---|---|---|
| MapTranche | returns | — |
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