ValuationMethod
Type CDM 7.2.0Specifies the parameters required to obtain a valuation, including the source, quotation method (bid, mid etc.) and any applicable quotation amount.
Extends —
Extended by —
Attributes 6
Namespace cdm.observable.asset
Attributes
All 6 declared on ValuationMethod. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| valuationSource | ValuationSource | 1..1 | The source for obtaining a valuation. This may come from some information source (e.g. Reuters), from a rate option fixing (e.g. FX fixing for cross-currency settlement), or from a set of reference banks. This is a mandatory attribute as the valuation method relies on one of those sources to be specified. |
| quotationMethod | QuotationRateTypeEnum | 0..1 | The type of price quotations to be requested from dealers when determining the market value of the reference obligation for purposes of cash settlement, or which rate quote is to be observed for a fixing. For example, Bid, Offer, Mid-market or Exercising Party Pays. ISDA 2003 Term: Quotation Method. The meaning of Exercising Party Pays is defined in the 2000 ISDA Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j). |
| valuationMethod | ValuationMethodEnum | 0..1 | The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement. (ISDA 2003 Term: Valuation Method). For example, Market, Highest etc. |
| quotationAmount | Money | 0..1 | In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the quotation amount specifies an upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to the floating rate payer calculation amount. ISDA 2003 Term: Quotation Amount. |
| minimumQuotationAmount | Money | 0..1 | In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the minimum quotation amount specifies a minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD 1,000,000 (or its equivalent in the relevant obligation currency) or the quotation amount. ISDA 2003 Term: Minimum Quotation Amount. |
| cashCollateralValuationMethod | CashCollateralValuationMethod | 0..1 | Specifies the parameters representing several mid-market valuation and replacement value methods. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
FpML_cd_37 Condition
FpML validation rule cd-37 - If condition quotationAmount is true, and if condition minimumQuotationAmount is true, and if both amounts have the same-currency, then quotationAmount/amount must be greater or equal to minimumQuotationAmount/amount.
if (quotationAmount -> unit -> currency exists and minimumQuotationAmount -> unit -> currency exists)
and quotationAmount -> unit -> currency = minimumQuotationAmount -> unit -> currency
then quotationAmount -> value > minimumQuotationAmount -> value Dealer Condition
When a quotation amount is specified, the dealer from which to obtain the quotation must be specified in the valuation source. This is typically applicable to determine the recovery amount in a credit event.
if quotationAmount exists or minimumQuotationAmount exists
then valuationSource -> dealerOrCCP -> legalEntity existsReferenced by
1 type holds a ValuationMethod 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 |
|---|---|---|
| MapValuationMethod | returns | — |
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