VarianceReturnTerms
Type CDM 7.2.0The model carries no description for this type.
Attributes
6 declared on VarianceReturnTerms, 10 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| valuationTerms | ValuationTerms | 1..1 | Contains all non-date valuation information. | ReturnTermsBase |
| 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. | ReturnTermsBase |
| dividendApplicability | DividendApplicability | 0..1 | The parameters which define whether dividends are applicable | ReturnTermsBase |
| equityUnderlierProvisions | EquityUnderlierProvisions | 0..1 | Contains Equity Underlyer provisions regarding jurisdiction and fallbacks. | ReturnTermsBase |
| sharePriceDividendAdjustment | boolean | 0..1 | Indicates whether the price of shares is adjusted for dividends or not. | ReturnTermsBase |
| expectedN | int | 1..1 | Expected number of trading days. | ReturnTermsBase |
| 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. | ReturnTermsBase |
| initialLevelSource | DeterminationMethodEnum | 0..1 | In this context, this is AgreedInitialPrice - a specified Initial Index Level. | ReturnTermsBase |
| meanAdjustment | boolean | 0..1 | Specifies whether Mean Adjustment is applicable or not in the calculation of the Realized Volatility, Variance or Correlation | ReturnTermsBase |
| 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. | ReturnTermsBase |
| varianceStrikePrice | Price | 0..1 | Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions. | — |
| volatilityStrikePrice | Price | 0..1 | Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions. | — |
| varianceCapFloor | VarianceCapFloor | 0..1 | Contains possible barriers for variance products, both variance-based and underlier price based | — |
| volatilityCapFloor | VolatilityCapFloor | 0..1 | Contains containing volatility-based barriers | — |
| vegaNotionalAmount | NonNegativeQuantitySchedule | 0..1 | Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade. | — |
| exchangeTradedContractNearest | Observable | 0..1 | Specification of the exchange traded contract nearest. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
Positive_VegaNotionalAmount Condition
When the optional vegaNotionalAmount is present in the varianceReturnTerms, it needs to have a positive value.
if vegaNotionalAmount -> value exists
then vegaNotionalAmount -> value > 0 UnderlierMustBeListedDerivative Condition
If an exchange traded contract nearest is specified, it must have a listed derivative as underlier.
if exchangeTradedContractNearest exists
then exchangeTradedContractNearest as ListedDerivative exists ReferenceContract Condition
If futurePriceValuation is true, an exchange traded contract is used as a reference, therefore such contract must be specified in exchangeTradedContractNearest
if valuationTerms -> futuresPriceValuation = True
then exchangeTradedContractNearest exists StrikePriceMustExist Condition
The strike price must be present, but it can be expressed in either variance or volatility terms
required choice volatilityStrikePrice, varianceStrikePrice NonNegativeStrikePrice Condition
The strike price must have a positive value
if volatilityStrikePrice -> value exists
then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice -> value exists
then varianceStrikePrice -> value >= 0Referenced by
1 type holds a VarianceReturnTerms 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 |
|---|---|---|
| MapVarianceLegToVarianceReturnTerms | returns | — |
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