VolatilityCapFloor
Type CDM 7.2.0Contains volatility-based barriers. Volatility Cap needs to be specified in accordance with the ISDA 2011 Equity Derivatives Definitions.
Extends —
Extended by —
Attributes 3
Namespace cdm.product.asset
Attributes
All 3 declared on VolatilityCapFloor. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| applicable | boolean | 1..1 | Indicates whether the volatility cap is applicable in accordance with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable' to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor' should be provided. Setting the element 'applicable' to 'True' - means Volatility Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided, otherwise it defaults to volatilityCapFactor=2.5. |
| totalVolatilityCap | number | 0..1 | Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions. This means the Volatility Cap Amount election is a number. |
| volatilityCapFactor | number | 0..1 | Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions. The Calculated VolCapAmt can be optionally provided. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
CapFloorApplicability Condition
Caps/floors can and must be specified if applicable is set to true. If false, barriers cannot be established
if applicable = True
then totalVolatilityCap exists or volatilityCapFactor exists // If CapFloor is applicable at least one cap expression must exist
else totalVolatilityCap is absent and volatilityCapFactor is absent // If CapFloor is not applicable, then there cannot be any volatility caps PositiveCaps Condition
Barriers must be set to positive values
if totalVolatilityCap exists
then totalVolatilityCap >= 0 and if volatilityCapFactor exists
then volatilityCapFactor >= 0Referenced by
2 types hold a VolatilityCapFloor as an attribute.
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