VolatilityReturnTerms
Type CDM 7.2.0The model carries no description for this type.
Attributes
3 declared on VolatilityReturnTerms, 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 |
| volatilityStrikePrice | Price | 1..1 | Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions. | — |
| volatilityCapFloor | VolatilityCapFloor | 0..1 | Contains volatility-based barriers | — |
| exchangeTradedContractNearest | ListedDerivative | 0..1 | Specification of the exchange traded contract nearest. | — |
Referenced by
1 type holds a VolatilityReturnTerms as an attribute.
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