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.cdm-java.6.0.0-dev.72.source-code.observable-asset-fro-type.rosetta Maven / Gradle / Ivy

namespace cdm.observable.asset.fro : <"Support for floating rate option definitions.">
version "${project.version}"

import cdm.base.staticdata.asset.rates.*
import cdm.base.staticdata.asset.common.*

// =====================================================================
//
// Floating Rate Index  Definitions
//
// these types are used to hold reference data about floating rate indexes
//
// ======================================================================
type FloatingRateIndexDefinition:
    fro FloatingRateIndexIdentification (1..1) <"The underlying FRO name and designated maturity.">
    calculationDefaults FloatingRateIndexCalculationDefaults (0..1) <"Any calculation default values.">

type FloatingRateIndexIdentification:
    floatingRateIndex FloatingRateIndexEnum (0..1) <"The reference index that is used to specify the floating interest rate. The FpML standard maintains the list of such indices, which are positioned as enumeration values as part of the CDM.">
        [metadata scheme]
    currency ISOCurrencyCodeEnum (0..1) <"FRO currency - 3 character ISO currrency code">
    froType string (0..1) <"FRO type (e.g. OIS)">

type FloatingRateIndexCalculationDefaults: <"This holds the rate calculation defaults applicable for a floating rate index.">
    category FloatingRateIndexCategoryEnum (0..1) <"The ISDA FRO category (e.g. screen rate or calculated rate).">
    indexStyle FloatingRateIndexStyleEnum (0..1) <"The ISDA FRO style (e.g. term rate, swap rate, etc).">
    method FloatingRateIndexCalculationMethodEnum (0..1) <"The ISDA FRO calculation method (e.g. OIS Compounding).">