.cdm-java.6.0.0-dev.82.source-code.cdm-product-asset-ReturnTermsBase.schema.json Maven / Gradle / Ivy
{
"$schema": "http://json-schema.org/draft-04/schema#",
"$anchor": "cdm.product.asset",
"type": "object",
"title": "ReturnTermsBase",
"description": "Contains all common elements in variance, volatility and correlation return Terms.",
"properties": {
"valuationTerms": {
"description": "Contains all non-date valuation information.",
"$ref": "cdm-product-asset-ValuationTerms.schema.json"
},
"annualizationFactor": {
"description": "This specifies the numerator of an annualization factor. Frequently this number is equal to the number of observations of prices in a year e.g. 252.",
"type": "integer"
},
"dividendApplicability": {
"description": "The parameters which define whether dividends are applicable",
"$ref": "cdm-observable-asset-DividendApplicability.schema.json"
},
"equityUnderlierProvisions": {
"description": "Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.",
"$ref": "cdm-product-asset-EquityUnderlierProvisions.schema.json"
},
"sharePriceDividendAdjustment": {
"description": "Indicates whether the price of shares is adjusted for dividends or not.",
"type": "boolean"
},
"expectedN": {
"description": "Expected number of trading days.",
"type": "integer"
},
"initialLevel": {
"description": "Contract will strike off this initial level. Providing just the initialLevel without initialLevelSource, infers that this is AgreedInitialPrice - a specified Initial Index Level.",
"type": "number"
},
"initialLevelSource": {
"description": "In this context, this is AgreedInitialPrice - a specified Initial Index Level.",
"$ref": "cdm-observable-common-DeterminationMethodEnum.schema.json"
},
"meanAdjustment": {
"description": "Specifies whether Mean Adjustment is applicable or not in the calculation of the Realized Volatility, Variance or Correlation",
"type": "boolean"
},
"performance": {
"description": "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.",
"type": "string"
}
},
"required": [
"valuationTerms",
"expectedN"
]
}
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