Package org.isda.cdm

Class CalculationPeriod

  • All Implemented Interfaces:
    com.rosetta.model.lib.GlobalKey

    @RosettaClass
    @RosettaSynonym(value="CalculationPeriod",
                    source="FpML_5_10")
    public class CalculationPeriod
    extends CalculationPeriodBase
    A class defining the parameters used in the calculation of a fixed or floating rate calculation period amount. This class forms part of cashflows representation of a swap stream.
    Version:
    2.5.4
    • Method Detail

      • getCalculationPeriodNumberOfDays

        @RosettaSynonym(value="calculationPeriodNumberOfDays",source="FpML_5_10") @RosettaSynonym(value="calculationPeriodNumberOfDays",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="calculationPeriodNumberOfDays",source="DTCC_11_0") @RosettaSynonym(value="calculationPeriodNumberOfDays",source="DTCC_9_0") @RosettaSynonym(value="calculationPeriodNumberOfDays",source="CME_ClearedConfirm_1_17")
        public final java.lang.Integer getCalculationPeriodNumberOfDays()
        The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction.
      • getDayCountYearFraction

        @RosettaSynonym(value="dayCountYearFraction",source="FpML_5_10") @RosettaSynonym(value="dayCountYearFraction",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="dayCountYearFraction",source="DTCC_11_0") @RosettaSynonym(value="dayCountYearFraction",source="DTCC_9_0") @RosettaSynonym(value="dayCountYearFraction",source="CME_ClearedConfirm_1_17")
        public final java.math.BigDecimal getDayCountYearFraction()
        The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex.
      • getFixedRate

        @RosettaSynonym(value="fixedRate",source="FpML_5_10") @RosettaSynonym(value="fixedRate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="fixedRate",source="DTCC_11_0") @RosettaSynonym(value="fixedRate",source="DTCC_9_0") @RosettaSynonym(value="fixedRate",source="CME_ClearedConfirm_1_17")
        public final java.math.BigDecimal getFixedRate()
        The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
      • getFloatingRateDefinition

        @RosettaSynonym(value="floatingRateDefinition",source="FpML_5_10") @RosettaSynonym(value="floatingRateDefinition",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="floatingRateDefinition",source="DTCC_11_0") @RosettaSynonym(value="floatingRateDefinition",source="DTCC_9_0") @RosettaSynonym(value="floatingRateDefinition",source="CME_ClearedConfirm_1_17")
        public final FloatingRateDefinition getFloatingRateDefinition()
        The floating rate reset information for the calculation period.
      • getForecastAmount

        @RosettaSynonym(value="forecastAmount",source="FpML_5_10") @RosettaSynonym(value="forecastAmount",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="forecastAmount",source="DTCC_11_0") @RosettaSynonym(value="forecastAmount",source="DTCC_9_0") @RosettaSynonym(value="forecastAmount",source="CME_ClearedConfirm_1_17")
        public final Money getForecastAmount()
        The amount representing the forecast of the accrued value of the calculation period. An intermediate value used to generate the forecastPaymentAmount in the PaymentCalculationPeriod.
      • getForecastRate

        @RosettaSynonym(value="forecastRate",source="FpML_5_10") @RosettaSynonym(value="forecastRate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="forecastRate",source="DTCC_11_0") @RosettaSynonym(value="forecastRate",source="DTCC_9_0") @RosettaSynonym(value="forecastRate",source="CME_ClearedConfirm_1_17")
        public final java.math.BigDecimal getForecastRate()
        A value representing the forecast rate used to calculate the forecast future value of the accrual period. This is a calculated rate determined based on averaging the rates in the rateObservation elements, and incorporates all of the rate treatment and averaging rules. A value of 1% should be represented as 0.01.
      • getFxLinkedNotionalAmount

        @RosettaSynonym(value="fxLinkedNotionalAmount",source="FpML_5_10") @RosettaSynonym(value="fxLinkedNotionalAmount",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="fxLinkedNotionalAmount",source="DTCC_11_0") @RosettaSynonym(value="fxLinkedNotionalAmount",source="DTCC_9_0") @RosettaSynonym(value="fxLinkedNotionalAmount",source="CME_ClearedConfirm_1_17")
        public final FxLinkedNotionalAmount getFxLinkedNotionalAmount()
        The amount that a cashflow will accrue interest on. This is the calculated amount of the FX linked - i.e. the other currency notional amount multiplied by the appropriate FX spot rate.
      • getNotionalAmount

        @RosettaSynonym(value="notionalAmount",source="FpML_5_10") @RosettaSynonym(value="notionalAmount",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="notionalAmount",source="DTCC_11_0") @RosettaSynonym(value="notionalAmount",source="DTCC_9_0") @RosettaSynonym(value="notionalAmount",source="CME_ClearedConfirm_1_17")
        public final java.math.BigDecimal getNotionalAmount()
        The amount that a cashflow will accrue interest on.
      • getUnadjustedEndDate

        @RosettaSynonym(value="unadjustedEndDate",source="FpML_5_10") @RosettaSynonym(value="unadjustedEndDate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="unadjustedEndDate",source="DTCC_11_0") @RosettaSynonym(value="unadjustedEndDate",source="DTCC_9_0") @RosettaSynonym(value="unadjustedEndDate",source="CME_ClearedConfirm_1_17")
        public final com.rosetta.model.lib.records.Date getUnadjustedEndDate()
        The calculation end date, unadjusted.
      • getUnadjustedStartDate

        @RosettaSynonym(value="unadjustedStartDate",source="FpML_5_10") @RosettaSynonym(value="unadjustedStartDate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="unadjustedStartDate",source="DTCC_11_0") @RosettaSynonym(value="unadjustedStartDate",source="DTCC_9_0") @RosettaSynonym(value="unadjustedStartDate",source="CME_ClearedConfirm_1_17")
        public final com.rosetta.model.lib.records.Date getUnadjustedStartDate()
        The calculation start date, unadjusted.
      • process

        public void process​(com.rosetta.model.lib.path.RosettaPath path,
                            com.rosetta.model.lib.process.Processor processor)
        Overrides:
        process in class CalculationPeriodBase