Package org.isda.cdm

Class FloatingRateSpecification

  • All Implemented Interfaces:
    com.rosetta.model.lib.GlobalKey
    Direct Known Subclasses:
    InflationRateSpecification

    @RosettaClass
    @RosettaSynonym(value="FloatingRateCalculation",
                    source="FpML_5_10")
    public class FloatingRateSpecification
    extends FloatingRate
    A class to specify the floating interest rate by extending the floating rate definition with a set of attributes that specify such rate: the initial value specified as part of the trade, the rounding convention, the averaging method and the negative interest rate treatment.
    Version:
    2.5.4
    • Method Detail

      • getAveragingMethod

        @RosettaSynonym(value="averagingMethod",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="averagingMethod",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="averagingMethod",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="averagingMethod",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="averagingMethod",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="averagingMethod",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="averagingMethod",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="averagingMethod",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="averagingMethod",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="averagingMethod",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate")
        public final AveragingMethodEnum getAveragingMethod()
        If averaging is applicable, this component specifies whether a weighted or unweighted average method of calculation is to be used. The component must only be included when averaging applies.
      • getFinalRateRounding

        @RosettaSynonym(value="finalRateRounding",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="finalRateRounding",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="finalRateRounding",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="finalRateRounding",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="finalRateRounding",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="finalRateRounding",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="finalRateRounding",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="finalRateRounding",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="finalRateRounding",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="finalRateRounding",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate")
        public final Rounding getFinalRateRounding()
        The rounding convention to apply to the final rate used in determination of a calculation period amount.
      • getInitialRate

        @RosettaSynonym(value="initialRate",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="initialRate",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="initialRate",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="initialRate",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="initialRate",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="initialRate",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="initialRate",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="initialRate",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="initialRate",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="initialRate",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate")
        public final java.math.BigDecimal getInitialRate()
        The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
      • getNegativeInterestRateTreatment

        @RosettaSynonym(value="negativeInterestRateTreatment",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="negativeInterestRateTreatment",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="negativeInterestRateTreatment",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="negativeInterestRateTreatment",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="negativeInterestRateTreatment",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="negativeInterestRateTreatment",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="negativeInterestRateTreatment",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="negativeInterestRateTreatment",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="negativeInterestRateTreatment",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="negativeInterestRateTreatment",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate")
        public final NegativeInterestRateTreatmentEnum getNegativeInterestRateTreatment()
        The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
      • process

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

        public boolean equals​(java.lang.Object o)
        Overrides:
        equals in class FloatingRate