Package org.isda.cdm
Class FloatingRate
- java.lang.Object
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- com.rosetta.model.lib.RosettaModelObject
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- org.isda.cdm.FloatingRate
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- All Implemented Interfaces:
com.rosetta.model.lib.GlobalKey
- Direct Known Subclasses:
FloatingRateSpecification
@RosettaClass @RosettaSynonym(value="FloatingRate",source="FpML_5_10") @RosettaSynonym(value="FloatingRate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="FloatingRate",source="DTCC_11_0") @RosettaSynonym(value="FloatingRate",source="DTCC_9_0") @RosettaSynonym(value="FloatingRate",source="CME_ClearedConfirm_1_17") @RosettaSynonym(value="FloatingRate",source="FpML_5_10") @RosettaSynonym(value="FloatingRate",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="FloatingRate",source="DTCC_11_0") @RosettaSynonym(value="FloatingRate",source="DTCC_9_0") @RosettaSynonym(value="FloatingRate",source="CME_ClearedConfirm_1_17") public class FloatingRate extends com.rosetta.model.lib.RosettaModelObject implements com.rosetta.model.lib.GlobalKey
A class defining a floating interest rate through the specification of the floating rate index, the tenor, the multiplier schedule, the spread, the qualification of whether a specific rate treatment and/or a cap or floor apply.- Version:
- 2.5.4
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
FloatingRate.FloatingRateBuilder
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description static FloatingRate.FloatingRateBuilder
builder()
boolean
equals(java.lang.Object o)
java.util.List<StrikeSchedule>
getCapRateSchedule()
The cap rate or cap rate schedule, if any, which applies to the floating rate.FieldWithMetaFloatingRateIndexEnum
getFloatingRateIndex()
The reference index that is used to specify the floating interest rate.Schedule
getFloatingRateMultiplierSchedule()
A rate multiplier or multiplier schedule to apply to the floating rate.java.util.List<StrikeSchedule>
getFloorRateSchedule()
The floor rate or floor rate schedule, if any, which applies to the floating rate.Period
getIndexTenor()
The ISDA Designated Maturity, i.e.MetaFields
getMeta()
RateTreatmentEnum
getRateTreatment()
The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations.java.util.List<SpreadSchedule>
getSpreadSchedule()
The ISDA Spread or a Spread schedule expressed as explicit spreads and dates.int
hashCode()
com.rosetta.model.lib.meta.RosettaMetaData<? extends FloatingRate>
metaData()
void
process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
FloatingRate.FloatingRateBuilder
toBuilder()
java.lang.String
toString()
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Method Detail
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getCapRateSchedule
@RosettaSynonym(value="capRateSchedule",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="capRateSchedule",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="capRateSchedule",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="capRateSchedule",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="capRateSchedule",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="capRateSchedule",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="capRateSchedule",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="capRateSchedule",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="capRateSchedule",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="capRateSchedule",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") public final java.util.List<StrikeSchedule> getCapRateSchedule()
The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
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getFloatingRateIndex
@RosettaSynonym(value="floatingRateIndex",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateIndex",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateIndex",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateIndex",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateIndex",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateIndex",source="FpML_5_10") @RosettaSynonym(value="floatingRateIndex",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="floatingRateIndex",source="DTCC_11_0") @RosettaSynonym(value="floatingRateIndex",source="DTCC_9_0") @RosettaSynonym(value="floatingRateIndex",source="CME_ClearedConfirm_1_17") @RosettaSynonym(value="floatingRateIndex",source="FpML_5_10",path="interestCalculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateIndex",source="FpML_5_10",path="floatingRateCalculation") public final FieldWithMetaFloatingRateIndexEnum getFloatingRateIndex()
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.
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getFloatingRateMultiplierSchedule
@RosettaSynonym(value="floatingRateMultiplierSchedule",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floatingRateMultiplierSchedule",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") public final Schedule getFloatingRateMultiplierSchedule()
A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
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getFloorRateSchedule
@RosettaSynonym(value="floorRateSchedule",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floorRateSchedule",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floorRateSchedule",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floorRateSchedule",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floorRateSchedule",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floorRateSchedule",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floorRateSchedule",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floorRateSchedule",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="floorRateSchedule",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="floorRateSchedule",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") public final java.util.List<StrikeSchedule> getFloorRateSchedule()
The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
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getIndexTenor
@RosettaSynonym(value="indexTenor",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="indexTenor",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="indexTenor",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="indexTenor",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="indexTenor",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="indexTenor",source="FpML_5_10") @RosettaSynonym(value="indexTenor",source="CME_SubmissionIRS_1_0") @RosettaSynonym(value="indexTenor",source="DTCC_11_0") @RosettaSynonym(value="indexTenor",source="DTCC_9_0") @RosettaSynonym(value="indexTenor",source="CME_ClearedConfirm_1_17") @RosettaSynonym(value="indexTenor",source="FpML_5_10",path="interestCalculation.floatingRateCalculation") @RosettaSynonym(value="indexTenor",source="FpML_5_10",path="floatingRateCalculation") public final Period getIndexTenor()
The ISDA Designated Maturity, i.e. the floating rate tenor.
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getMeta
public final MetaFields getMeta()
- Specified by:
getMeta
in interfacecom.rosetta.model.lib.GlobalKey
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getRateTreatment
@RosettaSynonym(value="rateTreatment",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="rateTreatment",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="rateTreatment",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="rateTreatment",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="rateTreatment",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="rateTreatment",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="rateTreatment",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="rateTreatment",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="rateTreatment",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="rateTreatment",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") public final RateTreatmentEnum getRateTreatment()
The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations. The two common conversions are for securities quoted on a bank discount basis which will need to be converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the 2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
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getSpreadSchedule
@RosettaSynonym(value="spreadSchedule",source="FpML_5_10",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="FpML_5_10",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="spreadSchedule",source="CME_SubmissionIRS_1_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="CME_SubmissionIRS_1_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="spreadSchedule",source="DTCC_11_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="DTCC_11_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="spreadSchedule",source="DTCC_9_0",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="DTCC_9_0",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="spreadSchedule",source="CME_ClearedConfirm_1_17",path="calculationPeriodAmount.calculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="CME_ClearedConfirm_1_17",path="periodicPayment.floatingAmountCalculation.floatingRate") @RosettaSynonym(value="spreadSchedule",source="FpML_5_10",path="interestCalculation.floatingRateCalculation") @RosettaSynonym(value="spreadSchedule",source="FpML_5_10",path="floatingRateCalculation") public final java.util.List<SpreadSchedule> getSpreadSchedule()
The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.
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metaData
public com.rosetta.model.lib.meta.RosettaMetaData<? extends FloatingRate> metaData()
- Specified by:
metaData
in classcom.rosetta.model.lib.RosettaModelObject
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toBuilder
public FloatingRate.FloatingRateBuilder toBuilder()
- Specified by:
toBuilder
in classcom.rosetta.model.lib.RosettaModelObject
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builder
public static FloatingRate.FloatingRateBuilder builder()
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process
public void process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
- Specified by:
process
in classcom.rosetta.model.lib.RosettaModelObject
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equals
public boolean equals(java.lang.Object o)
- Overrides:
equals
in classjava.lang.Object
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hashCode
public int hashCode()
- Overrides:
hashCode
in classjava.lang.Object
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toString
public java.lang.String toString()
- Overrides:
toString
in classjava.lang.Object
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