Package org.isda.cdm
Class FloatingRateSpecification
- java.lang.Object
-
- com.rosetta.model.lib.RosettaModelObject
-
- org.isda.cdm.FloatingRate
-
- org.isda.cdm.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
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
FloatingRateSpecification.FloatingRateSpecificationBuilder
-
Nested classes/interfaces inherited from class org.isda.cdm.FloatingRate
FloatingRate.FloatingRateBuilder
-
-
Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description static FloatingRateSpecification.FloatingRateSpecificationBuilder
builder()
boolean
equals(java.lang.Object o)
AveragingMethodEnum
getAveragingMethod()
If averaging is applicable, this component specifies whether a weighted or unweighted average method of calculation is to be used.Rounding
getFinalRateRounding()
The rounding convention to apply to the final rate used in determination of a calculation period amount.java.math.BigDecimal
getInitialRate()
The initial floating rate reset agreed between the principal parties involved in the trade.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).int
hashCode()
com.rosetta.model.lib.meta.RosettaMetaData<? extends FloatingRateSpecification>
metaData()
void
process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
FloatingRateSpecification.FloatingRateSpecificationBuilder
toBuilder()
java.lang.String
toString()
-
Methods inherited from class org.isda.cdm.FloatingRate
getCapRateSchedule, getFloatingRateIndex, getFloatingRateMultiplierSchedule, getFloorRateSchedule, getIndexTenor, getMeta, getRateTreatment, getSpreadSchedule
-
-
-
-
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).
-
metaData
public com.rosetta.model.lib.meta.RosettaMetaData<? extends FloatingRateSpecification> metaData()
- Overrides:
metaData
in classFloatingRate
-
toBuilder
public FloatingRateSpecification.FloatingRateSpecificationBuilder toBuilder()
- Overrides:
toBuilder
in classFloatingRate
-
builder
public static FloatingRateSpecification.FloatingRateSpecificationBuilder builder()
-
process
public void process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
- Overrides:
process
in classFloatingRate
-
equals
public boolean equals(java.lang.Object o)
- Overrides:
equals
in classFloatingRate
-
hashCode
public int hashCode()
- Overrides:
hashCode
in classFloatingRate
-
toString
public java.lang.String toString()
- Overrides:
toString
in classFloatingRate
-
-