All Packages
Package Summary
Package
Description
Basic date and time concepts: relative date, date range, offset, business centre etc.
Day count concepts: Day count fraction, day count basis, year fraction
Basic maths concepts: quantity and unit, rounding, curve / schedule, non-negativity constraint etc.
Basic static asset concepts that apply across asset classes: taxonomy etc.
Basic identifier and assigned identifier concepts that are applicable across the model.
Basic party concepts: legal entity, natural person, contact details, buyer / payer and all related enums.
Business event concepts: primitives, contract state and associated state transition function specifications.
Position concepts: portfolio and portfolio aggregation.
Workflow concepts (orthogonal to business event): time stamp, credit limit, trade warehouse info and associated function specifications.
Common legal agreement concepts.
Contract (i.e. transaction confirmation) concepts.
Credit support concepts: CSA, collateral, elections, initial margin, threshold, minimum transfer amount.
Master agreement concepts.
Observable asset concepts: schedule, settlement, price and quantity notation etc.
Floating amount calculations for calculated rates.
Support for floating rate option definitions.
Observable event concepts: extraordinary event, trigger event, disruption event etc.
Product concepts applicable to specific asset classes.
Product-related, asset class-specific floating-rate index concepts, such as rate definitions.
Common product schedule concepts: calculation period, reset, fixing and payment dates, stub, notional schedule, roll convention.
Common product settlement concepts: cash vs physical, non-deliverable, money and cashflow, delivery vs payment.
Template feature concepts to define payouts.
Regulatory reporting concepts: regulatory rules, report definitions, reporting formats.