Package cdm.observable.asset

Interface ValuationSource

All Superinterfaces:
com.rosetta.model.lib.RosettaModelObject
All Known Subinterfaces:
ValuationSource.ValuationSourceBuilder
All Known Implementing Classes:
ValuationSource.ValuationSourceBuilderImpl, ValuationSource.ValuationSourceImpl
@RosettaDataType(value="ValuationSource", builder=ValuationSourceBuilderImpl.class, version="5.30.0") @RuneDataType(value="ValuationSource", model="cdm", builder=ValuationSourceBuilderImpl.class, version="5.30.0") public interface ValuationSource extends com.rosetta.model.lib.RosettaModelObject
A class describing the method for obtaining a settlement rate, specified through either an information source (page), a settlement rate option (fixing) or by using quotes from reference banks.
Version:
5.30.0

  • Field Details

  • Method Details

    • getQuotedCurrencyPair

      ReferenceWithMetaQuotedCurrencyPair getQuotedCurrencyPair()
      Defines the two currencies for an FX trade and the quotation relationship between the two currencies. This attribute was formerly part of 'fxSettlementTerms', which is now being harmonised into a common 'CashSettlementTerms' that includes a 'ValuationDate'.

    • getInformationSource

      FxSpotRateSource getInformationSource()
      The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

    • getSettlementRateOption

      SettlementRateOption getSettlementRateOption()
      The rate option to use for the fixing. Currently only applicable to foreign exchange fixing in case of cross-currency settlement.

    • getReferenceBanks

      ReferenceBanks getReferenceBanks()
      A container for a set of reference institutions that may be called upon to provide rate quotations as part of the method to determine the applicable cash settlement amount. If institutions are not specified, it is assumed that reference institutions will be agreed between the parties on the exercise date, or in the case of swap transaction to which mandatory early termination is applicable, the cash settlement valuation date.

    • getDealerOrCCP

      AncillaryEntity getDealerOrCCP()
      Holds an identifier for the reference entity that is agreed by both parties as a basis for cash settlement calculations. This could be a dealer from whom quotations are obtained by the calculation agent on the reference obligation for purposes of cash settlement in a credit event. ISDA 2003 Term: Dealer. This could be the clearing organization (CCP, DCO) to which the trade should be cleared, as applicable for cash-settled swaptions.

    • build

      ValuationSource build()
      Build Methods
      Specified by:
      build in interface com.rosetta.model.lib.RosettaModelObject

    • toBuilder

      ValuationSource.ValuationSourceBuilder toBuilder()
      Specified by:
      toBuilder in interface com.rosetta.model.lib.RosettaModelObject

    • builder

      static ValuationSource.ValuationSourceBuilder builder()

    • metaData

      default com.rosetta.model.lib.meta.RosettaMetaData<? extends ValuationSource> metaData()
      Utility Methods
      Specified by:
      metaData in interface com.rosetta.model.lib.RosettaModelObject

    • getType

      @RuneAttribute("@type") default Class<? extends ValuationSource> getType()
      Specified by:
      getType in interface com.rosetta.model.lib.RosettaModelObject

    • process

      default void process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
      Specified by:
      process in interface com.rosetta.model.lib.RosettaModelObject