Package cdm.product.asset

Interface StubFloatingRate

All Superinterfaces:
com.rosetta.model.lib.RosettaModelObject
All Known Subinterfaces:
StubFloatingRate.StubFloatingRateBuilder
All Known Implementing Classes:
StubFloatingRate.StubFloatingRateBuilderImpl, StubFloatingRate.StubFloatingRateImpl
@RosettaDataType(value="StubFloatingRate", builder=StubFloatingRateBuilderImpl.class, version="5.30.0") @RuneDataType(value="StubFloatingRate", model="cdm", builder=StubFloatingRateBuilderImpl.class, version="5.30.0") public interface StubFloatingRate extends com.rosetta.model.lib.RosettaModelObject
A class defining a floating rate.
Version:
5.30.0

  • Field Details

  • Method Details

    • getFloatingRateIndex

      FloatingRateIndexEnum getFloatingRateIndex()
      The floating rate index.

    • getIndexTenor

      Period getIndexTenor()
      The ISDA Designated Maturity, i.e. the tenor of the floating rate.

    • getFloatingRateMultiplierSchedule

      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.

    • getSpreadSchedule

      List<? extends 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.

    • getRateTreatment

      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.

    • getCapRateSchedule

      List<? extends 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.

    • getFloorRateSchedule

      List<? extends 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.

    • build

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

    • toBuilder

      StubFloatingRate.StubFloatingRateBuilder toBuilder()
      Specified by:
      toBuilder in interface com.rosetta.model.lib.RosettaModelObject

    • builder

      static StubFloatingRate.StubFloatingRateBuilder builder()

    • metaData

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

    • getType

      @RuneAttribute("@type") default Class<? extends StubFloatingRate> 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