Package cdm.product.common.schedule
package cdm.product.common.schedule
Common product schedule concepts: calculation period, reset, fixing and payment dates, stub, notional schedule, roll convention.
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ClassDescriptionA class to specify a currency amount or a currency amount schedule.Builder InterfaceBuilder Implementation of AmountScheduleImmutable Implementation of AmountScheduleAn unordered list of weighted averaging observations.Builder InterfaceBuilder Implementation of AveragingObservationListImmutable Implementation of AveragingObservationListPeriod over which an average value is taken.Builder InterfaceBuilder Implementation of AveragingPeriodImmutable Implementation of AveragingPeriodA data defining: the parameters used in the calculation of a fixed or floating rate calculation period amount.Builder InterfaceBuilder Implementation of CalculationPeriodImmutable Implementation of CalculationPeriodThe calculation period adjusted start and end dates, which are the baseline arguments needed to compute an interest accrual calculation.Builder InterfaceBuilder Implementation of CalculationPeriodBaseImmutable Implementation of CalculationPeriodBaseBuilder InterfaceBuilder Implementation of CalculationPeriodDataImmutable Implementation of CalculationPeriodDataA data for: defining the parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods.Builder InterfaceBuilder Implementation of CalculationPeriodDatesImmutable Implementation of CalculationPeriodDatesA data to: provide the ability to point to multiple payment nodes in the document through the unbounded paymentDatesReference.Builder InterfaceBuilder Implementation of DateRelativeToCalculationPeriodDatesImmutable Implementation of DateRelativeToCalculationPeriodDatesA data to: provide the ability to point to multiple payment nodes in the document through the unbounded paymentDatesReference.Builder InterfaceBuilder Implementation of DateRelativeToPaymentDatesImmutable Implementation of DateRelativeToPaymentDatesA data to: provide the ability to point to multiple payment nodes in the document through the unbounded paymentDatesReference.Builder InterfaceBuilder Implementation of DateRelativeToValuationDatesImmutable Implementation of DateRelativeToValuationDatesA data to: define business date convention adjustment to final payment period per leg.Builder InterfaceBuilder Implementation of FinalCalculationPeriodDateAdjustmentImmutable Implementation of FinalCalculationPeriodDateAdjustmentA data to: describe the cashflow representation for FX linked notionals.Builder InterfaceBuilder Implementation of FxLinkedNotionalAmountImmutable Implementation of FxLinkedNotionalAmountA data to: describe a notional schedule where each notional that applies to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.Builder InterfaceBuilder Implementation of FxLinkedNotionalScheduleImmutable Implementation of FxLinkedNotionalScheduleA CDM class which purpose is to specify the initial fixing date either alongside the FpML interest rate specification as an offset of another date, or alongside the credit derivative specification as an unadjusted date.Builder InterfaceBuilder Implementation of InitialFixingDateImmutable Implementation of InitialFixingDateThe pricing period per calculation period if the pricing days do not wholly fall within the respective calculation period.Builder InterfaceBuilder Implementation of LagImmutable Implementation of LagSpecifies a single date on which market observations take place and specifies optional associated weighting.Builder InterfaceBuilder Implementation of ObservationDateImmutable Implementation of ObservationDateDescribes date details for a set of observation dates in parametric or non-parametric form.Builder InterfaceBuilder Implementation of ObservationDatesImmutable Implementation of ObservationDatesSpecifies a single date on which market observations take place and specifies optional associated weighting.Builder InterfaceBuilder Implementation of ObservationScheduleImmutable Implementation of ObservationScheduleClass containing terms that are associated with observing a price/benchmark/index across either single or multiple observations.Builder InterfaceBuilder Implementation of ObservationTermsImmutable Implementation of ObservationTermsDefines rules for the dates on which the price will be determined.Builder InterfaceBuilder Implementation of ParametricDatesImmutable Implementation of ParametricDatesA data defining: the adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount.Builder InterfaceBuilder Implementation of PaymentCalculationPeriodImmutable Implementation of PaymentCalculationPeriodSpecifies the parameters to generate the payment date schedule, either through a parametric representation or by reference to specified dates.Builder InterfaceBuilder Implementation of PaymentDatesImmutable Implementation of PaymentDatesThe payment dates when specified as relative to a set of dates specified somewhere else in the instance document/transaction, e.g. the valuation dates as typically the case for equity swaps, or when specified as a calculation period schedule.Builder InterfaceBuilder Implementation of PaymentDateScheduleImmutable Implementation of PaymentDateScheduleThe enumerated values to specify whether payments occur relative to the calculation period start date or end date, each reset date, valuation date or the last pricing date.A class defining a schedule of rates or amounts in terms of an initial value and then a series of step date and value pairs.Builder InterfaceBuilder Implementation of RateScheduleImmutable Implementation of RateScheduleA data defining: the parameters used to generate the reset dates schedule and associated fixing dates.Builder InterfaceBuilder Implementation of ResetDatesImmutable Implementation of ResetDatesA class defining the reset frequency.Builder InterfaceBuilder Implementation of ResetFrequencyImmutable Implementation of ResetFrequencyThe enumerated values to specify whether resets occur relative to the first or last day of a calculation period.A data defining: how the initial or final stub calculation period amounts is calculated.Builder InterfaceBuilder Implementation of StubCalculationPeriodAmountImmutable Implementation of StubCalculationPeriodAmountA class defining how the initial or final stub calculation period amounts is calculated.Builder InterfaceBuilder Implementation of StubPeriodImmutable Implementation of StubPeriodThe enumerated values to specify how to deal with a non standard calculation period within a swap stream.The enumerated values to specify the weekly roll day.A single weighted averaging observation.Builder InterfaceBuilder Implementation of WeightedAveragingObservationImmutable Implementation of WeightedAveragingObservation