coding-schemes.fpml.derivative-calculation-method-1-0.xml Maven / Gradle / Ivy

Go to download

Show more of this group Show more artifacts with this name
Show all versions of rosetta-testing Show documentation

Rune Testing is a java library that is utilised by Rosetta Code Generators and models expressed in the Rosetta DSL.

There is a newer version: 11.27.2

<?xml version="1.0" encoding="UTF-8"?>
<gcl:CodeList xmlns:gcl="http://xml.genericode.org/2004/ns/CodeList/0.2/" xmlns:doc="http://www.fpml.org/coding-scheme/documentation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://xml.genericode.org/2004/ns/CodeList/0.2/ CodeList.xsd">
   <Annotation>
      <Description>
         <doc:definition>Specifies the method by which a derivative is computed.</doc:definition>
      </Description>
   </Annotation>
   <Identification>
      <ShortName>derivativeCalculationMethodScheme</ShortName>
      <Version>1-0</Version>
      <CanonicalUri>http://www.fpml.org/coding-scheme/derivative-calculation-method</CanonicalUri>
      <CanonicalVersionUri>http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0</CanonicalVersionUri>
      <LocationUri>http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0.xml</LocationUri>
   </Identification>
   <ColumnSet>
      <Column Id="Code" Use="required">
         <ShortName>Code</ShortName>
         <Data Type="token">
            <Parameter ShortName="maxLength">63</Parameter>
         </Data>
      </Column>
      <Column Id="Source" Use="optional">
         <ShortName>Source</ShortName>
         <Data Type="string"/>
      </Column>
      <Column Id="Description" Use="optional">
         <ShortName>Description</ShortName>
         <Data Type="string"/>
      </Column>
      <Key Id="PrimaryKey">
         <ShortName>key</ShortName>
         <ColumnRef Ref="Code"/>
      </Key>
   </ColumnSet>
   <SimpleCodeList>
      <Row>
         <Value>
            <SimpleValue>Analytic</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The derivative is computed analytically, e.g. by a closed form analytical
					equation.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Numerical</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The derivative is computed by other (non-perturbative) numerical means,
					such as a direct output from a numerical model.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Perturbation</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The derivative is computed by a numerical difference method, ie. by
					numerically perturbing the input, recalculating the measure, and dividing by the
					amount of the perturbation.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Substitution</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The derivative is computed by finite difference based on the substitution
					of a supplied pricing input, e.g. a bumped yield curve.</SimpleValue>
         </Value>
      </Row>
   </SimpleCodeList>
</gcl:CodeList>