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Project to support the implementation a of smart derivative contract.
Reference to an underlying asset, term point or pricing structure (yield
curve).
A structure that holds a set of measures about an asset.
One or more numerical measures relating to the asset,
possibly together with sensitivities of that measure to pricing inputs
The type defining a denominator term of the formula. Its value is (sum of
weighted partials) ^ power.
A partial derivative multiplied by a weighting factor.
The power to which this term is raised.
The method by which a derivative is
computed.
A description of how a numerical derivative is computed.
The method by which a derivative is computed, e.g. analytic,
numerical model, perturbation, etc.
A formula for computing a complex derivative from partial derivatives. Its
value is the sum of the terms divided by the product of the denominator terms.
A term of the formula. Its value is the product of the its
coefficient and the referenced partial derivatives.
A denominator term of the formula. Its value is (sum of weighted
partials) ^ power.
A type defining a term of the formula. Its value is the product of the its
coefficient and the referenced partial derivatives.
The coefficient by which this term is multiplied, typically 1 or
-1.
A reference to the partial derivative.
A generic (user defined) dimension, e.g. for use in a correlation surface.
e.g. a currency, stock, etc. This would take values like USD, GBP, JPY, or IBM, MSFT, etc.
The name of the dimension. E.g.: "Currency", "Stock", "Issuer",
etc.
A reference to an instrument (e.g. currency) that this value
represents.
A collection of instruments usable for quotation purposes. In future
releases, quotable derivative assets may be added after the underlying asset.
A collection of underlying assets (bonds, discount instruments,
futures, etc.) that can be used as a basis for benchmark quotes.
A collection of underlying assets (bonds, discount instruments,
futures, etc.) that can be used as a basis for benchmark quotes.
A collection of pricing inputs.
The name of the market, e.g. the USDLIBOR market. Used for
description and understandability.
A collection of benchmark instruments and quotes used as inputs to
the pricing models.
A collection of pricing inputs (curves, volatility matrices, etc.)
used to represent the market.
The values of the pricing structure used to represent the
markets.
The pricing structure used to quote a benchmark instrument.
Reference to a market structure.
The type of perturbation applied to compute a
derivative perturbatively.
A set of index values that identify a pricing data point. For example:
(strike = 17%, expiration = 6M, term = 1Y.
Reference to a Pricing Data Point Coordinate.
The substitution of a pricing input (e.g. curve) for another, used in
generating prices and risks for valuation scenarios.
A reference to the original value of the pricing input.
A reference to the substitution to do.
The type of pricing structure represented.
For an asset (e.g. a reference/benchmark asset), the pricing structure used
to price it. Used, for example, to specify that the rateIndex "USD-LIBOR-Telerate" with term = 6M is
priced using the "USD-LIBOR-Close" curve.
The asset whose price is required.
A reference to the pricing input used to value the asset.
A definition of the mathematical derivative with respect to a specific
pricing parameter.
A description, if needed, of how the derivative is computed.
A reference to the pricing input parameter to which the
sensitivity is computed. If it is omitted, the derivative definition is generic, and applies
to any input point in the valuation set.
Reference(s) to the pricing input dates that are shifted when
the sensitivity is computed. Depending on the time advance method used, this list could
vary. Used for describing time-advance derivatives (theta, carry, etc.)
The method by which a derivative is computed, e.g. analytic,
numerical model, perturbation, etc., and the corresponding parameters
Reference to a partial derivative.
A definition of a shift with respect to a specific pricing parameter.
The size of the denominator, e.g. 0.0001 = 1 bp.
The units of the denominator, e.g. currency. If not present, use
the units of the PricingInputReference.
An abstract pricing structure valuation base type. Used as a base for
values of pricing structures such as yield curves and volatility matrices. Derived from the "Valuation"
type.
The relevant dates for a pricing structure - what is
applies to, when it was built, etc.
A collection of quoted assets.
A collection of instruments used as a basis for quotation.
A collection of valuations (quotes) for the assets needed in the
set. Normally these quotes will be for the underlying assets listed above, but they don't
necesarily have to be.
A set of characteristics describing a sensitivity.
The name of the derivative, e.g. first derivative, Hessian, etc.
Typically not required, but may be used to explain more complex derivative calculations.
Reference to the valuation scenario to which this sensitivity
definition applies. If the SensitivityDefinition occurs within a SensitivitySetDefinition, this
is not required and normally not used. In this case, if it is supplied it overrides the
valuationScenarioReference in the SensitivitySetDefinition.
A sensitivity report definition, consisting of a collection of sensitivity
definitions.
The name of the sensitivity set definition, e.g. "USDLIBOR curve
sensitivities".
The default characteristics of the quotation, e.g. type, units,
etc.
Reference to the valuation scenario to which this sensitivity
definition applies, e.g. a reference to the EOD valuation scenario. If not supplied, this
sensitivity set definition is generic to a variety of valuation scenarios.
The type of the pricing input to which the sensitivity is shown,
e.g. a yield curve or volatility matrix.
A reference to the pricing input to which the sensitivity is shown,
e.g. a reference to a USDLIBOR yield curve.
The size of the denominator, e.g. 0.0001 = 1 bp. For derivatives
with respect to time, the default period is 1 day.
A set of sensitivity definitions. Either one per point reported, or
one generic definition that applies to all points.
The method by which each derivative is computed, e.g. analytic,
numerical model, perturbation, etc., and the corresponding parameters (eg. shift amounts).
A reference to a sensitivity set definition.
The time dimensions of a term-structure. The user must supply either a
tenor or a date or both.
The amount of time from the base date of the pricing input to the
specified term point, e.g. 6M or 5Y.
The absolute date corresponding to this term point, for example
January 3, 2005.
The amount of time from the base date of the pricing input to
the specified term point, e.g. 6M or 5Y.
A valuation of an valuable object - an asset or a pricing input. This is an
abstract type, used as a base for values of pricing structures such as yield curves as well as asset
values.
A reference to the asset or pricing structure that this values.
A reference to the valuation scenario used to calculate this
valuation. If the Valuation occurs within a ValuationSet, this value is optional and is
defaulted from the ValuationSet. If this value occurs in both places, the lower level value
(i.e. the one here) overrides that in the higher (i.e. ValuationSet).
An optional reference to the scenario that this valuation applies to.
Reference to a Valuation or any derived structure such as
PricingStructureValuation.
A set of rules for generating a valuation.
The (optional) name for this valuation scenario, used for
understandability. For example "EOD Valuations".
The date for which the assets are valued.
A reference to the market environment used to price the asset.
A collection of shifts to be applied to market inputs prior to
computation of the derivative.
A collection of shifts to be applied to market inputs prior to
computation of the derivative.
Reference to a valuation scenario.
A partial derivative multiplied by a weighting factor.
A reference to a partial derivative defined in the
ComputedDerivative.model, i.e. defined as part of this sensitivity definition.
The weight factor to be applied to the partial derivative, e.g. 1
or -1, or some other scaling value.
This is a global element used for creating global types. It holds Market
information, e.g. curves, surfaces, quotes, etc.
Parameters used in the computation of a derivative using analytical (closed
form formula) techiques.
The formula used to compute the derivative (perhaps could be
updated to use the Formula type in EQS.).
A group describing a derivative as combination
of partial derivatives.
A partial derivative of the measure with respect to an input.
A formula defining how to compute the derivative from the partial
derivatives. If absent, the derivative is just the product of the partial derivatives. Normally
only required for more higher-order derivatives, e.g. Hessians.
Parameters used in the computation of a derivative.
Parameters used in the computation of a derivative using numerical (finite
difference) techniques.
The size and direction of the perturbation used to compute the
derivative, e.g. 0.0001 = 1 bp.
The value is calculated by perturbing by the perturbationAmount and
then the negative of the perturbationAmount and then averaging the two values (i.e. the value is
half of the difference between perturbing up and perturbing down).
The type of perturbation, if any, used to compute the derivative
(Absolute vs Relative).
A pricing structure coordinate, or a reference to one. This can be used to
either directly define a coordinate or reference an existing coordinate.
An explicit, filled in data point coordinate. This might specify
expiration, strike, etc.
A reference to a pricing data point coordinate within this
document.
The dates that might be relevant for a pricing input, e.g. what valuation
date it applies to, when it was built, when the data comes from, etc..
The base date for which the structure applies, i.e. the curve date.
Normally this will align with the valuation date.
The spot settlement date for which the structure applies, normally
0-2 days after the base date. The difference between the baseDate and the spotDate is termed the
settlement lag, and is sometimes called "days to spot".
The date from which the input data used to construct the pricing
input was obtained. Often the same as the baseDate, but sometimes the pricing input may be
"rolled forward", in which input data from one date is used to generate a curve for a later
date.
The last date for which data is supplied in this pricing input.
The date and time when the pricing input was generated.
The index (an ordinate) of a pricing structure. The index expresses how far
along a particular dimension (e.g. time, strike, etc.) a point is located.
A time dimension that represents the term of a financial
instrument, e.g. of a zero-coupon bond on a curve, or of an underlying caplet or swap for an
option.
A time dimension that represents the time to expiration of an
option.
A numerical dimension that represents the strike rate or price of
an option.
A group describing a specific sensitivity
without an explicity reference to the market data input point.
The time dimension of the sensitivity point (tenor and/or date).
The input coordinates, or references to them (e.g. expiration,
strike, tenor).
Parameters used in the computation of a derivative by substituting a
supplied market environment.
A reference to the replacement version of the market input, e.g. a
bumped yield curve.
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