schemas.fpml-4-9.fpml-valuation-4-9.xsd Maven / Gradle / Ivy
A structure that holds a set of measures about an asset, including possibly their sensitivities.
One or more numerical measures relating to the asset, possibly together with sensitivities of that measure to pricing inputs.
Indicates the rate of a currency conversion that may have been used to compute valuations.
A valuation scenario that is derived from another valuation scenario.
The (optional) name for this valuation scenario, used for understandability. For example "EOD Valuations".
An (optional) reference to a valuation scenario from which this one is derived.
The (optional) date for which the assets are valued. If not present, the valuation date will be that of the base valuation scenario.
A reference to the market environment used to price the asset. If not present, the market will be that of the base valuation scenario.
A collection of shifts to be applied to market inputs prior to computation of the derivative.
A collection of related trades or positions and the corresponding aggregate exposures generated by these.
Information about the roles of the parties with respect to reporting the positions.
The components that create this position.
Position level schedule date, such as final payment dates, in a simple and flexible format.
Valuation reported for the position, such as NPV or accrued interest. The asset/object references in the valuations should refer to the deal or components of the deal in the position, e.g. legs, streams, or underlyers.
The items (trades, trade references, holdings, other positions) that comprise this position. Currently a position may consist only of a single trade, a reference to a previously submitted position, or a reference to the trade. The choice structure is optional to allow extensions to be placed within this container.
An element that allows the full details of the trade to be used as a mechanism for identifying the trade for which the post-trade event pertains.
An element that allows the full details of the contract to be used as a mechanism for identifying the contract (at allocation level) for which the post-trade event pertains.
A previously submitted version of the position.
The trade reference identifier(s) allocated to the trade by the parties involved.
The contract reference identifiers(s) allocated to the contract by the parties involved.
Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure, together with optional sensitivities.
Zero or more sets of sensitivities of this measure to various input parameters.
The roles of the parties in reporting information such as positions.
A reference to the party from whose perspective the position is valued, ie. the owner or holder of the position.
A reference to the party responsible for reporting trading activities.
A reference to the party responsible for reporting the position itself and its constituents.
A reference to the party responsible for calculating and reporting the valuations of the positions.
An servicing date relevant for a trade structure, such as a payment or a reset.
The type of the date, e.g. next or previous payment.
A reference to the leg (or other product component) for which these dates occur.
A list of dates (cash flows, resets, etc.) that are relevant for this structure, e.g. next cash flow, last reset, etc. Provides a way to list upcoming or recent servicing dates related to this trade stream in a way that is simpler and more flexible than the FpML "cashflows" structure.
A single stream level scheduled servicing date.
A scheme used to identify the type of a stream scheduled servicing date.
The sensitivity of a value to a defined change in input parameters.
A optional name for this sensitivity. This is primarily intended for display purposes.
A optional (but normally supplied) reference to the definition of this sensitivity.
A collection of sensitivities. References a definition that explains the meaning/type of the sensitivities.
A reference to a sensitivity set definition.
A set of valuation.
A set of valuation inputs and results. This structure can be used for requesting valuations, or for reporting them. In general, the request fills in fewer elements.
The name of the valuation set, used to understand what it means. E.g., "EOD Values and Risks for Party A".
Valuation scenerios used (requested/reported) in this valuation set. E.g., the EOD valuation scenario for a particular value date. Used for the first occurrence of a valuation scenario in a document.
References to valuation scenarios used (requested/reported) in this valuation set. E..g, a reference to the EOD valuation scenario for a particular value date. Used for subsequence occurrences of a valuation set in an FpML document.
Reference to the party from whose point of view the assets are valued.
Charactistics (measure types, units, sides, etc.) of the quotes used (requested/reported) in the valuation set.
Definition(s) of sensitivity sets used (requested or reported) in this valuation set.
Does this valuation set include a market environment?
Valuations reported in this valuation set. These values can be values (NPVs, prices, etc.) or risks (DAR, etc.) and can include sensitivities.
The amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.
Contains at least one of an adjusted date and and unadjusted date, using the usual meanings of those terms.
A quotation or a reference to a quotation.
A reference to a quotation
An associated value or reference for a scheduled date.
The value that is associated with the scheduled date.
A reference to the value associated with this scheduled date.
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