schemas.fpml-4-6.fpml-mktenv-4-6.xsd Maven / Gradle / Ivy
The frequency at which a rate is compounded.
A generic credit curve definition.
A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates.
A curve of default probabilities.
A recovery rate value or curve.
A set of default probabilities.
A reference to the yield curve values used as a basis for this credit curve valuation.
A collection of default probabilities.
A curve used to model a set of forward interest rates. Used for forecasting interest rates as part of a pricing calculation.
A reference to the rate index whose forwards are modeled.
The curve of forward values.
An fx curve object., which includes pricing inputs and term structures for fx forwards.
A valuation of an FX curve object., which includes pricing inputs and term structures for fx forwards.
A curve of fx forward rates.
A curve of fx forward point spreads.
A collection of spot FX rates used in pricing.
A pricing data set that contains a series of points with coordinates. It is a sparse matrix representation of a multi-dimensional matrix.
Characteristics that apply to all quotations in the pricing structure.
An adjustment used to accommodate a parameter of the input trade, e.g. the strike.
The name of the adjustment parameter (e.g. "Volatility Skew").
The units of the input parameter, e.g. Yield.
The values of the adjustment parameter.
A value of the adjustment point, consisting of the x value and the corresponding y value.
The value of the independent variable (e.g. strike offset).
The value of the dependent variable, the actual adjustment amount.
A single valued point with a set of coordinates that define an arbitrary number of indentifying indexes (0 or more). Note that the collection of
coordinates/coordinate references for a PricingStructurePoint must not define a given dimension (other than "generic") more than once. This is to avoid ambiguity.
A quotation for a specific point, including anny characteristics that may be unique to that point.
A curve consisting only of values over a term. This is a restricted form of One Dimensional Structure.
A value point that can have a time dimension. Allows bid, mid, ask, and spread values to be represented.
The time dimension of the point (tenor and/or date)
The spread value can be used in conjunction with the "mid" value to define the bid and the ask value.
An optional reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example,
this could be a discount instrument.
A matrix of volatilities with dimension 0-3.
The raw volatility matrix data, expressed as a multi-dimensional array.
An adjustment factor, such as for vol smile/skew.
A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix.
A reference to the asset whose volatility is modeled.
A generic yield curve object, which can be valued in a variety of ways.
The values of a yield curve, including possibly inputs and outputs (dfs, forwards, zero rates).
A curve of zero rates.
A curve of forward rates.
A curve of discount factors.
A curve used to model a set of zero-coupon interest rates.
The frequency at which the rates are compounded (e.g. continuously compounded).
The curve of zero-coupon values.
The bid, mid, or ask values relevant for a quote
A price "bid" by a buyer for an asset, i.e. the price a buyer is willing to pay.
A price midway between the bid and the ask price.
A price "asked" by a seller for an asset, i.e. the price at which a seller is willing to sell.
The set of characterstics that describe the outputs of a credit curve.
The material credit event.
The level of seniority of the deliverable obligation.
Whether the deliverable obligation is secured or unsecured.
The currency of denomination of the deliverable obligation.
The underlying obligations of the reference entity on which you are buying or selling protection
What sort of obligation may be delivered in the event of the credit event. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category
The set of characterstics that describe the outputs of a fx curve.
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
The model of the recovery rate (single value or curve).
A single recovery rate, to be used for all terms.
A curve of recovery rates, allowing different terms to have different recovery rates.
Include or reference an underlying asset definition.
An underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a caplet or
simple european swaption.
A reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could
be a caplet or simple european swaption.
The set of characteristics that describe the outputs of a yield curve.
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