schemas.fpml-5-13.confirmation.fpml-riskdef-5-13.xsd Maven / Gradle / Ivy
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.
DEPRECATED. 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.
A reference to the asset 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.
A reference to the term point 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.
A reference to the pricing structure 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.
DEPRECATED. A reference to the pricing input parameter to which the shift is computed.
A reference to the asset to which the shift is computed.
A reference to the term point to which the shift is computed.
A reference to the pricing structure to which the shift is computed.
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.
Reference to a term point.
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).
DEPRECATED. 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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