I am currently designing FpML-based pricing library. One of the features I am looking at – is how to implemenent batch pricing. What is not clear to me is how to associate multiple pricing structures referenced/stored in a Market type, with specific trades (in case of post-trade) or products (for pre-trade). (1) For example, I have 3 different curves (YieldCurve) in a Market and I want use first one for discounting cashflows for the product A, second for the product B and third for C. And I don’t see how could I explicitly “link”, “map” those curves into specific products or into specific instance of products. May be I am missing something, but it seems to me what FpML needs something could be called MarketScenario – to act like a proxy between Market and products/trades to be valuated. Any recomendations how could I implemente (*1) Thank you
