FpML 4.3 Trial Recommendation

14 December 2007

Pricing and Risk Component Definitions

Version: 4.3

This Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1

Latest Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1

Previous Version:

http://www.fpml.org/spec/2007/lcwd-fpml-4-3-2007-10-30/

Errata for this Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1/html/fpml-4-3-errata.html

Document built: Mon 01/14/2008 12:55:39.10


Copyright (c) 1999 - 2006 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML public license
A copy of this license is available at http://www.fpml.org/documents/license.html



The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.

Contents

Global Simple Types

Global Complex Types
AssetValuation
DerivedValuationScenario
Position
PositionConstituent
Quotation
ReportingRoles
ScheduledDate
ScheduledDates
ScheduledDateType
Sensitivity
SensitivitySet
SensitivitySetReference
Valuations
ValuationSet
ValuationSetDetail

Global Elements
valuationSet

Groups
AdjustedAndOrUnadjustedDate.model
AssetValuationOrReference.model
AssociatedValue.model

Schema Listing

Global Simple Types

The schema does not contain any global simple types.

Global Complex Types

AssetValuation

Description:

A structure that holds a set of measures about an asset, including possibly their sensitivities.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Valuation)

quote (zero or more occurrences; of the type Quotation)

fxRate (zero or one occurrence; of the type FxRate)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="AssetValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A structure that holds a set of measures about an asset,
      including possibly their sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Valuation">
      <xsd:sequence>
        <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              One or more numerical measures relating to the asset,
              possibly together with sensitivities of that measure to
              pricing inputs.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxRate" type="FxRate" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Indicates the rate of a currency conversion that may have
              been used to compute valuations.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

DerivedValuationScenario

Description:

A valuation scenario that is derived from another valuation scenario.

Figure:

Contents:

name (zero or one occurrence; of the type xsd:string)

baseValuationScenario (exactly one occurrence; of the type ValuationScenarioReference)

valuationDate (zero or one occurrence; of the type IdentifiedDate)

marketReference (zero or one occurrence; of the type MarketReference)

shift (zero or more occurrences; of the type PricingParameterShift)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="DerivedValuationScenario">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A valuation scenario that is derived from another valuation
      scenario.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) name for this valuation scenario, used for
          understandability. For example "EOD Valuations".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseValuationScenario" type="ValuationScenarioReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An (optional) reference to a valuation scenario from which
          this one is derived.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) date for which the assets are valued. If not
          present, the valuation date will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the market environment used to price the
          asset. If not present, the market will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

Position

Description:

A collection of related trades or positions and the corresponding aggregate exposures generated by these.

Figure:

Contents:

positionId (exactly one occurrence; of the type PositionId)

version (zero or one occurrence; of the type xsd:positiveInteger)

reportingRoles (zero or one occurrence; of the type ReportingRoles)

constituent (exactly one occurrence; of the type PositionConstituent)

scheduledDate (zero or more occurrences; of the type ScheduledDate)

valuation (zero or more occurrences; of the type AssetValuation)

Attribute: id (xsd:ID)

Used by:

Derived Types:

Schema Fragment: 

<xsd:complexType name="Position">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A collection of related trades or positions and the corresponding
      aggregate exposures generated by these.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="PositionIdAndVersion.model"/>
    <xsd:element name="reportingRoles" type="ReportingRoles" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Information about the roles of the parties with respect to
          reporting the positions.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="constituent" type="PositionConstituent">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The components that create this position.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="scheduledDate" type="ScheduledDate" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Position level schedule date, such as final payment dates, in
          a simple and flexible format.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

PositionConstituent

Description:

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.

Figure:

Contents:


There can be zero or one occurance of the following structure; Choice of either

Or

Or


Used by:

Schema Fragment: 

<xsd:complexType name="PositionConstituent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice minOccurs="0">
    <xsd:element name="trade" type="Trade">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="positionVersionReference" type="xsd:positiveInteger">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A previously submitted version of the position.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="tradeReference" type="PartyTradeIdentifiers">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The trade reference identifier(s) allocated to the trade by
          the parties involved.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:complexType>

Quotation

Description:

Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure, together with optional sensitivities.

Figure:

Contents:

value (zero or one occurrence; of the type xsd:decimal)

measureType (zero or one occurrence; of the type AssetMeasureType)

quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)

side (zero or one occurrence; of the type QuotationSideEnum)

currency (zero or one occurrence; of the type Currency)

timing (zero or one occurrence; of the type QuoteTiming)


There can be one occurance of the following structure; Choice of either

Or


informationSource (zero or more occurrences; of the type InformationSource)

time (zero or one occurrence; of the type xsd:dateTime)

valuationDate (zero or one occurrence; of the type xsd:date)

expiryTime (zero or one occurrence; of the type xsd:dateTime)

cashFlowType (zero or one occurrence; of the type CashflowType)

sensitivitySet (zero or more occurrences; of the type SensitivitySet)

Used by:

Schema Fragment: 

<xsd:complexType name="Quotation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Some kind of numerical measure about an asset, eg. its NPV,
      together with characteristics of that measure, together with
      optional sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="Quotation.model"/>
    <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Zero or more sets of sensitivities of this measure to various
          input parameters.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

ReportingRoles

Description:

The roles of the parties in reporting information such as positions.

Figure:

Contents:

baseParty (exactly one occurrence; of the type PartyReference)

activityProvider (zero or one occurrence; of the type PartyReference)

positionProvider (zero or one occurrence; of the type PartyReference)

valuationProvider (zero or one occurrence; of the type PartyReference)

Used by:

Schema Fragment: 

<xsd:complexType name="ReportingRoles">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The roles of the parties in reporting information such as
      positions.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="baseParty" type="PartyReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party from whose perspective the position
          is valued, ie. the owner or holder of the position.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="activityProvider" type="PartyReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for reporting trading
          activities.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="positionProvider" type="PartyReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for reporting the
          position itself and its constituents.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationProvider" type="PartyReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for calculating and
          reporting the valuations of the positions.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

ScheduledDate

Description:

An servicing date relevant for a trade structure, such as a payment or a reset.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

type (exactly one occurrence; of the type ScheduledDateType)

assetReference (zero or one occurrence; of the type AnyAssetReference)


There can be one occurance of the following structure; Choice of either

Or


Used by:

Schema Fragment: 

<xsd:complexType name="ScheduledDate">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      An servicing date relevant for a trade structure, such as a
      payment or a reset.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="AdjustedAndOrUnadjustedDate.model"/>
    <xsd:element name="type" type="ScheduledDateType">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The type of the date, e.g. next or previous payment.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="assetReference" type="AnyAssetReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the leg (or other product component) for which
          these dates occur.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:group ref="AssociatedValue.model" minOccurs="0" maxOccurs="unbounded"/>
  </xsd:sequence>
</xsd:complexType>

ScheduledDates

Description:

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.

Figure:

Contents:

scheduledDate (one or more occurrences; of the type ScheduledDate)

Used by:

Schema Fragment: 

<xsd:complexType name="ScheduledDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="scheduledDate" type="ScheduledDate" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A single stream level scheduled servicing date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

ScheduledDateType

Description:

A scheme used to identify the type of a stream scheduled servicing date.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: scheduledDateTypeScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="ScheduledDateType">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A scheme used to identify the type of a stream scheduled
      servicing date.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="scheduledDateTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/scheduled-date-type-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

Sensitivity

Description:

The sensitivity of a value to a defined change in input parameters.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:decimal)

Attribute: name (xsd:normalizedString)

Attribute: definitionRef (xsd:IDREF)

Used by:

Schema Fragment: 

<xsd:complexType name="Sensitivity">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The sensitivity of a value to a defined change in input
      parameters.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:decimal">
      <xsd:attribute name="name" type="xsd:normalizedString">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional name for this sensitivity. This is primarily
            intended for display purposes.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
      <xsd:attribute name="definitionRef" type="xsd:IDREF">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional (but normally supplied) reference to the
            definition of this sensitivity.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

SensitivitySet

Description:

A collection of sensitivities. References a definition that explains the meaning/type of the sensitivities.

Figure:

Contents:

name (zero or one occurrence; of the type xsd:string)

definitionReference (zero or one occurrence; of the type SensitivitySetReference)

sensitivity (zero or more occurrences; of the type Sensitivity)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="SensitivitySet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A collection of sensitivities. References a definition that
      explains the meaning/type of the sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0"/>
    <xsd:element name="definitionReference" type="SensitivitySetReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to a sensitivity set definition.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

SensitivitySetReference

Description:

Reference to a sensitivity set.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Reference)

Attribute: href (xsd:IDREF) - required

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="SensitivitySetReference">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Reference to a sensitivity set.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Reference">
      <xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="SensitivitySet"/>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

Valuations

Description:

A set of valuation.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

Or


Used by:

Schema Fragment: 

<xsd:complexType name="Valuations">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A set of valuation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="AssetValuationOrReference.model" maxOccurs="unbounded"/>
  </xsd:sequence>
</xsd:complexType>

ValuationSet

Description:

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.

Figure:

Contents:

name (zero or one occurrence; of the type xsd:string)

valuationScenario (zero or more occurrences; of the type ValuationScenario)

valuationScenarioReference (zero or more occurrences; of the type ValuationScenarioReference)

baseParty (zero or one occurrence; of the type PartyReference)

quotationCharacteristics (zero or more occurrences; of the type QuotationCharacteristics)

sensitivitySetDefinition (zero or more occurrences; of the type SensitivitySetDefinition)

detail (zero or one occurrence; of the type ValuationSetDetail)

assetValuation (zero or more occurrences; of the type AssetValuation)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="ValuationSet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The name of the valuation set, used to understand what it
          means. E.g., "EOD Values and Risks for Party A".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenarioReference" type="ValuationScenarioReference" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseParty" type="PartyReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to the party from whose point of view the assets
          are valued.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Charactistics (measure types, units, sides, etc.) of the
          quotes used (requested/reported) in the valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition(s) of sensitivity sets used (requested or
          reported) in this valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Does this valuation set include a market environment?
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuations reported in this valuation set. These values can
          be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
          include sensitivities.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

ValuationSetDetail

Description:

The amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: valuationSetDetailScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="ValuationSetDetail">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The amount of detail provided in the valuation set, e.g. is
      market environment data provided, are risk definitions provided,
      etc.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

Global Elements

valuationSet

Description:

Figure:

Contents:

Element valuationSet is defined by the complex type ValuationSet

Used by:

Schema Fragment: 

<xsd:element name="valuationSet" type="ValuationSet"/>

Groups

AdjustedAndOrUnadjustedDate.model

Description:

Contains at least one of an adjusted date and and unadjusted date, using the usual meanings of those terms.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

Used by:

Schema Fragment: 

<xsd:group name="AdjustedAndOrUnadjustedDate.model">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Contains at least one of an adjusted date and and unadjusted
      date, using the usual meanings of those terms.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:sequence>
      <xsd:element name="unadjustedDate" type="xsd:date"/>
      <xsd:element name="adjustedDate" type="xsd:date" minOccurs="0"/>
    </xsd:sequence>
    <xsd:element name="adjustedDate" type="xsd:date"/>
  </xsd:choice>
</xsd:group>

AssetValuationOrReference.model

Description:

A quotation or a reference to a quotation.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

Or


Used by:

Schema Fragment: 

<xsd:group name="AssetValuationOrReference.model">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A quotation or a reference to a quotation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="valuation" type="AssetValuation">
      <xsd:annotation>
        <xsd:documentation xml:lang="en"/>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationReference" type="ValuationReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to a quotation
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:group>

AssociatedValue.model

Description:

An associated value or reference for a scheduled date.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

Or


Used by:

Schema Fragment: 

<xsd:group name="AssociatedValue.model">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      An associated value or reference for a scheduled date.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="associatedValue" type="AssetValuation">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The value that is associated with the scheduled date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="associatedValueReference" type="ValuationReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the value associated with this scheduled date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:group>

Full XML Schema 

<xsd:schema ecore:nsPrefix="fpml" ecore:package="org.fpml" ecore:documentRoot="FpML" targetNamespace="http://www.fpml.org/2007/FpML-4-3" version="$Revision: 3080 $" attributeFormDefault="unqualified" elementFormDefault="qualified">
  <xsd:include schemaLocation="fpml-riskdef-4-3.xsd"/>
  <xsd:complexType name="AssetValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A structure that holds a set of measures about an asset,
        including possibly their sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Valuation">
        <xsd:sequence>
          <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                One or more numerical measures relating to the asset,
                possibly together with sensitivities of that measure to
                pricing inputs.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fxRate" type="FxRate" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Indicates the rate of a currency conversion that may
                have been used to compute valuations.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DerivedValuationScenario">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A valuation scenario that is derived from another valuation
        scenario.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) name for this valuation scenario, used for
            understandability. For example "EOD Valuations".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseValuationScenario" type="ValuationScenarioReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An (optional) reference to a valuation scenario from which
            this one is derived.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) date for which the assets are valued. If not
            present, the valuation date will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the market environment used to price the
            asset. If not present, the market will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="Position">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A collection of related trades or positions and the
        corresponding aggregate exposures generated by these.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="PositionIdAndVersion.model"/>
      <xsd:element name="reportingRoles" type="ReportingRoles" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Information about the roles of the parties with respect to
            reporting the positions.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="constituent" type="PositionConstituent">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The components that create this position.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="scheduledDate" type="ScheduledDate" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Position level schedule date, such as final payment dates,
            in a simple and flexible format.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="PositionConstituent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice minOccurs="0">
      <xsd:element name="trade" type="Trade">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="positionVersionReference" type="xsd:positiveInteger">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A previously submitted version of the position.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="tradeReference" type="PartyTradeIdentifiers">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The trade reference identifier(s) allocated to the trade by
            the parties involved.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="Quotation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Some kind of numerical measure about an asset, eg. its NPV,
        together with characteristics of that measure, together with
        optional sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="Quotation.model"/>
      <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Zero or more sets of sensitivities of this measure to
            various input parameters.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReportingRoles">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The roles of the parties in reporting information such as
        positions.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="baseParty" type="PartyReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party from whose perspective the
            position is valued, ie. the owner or holder of the
            position.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="activityProvider" type="PartyReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for reporting trading
            activities.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="positionProvider" type="PartyReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for reporting the
            position itself and its constituents.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationProvider" type="PartyReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for calculating and
            reporting the valuations of the positions.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDate">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An servicing date relevant for a trade structure, such as a
        payment or a reset.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="AdjustedAndOrUnadjustedDate.model"/>
      <xsd:element name="type" type="ScheduledDateType">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The type of the date, e.g. next or previous payment.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="assetReference" type="AnyAssetReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the leg (or other product component) for
            which these dates occur.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="AssociatedValue.model" minOccurs="0" maxOccurs="unbounded"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="scheduledDate" type="ScheduledDate" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A single stream level scheduled servicing date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDateType">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A scheme used to identify the type of a stream scheduled
        servicing date.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="scheduledDateTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/scheduled-date-type-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="Sensitivity">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The sensitivity of a value to a defined change in input
        parameters.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:decimal">
        <xsd:attribute name="name" type="xsd:normalizedString">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional name for this sensitivity. This is primarily
              intended for display purposes.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
        <xsd:attribute name="definitionRef" type="xsd:IDREF">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional (but normally supplied) reference to the
              definition of this sensitivity.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="SensitivitySet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A collection of sensitivities. References a definition that
        explains the meaning/type of the sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0"/>
      <xsd:element name="definitionReference" type="SensitivitySetReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to a sensitivity set definition.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="SensitivitySetReference">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Reference to a sensitivity set.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Reference">
        <xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="SensitivitySet"/>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="Valuations">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A set of valuation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="AssetValuationOrReference.model" maxOccurs="unbounded"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ValuationSet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The name of the valuation set, used to understand what it
            means. E.g., "EOD Values and Risks for Party A".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenarioReference" type="ValuationScenarioReference" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseParty" type="PartyReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to the party from whose point of view the assets
            are valued.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Charactistics (measure types, units, sides, etc.) of the
            quotes used (requested/reported) in the valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition(s) of sensitivity sets used (requested or
            reported) in this valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Does this valuation set include a market environment?
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuations reported in this valuation set. These values can
            be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
            include sensitivities.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationSetDetail">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The amount of detail provided in the valuation set, e.g. is
        market environment data provided, are risk definitions
        provided, etc.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:element name="valuationSet" type="ValuationSet"/>
  <xsd:group name="AdjustedAndOrUnadjustedDate.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Contains at least one of an adjusted date and and unadjusted
        date, using the usual meanings of those terms.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:sequence>
        <xsd:element name="unadjustedDate" type="xsd:date"/>
        <xsd:element name="adjustedDate" type="xsd:date" minOccurs="0"/>
      </xsd:sequence>
      <xsd:element name="adjustedDate" type="xsd:date"/>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="AssetValuationOrReference.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A quotation or a reference to a quotation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="valuation" type="AssetValuation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en"/>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationReference" type="ValuationReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to a quotation
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="AssociatedValue.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An associated value or reference for a scheduled date.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="associatedValue" type="AssetValuation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The value that is associated with the scheduled date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="associatedValueReference" type="ValuationReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the value associated with this scheduled
            date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:group>
</xsd:schema>