Diagram
| Super-types: | None |
|---|---|
| Sub-types: | None |
| Name | SensitivityDefinition |
|---|---|
| Used by (from the same schema document) | Complex Type SensitivitySetDefinition |
| Abstract | no |
| Documentation | 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 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.'
'The input coordinates, or references to them (e.g. expiration, strike, tenor).'
'An explicit, filled in data point coordinate. This might specify expiration, strike, etc.'
'A reference to a pricing data point coordinate within this document.'