I looked into my actions: 1) On the action, "ensure that you can reference the asset quotes from a sensitivity definition", I verified that each of the following has an ID attribute: - assetQuote, e.g. part of QuotedAssetSet (used by yield curve inputs, etc.) - underlyingAsset, part of instrumentSet - PricingStructurePoint, used in vol matrices, etc. - TermPoint, used in TermCurves (e.g. discount factor curve). You can't separately reference the bid vs mid vs ask, but I think this can be handled in the quotation characteristics. So I think that this is OK. 2) On the action, "look at [valuation]request to decide at the amount of detail in the response", I propose the following: Replace the boolean flag "marketEnvironmentIncluded" in ValuationSet with a scheme or enumeration, called e.g. "detailLevel" that lists various levels of detail that should be provided. Suggested levels include: - Minimum - provide only values, with no market data or descriptions - Moderate - provide descriptions of sensitivities - Full - provide market data and full risk definitions. 3) On the action "review sensitivity calculation procedure, look at options for simplifying.", I haven't made any progress yet. Brian Lynn, CTO Global Electronic Markets, http://global-emarkets.com High-speed FpML matching, reconciliation, and validation: http://fpml-mediator.com --------------------------------------------------------------------- To unsubscribe, e-mail: valuation-unsubscribe@xxxxxxxxxxxxxxxxxxxxx For additional commands, e-mail: valuation-help@xxxxxxxxxxxxxxxxxxxxx
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