Specifies the method by which a derivative is computed.
derivativeCalculationMethodScheme
1-0
http://www.fpml.org/coding-scheme/derivative-calculation-method
http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0
http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0.xml
Code
63
Source
Description
key
Analytic
FpML
The derivative is computed analytically, e.g. by a closed form analytical equation.

Numerical
FpML
The derivative is computed by other (non-perturbative) numerical means, such as a direct output from a numerical model.

Perturbation
FpML
The derivative is computed by a numerical difference method, ie. by numerically perturbing the input, recalculating the measure, and dividing by the amount of the perturbation.

Substitution
FpML
The derivative is computed by finite difference based on the substitution of a supplied pricing input, e.g. a bumped yield curve.