Root FpML element, extended to show valuation elements. (Simplifies representation of messaging, omits schemeDefaults for clarity). FpML 4.0 message header - not expanded FpML trade - not expanded FpML party element - not expanded Holds the market observables (prices etc) required to price the derivative instrument. Holds the model state generated in order to price a derivative instrument, including information about the random number used (if any), the scenarios generated (e.g. paths, tree slices), and the statistical properties of the result. reference to the market environment Holds valuation and risk reports Net present value of a trade ... name selected to avoid conflict with FpML 4.0 EQS "valuation" element ... issue to be resolved. holds the change in value of a trade or portfolio with respect to a given input. The href can be used to identify the specific input if it comes from an market environment. The collection of scenarios used to price an instrument. information about the random field used in a MC simulation A collection of information used to discount cashflows and forecast interest rates, based on market prices of instruments. An input point on a yield curve ... a simple instrument price plus possibly an adjustment. curve of discount factors, used for discounting cash flows to the present ("PVing"). Generated using a curve bootstrapping algorithm from the ycInput points. curve used for forecasting the values of a particular tenor of interest rate; easily derivable from the zero curve. Forwards are interest rates, typically but not necessarily between 0.0% and a few tens of %. A collection of information used to estimate volatility of a particular asset A price of a simple instrument FX rate, from FpML definitions, not expanded Used to hold an identifier for a variety of elements from FpML definitions ... not expanded The party from whose point of view the trade is valued who is paying the NPV typically the currency or BP amount value date, used as part of the npv structure how the price was determined, e.g. model, dealer quote, estimate, etc. where the value was obtained, e.g. system, etc. (may be the same as valueMethod) A complex type defining the combination of a generic instrument and its price volatility point ... a single value for an estimate of volatility at a given expiration, for a given strike and tenor of underlyer. For simplicity, expiration term and tenor are given in years on a 30/360 basis, so 3M = 90D is given as 0.25. Indexes are given as attributes rather than as data elements (contrary to the usual FpML convention) because they are primarily identifying information rather than data content, and for compactness. from FpML definitions ... not expanded from standard FpML definitions Instrument prices and adjustment factors used to price a curve ... TBD: what about other inputs, like smoothing algorithms/factors, etc.? Side used for NPV ... i.e. bid, ask, or mid the term of an instrument or underlying period of an option. FpML period element, e.g. "M" for month FpML element ... number of periods Amount of Price adjustment used in yield curve construction type of a price adjustment Units of price adjustment used in YC construction Unit for recording prices maturity date of a simple instrument fixed rate paid by a bond or similar instrument the strike (exercise price) of an option start date of a simple FRA expiration of an option, expressed in years, 30/360 basis, for simplicity. units for quoting a price, e.g. bp The asset (e.g. trade or portfolio) that is valued in a valuation report. reference to the model environment used to generate a price Defines the underlying asset when it is a bond.