XML Schema Documentation

Model Group: ComputedDerivative.model

[Table of contents]

Name ComputedDerivative.model
Used by (from the same schema document) Complex Type SensitivityDefinition
Documentation A group describing a derivative as combination of partial derivatives.
XML Instance Representation
<partialDerivative> PricingParameterDerivative </partialDerivative> [1..*]

'A partial derivative of the measure with respect to an input.'

<formula> DerivativeFormula </formula> [0..1]

'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.'

Diagram
Schema Component Representation
<xsd:group name="ComputedDerivative.model">
<xsd:sequence>
<xsd:element name="partialDerivative" type=" PricingParameterDerivative " maxOccurs="unbounded"/>
<xsd:element name="formula" type=" DerivativeFormula " minOccurs="0"/>
</xsd:sequence>
</xsd:group>