XML Schema Documentation

Model Group: DerivativeCalculationParameters.model

[Table of contents]

Name DerivativeCalculationParameters.model
Used by (from the same schema document) Complex Type DerivativeCalculationProcedure
Documentation Parameters used in the computation of a derivative.
XML Instance Representation
Start Choice [1]
<perturbationAmount> xsd:decimal </perturbationAmount> [0..1]

'The size and direction of the perturbation used to compute the derivative, e.g. 0.0001 = 1 bp.'

<averaged> xsd:boolean </averaged> [1]

'The value is calculated by perturbing by the perturbationAmount and then the negative of the perturbationAmount and then averaging the two values (i.e. the value is half of the difference between perturbing up and perturbing down).'

<perturbationType> PerturbationType </perturbationType> [0..1]

'The type of perturbation, if any, used to compute the derivative (Absolute vs Relative).'

<derivativeFormula> xsd:string </derivativeFormula> [0..1]

'The formula used to compute the derivative (perhaps could be updated to use the Formula type in EQS.).'

<replacementMarketInput> PricingStructureReference </replacementMarketInput> [1]

'A reference to the replacement version of the market input, e.g. a bumped yield curve.'

End Choice
Diagram
group_FiniteDifferenceDerivativeParameters.model group_AnalyticDerivativeParameters.model group_SubstitutionDerivativeParameters.model
Schema Component Representation
<xsd:group name="DerivativeCalculationParameters.model">
<xsd:choice>
<xsd:group ref=" FiniteDifferenceDerivativeParameters.model "/>
<xsd:group ref=" AnalyticDerivativeParameters.model "/>
<xsd:group ref=" SubstitutionDerivativeParameters.model "/>
</xsd:choice>
</xsd:group>

Generated by <oXygen/> XML Editor using a modified version of xs3p that adds schema diagrams and chunking support.