XML Schema Documentation

Super-types:	None
Sub-types:	None

Name	DerivativeCalculationProcedure
Used by (from the same schema document)	Complex Type PricingParameterDerivative , Complex Type SensitivitySetDefinition
Abstract	no
Documentation	A description of how a numerical derivative is computed.

XML Instance Representation

<...>

<method> DerivativeCalculationMethod </method> [0..1]

'The method by which a derivative is computed, e.g. analytic, numerical model, perturbation, etc.'

Start Group: DerivativeCalculationParameters.model [0..1]
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
End Group: DerivativeCalculationParameters.model
</...>

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

Complex Type: DerivativeCalculationProcedure

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