The type of measure about an asset. Used for escribing valuation,
sensitivity, and risk measures.
assetMeasureScheme
1-0
http://www.fpml.org/coding-scheme/asset-measure
http://www.fpml.org/coding-scheme/asset-measure-1-0
http://www.fpml.org/coding-scheme/asset-measure-1-0.xml
Code
Source
Description
key
NPV
FpML
Net Present Value = sum of present values of all cash flows; excludes
cash flows paid or received on the valution date.

Cash
FpML
Cash paid or received on the valuation date.

PayNPV
FpML
NPV of cash flows for which the base counterparty pays.

ReceiveNPV
FpML
NPV of cash flows for which the base counterparty receives.

MarketQuote
FpML
The price of an instrument as quoted on an exchange or similar
market.

ConvexityAdjustment
FpML
An adjustment to the price of an instrument (such as a future) to
compensate for its lack of convexity.

DirtyPrice
FpML
The price of an asset, expressed in par value, including accrued
interest.

CleanPrice
FpML
The price of an asset, expressed in par value, excluding accrued
interest.

AccruedInterest
FpML
The value of interest accrued from the previous payment to the valuation
date.

Volatility
FpML
The underlying price volatility used for calculating the value of this
asset.

DividendYield
FpML
The dividend payout ratio, expressed as a decimal (e.g. 0.03 = 3%) per
year.

ParallelShiftInterestRateSensitivity
FpML
Change in NPV/value caused by a parallel shift in the yield curve/risk
free rate of interest (IR Delta, rho).

BucketedInterestRateSensitivity
FpML
Change in NPV/value caused by a single point change in the yield curve
(IR Delta).

BucketedInterestRateConvexity
FpML
Change in interest rate sensitivity caused by a single point change in
the yield curve (IR Gamma).

FXSpotSensitivity
FpML
Change in NPV/value caused by a change in FX spot rate

ValuationDateChangeSensitivity
FpML
Change in NPV/value caused by a change in valuation date
(theta).

ParallelShiftInterestRateVolatilitySensitivity
FpML
Change in NPV/value caused by a parallel shift in the volatility matrix
(vega).

BucketedInterestRateVolatilitySensitivity
FpML
Change in NPV/value caused by a point change shift in the volatility
matrix (vega).

ParallelShiftCreditSpreadSensitivity
FpML
Change in NPV/value caused by a parallel shift in the credit
spread.

ParallelShiftDefaultProbabilitySensitivity
FpML
Change in NPV/value caused by a parallel shift in the default
probability.

ParallelShiftRecoveryRateSensitivity
FpML
Change in NPV/value caused by a parallel shift in the credit default
recovery rate.

BucketedCreditSpreadSensitivity
FpML
Change in NPV/value caused by a point change shift in the credit
spread.

BucketedDefaultProbabilitySensitivity
FpML
Change in NPV/value caused by a point change shift in the default
probability.

BucketedRecoveryRateSensitivity
FpML
Change in NPV/value caused by a point change shift in the credit default
recovery rate.

VAR
FpML
Value at Risk is the amount of money that could be lost over a
pre-defined period of time with a a given level of confidence.

DE@R
FpML
VAR for 1 day time horizon and 95% level of confidence

EconomicCapital
FpML
Capital which is kept aside to compensate for unexpected losses due to
credit risk. (VAR for 1 year and 99.97%)

RegulatoryCapital
FpML
A provision for expected losses, required by the BIS.

ReturnOnEconomicCapital
FpML
The return from an asset expressed as a percentage of the amount of
economic capital involved in holding that asset.

ReturnOnRegulatoryCapital
FpML
The return from an asset expressed as a percentage of the amount of
regulatory capital involved in holding that asset.

RiskConcentration
FpML
Measures the amount of risk concentrated in individual counterparties,
similar assets, common geographical locations, or common industries.

EVA
FpML

MarginalRisk
FpML
Change of a portfolio VAR with addition of a specified asset.

SparpeRatio
FpML
The ratio between portfolio return in excess of the risk-free return and
portfolio risk (measured as volatility)

ModifiedSharpeRatio
FpML
Sharpe ratio where both return and risk are defined relative to a
benchmark portfolio

SortinoRatio
FpML
Similar to Sharpe Ratio but risk defined as downside risk rather than
portfolio variance.

TreynorRatio
FpML
Similar to Sharpe Ratio but risk defined as CAPM systematic risk (beta)
rather than portfolio variance.

CAPMBeta
FpML
Systematic risk = Ratio of expected return to expected return of the
market

JensensAlpha
FpML
The average excess return on a portfolio relative to the excess return
predicted by CAPM

RAROC
FpML
Risk adjusted return on capital = (Adjusted income)/(Capital at
risk)

ROA
FpML
Return on assets = (Adjusted income)/Assets

RORAC
FpML
Return on risk-adjusted capital = (Adjusted income)/(BIS risk - based
capital requirement)

PeakExposure
FpML
The peak/potential exposure of this trade over its lifetime

AverageExposure
FpML
The average exposure of this trade over its lifetime

LoanEquivalent
FpML
The loan equivalent exposure of this asset.