Defines a scheme of values for specifying the type of corporate action.
2016-06-13
pricingModelScheme
1-1
http://www.fpml.org/coding-scheme/pricing-model
http://www.fpml.org/coding-scheme/pricing-model-1-1
http://www.fpml.org/coding-scheme/pricing-model-1-1.xml
Code
63
Source
Description
key
BackwardInduction
FpML
Indicates a Backward Induction method used to evaluate the price of an asset. Backward induction is the process of reasoning backwards in time, from the end of a problem or situation, to determine a sequence of optimal actions.

ClosedForm
FpML
Indicates a Closed Form model is used to evaluate the price of an asset. In mathematics, an expression is said to be a closed-form expression if it can be expressed analytically in terms of a finite number of certain "well-known" functions.

Intrinsic
FpML
Indicates the market value as obtained by forecasting cash flows and discounting them to the present using a risk free rate of interest, without requiring probabilistic assumptions or models.

Model
FpML
Indicates the value is calculated based on an internal pricing model (e.g. Mark to Model).

MonteCarlo
FpML
Indicates a Monte Carlo method used to evaluate the price of an asset. The Method encompasses any technique of statistical sampling employed to approximate solutions to quantitative problems.