FpML 4.1 Recommendation

14 July 2005

Pricing and Risk Component Definitions

Version: 4.1

This Version:

http://www.fpml.org/spec/2005/rec-fpml-4-1-2005-07-14

Latest Version:

http://www.fpml.org/spec/2005/rec-fpml-4-1-2005-07-14

Previous Version:

http://www.fpml.org/spec/2005/tr-fpml-4-1-2005-03-02/

Errata for this Version:

http://www.fpml.org/spec/errata/rec-fpml-4-1-2005-07-14-errata.html

Document built: Wed 07/13/2005 13:02:29.69


Copyright (c) 1999 - 2004 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML public license
A copy of this license is available at http://www.fpml.org/documents/license



The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.

Contents

Global Elements
valuationSet

Global Complex Types
AssetValuation
DerivedValuationScenario
PricingInputReplacement
Quotation
Sensitivity
SensitivitySet
ValuationScenario
ValuationSet
ValuationSetDetail

Global Simple Types

Schema Listing

Global Elements

valuationSet

Description:

Figure:

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Contents:

Element valuationSet is defined by the complex type ValuationSet

Used by:

Schema Fragment: 

<xsd:element name="valuationSet" type="ValuationSet"/>

Global Complex Types

AssetValuation

Description:

A structure that holds a set of measures about an asset, including possibly their sensitivities.

Figure:

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Contents:

Inherited element(s): (This definition inherits the content defined by the type Valuation)

quote (zero or more occurrences; of the type Quotation)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="AssetValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A structure that holds a set of measures about an asset,
      including possibly their sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Valuation">
      <xsd:sequence>
        <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              One or more numerical measures relating to the asset,
              possibly together with sensitivities of that measure to
              pricing inputs
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

DerivedValuationScenario

Description:

A valuation scenario that is derived from another valuation scenario.

Figure:

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Contents:

name (zero or one occurrence; of the type xsd:string)

baseValuationScenario (exactly one occurrence; of the type ValuationScenarioReference)

valuationDate (zero or one occurrence; of the type IdentifiedDate)

marketReference (zero or one occurrence; of the type MarketReference)

shift (zero or more occurrences; of the type PricingParameterShift)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="DerivedValuationScenario">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A valuation scenario that is derived from another valuation
      scenario.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) name for this valuation scenario, used for
          understandability. For example "EOD Valuations".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseValuationScenario" type="ValuationScenarioReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An (optional) valuation scenario from which this one is
          derived.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) date for which the assets are valued. If not
          present, the valuation date will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the market environment used to price the
          asset. If not present, the market will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

PricingInputReplacement

Description:

The substitution of a pricing input (e.g. curve) for another, used in generating prices and risks for valuation scenarios.

Figure:

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Contents:

originalInputReference (exactly one occurrence; of the type PricingInputReference)

replacementInputReference (exactly one occurrence; of the type PricingInputReference)

Used by:

Schema Fragment: 

<xsd:complexType name="PricingInputReplacement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The substitution of a pricing input (e.g. curve) for another,
      used in generating prices and risks for valuation scenarios.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="originalInputReference" type="PricingInputReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The original value of the pricing input.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="replacementInputReference" type="PricingInputReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The substitution to do.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

Quotation

Description:

Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure, together with optional sensitivities.

Figure:

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Contents:

value (zero or one occurrence; of the type xsd:decimal)

measureType (zero or one occurrence; of the type AssetMeasureType)

quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)

side (zero or one occurrence; of the type QuotationSideEnum)

currency (zero or one occurrence; of the type Currency)

timing (zero or one occurrence; of the type QuoteTiming)


There can be one occurance of the following structure; Choice of either

Or


time (zero or one occurrence; of the type xsd:dateTime)

expiryTime (zero or one occurrence; of the type xsd:dateTime)

cashFlowType (zero or one occurrence; of the type CashFlowType)

sensitivitySet (zero or more occurrences; of the type SensitivitySet)

Used by:

Schema Fragment: 

<xsd:complexType name="Quotation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Some kind of numerical measure about an asset, eg. its NPV,
      together with characteristics of that measure, together with
      optional sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="Quotation.model"/>
    <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Zero or more sets of sensitivities of this measure to various
          input parameters.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

Sensitivity

Description:

The sensitivity of a value to a defined change in input parameters.

Figure:

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Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:decimal)

Attribute: name (xsd:normalizedString)

Attribute: definitionRef (xsd:IDREF)

Used by:

Schema Fragment: 

<xsd:complexType name="Sensitivity">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The sensitivity of a value to a defined change in input
      parameters.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:decimal">
      <xsd:attribute name="name" type="xsd:normalizedString">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional name for this sensitivity. This is primarily
            intended for display purposes.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
      <xsd:attribute name="definitionRef" type="xsd:IDREF">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional (but normally supplied) reference to the
            definition of this sensitivity.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

SensitivitySet

Description:

A collection of sensitivities. References a definition that explains the meaning/type of the sensitivities.

Figure:

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Contents:

name (zero or one occurrence; of the type xsd:string)

definitionReference (zero or one occurrence; of the type SensitivitySetDefinitionReference)

sensitivity (zero or more occurrences; of the type Sensitivity)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="SensitivitySet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A collection of sensitivities. References a definition that
      explains the meaning/type of the sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0"/>
    <xsd:element name="definitionReference" type="SensitivitySetDefinitionReference" minOccurs="0"/>
    <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

ValuationScenario

Description:

A set of rules for generating a valuation.

Figure:

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Contents:

name (zero or one occurrence; of the type xsd:string)

valuationDate (exactly one occurrence; of the type IdentifiedDate)

marketReference (zero or one occurrence; of the type MarketReference)

shift (zero or more occurrences; of the type PricingParameterShift)

replacement (zero or more occurrences; of the type PricingInputReplacement)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="ValuationScenario">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A set of rules for generating a valuation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) name for this valuation scenario, used for
          understandability. For example "EOD Valuations".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationDate" type="IdentifiedDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date for which the assets are valued.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the market environment used to price the
          asset.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="replacement" type="PricingInputReplacement" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

ValuationSet

Description:

A set of valuation inputs and results. This structure can be used for requesting valuations, or for reporting them. In general, the request fills in fewer elements.

Figure:

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Contents:

name (zero or one occurrence; of the type xsd:string)

valuationScenario (zero or more occurrences; of the type ValuationScenario)

valuationScenarioReference (zero or more occurrences; of the type ValuationScenarioReference)

baseParty (zero or one occurrence; of the type PartyReference)

quotationCharacteristics (zero or more occurrences; of the type QuotationCharacteristics)

sensitivitySetDefinition (zero or more occurrences; of the type SensitivitySetDefinition)

detail (zero or one occurrence; of the type ValuationSetDetail)

assetValuation (zero or more occurrences; of the type AssetValuation)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="ValuationSet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A set of valuation inputs and results. This structure can be used
      for requesting valuations, or for reporting them. In general, the
      request fills in fewer elements.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The name of the valuation set, used to understand what it
          means. E.g., "EOD Values and Risks for Party A".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuation scenerios used (requested/reported) in this
          valuation set. E.g., the EOD valuation scenario for a
          particular value date. Used for the first occurrence of a
          valuation scenario in a document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenarioReference" type="ValuationScenarioReference" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuation scenerios used (requested/reported) in this
          valuation set. E..g, a reference to the EOD valuation
          scenario for a particular value date. Used for subsequence
          occurrences of a valuation set in an FpML document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseParty" type="PartyReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The party from whose point of view the assets are valued.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Charactistics (measure types, units, sides, etc.) of the
          quotes used (requested/reported) in the valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition(s) of sensitivity sets used (requested or
          reported) in this valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Does this valuation set include a market environment?
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuations reported in this valuation set. These values can
          be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
          include sensitivities.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

ValuationSetDetail

Description:

The amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.

Figure:

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Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: valuationSetDetailScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="ValuationSetDetail">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The amount of detail provided in the valuation set, e.g. is
      market environment data provided, are risk definitions provided,
      etc.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI" default="http://www.fpml.org/spec/2004/valuation-set-detail-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

Global Simple Types

The schema does not contain any global simple types.

Full XML Schema 

<xsd:schema targetNamespace="http://www.fpml.org/2004/FpML-4-1" elementFormDefault="qualified" attributeFormDefault="unqualified">
  <xsd:include schemaLocation="fpml-riskdef-4-1.xsd"/>
  <xsd:complexType name="AssetValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A structure that holds a set of measures about an asset,
        including possibly their sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Valuation">
        <xsd:sequence>
          <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                One or more numerical measures relating to the asset,
                possibly together with sensitivities of that measure to
                pricing inputs
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DerivedValuationScenario">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A valuation scenario that is derived from another valuation
        scenario.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) name for this valuation scenario, used for
            understandability. For example "EOD Valuations".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseValuationScenario" type="ValuationScenarioReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An (optional) valuation scenario from which this one is
            derived.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) date for which the assets are valued. If not
            present, the valuation date will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the market environment used to price the
            asset. If not present, the market will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="PricingInputReplacement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The substitution of a pricing input (e.g. curve) for another,
        used in generating prices and risks for valuation scenarios.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="originalInputReference" type="PricingInputReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The original value of the pricing input.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="replacementInputReference" type="PricingInputReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The substitution to do.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Quotation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Some kind of numerical measure about an asset, eg. its NPV,
        together with characteristics of that measure, together with
        optional sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="Quotation.model"/>
      <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Zero or more sets of sensitivities of this measure to
            various input parameters.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Sensitivity">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The sensitivity of a value to a defined change in input
        parameters.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:decimal">
        <xsd:attribute name="name" type="xsd:normalizedString">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional name for this sensitivity. This is primarily
              intended for display purposes.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
        <xsd:attribute name="definitionRef" type="xsd:IDREF">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional (but normally supplied) reference to the
              definition of this sensitivity.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="SensitivitySet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A collection of sensitivities. References a definition that
        explains the meaning/type of the sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0"/>
      <xsd:element name="definitionReference" type="SensitivitySetDefinitionReference" minOccurs="0"/>
      <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationScenario">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A set of rules for generating a valuation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) name for this valuation scenario, used for
            understandability. For example "EOD Valuations".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationDate" type="IdentifiedDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date for which the assets are valued.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="marketReference" type="MarketReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the market environment used to price the
            asset.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="replacement" type="PricingInputReplacement" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationSet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A set of valuation inputs and results. This structure can be
        used for requesting valuations, or for reporting them. In
        general, the request fills in fewer elements.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The name of the valuation set, used to understand what it
            means. E.g., "EOD Values and Risks for Party A".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuation scenerios used (requested/reported) in this
            valuation set. E.g., the EOD valuation scenario for a
            particular value date. Used for the first occurrence of a
            valuation scenario in a document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenarioReference" type="ValuationScenarioReference" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuation scenerios used (requested/reported) in this
            valuation set. E..g, a reference to the EOD valuation
            scenario for a particular value date. Used for subsequence
            occurrences of a valuation set in an FpML document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseParty" type="PartyReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The party from whose point of view the assets are valued.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Charactistics (measure types, units, sides, etc.) of the
            quotes used (requested/reported) in the valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition(s) of sensitivity sets used (requested or
            reported) in this valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Does this valuation set include a market environment?
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuations reported in this valuation set. These values can
            be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
            include sensitivities.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationSetDetail">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The amount of detail provided in the valuation set, e.g. is
        market environment data provided, are risk definitions
        provided, etc.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI" default="http://www.fpml.org/spec/2004/valuation-set-detail-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:element name="valuationSet" type="ValuationSet"/>
</xsd:schema>