complexType "SensitivitySetDefinition"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 1 attribute, 8 elements
Defined:
globally in fpml-riskdef-5-3.xsd; see XML source
Includes:
definitions of 1 attribute, 8 elements
Used:
at 1 location
Content Model Diagram
XML Representation Summary
<...
   
id
 = 
 xsd:ID
    >
   
Content: 
 name?, sensitivityCharacteristics?, valuationScenarioReference?, pricingInputType?, pricingInputReference?, scale, sensitivityDefinition*, calculationProcedure?
</...>
Content Model Elements (8):
calculationProcedure (in sensitivitySetDefinition), scale,
All Direct / Indirect Based Elements (1):
sensitivitySetDefinition
Known Usage Locations
Annotation
A sensitivity report definition, consisting of a collection of sensitivity definitions.
XML Source (w/o annotations (9); see within schema source)
<xsd:complexType name="SensitivitySetDefinition">
<xsd:sequence>
<xsd:element minOccurs="0" name="name" type="xsd:string"/>
<xsd:element minOccurs="0" name="sensitivityCharacteristics" type="QuotationCharacteristics"/>
<xsd:element minOccurs="0" name="valuationScenarioReference" type="ValuationScenarioReference"/>
<xsd:element minOccurs="0" name="pricingInputType" type="PricingInputType"/>
<xsd:element minOccurs="0" name="pricingInputReference" type="PricingStructureReference"/>
<xsd:element name="scale" type="xsd:decimal"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="sensitivityDefinition" type="SensitivityDefinition"/>
<xsd:element minOccurs="0" name="calculationProcedure" type="DerivativeCalculationProcedure"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
Attribute Detail (all declarations; defined within this component only; 1/1)
id
Type:
xsd:ID, predefined
Use:
optional
XML Source (see within schema source)
<xsd:attribute name="id" type="xsd:ID"/>
Content Element Detail (all declarations; defined within this component only; 8/8)
calculationProcedure
Type:
DerivativeCalculationProcedure, complex content
The method by which each derivative is computed, e.g. analytic, numerical model, perturbation, etc., and the corresponding parameters (eg. shift amounts).
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="calculationProcedure" type="DerivativeCalculationProcedure"/>
name
Type:
xsd:string, predefined, simple content
The name of the sensitivity set definition, e.g. "USDLIBOR curve sensitivities".
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="name" type="xsd:string"/>
pricingInputReference
Type:
PricingStructureReference, empty content
A reference to the pricing input to which the sensitivity is shown, e.g. a reference to a USDLIBOR yield curve.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="pricingInputReference" type="PricingStructureReference"/>
pricingInputType
Type:
PricingInputType, simple content
The type of the pricing input to which the sensitivity is shown, e.g. a yield curve or volatility matrix.
Simple Content
xsd:normalizedString
maxLength:
 255
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="pricingInputType" type="PricingInputType"/>
scale
Type:
xsd:decimal, predefined, simple content
The size of the denominator, e.g. 0.0001 = 1 bp. For derivatives with respect to time, the default period is 1 day.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="scale" type="xsd:decimal"/>
sensitivityCharacteristics
Type:
QuotationCharacteristics, complex content
The default characteristics of the quotation, e.g. type, units, etc.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="sensitivityCharacteristics" type="QuotationCharacteristics"/>
sensitivityDefinition
Type:
SensitivityDefinition, complex content
A set of sensitivity definitions. Either one per point reported, or one generic definition that applies to all points.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="sensitivityDefinition" type="SensitivityDefinition"/>
valuationScenarioReference
Type:
ValuationScenarioReference, empty content
Reference to the valuation scenario to which this sensitivity definition applies, e.g. a reference to the EOD valuation scenario. If not supplied, this sensitivity set definition is generic to a variety of valuation scenarios.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="valuationScenarioReference" type="ValuationScenarioReference"/>
XML schema documentation generated with DocFlex/XML 1.8.6b2 using DocFlex/XML XSDDoc 2.5.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.