XML Schema "fpml-mktenv-5-8.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/confirmation
Version:
$Revision: 11778 $
Defined Components:
elements (8 global + 47 local), complexTypes (19), element groups (6)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
D:\Tradeheader\last-trunk\xml\confirmation\fpml-mktenv-5-8.xsd; see XML source
Includes Schemas (4):
fpml-asset-5-8.xsd [src], fpml-cd-5-8.xsd [src], fpml-doc-5-8.xsd [src], fpml-riskdef-5-8.xsd [src]
Included in Schemas (1):
fpml-valuation-5-8.xsd [src]
All Element Summary
adjustment (in volatilityMatrixValuation)
An adjustment factor, such as for vol smile/skew.
Type:
ParametricAdjustment
Content:
complex, 3 elements
Defined:
locally within VolatilityMatrix complexType; see XML source
adjustmentValue
The value of the dependent variable, the actual adjustment amount.
Type:
xsd:decimal
Content:
simple
Defined:
locally within ParametricAdjustmentPoint complexType; see XML source
algorithm
Type:
String
Content:
simple
Defined:
locally within YieldCurveCharacteristics.model group; see XML source
ask
A price "asked" by a seller for an asset, i.e. the price at which a seller is willing to sell.
Type:
xsd:decimal
Content:
simple
Defined:
locally within BidMidAsk.model group; see XML source
asset
A reference to the asset whose volatility is modeled.
Type:
AnyAssetReference
Content:
empty, 1 attribute
Defined:
locally within VolatilityRepresentation complexType; see XML source
assetReference (in forwardCurve)
A reference to the rate index whose forwards are modeled.
Type:
AssetReference
Content:
empty, 1 attribute
Defined:
locally within ForwardRateCurve complexType; see XML source
baseYieldCurve
A reference to the yield curve values used as a basis for this credit curve valuation.
Type:
PricingStructureReference
Content:
empty, 1 attribute
Defined:
locally within DefaultProbabilityCurve complexType; see XML source
bid
A price "bid" by a buyer for an asset, i.e. the price a buyer is willing to pay.
Type:
xsd:decimal
Content:
simple
Defined:
locally within BidMidAsk.model group; see XML source
compoundingFrequency
The frequency at which the rates are compounded (e.g. continuously compounded).
Type:
CompoundingFrequency
Content:
simple, 1 attribute
Defined:
locally within ZeroRateCurve complexType; see XML source
creditCurve
Type:
CreditCurve
Content:
complex, 1 attribute, 10 elements
Subst.Gr:
may substitute for element pricingStructure
Defined:
globally; see XML source
Used:
never
creditCurveValuation
Type:
CreditCurveValuation
Content:
complex, 2 attributes, 11 elements
Subst.Gr:
may substitute for element pricingStructureValuation
Defined:
globally; see XML source
Used:
never
creditEvents (in creditCurve)
The material credit event.
Type:
CreditEvents
Content:
complex, 1 attribute, 15 elements
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
datapoint
The values of the adjustment parameter.
Type:
ParametricAdjustmentPoint
Content:
complex, 2 elements
Defined:
locally within ParametricAdjustment complexType; see XML source
dataPoints
The raw volatility matrix data, expressed as a multi-dimensional array.
Type:
MultiDimensionalPricingData
Content:
complex, 15 elements
Defined:
locally within VolatilityMatrix complexType; see XML source
defaultProbabilities
A collection of default probabilities.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within DefaultProbabilityCurve complexType; see XML source
defaultProbabilityCurve
A curve of default probabilities.
Type:
DefaultProbabilityCurve
Content:
complex, 2 attributes, 9 elements
Defined:
locally within CreditCurveValuation complexType; see XML source
definition (in point defined in TermCurve complexType)
An optional reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to.
Type:
AssetReference
Content:
empty, 1 attribute
Defined:
locally within TermPoint complexType; see XML source
deliverableObligations (in creditCurve)
What sort of obligation may be delivered in the event of the credit event.
Type:
DeliverableObligations
Content:
complex, 23 elements
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
discountFactorCurve
A curve of discount factors.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within YieldCurveValuation complexType; see XML source
extrapolationPermitted
Type:
xsd:boolean
Content:
simple
Defined:
locally within TermCurve complexType; see XML source
forecastCurrencyYieldCurve
Type:
PricingStructureReference
Content:
empty, 1 attribute
Defined:
locally within FxCurveValuation complexType; see XML source
forecastRateIndex
Type:
ForecastRateIndex
Content:
complex, 2 elements
Defined:
locally within YieldCurveCharacteristics.model group; see XML source
forwardCurve
A curve of forward rates.
Type:
ForwardRateCurve
Content:
complex, 2 elements
Defined:
locally within YieldCurveValuation complexType; see XML source
fxCurve
Type:
FxCurve
Content:
complex, 1 attribute, 3 elements
Subst.Gr:
may substitute for element pricingStructure
Defined:
globally; see XML source
Used:
never
fxCurveValuation
Type:
FxCurveValuation
Content:
complex, 2 attributes, 12 elements
Subst.Gr:
may substitute for element pricingStructureValuation
Defined:
globally; see XML source
Used:
never
fxForwardCurve
A curve of fx forward rates.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within FxCurveValuation complexType; see XML source
fxForwardPointsCurve
A curve of fx forward point spreads.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within FxCurveValuation complexType; see XML source
inputs (in creditCurveValuation)
Type:
QuotedAssetSet
Content:
complex, 2 elements
Defined:
locally within CreditCurveValuation complexType; see XML source
inputs (in yieldCurveValuation)
Type:
QuotedAssetSet
Content:
complex, 2 elements
Defined:
locally within YieldCurveValuation complexType; see XML source
inputUnits
The units of the input parameter, e.g.
Type:
PriceQuoteUnits
Content:
simple, 1 attribute
Defined:
locally within ParametricAdjustment complexType; see XML source
interpolationMethod (defined in TermCurve complexType)
Type:
InterpolationMethod
Content:
simple, 1 attribute
Defined:
locally within TermCurve complexType; see XML source
mid
A price midway between the bid and the ask price.
Type:
xsd:decimal
Content:
simple
Defined:
locally within BidMidAsk.model group; see XML source
name (in adjustment in volatilityMatrixValuation)
The name of the adjustment parameter (e.g.
Type:
NormalizedString
Content:
simple
Defined:
locally within ParametricAdjustment complexType; see XML source
obligationCurrency
The currency of denomination of the deliverable obligation.
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
obligations (in creditCurve)
The underlying obligations of the reference entity on which you are buying or selling protection
Type:
Obligations
Content:
complex, 18 elements
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
parameterValue
The value of the independent variable (e.g. strike offset).
Type:
xsd:decimal
Content:
simple
Defined:
locally within ParametricAdjustmentPoint complexType; see XML source
point (defined in TermCurve complexType)
Type:
TermPoint
Content:
complex, 1 attribute, 6 elements
Defined:
locally within TermCurve complexType; see XML source
point (in dataPoints)
Type:
PricingStructurePoint
Content:
complex, 1 attribute, 19 elements
Defined:
locally within MultiDimensionalPricingData complexType; see XML source
quotedCurrencyPair (in fxCurve)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxCurveCharacteristics.model group; see XML source
rateCurve (in forwardCurve)
The curve of forward values.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within ForwardRateCurve complexType; see XML source
rateCurve (in zeroCurve)
The curve of zero-coupon values.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within ZeroRateCurve complexType; see XML source
recoveryRate
A single recovery rate, to be used for all terms.
Type:
xsd:decimal
Content:
simple
Defined:
locally within RecoveryRate.model group; see XML source
recoveryRateCurve
A curve of recovery rates, allowing different terms to have different recovery rates.
Type:
TermCurve
Content:
complex, 3 elements
Defined:
locally within RecoveryRate.model group; see XML source
secured
Whether the deliverable obligation is secured or unsecured.
Type:
xsd:boolean
Content:
simple
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
seniority (in creditCurve)
The level of seniority of the deliverable obligation.
Type:
CreditSeniority
Content:
simple, 1 attribute
Defined:
locally within CreditCurveCharacteristics.model group; see XML source
settlementCurrencyYieldCurve
Type:
PricingStructureReference
Content:
empty, 1 attribute
Defined:
locally within FxCurveValuation complexType; see XML source
spotRate (in fxCurveValuation)
Type:
FxRateSet
Content:
complex, 2 elements
Defined:
locally within FxCurveValuation complexType; see XML source
spreadValue
The spread value can be used in conjunction with the "mid" value to define the bid and the ask value.
Type:
xsd:decimal
Content:
simple
Defined:
locally within TermPoint complexType; see XML source
term (in point defined in TermCurve complexType)
The time dimension of the point (tenor and/or date)
Type:
TimeDimension
Content:
complex, 3 elements
Defined:
locally within TermPoint complexType; see XML source
underlyingAssetReference
A reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to.
Type:
AssetReference
Content:
empty, 1 attribute
Defined:
locally within UnderlyingAssetOrReference.model group; see XML source
volatilityMatrixValuation
Type:
VolatilityMatrix
Content:
complex, 2 attributes, 9 elements
Subst.Gr:
may substitute for element pricingStructureValuation
Defined:
globally; see XML source
Used:
never
volatilityRepresentation
Type:
VolatilityRepresentation
Content:
complex, 1 attribute, 3 elements
Subst.Gr:
may substitute for element pricingStructure
Defined:
globally; see XML source
Used:
never
yieldCurve
Type:
YieldCurve
Content:
complex, 1 attribute, 4 elements
Subst.Gr:
may substitute for element pricingStructure
Defined:
globally; see XML source
Used:
never
yieldCurveValuation
Type:
YieldCurveValuation
Content:
complex, 2 attributes, 11 elements
Subst.Gr:
may substitute for element pricingStructureValuation
Defined:
globally; see XML source
Used:
never
zeroCurve
A curve of zero rates.
Type:
ZeroRateCurve
Content:
complex, 2 elements
Defined:
locally within YieldCurveValuation complexType; see XML source
Complex Type Summary
CompoundingFrequency
The frequency at which a rate is compounded.
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
CreditCurve
A generic credit curve definition.
Content:
complex, 1 attribute, 10 elements
Defined:
globally; see XML source
Used:
at 1 location
CreditCurveValuation
A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates.
Content:
complex, 2 attributes, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
DefaultProbabilityCurve
A set of default probabilities.
Content:
complex, 2 attributes, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
ForwardRateCurve
A curve used to model a set of forward interest rates.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxCurve
An fx curve object., which includes pricing inputs and term structures for fx forwards.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Used:
at 1 location
FxCurveValuation
A valuation of an FX curve object., which includes pricing inputs and term structures for fx forwards.
Content:
complex, 2 attributes, 12 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 1 location
FxRateSet
A collection of spot FX rates used in pricing.
Content:
complex, 2 elements
Defined:
globally; see XML source
Used:
at 1 location
MultiDimensionalPricingData
A pricing data set that contains a series of points with coordinates.
Content:
complex, 15 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
ParametricAdjustment
An adjustment used to accommodate a parameter of the input trade, e.g. the strike.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
ParametricAdjustmentPoint
A value of the adjustment point, consisting of the x value and the corresponding y value.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
PricingStructurePoint
A single valued point with a set of coordinates that define an arbitrary number of indentifying indexes (0 or more).
Content:
complex, 1 attribute, 19 elements
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
TermCurve
A curve consisting only of values over a term.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 7 locations
TermPoint
A value point that can have a time dimension.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 3 elements
Used:
at 1 location
VolatilityMatrix
A matrix of volatilities with dimension 0-3.
Content:
complex, 2 attributes, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
VolatilityRepresentation
A representation of volatilities of an asset.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
YieldCurve
A generic yield curve object, which can be valued in a variety of ways.
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Used:
at 1 location
YieldCurveValuation
The values of a yield curve, including possibly inputs and outputs (dfs, forwards, zero rates).
Content:
complex, 2 attributes, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
ZeroRateCurve
A curve used to model a set of zero-coupon interest rates.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
Element Group Summary
BidMidAsk.model
The bid, mid, or ask values relevant for a quote
Content:
3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
CreditCurveCharacteristics.model
The set of characterstics that describe the outputs of a credit curve.
Content:
8 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 1 location
FxCurveCharacteristics.model
The set of characterstics that describe the outputs of a fx curve.
Content:
1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
RecoveryRate.model
The model of the recovery rate (single value or curve).
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
UnderlyingAssetOrReference.model
Include or reference an underlying asset definition.
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
YieldCurveCharacteristics.model
The set of characteristics that describe the outputs of a yield curve.
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2002-2015 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="conf" ecore:package="org.fpml.confirmation" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/confirmation" version="$Revision: 11778 $" xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-doc-5-8.xsd"/>
<xsd:include schemaLocation="fpml-asset-5-8.xsd"/>
<xsd:include schemaLocation="fpml-riskdef-5-8.xsd"/>
<xsd:include schemaLocation="fpml-cd-5-8.xsd"/>
<xsd:complexType name="CompoundingFrequency">
<xsd:annotation>
<xsd:documentation source="http://www.FpML.org" xml:lang="en">The frequency at which a rate is compounded.</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="Scheme">
<xsd:attribute default="http://www.fpml.org/coding-scheme/compounding-frequency" name="compoundingFrequencyScheme" type="NonEmptyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="CreditCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A generic credit curve definition.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructure">
<xsd:sequence>
<xsd:group minOccurs="0" ref="CreditCurveCharacteristics.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CreditCurveValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
<xsd:sequence>
<xsd:element minOccurs="0" name="inputs" type="QuotedAssetSet"/>
<xsd:element minOccurs="0" name="defaultProbabilityCurve" type="DefaultProbabilityCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of default probabilities.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="RecoveryRate.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">A recovery rate value or curve.</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DefaultProbabilityCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A set of default probabilities.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
<xsd:sequence>
<xsd:element name="baseYieldCurve" type="PricingStructureReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the yield curve values used as a basis for this credit curve valuation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="defaultProbabilities" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A collection of default probabilities.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ForwardRateCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A curve used to model a set of forward interest rates. Used for forecasting interest rates as part of a pricing calculation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="assetReference" type="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the rate index whose forwards are modeled.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">The curve of forward values.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An fx curve object., which includes pricing inputs and term structures for fx forwards.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructure">
<xsd:sequence>
<xsd:group minOccurs="0" ref="FxCurveCharacteristics.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxCurveValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A valuation of an FX curve object., which includes pricing inputs and term structures for fx forwards.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
<xsd:sequence>
<xsd:element minOccurs="0" name="settlementCurrencyYieldCurve" type="PricingStructureReference"/>
<xsd:element minOccurs="0" name="forecastCurrencyYieldCurve" type="PricingStructureReference"/>
<xsd:element minOccurs="0" name="spotRate" type="FxRateSet"/>
<xsd:element minOccurs="0" name="fxForwardCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of fx forward rates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fxForwardPointsCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of fx forward point spreads.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxRateSet">
<xsd:annotation>
<xsd:documentation xml:lang="en">A collection of spot FX rates used in pricing.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="QuotedAssetSet">
<!--View Generation: Skipped an empty sequence.-->
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="MultiDimensionalPricingData">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pricing data set that contains a series of points with coordinates. It is a sparse matrix representation of a multi-dimensional matrix.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group minOccurs="0" ref="QuotationCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Characteristics that apply to all quotations in the pricing structure.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element maxOccurs="unbounded" name="point" type="PricingStructurePoint"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ParametricAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An adjustment used to accommodate a parameter of the input trade, e.g. the strike.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="name" type="NormalizedString">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The name of the adjustment parameter (e.g. "Volatility Skew").
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="inputUnits" type="PriceQuoteUnits">
<xsd:annotation>
<xsd:documentation xml:lang="en">The units of the input parameter, e.g. Yield.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="datapoint" type="ParametricAdjustmentPoint">
<xsd:annotation>
<xsd:documentation xml:lang="en">The values of the adjustment parameter.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ParametricAdjustmentPoint">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A value of the adjustment point, consisting of the x value and the corresponding y value.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="parameterValue" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The value of the independent variable (e.g. strike offset).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustmentValue" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The value of the dependent variable, the actual adjustment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PricingStructurePoint">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A single valued point with a set of coordinates that define an arbitrary number of indentifying indexes (0 or more). Note that the collection of coordinates/coordinate references for a PricingStructurePoint must not define a given dimension (other than "generic") more than once. This is to avoid ambiguity.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group maxOccurs="unbounded" minOccurs="0" ref="PricingCoordinateOrReference.model"/>
<xsd:group minOccurs="0" ref="UnderlyingAssetOrReference.model"/>
<xsd:group ref="Quotation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A quotation for a specific point, including anny characteristics that may be unique to that point.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A curve consisting only of values over a term. This is a restricted form of One Dimensional Structure.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="interpolationMethod" type="InterpolationMethod"/>
<xsd:element minOccurs="0" name="extrapolationPermitted" type="xsd:boolean"/>
<xsd:element maxOccurs="unbounded" name="point" type="TermPoint"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="TermPoint">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A value point that can have a time dimension. Allows bid, mid, ask, and spread values to be represented.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="term" type="TimeDimension">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time dimension of the point (tenor and/or date)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="BidMidAsk.model"/>
<xsd:element minOccurs="0" name="spreadValue" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The spread value can be used in conjunction with the "mid" value to define the bid and the ask value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="definition" type="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a discount instrument.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="VolatilityMatrix">
<xsd:annotation>
<xsd:documentation xml:lang="en">A matrix of volatilities with dimension 0-3.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
<xsd:sequence>
<xsd:element name="dataPoints" type="MultiDimensionalPricingData">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The raw volatility matrix data, expressed as a multi-dimensional array.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="adjustment" type="ParametricAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">An adjustment factor, such as for vol smile/skew.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="VolatilityRepresentation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructure">
<xsd:sequence>
<xsd:element name="asset" type="AnyAssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the asset whose volatility is modeled.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="YieldCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A generic yield curve object, which can be valued in a variety of ways.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructure">
<xsd:sequence>
<xsd:group minOccurs="0" ref="YieldCurveCharacteristics.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="YieldCurveValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The values of a yield curve, including possibly inputs and outputs (dfs, forwards, zero rates).
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
<xsd:sequence>
<xsd:element minOccurs="0" name="inputs" type="QuotedAssetSet"/>
<xsd:element minOccurs="0" name="zeroCurve" type="ZeroRateCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of zero rates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="forwardCurve" type="ForwardRateCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of forward rates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="discountFactorCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">A curve of discount factors.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ZeroRateCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A curve used to model a set of zero-coupon interest rates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="compoundingFrequency" type="CompoundingFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which the rates are compounded (e.g. continuously compounded).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">The curve of zero-coupon values.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:element name="creditCurve" substitutionGroup="pricingStructure" type="CreditCurve"/>
<xsd:element name="creditCurveValuation" substitutionGroup="pricingStructureValuation" type="CreditCurveValuation"/>
<xsd:element name="fxCurve" substitutionGroup="pricingStructure" type="FxCurve"/>
<xsd:element name="fxCurveValuation" substitutionGroup="pricingStructureValuation" type="FxCurveValuation"/>
<xsd:element name="volatilityMatrixValuation" substitutionGroup="pricingStructureValuation" type="VolatilityMatrix"/>
<xsd:element name="volatilityRepresentation" substitutionGroup="pricingStructure" type="VolatilityRepresentation"/>
<xsd:element name="yieldCurve" substitutionGroup="pricingStructure" type="YieldCurve"/>
<xsd:element name="yieldCurveValuation" substitutionGroup="pricingStructureValuation" type="YieldCurveValuation"/>
<xsd:group name="BidMidAsk.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">The bid, mid, or ask values relevant for a quote</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="bid" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A price "bid" by a buyer for an asset, i.e. the price a buyer is willing to pay.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="mid" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">A price midway between the bid and the ask price.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="ask" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A price "asked" by a seller for an asset, i.e. the price at which a seller is willing to sell.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
The set of characterstics that describe the outputs of a credit curve.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="CreditEntity.model"/>
<xsd:element minOccurs="0" name="creditEvents" type="CreditEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">The material credit event.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="seniority" type="CreditSeniority">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The level of seniority of the deliverable obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="secured" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Whether the deliverable obligation is secured or unsecured.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="obligationCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency of denomination of the deliverable obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="obligations" type="Obligations">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The underlying obligations of the reference entity on which you are buying or selling protection
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="deliverableObligations" type="DeliverableObligations">
<xsd:annotation>
<xsd:documentation xml:lang="en">
What sort of obligation may be delivered in the event of the credit event. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="FxCurveCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The set of characterstics that describe the outputs of a fx curve.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="RecoveryRate.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The model of the recovery rate (single value or curve).
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="recoveryRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">A single recovery rate, to be used for all terms.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="recoveryRateCurve" type="TermCurve">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A curve of recovery rates, allowing different terms to have different recovery rates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Include or reference an underlying asset definition.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a caplet or simple european swaption.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="underlyingAssetReference" type="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a caplet or simple european swaption.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
The set of characteristics that describe the outputs of a yield curve.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="algorithm" type="String"/>
<xsd:element minOccurs="0" name="forecastRateIndex" type="ForecastRateIndex"/>
</xsd:sequence>
</xsd:group>
</xsd:schema>
XML schema documentation generated with DocFlex/XML 1.9.0 using DocFlex/XML XSDDoc 2.8.0 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.