Definition Type: Group
Name: FiniteDifferenceDerivativeParameters.model
Namespace: http://www.fpml.org/2007/FpML-4-4
Containing Schema: fpml-riskdef-4-4.xsd
Documentation:
Parameters used in the computation of a derivative using numerical (finite difference) techniques.
Collapse XSD Schema Diagram:
Drilldown into perturbationType in schema fpml-riskdef-4-4_xsd Drilldown into averaged in schema fpml-riskdef-4-4_xsd Drilldown into perturbationAmount in schema fpml-riskdef-4-4_xsdXSD Diagram of FiniteDifferenceDerivativeParameters.model in schema fpml-riskdef-4-4_xsd (Financial products Markup Language (FpML®))
Collapse XSD Schema Code:
<xsd:group name="FiniteDifferenceDerivativeParameters.model">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">Parameters used in the computation of a derivative using numerical (finite difference) techniques.</xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
        <xsd:element name="perturbationAmount" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The size and direction of the perturbation used to compute the derivative, e.g. 0.0001 = 1 bp.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="averaged" type="xsd:boolean">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The value is calculated by perturbing by the perturbationAmount and then the negative of the perturbationAmount and then averaging the two values (i.e. the value is half of the difference between perturbing up and perturbing down).</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="perturbationType" type="PerturbationType" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The type of perturbation, if any, used to compute the derivative (Absolute vs Relative).</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
</xsd:group>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
perturbationAmount fpml:perturbationAmount 0 (1)
averaged fpml:averaged (1) (1)
perturbationType fpml:perturbationType 0 (1)