Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: SensitivitySetDefinition
Namespace: http://www.fpml.org/2007/FpML-4-4
Containing Schema: fpml-riskdef-4-4.xsd
Abstract
Documentation:
A sensitivity report definition, consisting of a collection of sensitivity definitions.
Collapse XSD Schema Diagram:
Drilldown into calculationProcedure in schema fpml-riskdef-4-4_xsd Drilldown into sensitivityDefinition in schema fpml-riskdef-4-4_xsd Drilldown into scale in schema fpml-riskdef-4-4_xsd Drilldown into pricingInputReference in schema fpml-riskdef-4-4_xsd Drilldown into pricingInputType in schema fpml-riskdef-4-4_xsd Drilldown into valuationScenarioReference in schema fpml-riskdef-4-4_xsd Drilldown into sensitivityCharacteristics in schema fpml-riskdef-4-4_xsd Drilldown into name in schema fpml-riskdef-4-4_xsd Drilldown into id in schema fpml-riskdef-4-4_xsdXSD Diagram of SensitivitySetDefinition in schema fpml-riskdef-4-4_xsd (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="SensitivitySetDefinition">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A sensitivity report definition, consisting of a collection of sensitivity definitions.</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 sensitivity set definition, e.g. "USDLIBOR curve sensitivities".</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="sensitivityCharacteristics" type="QuotationCharacteristics" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The default characteristics of the quotation, e.g. type, units, etc.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="valuationScenarioReference" type="ValuationScenarioReference" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">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.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="pricingInputType" type="PricingInputType" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The type of the pricing input to which the sensitivity is shown, e.g. a yield curve or volatility matrix.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="pricingInputReference" type="PricingStructureReference" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">A reference to the pricing input to which the sensitivity is shown, e.g. a reference to a USDLIBOR yield curve.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="scale" type="xsd:decimal">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The size of the denominator, e.g. 0.0001 = 1 bp. For derivatives with respect to time, the default period is 1 day.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="sensitivityDefinition" type="SensitivityDefinition" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">A set of sensitivity definitions. Either one per point reported, or one generic definition that applies to all points.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="calculationProcedure" type="DerivativeCalculationProcedure" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The method by which each derivative is computed, e.g. analytic, numerical model, perturbation, etc., and the corresponding parameters (eg. shift amounts).</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID" />
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
name fpml:name 0 (1)
sensitivityCharacteristics fpml:sensitivityCharacteristics 0 (1)
valuationScenarioReference fpml:valuationScenarioReference 0 (1)
pricingInputType fpml:pricingInputType 0 (1)
pricingInputReference fpml:pricingInputReference 0 (1)
scale fpml:scale (1) (1)
sensitivityDefinition fpml:sensitivityDefinition 0 unbounded
calculationProcedure fpml:calculationProcedure 0 (1)
Collapse Child Attributes:
Name Type Default Value Use
id fpml:id (Optional)
Collapse Derivation Tree:
Collapse References:
fpml:sensitivitySetDefinition
Documentation for Financial products Markup Language (FpML®)

Generated using Liquid Studio - Developer Bundle 21.0.0.0