A structure that holds a set of measures about an asset, including possibly their sensitivities.
One or more numerical measures relating to the asset, possibly together with sensitivities of that measure to pricing inputs
A valuation scenario that is derived from another valuation scenario.
The (optional) name for this valuation scenario, used for understandability. For example "EOD Valuations".
An (optional) valuation scenario from which this one is derived.
The (optional) date for which the assets are valued. If not present, the valuation date will be that of the base valuation scenario.
A reference to the market environment used to price the asset. If not present, the market will be that of the base valuation scenario.
A collection of shifts to be applied to market inputs prior to computation of the derivative.
The substitution of a pricing input (e.g. curve) for another, used in generating prices and risks for valuation scenarios.
The original value of the pricing input.
The substitution to do.
Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure, together with optional sensitivities.
Zero or more sets of sensitivities of this measure to various input parameters.
The sensitivity of a value to a defined change in input parameters.
A optional name for this sensitivity. This is primarily intended for display purposes.
A optional (but normally supplied) reference to the definition of this sensitivity.
A collection of sensitivities. References a definition that explains the meaning/type of the sensitivities.
A set of rules for generating a valuation.
The (optional) name for this valuation scenario, used for understandability. For example "EOD Valuations".
The date for which the assets are valued.
A reference to the market environment used to price the asset.
A collection of shifts to be applied to market inputs prior to computation of the derivative.
A collection of shifts to be applied to market inputs prior to computation of the derivative.
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.
The name of the valuation set, used to understand what it means. E.g., "EOD Values and Risks for Party A".
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.
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.
The party from whose point of view the assets are valued.
Charactistics (measure types, units, sides, etc.) of the quotes used (requested/reported) in the valuation set.
Definition(s) of sensitivity sets used (requested or reported) in this valuation set.
Does this valuation set include a market environment?
Valuations reported in this valuation set. These values can be values (NPVs, prices, etc.) or risks (DAR, etc.) and can include sensitivities.
The amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.