SensitivityDefinition

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
name	xsd:string				0-1
valuationScenarioReference	ValuationScenarioReference				0-1
Choice begin
Branch1
partialDerivative	PricingParameterDerivative				0-∞, mre
formula	DerivativeFormula				0-1
Branch2
Choice begin
Branch1
term	TimeDimension				1-1, mre
Branch2
Choice begin
Branch1
coordinate	PricingDataPointCoordinate				1-1, mre
Branch2
coordinateReference	PricingDataPointCoordinateReference				1-1, mre
Choice end
Choice end
Choice end
@id	xsd:ID				1-1, ncf

Collapse All | Expand All

SensitivityDefinition

name(string)

valuationScenarioReference(ValuationScenarioReference)

Selecting one of variants:

Group

partialDerivative(PricingParameterDerivative)

description(string)

Selecting one of variants:

parameterReference(AssetOrTermPointOrPricingStructureReference)

inputDateReference(ValuationReference)

calculationProcedure(DerivativeCalculationProcedure)

method(DerivativeCalculationMethod)

Selecting one of variants:

Group

perturbationAmount(decimal)

averaged(boolean)

perturbationType(PerturbationType)

Group

derivativeFormula(string)

Group

replacementMarketInput(PricingStructureReference)

formula(DerivativeFormula)

Group

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

Group

Selecting one of variants:

coordinate(PricingDataPointCoordinate)

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

expiration(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

strike(decimal)

generic(GenericDimension)

string(string)

coordinateReference(PricingDataPointCoordinateReference)