FpML 4.2 Working Draft

12 October 2005

Risk Definitions Component Definitions

Version: 4.2

This Version:

http://www.fpml.org/spec/2005/wd-fpml-4-2-2005-10-12

Latest Version:

http://www.fpml.org/spec/2005/wd-fpml-4-2-2005-10-12

Previous Version:

http://www.fpml.org/spec/2005/wd-fpml-4-2-2005-05-04/

Errata for this Version:

http://www.fpml.org/spec/errata/wd-fpml-4-2-2005-10-12-errata.html

Document built: Tue 10/11/2005 12:44:51.10


Copyright (c) 1999 - 2005 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML public license
A copy of this license is available at http://www.fpml.org/documents/license



The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.

Contents

Global Elements

Global Complex Types
DenominatorTerm
DerivativeCalculationMethod
DerivativeCalculationProcedure
DerivativeFormula
FormulaTerm
PerturbationType
PricingParameterDerivative
PricingParameterShift
SensitivityDefinition
SensitivitySetDefinition
WeightedPartialDerivative

Global Simple Types

Schema Listing

Global Elements

The schema does not contain any global elements.

Global Complex Types

DenominatorTerm

Description:

The type defining a denominator term of the formula. Its value is (sum of weighted partials) ^ power.

Figure:

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Contents:

weightedPartial (exactly one occurrence; of the type WeightedPartialDerivative)

power (exactly one occurrence; of the type xsd:integer)

Used by:

Schema Fragment: 

<xsd:complexType name="DenominatorTerm">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The type defining a denominator term of the formula. Its value is
      (sum of weighted partials) ^ power.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="weightedPartial" type="WeightedPartialDerivative">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A partial derivative multiplied by a weighting factor.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="power" type="xsd:integer">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The power to which this term is raised.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

DerivativeCalculationMethod

Description:

The method by which a derivative is computed.

Figure:

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Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: derivativeCalculationMethodScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="DerivativeCalculationMethod">
  <xsd:annotation>
    <xsd:documentation source="http://www.FpML.org" xml:lang="en">
      The method by which a derivative is computed.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="derivativeCalculationMethodScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

DerivativeCalculationProcedure

Description:

A description of how a numerical derivative is computed.

Figure:

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Contents:

method (zero or one occurrence; of the type DerivativeCalculationMethod)


There can be one occurance of the following structure;

Used by:

Schema Fragment: 

<xsd:complexType name="DerivativeCalculationProcedure">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A description of how a numerical derivative is computed.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="method" type="DerivativeCalculationMethod" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The method by which a derivative is computed, e.g. analytic,
          numerical model, perturbation, etc.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:group ref="DerivativeCalculationParameters.model" minOccurs="0"/>
  </xsd:sequence>
</xsd:complexType>

DerivativeFormula

Description:

A formula for computing a complex derivative from partial derivatives. Its value is the sum of the terms divided by the product of the denominator terms.

Figure:

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Contents:

term (exactly one occurrence; of the type FormulaTerm)

denominatorTerm (exactly one occurrence; of the type DenominatorTerm)

Used by:

Schema Fragment: 

<xsd:complexType name="DerivativeFormula">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A formula for computing a complex derivative from partial
      derivatives. Its value is the sum of the terms divided by the
      product of the denominator terms.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="term" type="FormulaTerm">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A term of the formula. Its value is the product of the its
          coefficient and the referenced partial derivatives.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="denominatorTerm" type="DenominatorTerm">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A denominator term of the formula. Its value is (sum of
          weighted partials) ^ power.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

FormulaTerm

Description:

A type defining a term of the formula. Its value is the product of the its coefficient and the referenced partial derivatives.

Figure:

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Contents:

coefficient (exactly one occurrence; of the type xsd:decimal)

partialDerivativeReference (one or more occurrences; of the type Reference)

Used by:

Schema Fragment: 

<xsd:complexType name="FormulaTerm">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining a term of the formula. Its value is the product
      of the its coefficient and the referenced partial derivatives.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="coefficient" type="xsd:decimal">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The coefficient by which this term is multiplied, typically 1
          or -1.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="partialDerivativeReference" type="Reference" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the partial derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

PerturbationType

Description:

The type of perturbation applied to compute a derivative perturbatively.

Figure:

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Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: perturbationTypeScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="PerturbationType">
  <xsd:annotation>
    <xsd:documentation source="http://www.FpML.org" xml:lang="en">
      The type of perturbation applied to compute a derivative
      perturbatively.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="perturbationTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/perturbation-type-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

PricingParameterDerivative

Description:

A definition of the mathematical derivative with respect to a specific pricing parameter.

Figure:

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description (zero or one occurrence; of the type xsd:string)


There can be one occurance of the following structure; Choice of either

Or


calculationProcedure (zero or one occurrence; of the type DerivativeCalculationProcedure)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="PricingParameterDerivative">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A definition of the mathematical derivative with respect to a
      specific pricing parameter.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="description" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A description, if needed, of how the derivative is computed.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="parameterReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the pricing input parameter to which the
            sensitivity is computed. If it is omitted, the derivative
            definition is generic, and applies to any input point in
            the valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="inputDateReference" type="Reference" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference(s) to the pricing input dates that are shifted
            when the sensitivity is computed. Depending on the time
            advance method used, this list could vary. Used for
            describing time-advance derivatives (theta, carry, etc.)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="calculationProcedure" type="DerivativeCalculationProcedure" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The method by which a derivative is computed, e.g. analytic,
          numerical model, perturbation, etc., and the corresponding
          parameters
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

PricingParameterShift

Description:

A definition of a shift with respect to a specific pricing parameter.

Figure:

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Contents:

parameterReference (exactly one occurrence; of the type Reference)

shift (exactly one occurrence; of the type xsd:decimal)

shiftUnits (zero or one occurrence; of the type PriceQuoteUnits)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="PricingParameterShift">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A definition of a shift with respect to a specific pricing
      parameter.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="parameterReference" type="Reference"/>
    <xsd:element name="shift" type="xsd:decimal">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The size of the denominator, e.g. 0.0001 = 1 bp.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shiftUnits" type="PriceQuoteUnits" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The units of the denominator, e.g. currency. If not present,
          use the units of the PricingInputReference.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

SensitivityDefinition

Description:

A set of characteristics describing a sensitivity

Figure:

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name (zero or one occurrence; of the type xsd:string)

valuationScenarioReference (zero or one occurrence; of the type Reference)


There can be one occurance of the following structure;

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<xsd:complexType name="SensitivityDefinition">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A set of characteristics describing a sensitivity
    </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 derivative, e.g. first derivative, Hessian,
          etc. Typically not required, but may be used to explain more
          complex derivative calculations.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to the valuation scenario to which this sensitivity
          definition applies. If the SensitivityDefinition occurs
          within a SensitivitySetDefinition, this is not required and
          normally not used. In this case, if it is supplied it
          overrides the valuationScenarioReference in the
          SensitivitySetDefinition.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:group ref="ComputedDerivative.model"/>
      <xsd:group ref="SensitivityDescription.model"/>
    </xsd:choice>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

SensitivitySetDefinition

Description:

A sensitivity report definition, consisting of a collection of sensitivity definitions.

Figure:

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Contents:

name (zero or one occurrence; of the type xsd:string)

sensitivityCharacteristics (zero or one occurrence; of the type QuotationCharacteristics)

valuationScenarioReference (zero or one occurrence; of the type Reference)

pricingInputType (zero or one occurrence; of the type PricingInputType)

pricingInputReference (zero or one occurrence; of the type Reference)

scale (exactly one occurrence; of the type xsd:decimal)

sensitivityDefinition (zero or more occurrences; of the type SensitivityDefinition)

calculationProcedure (zero or one occurrence; of the type DerivativeCalculationProcedure)

Attribute: id (xsd:ID)

Used by:

Schema Fragment: 

<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="Reference" 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="Reference" 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>

WeightedPartialDerivative

Description:

A partial derivative multiplied by a weighting factor.

Figure:

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Contents:

partialDerivativeReference (exactly one occurrence; of the type Reference)

weight (exactly one occurrence; of the type xsd:decimal)

Used by:

Schema Fragment: 

<xsd:complexType name="WeightedPartialDerivative">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A partial derivative multiplied by a weighting factor.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="partialDerivativeReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to a partial derivative defined in the
          ComputedDerivative.model, i.e. defined as part of this
          sensitivity definition.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="weight" type="xsd:decimal">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The weight factor to be applied to the partial derivative,
          e.g. 1 or -1, or some other scaling value.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

Global Simple Types

The schema does not contain any global simple types.

Full XML Schema 

<xsd:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified">
  <xsd:include schemaLocation="fpml-mktenv-4-2.xsd"/>
  <xsd:complexType name="DenominatorTerm">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The type defining a denominator term of the formula. Its value
        is (sum of weighted partials) ^ power.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="weightedPartial" type="WeightedPartialDerivative">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A partial derivative multiplied by a weighting factor.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="power" type="xsd:integer">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The power to which this term is raised.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="DerivativeCalculationMethod">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        The method by which a derivative is computed.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="derivativeCalculationMethodScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/derivative-calculation-method-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="DerivativeCalculationProcedure">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A description of how a numerical derivative is computed.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="method" type="DerivativeCalculationMethod" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The method by which a derivative is computed, e.g.
            analytic, numerical model, perturbation, etc.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="DerivativeCalculationParameters.model" minOccurs="0"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="DerivativeFormula">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A formula for computing a complex derivative from partial
        derivatives. Its value is the sum of the terms divided by the
        product of the denominator terms.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="term" type="FormulaTerm">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A term of the formula. Its value is the product of the its
            coefficient and the referenced partial derivatives.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="denominatorTerm" type="DenominatorTerm">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A denominator term of the formula. Its value is (sum of
            weighted partials) ^ power.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="FormulaTerm">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining a term of the formula. Its value is the product
        of the its coefficient and the referenced partial derivatives.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="coefficient" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The coefficient by which this term is multiplied, typically
            1 or -1.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="partialDerivativeReference" type="Reference" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the partial derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="PerturbationType">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        The type of perturbation applied to compute a derivative
        perturbatively.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="perturbationTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/perturbation-type-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="PricingParameterDerivative">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A definition of the mathematical derivative with respect to a
        specific pricing parameter.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="description" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A description, if needed, of how the derivative is
            computed.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="parameterReference" type="Reference" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A reference to the pricing input parameter to which the
              sensitivity is computed. If it is omitted, the derivative
              definition is generic, and applies to any input point in
              the valuation set.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="inputDateReference" type="Reference" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Reference(s) to the pricing input dates that are shifted
              when the sensitivity is computed. Depending on the time
              advance method used, this list could vary. Used for
              describing time-advance derivatives (theta, carry, etc.)
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="calculationProcedure" type="DerivativeCalculationProcedure" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The method by which a derivative is computed, e.g.
            analytic, numerical model, perturbation, etc., and the
            corresponding parameters
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="PricingParameterShift">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A definition of a shift with respect to a specific pricing
        parameter.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="parameterReference" type="Reference"/>
      <xsd:element name="shift" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The size of the denominator, e.g. 0.0001 = 1 bp.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shiftUnits" type="PriceQuoteUnits" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The units of the denominator, e.g. currency. If not
            present, use the units of the PricingInputReference.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="SensitivityDefinition">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A set of characteristics describing a sensitivity
      </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 derivative, e.g. first derivative, Hessian,
            etc. Typically not required, but may be used to explain
            more complex derivative calculations.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to the valuation scenario to which this
            sensitivity definition applies. If the
            SensitivityDefinition occurs within a
            SensitivitySetDefinition, this is not required and normally
            not used. In this case, if it is supplied it overrides the
            valuationScenarioReference in the SensitivitySetDefinition.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:group ref="ComputedDerivative.model"/>
        <xsd:group ref="SensitivityDescription.model"/>
      </xsd:choice>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <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="Reference" 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="Reference" 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>
  <xsd:complexType name="WeightedPartialDerivative">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A partial derivative multiplied by a weighting factor.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="partialDerivativeReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to a partial derivative defined in the
            ComputedDerivative.model, i.e. defined as part of this
            sensitivity definition.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="weight" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The weight factor to be applied to the partial derivative,
            e.g. 1 or -1, or some other scaling value.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:group name="AnalyticDerivativeParameters.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Parameters used in the computation of a derivative using
        analytical (closed form formula) techiques.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="derivativeFormula" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The formula used to compute the derivative (perhaps could
            be updated to use the Formula type in EQS.).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:group>
  <xsd:group name="ComputedDerivative.model">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        A group describing a derivative as combination of partial
        derivatives.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="partialDerivative" type="PricingParameterDerivative" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A partial derivative of the measure with respect to an
            input.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formula" type="DerivativeFormula" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A formula defining how to compute the derivative from the
            partial derivatives. If absent, the derivative is just the
            product of the partial derivatives. Normally only required
            for more higher-order derivatives, e.g. Hessians.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:group>
  <xsd:group name="DerivativeCalculationParameters.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Parameters used in the computation of a derivative.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:group ref="FiniteDifferenceDerivativeParameters.model"/>
      <xsd:group ref="AnalyticDerivativeParameters.model"/>
      <xsd:group ref="SubstitutionDerivativeParameters.model"/>
    </xsd:choice>
  </xsd:group>
  <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>
  <xsd:group name="SensitivityDescription.model">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        A group describing a specific sensitivity without an explicity
        reference to the market data input point.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="term" type="TimeDimension">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The time dimension of the sensitivity point (tenor and/or
            date)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="PricingCoordinateOrReference.model" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The input coordinates, or references to them (e.g.
            expiration, strike, tenor).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:group>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="SubstitutionDerivativeParameters.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Parameters used in the computation of a derivative by
        substituting a supplied market environment.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="replacementMarketInput" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the replacement version of the market input,
            e.g. a bumped yield curve.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:group>
</xsd:schema>