---

Contents

Global Elements

valuationSet

Global Complex Types

AssetValuation

DerivedValuationScenario

Position

PositionConstituent

PricingInputReplacement

Quotation

ReportingRoles

ScheduledDate

ScheduledDates

ScheduledDateType

Sensitivity

SensitivitySet

Valuations

ValuationScenario

ValuationSet

ValuationSetDetail

Global Simple Types

Schema Listing

---

Global Elements

valuationSet

Description:

Figure:

Contents:

Element valuationSet is defined by the complex type ValuationSet

Used by:

• PortfolioValuationItem
• TradeValuationItem
• ValuationDocument

Schema Fragment:

<xsd:element name="valuationSet" type="ValuationSet"/>

---

Global Complex Types

AssetValuation

Description:

A structure that holds a set of measures about an asset, including possibly their sensitivities.

Figure:

Contents:

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

• A valuation of an valuable object - an asset or a pricing input. This is an abstract type, used as a base for values of pricing structures such as yield curves as well as asset values.

quote (zero or more occurrences; of the type Quotation)

• One or more numerical measures relating to the asset, possibly together with sensitivities of that measure to pricing inputs.

fxRate (zero or one occurrence; of the type FxRate)

• Indicates the rate of a currency conversion that may have been used to compute valuations.

Used by:

• ValuationSet/assetValuation

Extension of:

• Valuation

Schema Fragment:

<xsd:complexType name="AssetValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A structure that holds a set of measures about an asset,
      including possibly their sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Valuation">
      <xsd:sequence>
        <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              One or more numerical measures relating to the asset,
              possibly together with sensitivities of that measure to
              pricing inputs.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxRate" type="FxRate" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Indicates the rate of a currency conversion that may have
              been used to compute valuations.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

DerivedValuationScenario

Description:

A valuation scenario that is derived from another valuation scenario.

Figure:

Contents:

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

• The (optional) name for this valuation scenario, used for understandability. For example "EOD Valuations".

baseValuationScenario (exactly one occurrence; of the type Reference)

• An (optional) reference to a valuation scenario from which this one is derived.

valuationDate (zero or one occurrence; of the type IdentifiedDate)

• The (optional) date for which the assets are valued. If not present, the valuation date will be that of the base valuation scenario.

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

• A reference to the market environment used to price the asset. If not present, the market will be that of the base valuation scenario.

shift (zero or more occurrences; of the type PricingParameterShift)

• A collection of shifts to be applied to market inputs prior to computation of the derivative.

Attribute: id (xsd:ID)

Used by:

Schema Fragment:

<xsd:complexType name="DerivedValuationScenario">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A valuation scenario that is derived from another valuation
      scenario.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) name for this valuation scenario, used for
          understandability. For example "EOD Valuations".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseValuationScenario" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An (optional) reference to a valuation scenario from which
          this one is derived.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) date for which the assets are valued. If not
          present, the valuation date will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="marketReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the market environment used to price the
          asset. If not present, the market will be that of the base
          valuation scenario.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

Position

Description:

A collection of related trades or positions and the corresponding aggregate exposures generated by these.

Figure:

Contents:

reportingRoles (exactly one occurrence; of the type ReportingRoles)

• Information about the roles of the parties with respect to reporting the positions.

constituent (exactly one occurrence; of the type PositionConstituent)

• The components that create this position.

scheduledDates (zero or one occurrence; of the type ScheduledDates)

• Position level scheduled dates, such as final payment dates, in a simple and flexible format.

valuations (zero or one occurrence; of the type Valuations)

• Valuations reported for the position, such as NPV or accrued interest. The asset/object references in the valuations should refer to the deal or components of the deal in the position, e.g. legs, streams, or underlyers.

Attribute: id (xsd:ID)

Used by:

• PositionReport/position

Schema Fragment:

<xsd:complexType name="Position">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A collection of related trades or positions and the corresponding
      aggregate exposures generated by these.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="reportingRoles" type="ReportingRoles">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Information about the roles of the parties with respect to
          reporting the positions.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="constituent" type="PositionConstituent">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The components that create this position.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="scheduledDates" type="ScheduledDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Position level scheduled dates, such as final payment dates,
          in a simple and flexible format.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuations" type="Valuations" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuations reported for the position, such as NPV or accrued
          interest. The asset/object references in the valuations
          should refer to the deal or components of the deal in the
          position, e.g. legs, streams, or underlyers.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

PositionConstituent

Description:

The items (trades, trade references, holdings, other positions) that comprise this position. Currently a position may consist only of a single trade or a reference to the trade.

Figure:

Contents:

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

trade (exactly one occurrence; of the type Trade)

• An element that allows the full details of the trade to be used as a mechanism for identifying the trade for which the post-trade event pertains

Or

tradeReference (exactly one occurrence; of the type PartyTradeIdentifiers)

• A container since an individual trade can be referenced by two or more different partyTradeIdentifier elements - each allocated by a different party.

Used by:

• Position/constituent

Schema Fragment:

<xsd:complexType name="PositionConstituent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The items (trades, trade references, holdings, other positions)
      that comprise this position. Currently a position may consist
      only of a single trade or a reference to the trade.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:group ref="TradeOrTradeReference.model"/>
</xsd:complexType>

---

PricingInputReplacement

Description:

The substitution of a pricing input (e.g. curve) for another, used in generating prices and risks for valuation scenarios.

Figure:

Contents:

originalInputReference (exactly one occurrence; of the type Reference)

• A reference to the original value of the pricing input.

replacementInputReference (exactly one occurrence; of the type Reference)

• A reference to the substitution to do.

Used by:

• ValuationScenario/replacement

Schema Fragment:

<xsd:complexType name="PricingInputReplacement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The substitution of a pricing input (e.g. curve) for another,
      used in generating prices and risks for valuation scenarios.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="originalInputReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the original value of the pricing input.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="replacementInputReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the substitution to do.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Quotation

Description:

Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure, together with optional sensitivities.

Figure:

Contents:

value (zero or one occurrence; of the type xsd:decimal)

• The value of the the quotation.

measureType (zero or one occurrence; of the type AssetMeasureType)

• The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

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

• The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side (zero or one occurrence; of the type QuotationSideEnum)

• The side (bid/mid/ask) of the measure.

currency (zero or one occurrence; of the type Currency)

• The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing (zero or one occurrence; of the type QuoteTiming)

• When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

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

businessCenter (exactly one occurrence; of the type BusinessCenter)

• A city or other business center.

Or

exchangeId (exactly one occurrence; of the type ExchangeId)

• The exchange (e.g. stock or futures exchange) from which the quote is obtained.

time (zero or one occurrence; of the type xsd:dateTime)

• When the quote was observed or derived.

expiryTime (zero or one occurrence; of the type xsd:dateTime)

• When does the quote cease to be valid.

cashFlowType (zero or one occurrence; of the type CashFlowType)

• For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee etc.

sensitivitySet (zero or more occurrences; of the type SensitivitySet)

• Zero or more sets of sensitivities of this measure to various input parameters.

Used by:

• AssetValuation/quote

Schema Fragment:

<xsd:complexType name="Quotation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Some kind of numerical measure about an asset, eg. its NPV,
      together with characteristics of that measure, together with
      optional sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="Quotation.model"/>
    <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Zero or more sets of sensitivities of this measure to various
          input parameters.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ReportingRoles

Description:

The roles of the parties in reporting information such as positions.

Figure:

Contents:

baseParty (exactly one occurrence; of the type Reference)

• A reference to the party from whose perspective the position is valued, ie. the owner or holder of the position.

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

• A reference to the party responsible for reporting trading activities.

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

• A reference to the party responsible for reporting the position itself and its constituents.

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

• A reference to the party responsible for calculating and reporting the valuations of the positions.

Used by:

• Position/reportingRoles

Schema Fragment:

<xsd:complexType name="ReportingRoles">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The roles of the parties in reporting information such as
      positions.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="baseParty" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party from whose perspective the position
          is valued, ie. the owner or holder of the position.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="activityProvider" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for reporting trading
          activities.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="positionProvider" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for reporting the
          position itself and its constituents.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationProvider" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the party responsible for calculating and
          reporting the valuations of the positions.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ScheduledDate

Description:

An servicing date relevant for a trade structure, such as a payment or a reset.

Figure:

Contents:

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

adjustedDate (exactly one occurrence; of the type xsd:date)

type (exactly one occurrence; of the type ScheduledDateType)

• The type of the date, e.g. next or previous payment.

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

• A reference to the leg (or other product component) for which these dates occur.

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

associatedValue (exactly one occurrence; of the type AssetValuation)

• The value that is associated with the scheduled date.

Or

associatedValueReference (exactly one occurrence; of the type Reference)

• A reference to the value associated with this scheduled date.

Used by:

• ScheduledDates/scheduledDate

Schema Fragment:

<xsd:complexType name="ScheduledDate">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      An servicing date relevant for a trade structure, such as a
      payment or a reset.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="AdjustedAndOrUnadjustedDate.model"/>
    <xsd:element name="type" type="ScheduledDateType">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The type of the date, e.g. next or previous payment.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="assetReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the leg (or other product component) for which
          these dates occur.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:group ref="AssociatedValue.model" minOccurs="0" maxOccurs="unbounded"/>
  </xsd:sequence>
</xsd:complexType>

---

ScheduledDates

Description:

A list of dates (cash flows, resets, etc.) that are relevant for this structure, e.g. next cash flow, last reset, etc. Provides a way to list upcoming or recent servicing dates related to this trade stream in a way that is simpler and more flexible than the FpML "cashflows" structure.

Figure:

Contents:

scheduledDate (one or more occurrences; of the type ScheduledDate)

• A single stream level scheduled servicing date.

Used by:

• Position/scheduledDates

Schema Fragment:

<xsd:complexType name="ScheduledDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A list of dates (cash flows, resets, etc.) that are relevant for
      this structure, e.g. next cash flow, last reset, etc. Provides a
      way to list upcoming or recent servicing dates related to this
      trade stream in a way that is simpler and more flexible than the
      FpML "cashflows" structure.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="scheduledDate" type="ScheduledDate" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A single stream level scheduled servicing date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ScheduledDateType

Description:

A scheme used to identify the type of a stream scheduled servicing date.

Figure:

Contents:

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

Attribute: scheduledDateTypeScheme (xsd:anyURI)

Used by:

• ScheduledDate/type

Schema Fragment:

<xsd:complexType name="ScheduledDateType">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A scheme used to identify the type of a stream scheduled
      servicing date.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="scheduledDateTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/scheduled-date-type-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

---

Sensitivity

Description:

The sensitivity of a value to a defined change in input parameters.

Figure:

Contents:

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

Attribute: name (xsd:normalizedString)

Attribute: definitionRef (xsd:IDREF)

Used by:

• SensitivitySet/sensitivity

Schema Fragment:

<xsd:complexType name="Sensitivity">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The sensitivity of a value to a defined change in input
      parameters.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:decimal">
      <xsd:attribute name="name" type="xsd:normalizedString">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional name for this sensitivity. This is primarily
            intended for display purposes.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
      <xsd:attribute name="definitionRef" type="xsd:IDREF">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A optional (but normally supplied) reference to the
            definition of this sensitivity.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:attribute>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

---

SensitivitySet

Description:

A collection of sensitivities. References a definition that explains the meaning/type of the sensitivities.

Figure:

Contents:

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

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

• A reference to a sensitivity set definition.

sensitivity (zero or more occurrences; of the type Sensitivity)

Attribute: id (xsd:ID)

Used by:

• Quotation/sensitivitySet

Schema Fragment:

<xsd:complexType name="SensitivitySet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A collection of sensitivities. References a definition that
      explains the meaning/type of the sensitivities.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0"/>
    <xsd:element name="definitionReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to a sensitivity set definition.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

Valuations

Description:

Figure:

Contents:

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

valuation (exactly one occurrence; of the type AssetValuation)

Or

valuationReference (exactly one occurrence; of the type Reference)

• A reference to a quotation

Used by:

• Position/valuations

Schema Fragment:

<xsd:complexType name="Valuations">
  <xsd:annotation>
    <xsd:documentation xml:lang="en"/>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="AssetValuationOrReference.model" maxOccurs="unbounded"/>
  </xsd:sequence>
</xsd:complexType>

---

ValuationScenario

Description:

A set of rules for generating a valuation.

Figure:

Contents:

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

• The (optional) name for this valuation scenario, used for understandability. For example "EOD Valuations".

valuationDate (exactly one occurrence; of the type IdentifiedDate)

• The date for which the assets are valued.

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

• A reference to the market environment used to price the asset.

shift (zero or more occurrences; of the type PricingParameterShift)

• A collection of shifts to be applied to market inputs prior to computation of the derivative.

replacement (zero or more occurrences; of the type PricingInputReplacement)

• A collection of shifts to be applied to market inputs prior to computation of the derivative.

Attribute: id (xsd:ID)

Used by:

• PositionReport/valuationScenario
• ValuationSet/valuationScenario

Schema Fragment:

<xsd:complexType name="ValuationScenario">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A set of rules for generating a valuation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="name" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The (optional) name for this valuation scenario, used for
          understandability. For example "EOD Valuations".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationDate" type="IdentifiedDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date for which the assets are valued.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="marketReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the market environment used to price the
          asset.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="replacement" type="PricingInputReplacement" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A collection of shifts to be applied to market inputs prior
          to computation of the derivative.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ValuationSet

Description:

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.

Figure:

Contents:

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

• The name of the valuation set, used to understand what it means. E.g., "EOD Values and Risks for Party A".

valuationScenario (zero or more occurrences; of the type ValuationScenario)

• 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.

valuationScenarioReference (zero or more occurrences; of the type Reference)

• References to valuation scenarios 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.

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

• Reference to the party from whose point of view the assets are valued.

quotationCharacteristics (zero or more occurrences; of the type QuotationCharacteristics)

• Charactistics (measure types, units, sides, etc.) of the quotes used (requested/reported) in the valuation set.

sensitivitySetDefinition (zero or more occurrences; of the type SensitivitySetDefinition)

• Definition(s) of sensitivity sets used (requested or reported) in this valuation set.

detail (zero or one occurrence; of the type ValuationSetDetail)

• Does this valuation set include a market environment?

assetValuation (zero or more occurrences; of the type AssetValuation)

• Valuations reported in this valuation set. These values can be values (NPVs, prices, etc.) or risks (DAR, etc.) and can include sensitivities.

Attribute: id (xsd:ID)

Used by:

Schema Fragment:

<xsd:complexType name="ValuationSet">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </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 valuation set, used to understand what it
          means. E.g., "EOD Values and Risks for Party A".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          References to valuation scenarios 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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="baseParty" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to the party from whose point of view the assets
          are valued.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Charactistics (measure types, units, sides, etc.) of the
          quotes used (requested/reported) in the valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition(s) of sensitivity sets used (requested or
          reported) in this valuation set.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Does this valuation set include a market environment?
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Valuations reported in this valuation set. These values can
          be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
          include sensitivities.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ValuationSetDetail

Description:

The amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.

Figure:

Contents:

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

Attribute: valuationSetDetailScheme (xsd:anyURI)

Used by:

• ValuationSet/detail

Schema Fragment:

<xsd:complexType name="ValuationSetDetail">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The amount of detail provided in the valuation set, e.g. is
      market environment data provided, are risk definitions provided,
      etc.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/valuation-set-detail-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</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-riskdef-4-2.xsd"/>
  <xsd:include schemaLocation="fpml-doc-4-2.xsd"/>
  <xsd:complexType name="AssetValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A structure that holds a set of measures about an asset,
        including possibly their sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Valuation">
        <xsd:sequence>
          <xsd:element name="quote" type="Quotation" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                One or more numerical measures relating to the asset,
                possibly together with sensitivities of that measure to
                pricing inputs.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fxRate" type="FxRate" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Indicates the rate of a currency conversion that may
                have been used to compute valuations.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DerivedValuationScenario">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A valuation scenario that is derived from another valuation
        scenario.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) name for this valuation scenario, used for
            understandability. For example "EOD Valuations".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseValuationScenario" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An (optional) reference to a valuation scenario from which
            this one is derived.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationDate" type="IdentifiedDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) date for which the assets are valued. If not
            present, the valuation date will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="marketReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the market environment used to price the
            asset. If not present, the market will be that of the base
            valuation scenario.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="Position">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A collection of related trades or positions and the
        corresponding aggregate exposures generated by these.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="reportingRoles" type="ReportingRoles">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Information about the roles of the parties with respect to
            reporting the positions.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="constituent" type="PositionConstituent">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The components that create this position.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="scheduledDates" type="ScheduledDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Position level scheduled dates, such as final payment
            dates, in a simple and flexible format.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuations" type="Valuations" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuations reported for the position, such as NPV or
            accrued interest. The asset/object references in the
            valuations should refer to the deal or components of the
            deal in the position, e.g. legs, streams, or underlyers.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="PositionConstituent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The items (trades, trade references, holdings, other positions)
        that comprise this position. Currently a position may consist
        only of a single trade or a reference to the trade.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:group ref="TradeOrTradeReference.model"/>
  </xsd:complexType>
  <xsd:complexType name="PricingInputReplacement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The substitution of a pricing input (e.g. curve) for another,
        used in generating prices and risks for valuation scenarios.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="originalInputReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the original value of the pricing input.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="replacementInputReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the substitution to do.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Quotation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Some kind of numerical measure about an asset, eg. its NPV,
        together with characteristics of that measure, together with
        optional sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="Quotation.model"/>
      <xsd:element name="sensitivitySet" type="SensitivitySet" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Zero or more sets of sensitivities of this measure to
            various input parameters.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReportingRoles">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The roles of the parties in reporting information such as
        positions.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="baseParty" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party from whose perspective the
            position is valued, ie. the owner or holder of the
            position.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="activityProvider" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for reporting trading
            activities.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="positionProvider" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for reporting the
            position itself and its constituents.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationProvider" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the party responsible for calculating and
            reporting the valuations of the positions.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDate">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An servicing date relevant for a trade structure, such as a
        payment or a reset.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="AdjustedAndOrUnadjustedDate.model"/>
      <xsd:element name="type" type="ScheduledDateType">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The type of the date, e.g. next or previous payment.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="assetReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the leg (or other product component) for
            which these dates occur.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="AssociatedValue.model" minOccurs="0" maxOccurs="unbounded"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A list of dates (cash flows, resets, etc.) that are relevant
        for this structure, e.g. next cash flow, last reset, etc.
        Provides a way to list upcoming or recent servicing dates
        related to this trade stream in a way that is simpler and more
        flexible than the FpML "cashflows" structure.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="scheduledDate" type="ScheduledDate" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A single stream level scheduled servicing date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ScheduledDateType">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A scheme used to identify the type of a stream scheduled
        servicing date.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="scheduledDateTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/scheduled-date-type-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="Sensitivity">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The sensitivity of a value to a defined change in input
        parameters.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:decimal">
        <xsd:attribute name="name" type="xsd:normalizedString">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional name for this sensitivity. This is primarily
              intended for display purposes.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
        <xsd:attribute name="definitionRef" type="xsd:IDREF">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A optional (but normally supplied) reference to the
              definition of this sensitivity.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:attribute>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="SensitivitySet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A collection of sensitivities. References a definition that
        explains the meaning/type of the sensitivities.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0"/>
      <xsd:element name="definitionReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to a sensitivity set definition.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="sensitivity" type="Sensitivity" minOccurs="0" maxOccurs="unbounded"/>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="Valuations">
    <xsd:annotation>
      <xsd:documentation xml:lang="en"/>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="AssetValuationOrReference.model" maxOccurs="unbounded"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ValuationScenario">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A set of rules for generating a valuation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="name" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The (optional) name for this valuation scenario, used for
            understandability. For example "EOD Valuations".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationDate" type="IdentifiedDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date for which the assets are valued.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="marketReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the market environment used to price the
            asset.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="shift" type="PricingParameterShift" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="replacement" type="PricingInputReplacement" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A collection of shifts to be applied to market inputs prior
            to computation of the derivative.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationSet">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </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 valuation set, used to understand what it
            means. E.g., "EOD Values and Risks for Party A".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenario" type="ValuationScenario" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            References to valuation scenarios 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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="baseParty" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to the party from whose point of view the assets
            are valued.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Charactistics (measure types, units, sides, etc.) of the
            quotes used (requested/reported) in the valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="sensitivitySetDefinition" type="SensitivitySetDefinition" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition(s) of sensitivity sets used (requested or
            reported) in this valuation set.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="detail" type="ValuationSetDetail" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Does this valuation set include a market environment?
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="assetValuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Valuations reported in this valuation set. These values can
            be values (NPVs, prices, etc.) or risks (DAR, etc.) and can
            include sensitivities.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ValuationSetDetail">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The amount of detail provided in the valuation set, e.g. is
        market environment data provided, are risk definitions
        provided, etc.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="valuationSetDetailScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/valuation-set-detail-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:element name="valuationSet" type="ValuationSet"/>
  <xsd:group name="AdjustedAndOrUnadjustedDate.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Contains at least one of an adjusted date and and unadjusted
        date, using the usual meanings of those terms.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:sequence>
        <xsd:element name="unadjustedDate" type="xsd:date"/>
        <xsd:element name="adjustedDate" type="xsd:date" minOccurs="0"/>
      </xsd:sequence>
      <xsd:element name="adjustedDate" type="xsd:date"/>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="AssetValuationOrReference.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A quotation or a reference to a quotation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="valuation" type="AssetValuation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en"/>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to a quotation
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="AssociatedValue.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An associated value or reference for a scheduled date.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="associatedValue" type="AssetValuation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The value that is associated with the scheduled date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="associatedValueReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the value associated with this scheduled
            date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:group>
  <xsd:group name="PositionConstituents.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The items (trades, holdings, other positions) that comprise
        this position. Currently a position may consist only of a
        single trade.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="trade" type="Trade"/>
      <xsd:element name="partyTradeIdentifiers" type="PartyTradeIdentifiers"/>
    </xsd:choice>
  </xsd:group>
</xsd:schema>