FpML 4.2 Working Draft

12 October 2005

Pricing and Risk Shared 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 12:44:47.19


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
AssetMeasureType
BasicAssetValuation
BasicQuotation
CashFlowType
PriceQuoteUnits
QuotationCharacteristics
QuoteTiming
Valuation

Global Simple Types

Schema Listing

Global Elements

The schema does not contain any global elements.

Global Complex Types

AssetMeasureType

Description:

A scheme identifying the types of measures that can be used to describe an asset.

Figure:

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Contents:

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

Attribute: assetMeasureScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="AssetMeasureType">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A scheme identifying the types of measures that can be used to
      describe an asset.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="assetMeasureScheme" default="http://www.fpml.org/coding-scheme/asset-measure-2-0" type="xsd:anyURI"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

BasicAssetValuation

Description:

A structure that holds a set of measures about an asset.

Figure:

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Contents:

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

quote (one or more occurrences; of the type BasicQuotation)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="BasicAssetValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A structure that holds a set of measures about an asset.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Valuation">
      <xsd:sequence>
        <xsd:element name="quote" type="BasicQuotation" 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:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

BasicQuotation

Description:

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

Figure:

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Contents:

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

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

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

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

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

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


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

Or


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

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

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

Used by:

Schema Fragment: 

<xsd:complexType name="BasicQuotation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Some kind of numerical measure about an asset, eg. its NPV,
      together with characteristics of that measure.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="Quotation.model"/>
  </xsd:sequence>
</xsd:complexType>

CashFlowType

Description:

A scheme identifying the types of cashflows that can be settled, e.g. Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee etc..

Figure:

No SVG plugin installed

Contents:

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

Attribute: typeScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="CashFlowType">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A scheme identifying the types of cashflows that can be settled,
      e.g. Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee
      etc..
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="typeScheme" type="xsd:anyURI"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

PriceQuoteUnits

Description:

The units in which a price is quoted.

Figure:

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Contents:

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

Attribute: priceQuoteUnitsScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="PriceQuoteUnits">
  <xsd:annotation>
    <xsd:documentation source="http://www.FpML.org" xml:lang="en">
      The units in which a price is quoted.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="priceQuoteUnitsScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/price-quote-units-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

QuotationCharacteristics

Description:

A type representing a set of characteristics that describe a quotation.

Figure:

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Contents:

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

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

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

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

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


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

Or


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

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

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

Used by:

Schema Fragment: 

<xsd:complexType name="QuotationCharacteristics">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type representing a set of characteristics that describe a
      quotation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="QuotationCharacteristics.model"/>
  </xsd:sequence>
</xsd:complexType>

QuoteTiming

Description:

The type of the time of the quote.

Figure:

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Contents:

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

Attribute: quoteTimingScheme (xsd:anyURI)

Used by:

Schema Fragment: 

<xsd:complexType name="QuoteTiming">
  <xsd:annotation>
    <xsd:documentation source="http://www.FpML.org" xml:lang="en">
      The type of the time of the quote.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="quoteTimingScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/quote-timing-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

Valuation

Description:

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.

Figure:

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Contents:

objectReference (exactly one occurrence; of the type Reference)

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

Attribute: id (xsd:ID)

Attribute: definitionRef (xsd:IDREF)

Used by:

Derived Types:

Schema Fragment: 

<xsd:complexType name="Valuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="objectReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the asset or pricing structure that this
          values.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A reference to the valuation scenario used to calculate this
          valuation. If the Valuation occurs within a ValuationSet,
          this value is optional and is defaulted from the
          ValuationSet. If this value occurs in both places, the lower
          level value (i.e. the one here) overrides that in the higher
          (i.e. ValuationSet).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
  <xsd:attribute name="definitionRef" type="xsd:IDREF">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An optional reference to the scenario that this valuation
        applies to.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:attribute>
</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-shared-4-2.xsd"/>
  <xsd:complexType name="AssetMeasureType">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A scheme identifying the types of measures that can be used to
        describe an asset.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="assetMeasureScheme" default="http://www.fpml.org/coding-scheme/asset-measure-2-0" type="xsd:anyURI"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="BasicAssetValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A structure that holds a set of measures about an asset.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Valuation">
        <xsd:sequence>
          <xsd:element name="quote" type="BasicQuotation" 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:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="BasicQuotation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Some kind of numerical measure about an asset, eg. its NPV,
        together with characteristics of that measure.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="Quotation.model"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CashFlowType">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A scheme identifying the types of cashflows that can be
        settled, e.g. Coupon payment, Premium Fee, Settlement Fee,
        Brokerage Fee etc..
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="typeScheme" type="xsd:anyURI"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="PriceQuoteUnits">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        The units in which a price is quoted.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="priceQuoteUnitsScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/price-quote-units-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="QuotationCharacteristics">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type representing a set of characteristics that describe a
        quotation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="QuotationCharacteristics.model"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="QuoteTiming">
    <xsd:annotation>
      <xsd:documentation source="http://www.FpML.org" xml:lang="en">
        The type of the time of the quote.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="quoteTimingScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/quote-timing-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="Valuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="objectReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the asset or pricing structure that this
            values.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationScenarioReference" type="Reference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A reference to the valuation scenario used to calculate
            this valuation. If the Valuation occurs within a
            ValuationSet, this value is optional and is defaulted from
            the ValuationSet. If this value occurs in both places, the
            lower level value (i.e. the one here) overrides that in the
            higher (i.e. ValuationSet).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
    <xsd:attribute name="definitionRef" type="xsd:IDREF">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An optional reference to the scenario that this valuation
          applies to.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:attribute>
  </xsd:complexType>
  <xsd:group name="Quotation.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Some kind of numerical measure about an asset, eg. its price or
        NPV, together with characteristics of that measure.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="value" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The value of the the quotation.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="QuotationCharacteristics.model">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The characteristics of the quotation.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:group>
    </xsd:sequence>
  </xsd:group>
  <xsd:group name="QuotationCharacteristics.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A group collecting a set of characteristics that can be used to
        describe a quotation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="measureType" type="AssetMeasureType" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The type of the value that is measured. This could be an
            NPV, a cash flow, a clean price, etc.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quoteUnits" type="PriceQuoteUnits" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The optional units that the measure is expressed in. If not
            supplied, this is assumed to be a price/value in currency
            units.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="side" type="QuotationSideEnum" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The side (bid/mid/ask) of the measure.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="currency" type="Currency" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The optional currency that the measure is expressed in. If
            not supplied, this is defaulted from the reportingCurrency
            in the valuationScenarioDefinition.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="timing" type="QuoteTiming" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            When during a day the quote is for. Typically, if this
            element is supplied, the QuoteLocation needs also to be
            supplied.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:group ref="QuoteLocation.model" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Where the quote is from.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:group>
      <xsd:element name="time" type="xsd:dateTime" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            When the quote was observed or derived.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="expiryTime" type="xsd:dateTime" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            When does the quote cease to be valid.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashFlowType" type="CashFlowType" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            For cash flows, the type of the cash flows. Examples
            include: Coupon payment, Premium Fee, Settlement Fee,
            Brokerage Fee etc.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:group>
  <xsd:group name="QuoteLocation.model">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A group describing where a quote was or will be obtained, e.g.
        observed or calculated.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="businessCenter" type="BusinessCenter">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A city or other business center.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="exchangeId" type="ExchangeId">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The exchange (e.g. stock or futures exchange) from which
            the quote is obtained.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:group>
</xsd:schema>