# FpML 4.2 Trial Recommendation

## 10 September 2021

## Pricing and Risk Component Definitions

### Version: 4.2

### This Version:

> http://www.fpml.org/spec/fpml-4-2-13-tr-6

### Latest Version:

> http://www.fpml.org/spec/fpml-4-2-13-tr-6

### Previous Version:

> https://www.fpml.org/spec/fpml-4-2-12-rec-2/

### Errata for this Version:

> http://www.fpml.org/spec/errata/fpml-4-2-13-tr-6-errata.html

Document built: Thu 09/09/2021 16:55:32.45

Copyright (c) 1999 - 2006 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.html

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 Simple Types
  Global Complex Types
    AssetValuation
    DerivedValuationScenario
    MarketReference
    Position
    PositionConstituent
    PositionId
    PricingInputReplacement
    Quotation
    ReportingRoles
    ScheduledDate
    ScheduledDates
    ScheduledDateType
    Sensitivity
    SensitivitySet
    SensitivitySetReference
    Valuations
    ValuationScenario
    ValuationSet
    ValuationSetDetail
  Global Elements
    valuationSet
  Groups
    AdjustedAndOrUnadjustedDate.model
    AssetValuationOrReference.model
    AssociatedValue.model
  Schema Listing

# Global Simple Types

The schema does not contain any global simple types.

# 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:

- Position/valuation
- 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 ValuationScenarioReference)

- 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 MarketReference)

- 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="ValuationScenarioReference">
          <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="MarketReference" 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>

## MarketReference

### Description:

Reference to a market structure.

### Figure:

### Contents:

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

- Specifies the anchor as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor is defined.

### Used by:

- DerivedValuationScenario/marketReference
- ValuationScenario/marketReference

### Extension of:

- Reference

### Schema Fragment:

    <xsd:complexType name="MarketReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to a market structure.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:complexContent>
        <xsd:extension base="Reference"/>
      </xsd:complexContent>
    </xsd:complexType>

## Position

### Description:

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

### Figure:

### Contents:

positionId (exactly one occurrence; of the type PositionId)

- Unique identifier for the position.

version (zero or one occurrence; of the type xsd:positiveInteger)

- Indicates the version of the position. Higher version numbers imply “newer” positions, i.e. ones that replace previously supplied information.

reportingRoles (zero or 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.

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

- Position level schedule date, such as final payment dates, in a simple and flexible format.

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

- Valuation 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:sequence>
          <xsd:element name="positionId" type="PositionId">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Unique identifier for the position.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="version" type="xsd:positiveInteger" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Indicates the version of the position. Higher version
                numbers imply “newer” positions, i.e. ones that replace
                previously supplied information.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
        <xsd:element name="reportingRoles" type="ReportingRoles" minOccurs="0">
          <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="scheduledDate" type="ScheduledDate" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Position level schedule date, such as final payment dates, in
              a simple and flexible format.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="valuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Valuation 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, a reference to a previously submitted position, or a reference to the trade. The choice structure is optional to allow extensions to be placed within this container.

### Figure:

### Contents:

There can be zero or 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

positionVersionReference (exactly one occurrence; of the type xsd:positiveInteger)

- A previously submitted version of the position.

Or

tradeReference (exactly one occurrence; of the type PartyTradeIdentifiers)

- The trade reference identifier(s) allocated to the trade by the parties involved.

### 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, a reference to a previously submitted
          position, or a reference to the trade. The choice structure is
          optional to allow extensions to be placed within this container.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:choice minOccurs="0">
        <xsd:element name="trade" type="Trade">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="positionVersionReference" type="xsd:positiveInteger">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A previously submitted version of the position.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="tradeReference" type="PartyTradeIdentifiers">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The trade reference identifier(s) allocated to the trade by
              the parties involved.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
    </xsd:complexType>

## PositionId

### Description:

A unique identifier for the position. The id attribute is defined for intradocument referencing.

### Figure:

### Contents:

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

Attribute: positionIdScheme (xsd:anyURI)

Attribute: id (xsd:ID)

### Used by:

- Position/positionId

### Schema Fragment:

    <xsd:complexType name="PositionId">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A unique identifier for the position. The id attribute is defined
          for intradocument referencing.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="positionIdScheme" type="xsd:anyURI"/>
          <xsd:attribute name="id" type="xsd:ID"/>
        </xsd:extension>
      </xsd:simpleContent>
    </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 PricingStructureReference)

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

replacementInputReference (exactly one occurrence; of the type PricingStructureReference)

- 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="PricingStructureReference">
          <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="PricingStructureReference">
          <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.

informationSource (zero or more occurrences; of the type InformationSource)

- The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

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

- When the quote was observed or derived.

valuationDate (zero or one occurrence; of the type xsd:date)

- When the quote was computed.

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 PartyReference)

- 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 PartyReference)

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

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

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

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

- 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="PartyReference">
          <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="PartyReference" 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="PartyReference" 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="PartyReference" 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 AnyAssetReference)

- 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 ValuationReference)

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

### Used by:

- Position/scheduledDate
- 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="AnyAssetReference" 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:

### 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 SensitivitySetReference)

- 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="SensitivitySetReference" 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>

## SensitivitySetReference

### Description:

Reference to a sensitivity set.

### Figure:

### Contents:

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

- Specifies the anchor as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor is defined.

### Used by:

- SensitivitySet/definitionReference

### Extension of:

- Reference

### Schema Fragment:

    <xsd:complexType name="SensitivitySetReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to a sensitivity set.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:complexContent>
        <xsd:extension base="Reference"/>
      </xsd:complexContent>
    </xsd:complexType>

## Valuations

### Description:

A set of valuation.

### 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 ValuationReference)

- A reference to a quotation

### Used by:

### Schema Fragment:

    <xsd:complexType name="Valuations">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A set of valuation.
        </xsd:documentation>
      </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 MarketReference)

- 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:

- 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="MarketReference" 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 ValuationScenarioReference)

- 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 PartyReference)

- 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="ValuationScenarioReference" 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="PartyReference" 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"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

# 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"/>

# Groups

## AdjustedAndOrUnadjustedDate.model

### Description:

Contains at least one of an adjusted date and and unadjusted date, using the usual meanings of those terms.

### Figure:

### Contents:

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

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

### Used by:

- ScheduledDate

### Schema Fragment:

    <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>

## AssetValuationOrReference.model

### Description:

A quotation or a reference to a quotation.

### 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 ValuationReference)

- A reference to a quotation

### Used by:

- Valuations

### Schema Fragment:

    <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="ValuationReference">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A reference to a quotation
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
    </xsd:group>

## AssociatedValue.model

### Description:

An associated value or reference for a scheduled date.

### Figure:

### Contents:

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 ValuationReference)

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

### Used by:

- ScheduledDate

### Schema Fragment:

    <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="ValuationReference">
          <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>

# Full XML Schema

    <xsd:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified" version="$Revision: 884 $">
      <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="ValuationScenarioReference">
            <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="MarketReference" 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="MarketReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to a market structure.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:complexContent>
          <xsd:extension base="Reference"/>
        </xsd:complexContent>
      </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:sequence>
            <xsd:element name="positionId" type="PositionId">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Unique identifier for the position.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="version" type="xsd:positiveInteger" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Indicates the version of the position. Higher version
                  numbers imply “newer” positions, i.e. ones that replace
                  previously supplied information.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
          <xsd:element name="reportingRoles" type="ReportingRoles" minOccurs="0">
            <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="scheduledDate" type="ScheduledDate" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Position level schedule date, such as final payment dates,
                in a simple and flexible format.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="valuation" type="AssetValuation" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Valuation 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="PositionId">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A unique identifier for the position. The id attribute is
            defined for intradocument referencing.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="positionIdScheme" type="xsd:anyURI"/>
            <xsd:attribute name="id" type="xsd:ID"/>
          </xsd:extension>
        </xsd:simpleContent>
      </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, a reference to a previously submitted
            position, or a reference to the trade. The choice structure is
            optional to allow extensions to be placed within this
            container.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:choice minOccurs="0">
          <xsd:element name="trade" type="Trade">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="positionVersionReference" type="xsd:positiveInteger">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A previously submitted version of the position.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="tradeReference" type="PartyTradeIdentifiers">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The trade reference identifier(s) allocated to the trade by
                the parties involved.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
      </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="PricingStructureReference">
            <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="PricingStructureReference">
            <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="PartyReference">
            <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="PartyReference" 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="PartyReference" 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="PartyReference" 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="AnyAssetReference" 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="SensitivitySetReference" 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="SensitivitySetReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to a sensitivity set.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:complexContent>
          <xsd:extension base="Reference"/>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="Valuations">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A set of valuation.
          </xsd:documentation>
        </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="MarketReference" 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="ValuationScenarioReference" 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="PartyReference" 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"/>
          </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="ValuationReference">
            <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="ValuationReference">
            <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:schema>