# XML Schema Documentation

### Complex Type: SensitivitySetDefinition

#### [Table of contents]

Super-types: | None
Sub-types: | None

Name | SensitivitySetDefinition
Abstract | no
Documentation | A sensitivity report definition, consisting of a collection of sensitivity definitions.

XML Instance Representation
<...
id=" xsd:ID [0..1]">
<name> xsd:string </name> [0..1]

'The name of the sensitivity set definition, e.g. \"USDLIBOR curve sensitivities\".'

<sensitivityCharacteristics> QuotationCharacteristics </sensitivityCharacteristics> [0..1]

'The default characteristics of the quotation, e.g. type, units, etc.'

<valuationScenarioReference> ValuationScenarioReference </valuationScenarioReference> [0..1]

'Reference to the valuation scenario to which this sensitivity definition applies, e.g. a reference to the EOD valuation scenario. If not supplied, this sensitivity set definition is generic to a variety of valuation scenarios.'

<pricingInputType> PricingInputType </pricingInputType> [0..1]

'The type of the pricing input to which the sensitivity is shown, e.g. a yield curve or volatility matrix.'

<pricingInputReference> PricingStructureReference </pricingInputReference> [0..1]

'A reference to the pricing input to which the sensitivity is shown, e.g. a reference to a USDLIBOR yield curve.'

<scale> xsd:decimal </scale> [1]

'The size of the denominator, e.g. 0.0001 = 1 bp. For derivatives with respect to time, the default period is 1 day.'

<sensitivityDefinition> SensitivityDefinition </sensitivityDefinition> [0..*]

'A set of sensitivity definitions. Either one per point reported, or one generic definition that applies to all points.'

<calculationProcedure> DerivativeCalculationProcedure </calculationProcedure> [0..1]

'The method by which each derivative is computed, e.g. analytic, numerical model, perturbation, etc., and the corresponding parameters (eg. shift amounts).'

</...>
Diagram
Schema Component Representation
<xsd:complexType name="SensitivitySetDefinition">
<xsd:sequence>
<xsd:element name="name" type=" xsd:string " minOccurs="0"/>
<xsd:element name="sensitivityCharacteristics" type=" QuotationCharacteristics " minOccurs="0"/>
<xsd:element name="valuationScenarioReference" type=" ValuationScenarioReference " minOccurs="0"/>
<xsd:element name="pricingInputType" type=" PricingInputType " minOccurs="0"/>
<xsd:element name="pricingInputReference" type=" PricingStructureReference " minOccurs="0"/>
<xsd:element name="scale" type=" xsd:decimal "/>
<xsd:element name="sensitivityDefinition" type=" SensitivityDefinition " minOccurs="0" maxOccurs="unbounded"/>
<xsd:element name="calculationProcedure" type=" DerivativeCalculationProcedure " minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type=" xsd:ID "/>
</xsd:complexType>