Safe Haskell | Safe-Infered |
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- data CompoundingFrequency = CompoundingFrequency Scheme CompoundingFrequencyAttributes
- data CompoundingFrequencyAttributes = CompoundingFrequencyAttributes {}
- data CreditCurve = CreditCurve {
- creditCurve_ID :: Maybe ID
- creditCurve_name :: Maybe NormalizedString
- creditCurve_currency :: Maybe Currency
- creditCurve_choice2 :: Maybe (OneOf2 LegalEntity LegalEntityReference)
- creditCurve_creditEvents :: Maybe CreditEvents
- creditCurve_seniority :: Maybe CreditSeniority
- creditCurve_secured :: Maybe Boolean
- creditCurve_obligationCurrency :: Maybe Currency
- creditCurve_obligations :: Maybe Obligations
- creditCurve_deliverableObligations :: Maybe DeliverableObligations
- data CreditCurveValuation = CreditCurveValuation {
- creditCurveVal_ID :: Maybe ID
- creditCurveVal_definitionRef :: Maybe IDREF
- creditCurveVal_objectReference :: Maybe AnyAssetReference
- creditCurveVal_valuationScenarioReference :: Maybe ValuationScenarioReference
- creditCurveVal_baseDate :: Maybe IdentifiedDate
- creditCurveVal_spotDate :: Maybe IdentifiedDate
- creditCurveVal_inputDataDate :: Maybe IdentifiedDate
- creditCurveVal_endDate :: Maybe IdentifiedDate
- creditCurveVal_buildDateTime :: Maybe DateTime
- creditCurveVal_inputs :: Maybe QuotedAssetSet
- creditCurveVal_defaultProbabilityCurve :: Maybe DefaultProbabilityCurve
- creditCurveVal_choice9 :: Maybe (OneOf2 Decimal TermCurve)
- data DefaultProbabilityCurve = DefaultProbabilityCurve {
- defaultProbabCurve_ID :: Maybe ID
- defaultProbabCurve_definitionRef :: Maybe IDREF
- defaultProbabCurve_objectReference :: Maybe AnyAssetReference
- defaultProbabCurve_valuationScenarioReference :: Maybe ValuationScenarioReference
- defaultProbabCurve_baseDate :: Maybe IdentifiedDate
- defaultProbabCurve_spotDate :: Maybe IdentifiedDate
- defaultProbabCurve_inputDataDate :: Maybe IdentifiedDate
- defaultProbabCurve_endDate :: Maybe IdentifiedDate
- defaultProbabCurve_buildDateTime :: Maybe DateTime
- defaultProbabCurve_baseYieldCurve :: Maybe PricingStructureReference
- defaultProbabCurve_defaultProbabilities :: Maybe TermCurve
- data ForwardRateCurve = ForwardRateCurve {}
- data FxCurve = FxCurve {}
- data FxCurveValuation = FxCurveValuation {
- fxCurveVal_ID :: Maybe ID
- fxCurveVal_definitionRef :: Maybe IDREF
- fxCurveVal_objectReference :: Maybe AnyAssetReference
- fxCurveVal_valuationScenarioReference :: Maybe ValuationScenarioReference
- fxCurveVal_baseDate :: Maybe IdentifiedDate
- fxCurveVal_spotDate :: Maybe IdentifiedDate
- fxCurveVal_inputDataDate :: Maybe IdentifiedDate
- fxCurveVal_endDate :: Maybe IdentifiedDate
- fxCurveVal_buildDateTime :: Maybe DateTime
- fxCurveVal_settlementCurrencyYieldCurve :: Maybe PricingStructureReference
- fxCurveVal_forecastCurrencyYieldCurve :: Maybe PricingStructureReference
- fxCurveVal_spotRate :: Maybe FxRateSet
- fxCurveVal_fxForwardCurve :: Maybe TermCurve
- fxCurveVal_fxForwardPointsCurve :: Maybe TermCurve
- data FxRateSet = FxRateSet {}
- data MultiDimensionalPricingData = MultiDimensionalPricingData {
- multiDimensPricingData_measureType :: Maybe AssetMeasureType
- multiDimensPricingData_quoteUnits :: Maybe PriceQuoteUnits
- multiDimensPricingData_side :: Maybe QuotationSideEnum
- multiDimensPricingData_currency :: Maybe Currency
- multiDimensPricingData_currencyType :: Maybe ReportingCurrencyType
- multiDimensPricingData_timing :: Maybe QuoteTiming
- multiDimensPricingData_choice6 :: Maybe (OneOf2 BusinessCenter ExchangeId)
- multiDimensPricingData_informationSource :: [InformationSource]
- multiDimensPricingData_pricingModel :: Maybe PricingModel
- multiDimensPricingData_time :: Maybe DateTime
- multiDimensPricingData_valuationDate :: Maybe Date
- multiDimensPricingData_expiryTime :: Maybe DateTime
- multiDimensPricingData_cashflowType :: Maybe CashflowType
- multiDimensPricingData_point :: [PricingStructurePoint]
- data ParametricAdjustment = ParametricAdjustment {}
- data ParametricAdjustmentPoint = ParametricAdjustmentPoint {}
- data PricingStructurePoint = PricingStructurePoint {
- pricingStructPoint_ID :: Maybe ID
- pricingStructPoint_choice0 :: Maybe (OneOf2 PricingDataPointCoordinate PricingDataPointCoordinateReference)
- pricingStructPoint_choice1 :: Maybe (OneOf2 Asset AssetReference)
- pricingStructPoint_value :: Maybe Decimal
- pricingStructPoint_measureType :: Maybe AssetMeasureType
- pricingStructPoint_quoteUnits :: Maybe PriceQuoteUnits
- pricingStructPoint_side :: Maybe QuotationSideEnum
- pricingStructPoint_currency :: Maybe Currency
- pricingStructPoint_currencyType :: Maybe ReportingCurrencyType
- pricingStructPoint_timing :: Maybe QuoteTiming
- pricingStructPoint_choice9 :: Maybe (OneOf2 BusinessCenter ExchangeId)
- pricingStructPoint_informationSource :: [InformationSource]
- pricingStructPoint_pricingModel :: Maybe PricingModel
- pricingStructPoint_time :: Maybe DateTime
- pricingStructPoint_valuationDate :: Maybe Date
- pricingStructPoint_expiryTime :: Maybe DateTime
- pricingStructPoint_cashflowType :: Maybe CashflowType
- data TermCurve = TermCurve {}
- data TermPoint = TermPoint {}
- data VolatilityMatrix = VolatilityMatrix {
- volatMatrix_ID :: Maybe ID
- volatMatrix_definitionRef :: Maybe IDREF
- volatMatrix_objectReference :: Maybe AnyAssetReference
- volatMatrix_valuationScenarioReference :: Maybe ValuationScenarioReference
- volatMatrix_baseDate :: Maybe IdentifiedDate
- volatMatrix_spotDate :: Maybe IdentifiedDate
- volatMatrix_inputDataDate :: Maybe IdentifiedDate
- volatMatrix_endDate :: Maybe IdentifiedDate
- volatMatrix_buildDateTime :: Maybe DateTime
- volatMatrix_dataPoints :: Maybe MultiDimensionalPricingData
- volatMatrix_adjustment :: [ParametricAdjustment]
- data VolatilityRepresentation = VolatilityRepresentation {}
- data YieldCurve = YieldCurve {}
- data YieldCurveValuation = YieldCurveValuation {
- yieldCurveVal_ID :: Maybe ID
- yieldCurveVal_definitionRef :: Maybe IDREF
- yieldCurveVal_objectReference :: Maybe AnyAssetReference
- yieldCurveVal_valuationScenarioReference :: Maybe ValuationScenarioReference
- yieldCurveVal_baseDate :: Maybe IdentifiedDate
- yieldCurveVal_spotDate :: Maybe IdentifiedDate
- yieldCurveVal_inputDataDate :: Maybe IdentifiedDate
- yieldCurveVal_endDate :: Maybe IdentifiedDate
- yieldCurveVal_buildDateTime :: Maybe DateTime
- yieldCurveVal_inputs :: Maybe QuotedAssetSet
- yieldCurveVal_zeroCurve :: Maybe ZeroRateCurve
- yieldCurveVal_forwardCurve :: [ForwardRateCurve]
- yieldCurveVal_discountFactorCurve :: Maybe TermCurve
- data ZeroRateCurve = ZeroRateCurve {}
- elementCreditCurve :: XMLParser CreditCurve
- elementToXMLCreditCurve :: CreditCurve -> [Content ()]
- elementCreditCurveValuation :: XMLParser CreditCurveValuation
- elementToXMLCreditCurveValuation :: CreditCurveValuation -> [Content ()]
- elementFxCurve :: XMLParser FxCurve
- elementToXMLFxCurve :: FxCurve -> [Content ()]
- elementFxCurveValuation :: XMLParser FxCurveValuation
- elementToXMLFxCurveValuation :: FxCurveValuation -> [Content ()]
- elementVolatilityMatrixValuation :: XMLParser VolatilityMatrix
- elementToXMLVolatilityMatrixValuation :: VolatilityMatrix -> [Content ()]
- elementVolatilityRepresentation :: XMLParser VolatilityRepresentation
- elementToXMLVolatilityRepresentation :: VolatilityRepresentation -> [Content ()]
- elementYieldCurve :: XMLParser YieldCurve
- elementToXMLYieldCurve :: YieldCurve -> [Content ()]
- elementYieldCurveValuation :: XMLParser YieldCurveValuation
- elementToXMLYieldCurveValuation :: YieldCurveValuation -> [Content ()]
- module Data.FpML.V53.Doc
- module Data.FpML.V53.Asset
- module Data.FpML.V53.Riskdef
- module Data.FpML.V53.CD
Documentation
data CompoundingFrequency Source
The frequency at which a rate is compounded.
data CreditCurve Source
A generic credit curve definition.
CreditCurve | |
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data CreditCurveValuation Source
A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates.
CreditCurveValuation | |
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data DefaultProbabilityCurve Source
A set of default probabilities.
DefaultProbabilityCurve | |
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data ForwardRateCurve Source
A curve used to model a set of forward interest rates. Used for forecasting interest rates as part of a pricing calculation.
ForwardRateCurve | |
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An fx curve object., which includes pricing inputs and term structures for fx forwards.
FxCurve | |
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data FxCurveValuation Source
A valuation of an FX curve object., which includes pricing inputs and term structures for fx forwards.
FxCurveValuation | |
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A collection of spot FX rates used in pricing.
FxRateSet | |
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data MultiDimensionalPricingData Source
A pricing data set that contains a series of points with coordinates. It is a sparse matrix representation of a multi-dimensional matrix.
MultiDimensionalPricingData | |
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data ParametricAdjustment Source
An adjustment used to accommodate a parameter of the input trade, e.g. the strike.
ParametricAdjustment | |
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data ParametricAdjustmentPoint Source
A value of the adjustment point, consisting of the x value and the corresponding y value.
ParametricAdjustmentPoint | |
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data PricingStructurePoint Source
A single valued point with a set of coordinates that define an arbitrary number of indentifying indexes (0 or more). Note that the collection of coordinates/coordinate references for a PricingStructurePoint must not define a given dimension (other than generic) more than once. This is to avoid ambiguity.
PricingStructurePoint | |
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A curve consisting only of values over a term. This is a restricted form of One Dimensional Structure.
A value point that can have a time dimension. Allows bid, mid, ask, and spread values to be represented.
TermPoint | |
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data VolatilityMatrix Source
A matrix of volatilities with dimension 0-3.
VolatilityMatrix | |
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data VolatilityRepresentation Source
A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix.
VolatilityRepresentation | |
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data YieldCurve Source
A generic yield curve object, which can be valued in a variety of ways.
YieldCurve | |
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data YieldCurveValuation Source
The values of a yield curve, including possibly inputs and outputs (dfs, forwards, zero rates).
YieldCurveValuation | |
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data ZeroRateCurve Source
A curve used to model a set of zero-coupon interest rates.
ZeroRateCurve | |
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elementToXMLFxCurve :: FxCurve -> [Content ()]Source
module Data.FpML.V53.Doc
module Data.FpML.V53.Asset
module Data.FpML.V53.Riskdef
module Data.FpML.V53.CD