{-# LANGUAGE MultiParamTypeClasses, FunctionalDependencies #-} {-# OPTIONS_GHC -fno-warn-duplicate-exports #-} module Data.FpML.V53.Riskdef ( module Data.FpML.V53.Riskdef , module Data.FpML.V53.Doc , module Data.FpML.V53.Asset -- , module Data.FpML.V53.Mktenv ) where import Text.XML.HaXml.Schema.Schema (SchemaType(..),SimpleType(..),Extension(..),Restricts(..)) import Text.XML.HaXml.Schema.Schema as Schema import qualified Text.XML.HaXml.Schema.PrimitiveTypes as Xsd import {-# SOURCE #-} Data.FpML.V53.Doc import {-# SOURCE #-} Data.FpML.V53.Asset --import {-# SOURCE #-} Data.FpML.V53.Mktenv -- | Reference to an underlying asset, term point or pricing -- structure (yield curve). data AssetOrTermPointOrPricingStructureReference instance Eq AssetOrTermPointOrPricingStructureReference instance Show AssetOrTermPointOrPricingStructureReference instance SchemaType AssetOrTermPointOrPricingStructureReference instance Extension AssetOrTermPointOrPricingStructureReference Reference -- | A structure that holds a set of measures about an asset. data BasicAssetValuation instance Eq BasicAssetValuation instance Show BasicAssetValuation instance SchemaType BasicAssetValuation instance Extension BasicAssetValuation Valuation -- | The type defining a denominator term of the formula. Its -- value is (sum of weighted partials) ^ power. data DenominatorTerm instance Eq DenominatorTerm instance Show DenominatorTerm instance SchemaType DenominatorTerm -- | The method by which a derivative is computed. data DerivativeCalculationMethod data DerivativeCalculationMethodAttributes instance Eq DerivativeCalculationMethod instance Eq DerivativeCalculationMethodAttributes instance Show DerivativeCalculationMethod instance Show DerivativeCalculationMethodAttributes instance SchemaType DerivativeCalculationMethod instance Extension DerivativeCalculationMethod Scheme -- | A description of how a numerical derivative is computed. data DerivativeCalculationProcedure instance Eq DerivativeCalculationProcedure instance Show DerivativeCalculationProcedure instance SchemaType DerivativeCalculationProcedure -- | A formula for computing a complex derivative from partial -- derivatives. Its value is the sum of the terms divided by -- the product of the denominator terms. data DerivativeFormula instance Eq DerivativeFormula instance Show DerivativeFormula instance SchemaType DerivativeFormula -- | A type defining a term of the formula. Its value is the -- product of the its coefficient and the referenced partial -- derivatives. data FormulaTerm instance Eq FormulaTerm instance Show FormulaTerm instance SchemaType FormulaTerm -- | A generic (user defined) dimension, e.g. for use in a -- correlation surface. e.g. a currency, stock, etc. This -- would take values like USD, GBP, JPY, or IBM, MSFT, etc. data GenericDimension data GenericDimensionAttributes instance Eq GenericDimension instance Eq GenericDimensionAttributes instance Show GenericDimension instance Show GenericDimensionAttributes instance SchemaType GenericDimension instance Extension GenericDimension Xsd.XsdString -- | A collection of instruments usable for quotation purposes. -- In future releases, quotable derivative assets may be added -- after the underlying asset. data InstrumentSet instance Eq InstrumentSet instance Show InstrumentSet instance SchemaType InstrumentSet -- | A collection of pricing inputs. data Market instance Eq Market instance Show Market instance SchemaType Market -- | Reference to a market structure. data MarketReference instance Eq MarketReference instance Show MarketReference instance SchemaType MarketReference instance Extension MarketReference Reference -- | The type of perturbation applied to compute a derivative -- perturbatively. data PerturbationType data PerturbationTypeAttributes instance Eq PerturbationType instance Eq PerturbationTypeAttributes instance Show PerturbationType instance Show PerturbationTypeAttributes instance SchemaType PerturbationType instance Extension PerturbationType Scheme -- | A unique identifier for the position. The id attribute is -- defined for intradocument referencing. data PositionId data PositionIdAttributes instance Eq PositionId instance Eq PositionIdAttributes instance Show PositionId instance Show PositionIdAttributes instance SchemaType PositionId instance Extension PositionId Scheme -- | The substitution of a pricing input (e.g. curve) for -- another, used in generating prices and risks for valuation -- scenarios. data PricingInputReplacement instance Eq PricingInputReplacement instance Show PricingInputReplacement instance SchemaType PricingInputReplacement -- | The type of pricing structure represented. data PricingInputType data PricingInputTypeAttributes instance Eq PricingInputType instance Eq PricingInputTypeAttributes instance Show PricingInputType instance Show PricingInputTypeAttributes instance SchemaType PricingInputType instance Extension PricingInputType Scheme -- | A set of index values that identify a pricing data point. -- For example: (strike = 17%, expiration = 6M, term = 1Y. data PricingDataPointCoordinate instance Eq PricingDataPointCoordinate instance Show PricingDataPointCoordinate instance SchemaType PricingDataPointCoordinate -- | Reference to a Pricing Data Point Coordinate. data PricingDataPointCoordinateReference instance Eq PricingDataPointCoordinateReference instance Show PricingDataPointCoordinateReference instance SchemaType PricingDataPointCoordinateReference instance Extension PricingDataPointCoordinateReference Reference -- | For an asset (e.g. a reference/benchmark asset), the -- pricing structure used to price it. Used, for example, to -- specify that the rateIndex "USD-LIBOR-Telerate" with term = -- 6M is priced using the "USD-LIBOR-Close" curve. data PricingMethod instance Eq PricingMethod instance Show PricingMethod instance SchemaType PricingMethod -- | A definition of the mathematical derivative with respect to -- a specific pricing parameter. data PricingParameterDerivative instance Eq PricingParameterDerivative instance Show PricingParameterDerivative instance SchemaType PricingParameterDerivative -- | Reference to a partial derivative. data PricingParameterDerivativeReference instance Eq PricingParameterDerivativeReference instance Show PricingParameterDerivativeReference instance SchemaType PricingParameterDerivativeReference instance Extension PricingParameterDerivativeReference Reference -- | A definition of a shift with respect to a specific pricing -- parameter. data PricingParameterShift instance Eq PricingParameterShift instance Show PricingParameterShift instance SchemaType PricingParameterShift -- | An abstract pricing structure valuation base type. Used as -- a base for values of pricing structures such as yield -- curves and volatility matrices. Derived from the -- "Valuation" type. data PricingStructureValuation instance Eq PricingStructureValuation instance Show PricingStructureValuation instance SchemaType PricingStructureValuation instance Extension PricingStructureValuation Valuation -- | A collection of quoted assets. data QuotedAssetSet instance Eq QuotedAssetSet instance Show QuotedAssetSet instance SchemaType QuotedAssetSet -- | A set of characteristics describing a sensitivity. data SensitivityDefinition instance Eq SensitivityDefinition instance Show SensitivityDefinition instance SchemaType SensitivityDefinition -- | A sensitivity report definition, consisting of a collection -- of sensitivity definitions. data SensitivitySetDefinition instance Eq SensitivitySetDefinition instance Show SensitivitySetDefinition instance SchemaType SensitivitySetDefinition -- | A reference to a sensitivity set definition. data SensitivitySetDefinitionReference instance Eq SensitivitySetDefinitionReference instance Show SensitivitySetDefinitionReference instance SchemaType SensitivitySetDefinitionReference instance Extension SensitivitySetDefinitionReference Reference -- | The time dimensions of a term-structure. The user must -- supply either a tenor or a date or both. data TimeDimension instance Eq TimeDimension instance Show TimeDimension instance SchemaType TimeDimension -- | 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. data Valuation instance Eq Valuation instance Show Valuation instance SchemaType Valuation -- | Reference to a Valuation or any derived structure such as -- PricingStructureValuation. data ValuationReference instance Eq ValuationReference instance Show ValuationReference instance SchemaType ValuationReference instance Extension ValuationReference Reference -- | A set of rules for generating a valuation. data ValuationScenario instance Eq ValuationScenario instance Show ValuationScenario instance SchemaType ValuationScenario -- | Reference to a valuation scenario. data ValuationScenarioReference instance Eq ValuationScenarioReference instance Show ValuationScenarioReference instance SchemaType ValuationScenarioReference instance Extension ValuationScenarioReference Reference -- | A partial derivative multiplied by a weighting factor. data WeightedPartialDerivative instance Eq WeightedPartialDerivative instance Show WeightedPartialDerivative instance SchemaType WeightedPartialDerivative -- | This is a global element used for creating global types. It -- holds Market information, e.g. curves, surfaces, quotes, -- etc. elementMarket :: XMLParser Market elementToXMLMarket :: Market -> [Content ()] elementPricingStructure :: XMLParser PricingStructure elementToXMLPricingStructure :: PricingStructure -> [Content ()] elementPricingStructureValuation :: XMLParser PricingStructureValuation elementToXMLPricingStructureValuation :: PricingStructureValuation -> [Content ()]