Safe Haskell | Safe-Infered |
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- data AssetOrTermPointOrPricingStructureReference = AssetOrTermPointOrPricingStructureReference {}
- data BasicAssetValuation = BasicAssetValuation {}
- data DenominatorTerm = DenominatorTerm {}
- data DerivativeCalculationMethod = DerivativeCalculationMethod Scheme DerivativeCalculationMethodAttributes
- data DerivativeCalculationMethodAttributes = DerivativeCalculationMethodAttributes {}
- data DerivativeCalculationProcedure = DerivativeCalculationProcedure {}
- data DerivativeFormula = DerivativeFormula {}
- data FormulaTerm = FormulaTerm {}
- data GenericDimension = GenericDimension XsdString GenericDimensionAttributes
- data GenericDimensionAttributes = GenericDimensionAttributes {}
- data InstrumentSet = InstrumentSet {}
- data Market = Market {}
- data MarketReference = MarketReference {}
- data PerturbationType = PerturbationType Scheme PerturbationTypeAttributes
- data PerturbationTypeAttributes = PerturbationTypeAttributes {}
- data PositionId = PositionId Scheme PositionIdAttributes
- data PositionIdAttributes = PositionIdAttributes {}
- data PricingInputReplacement = PricingInputReplacement {}
- data PricingInputType = PricingInputType Scheme PricingInputTypeAttributes
- data PricingInputTypeAttributes = PricingInputTypeAttributes {}
- data PricingDataPointCoordinate = PricingDataPointCoordinate {}
- data PricingDataPointCoordinateReference = PricingDataPointCoordinateReference {
- pdpcr_href :: IDREF
- data PricingMethod = PricingMethod {}
- data PricingParameterDerivative = PricingParameterDerivative {}
- data PricingParameterDerivativeReference = PricingParameterDerivativeReference {}
- data PricingParameterShift = PricingParameterShift {}
- data PricingStructureValuation = PricingStructureValuation {
- pricingStructVal_ID :: Maybe ID
- pricingStructVal_definitionRef :: Maybe IDREF
- pricingStructVal_objectReference :: Maybe AnyAssetReference
- pricingStructVal_valuationScenarioReference :: Maybe ValuationScenarioReference
- pricingStructVal_baseDate :: Maybe IdentifiedDate
- pricingStructVal_spotDate :: Maybe IdentifiedDate
- pricingStructVal_inputDataDate :: Maybe IdentifiedDate
- pricingStructVal_endDate :: Maybe IdentifiedDate
- pricingStructVal_buildDateTime :: Maybe DateTime
- data QuotedAssetSet = QuotedAssetSet {}
- data SensitivityDefinition = SensitivityDefinition {
- sensitDefin_ID :: Maybe ID
- sensitDefin_name :: Maybe XsdString
- sensitDefin_valuationScenarioReference :: Maybe ValuationScenarioReference
- sensitDefin_choice2 :: OneOf2 ([PricingParameterDerivative], Maybe DerivativeFormula) (OneOf2 TimeDimension (Maybe (OneOf2 PricingDataPointCoordinate PricingDataPointCoordinateReference)))
- data SensitivitySetDefinition = SensitivitySetDefinition {
- sensitSetDefin_ID :: Maybe ID
- sensitSetDefin_name :: Maybe XsdString
- sensitSetDefin_sensitivityCharacteristics :: Maybe QuotationCharacteristics
- sensitSetDefin_valuationScenarioReference :: Maybe ValuationScenarioReference
- sensitSetDefin_pricingInputType :: Maybe PricingInputType
- sensitSetDefin_pricingInputReference :: Maybe PricingStructureReference
- sensitSetDefin_scale :: Maybe Decimal
- sensitSetDefin_sensitivityDefinition :: [SensitivityDefinition]
- sensitSetDefin_calculationProcedure :: Maybe DerivativeCalculationProcedure
- data SensitivitySetDefinitionReference = SensitivitySetDefinitionReference {}
- data TimeDimension = TimeDimension {}
- data Valuation = Valuation {}
- data ValuationReference = ValuationReference {
- valRef_href :: IDREF
- data ValuationScenario = ValuationScenario {}
- data ValuationScenarioReference = ValuationScenarioReference {}
- data WeightedPartialDerivative = WeightedPartialDerivative {}
- elementMarket :: XMLParser Market
- elementToXMLMarket :: Market -> [Content ()]
- elementPricingStructure :: XMLParser PricingStructure
- elementToXMLPricingStructure :: PricingStructure -> [Content ()]
- elementPricingStructureValuation :: XMLParser PricingStructureValuation
- elementToXMLPricingStructureValuation :: PricingStructureValuation -> [Content ()]
- module Data.FpML.V53.Doc
- module Data.FpML.V53.Asset
Documentation
data AssetOrTermPointOrPricingStructureReference Source
Reference to an underlying asset, term point or pricing structure (yield curve).
data BasicAssetValuation Source
A structure that holds a set of measures about an asset.
BasicAssetValuation | |
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data DenominatorTerm Source
The type defining a denominator term of the formula. Its value is (sum of weighted partials) ^ power.
DenominatorTerm | |
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data DerivativeCalculationMethod Source
The method by which a derivative is computed.
data DerivativeCalculationProcedure Source
A description of how a numerical derivative is computed.
DerivativeCalculationProcedure | |
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data DerivativeFormula Source
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.
DerivativeFormula | |
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data FormulaTerm Source
A type defining a term of the formula. Its value is the product of the its coefficient and the referenced partial derivatives.
FormulaTerm | |
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data GenericDimension Source
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 GenericDimensionAttributes Source
GenericDimensionAttributes | |
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data InstrumentSet Source
A collection of instruments usable for quotation purposes. In future releases, quotable derivative assets may be added after the underlying asset.
InstrumentSet | |
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A collection of pricing inputs.
Market | |
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data MarketReference Source
Reference to a market structure.
data PerturbationType Source
The type of perturbation applied to compute a derivative perturbatively.
data PositionId Source
A unique identifier for the position. The id attribute is defined for intradocument referencing.
data PricingInputReplacement Source
The substitution of a pricing input (e.g. curve) for another, used in generating prices and risks for valuation scenarios.
PricingInputReplacement | |
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data PricingInputType Source
The type of pricing structure represented.
data PricingDataPointCoordinate Source
A set of index values that identify a pricing data point. For example: (strike = 17%, expiration = 6M, term = 1Y.
PricingDataPointCoordinate | |
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data PricingDataPointCoordinateReference Source
Reference to a Pricing Data Point Coordinate.
data PricingMethod Source
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.
PricingMethod | |
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data PricingParameterDerivative Source
A definition of the mathematical derivative with respect to a specific pricing parameter.
PricingParameterDerivative | |
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data PricingParameterDerivativeReference Source
Reference to a partial derivative.
data PricingParameterShift Source
A definition of a shift with respect to a specific pricing parameter.
PricingParameterShift | |
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data PricingStructureValuation Source
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.
PricingStructureValuation | |
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data QuotedAssetSet Source
A collection of quoted assets.
QuotedAssetSet | |
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data SensitivityDefinition Source
A set of characteristics describing a sensitivity.
SensitivityDefinition | |
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data SensitivitySetDefinition Source
A sensitivity report definition, consisting of a collection of sensitivity definitions.
SensitivitySetDefinition | |
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data SensitivitySetDefinitionReference Source
A reference to a sensitivity set definition.
data TimeDimension Source
The time dimensions of a term-structure. The user must supply either a tenor or a date or both.
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.
Valuation | |
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data ValuationReference Source
Reference to a Valuation or any derived structure such as PricingStructureValuation.
data ValuationScenario Source
A set of rules for generating a valuation.
ValuationScenario | |
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data ValuationScenarioReference Source
Reference to a valuation scenario.
data WeightedPartialDerivative Source
A partial derivative multiplied by a weighting factor.
WeightedPartialDerivative | |
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elementMarket :: XMLParser MarketSource
This is a global element used for creating global types. It holds Market information, e.g. curves, surfaces, quotes, etc.
elementToXMLMarket :: Market -> [Content ()]Source
module Data.FpML.V53.Doc
module Data.FpML.V53.Asset