Analytics

/FundsXML4/RegulatoryReportings/IndirectReporting/TripartiteTemplateSolvencyII/Portfolio/Positions/Position/Analytics

Diagram

Analytics ModifiedDurationToMaturity xs:decimal [0..1] ModifiedDurationToCall xs:decimal [0..1] CreditSensitivity xs:decimal [0..1] Delta xs:decimal [0..1] Convexity xs:decimal [0..1] Vega xs:decimal [0..1]

Documentation

Financial ratios: Modified duration, Delta, ...
Useless fo cash positions

Properties

Type
(anonymous)
Cardinality
0..1
Namespace
xs = "http://www.w3.org/2001/XMLSchema"
vc = "http://www.w3.org/2007/XMLSchema-versioning"
altova = "http://www.altova.com/xml-schema-extensions"
ds = "http://www.w3.org/2000/09/xmldsig#"
Level
7

Child Elements & Attributes

Child elements and attributes of this element
Name (XPath) Type Documentation Sample Data
/RegulatoryReportings/.../ModifiedDurationToMaturity
xs:decimal

A90 - Modified duration to maturity date based on dirty price.
466.19
/RegulatoryReportings/.../ModifiedDurationToCall
xs:decimal

A91 - Modified duration to next call/put date, if any.
683.67
/RegulatoryReportings/.../CreditSensitivity
xs:decimal

A92
714.57
/RegulatoryReportings/.../Delta
xs:decimal

A93 - For Convertibles and Options.
Sensitivity to the underlying asset.
55.30
/RegulatoryReportings/.../Convexity
xs:decimal

A94 - Convexity for interest rates instruments; or
gamma for derivatives with optional components
449.97
/RegulatoryReportings/.../Vega
xs:decimal

A94b
923.15

Element Definition

 
<xs:element xmlns:altova="http://www.altova.com/xml-schema-extensions"
            xmlns:ds="http://www.w3.org/2000/09/xmldsig#"
            xmlns:vc="http://www.w3.org/2007/XMLSchema-versioning"
            xmlns:xs="http://www.w3.org/2001/XMLSchema"
            minOccurs="0"
            name="Analytics">
   <xs:annotation>
      <xs:documentation>Financial ratios: Modified duration, Delta, ...
Useless fo cash positions</xs:documentation>
   </xs:annotation>
   <xs:complexType>
      <xs:sequence>
         <xs:element minOccurs="0" name="ModifiedDurationToMaturity" type="xs:decimal">
            <xs:annotation>
               <xs:documentation xml:lang="en">A90 - Modified duration to maturity date based on dirty price.</xs:documentation>
            </xs:annotation>
         </xs:element>
         <xs:element minOccurs="0" name="ModifiedDurationToCall" type="xs:decimal">
            <xs:annotation>
               <xs:documentation xml:lang="en">A91 - Modified duration to next call/put date, if any.</xs:documentation>
            </xs:annotation>
         </xs:element>
         <xs:element minOccurs="0" name="CreditSensitivity" type="xs:decimal">
            <xs:annotation>
               <xs:documentation xml:lang="en">A92</xs:documentation>
            </xs:annotation>
         </xs:element>
         <xs:element minOccurs="0" name="Delta" type="xs:decimal">
            <xs:annotation>
               <xs:documentation xml:lang="en">A93 - For Convertibles and Options.
Sensitivity to the underlying asset.</xs:documentation>
            </xs:annotation>
         </xs:element>
         <xs:element minOccurs="0" name="Convexity" type="xs:decimal">
            <xs:annotation>
               <xs:documentation xml:lang="en">A94 - Convexity for interest rates instruments; or 
gamma for derivatives with optional components </xs:documentation>
            </xs:annotation>
         </xs:element>
         <xs:element minOccurs="0" name="Vega" type="xs:decimal">
            <xs:annotation>
               <xs:documentation>A94b</xs:documentation>
            </xs:annotation>
         </xs:element>
      </xs:sequence>
   </xs:complexType>
</xs:element>