Analytics

/FundsXML4/RegulatoryReportings/IndirectReporting/TripartiteTemplateSolvencyII_V5/Portfolio/Positions/Position/Analytics

Diagram

Analytics Financial ratios: Modified duration, Delta, ... Useless fo cash positions 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"
altova = "http://www.altova.com/xml-schema-extensions"
ds = "http://www.w3.org/2000/09/xmldsig#"
Level
7
Sample Data

Child Elements & Attributes

Name (XPath) Type Documentation Sample Data
/RegulatoryReportings/.../ModifiedDurationToMaturity xs:decimal

A90 - Modified duration to maturity date based on dirty price.

 49.95
/RegulatoryReportings/.../ModifiedDurationToCall xs:decimal

A91 - Modified duration to next call/put date, if any.

 694.17
/RegulatoryReportings/.../CreditSensitivity xs:decimal

A92

 153.63
/RegulatoryReportings/.../Delta xs:decimal

A93 - For Convertibles and Options.
Sensitivity to the underlying asset.

 975.11
/RegulatoryReportings/.../Convexity xs:decimal

A94 - Convexity for interest rates instruments; or
gamma for derivatives with optional components

 821.50
/RegulatoryReportings/.../Vega xs:decimal

A94b

 635.72

XML Snippet

<xs:element xmlns:altova="http://www.altova.com/xml-schema-extensions"
            xmlns:ds="http://www.w3.org/2000/09/xmldsig#"
            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>