A reference to an asset, e.g. a portfolio, trade, or reference instrument.. The frequency at which a rate is compounded. A generic credit curve definition. A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates. A curve of default probabilities. A recovery rate value or curve. A set of default probabilities. A reference to the yield curve values used as a basis for this credit curve valuation. A collection of default probabilities. A curve used to model a set of forward interest rates. Used for forecasting interest rates as part of a pricing calculation. A reference to the rate index whose forwards are modeled. The curve of forward values. An fx curve object., which includes pricing inputs and term structures for fx forwards. A valuation of an FX curve object., which includes pricing inputs and term structures for fx forwards. A curve of fx forward rates A curve of fx forward point spreads. A collection of spot FX rates used in pricing. 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. The name of the dimension. E.g.: "Currency", "Stock", "Issuer", etc. A reference to an instrument (e.g. currency) that this value represents. A collection of instruments usable for quotation purposes. A collection of underlying assets (bonds, discount instruments, futures, etc.) that can be used as a basis for benchmark quotes. The type of interpolation used. A collection of pricing inputs. The name of the market, e.g. the USDLIBOR market. Used for description and understandability. A collection of benchmark instruments and quotes used as inputs to the pricing models. A collection of pricing inputs (curves, volatility matrices, etc.) used to represent the market. The values of the pricing structure used to represent the markets.. The pricing structure used to quote a benchmark instrument. A pricing data set that contains a series of points with coordinates. It is a sparse matrix representation of a multi-dimensional matrix. Characteristics that apply to all quotations in the pricing structure. An adjustment used to accommodate a parameter of the input trade, e.g. the strike. The name of the adjustment parameter (e.g. "Volatility Skew"). The units of the input parameter, e.g. Yield. The values of the adjustment parameter. A value of the adjustment point, consisting of the x value and the corresponding y value. The value of the independent variable (e.g. strike offset). The value of the dependent variable, the actual adjustment amount. A set of index values that identify a pricing data point. For example: (strike = 17%, expiration = 6M, term = 1Y. The type of pricing structure represented. 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. The asset whose price is required. A reference to the pricing input used to value the asset. An abstract pricing structure base type. Used as a base for structures such as yield curves and volatility matrices.. The name of the structure, e.g "USDLIBOR-3M EOD Curve". The currency that the structure is expressed in (this is relevant mostly for the Interes Rates asset class). 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. A quotation for a specific point, including anny characteristics that may be unique to that point. 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. The relevant dates for a pricing structure - what is applies to, when it was built, etc. A collection of quoted assets. A collection of instruments used as a basis for quotation. A collection of valuations (quotes) for the assets needed in the set. Normally these quotes will be for the underlying assets listed above, but they don't necesarily have to be. 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. The time dimension of the point (tenor and/or date) The spread value can be used in conjunction with the "mid" value to define the bid and the ask value. An optional reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a discount instrument. The time dimensions of a term-structure. The user must supply either a tenor or a date or both. The amount of time from the base date of the pricing input to the specified term point, e.g. 6M or 5Y. The absolute date corresponding to this term point, for example January 3, 2005. The amount of time from the base date of the pricing input to the specified term point, e.g. 6M or 5Y. A matrix of volatilities with dimension 0-3. The raw volatility matrix data, expressed as a multi-dimensional array. An adjustment factor, such as for vol smile/skew. A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix. A reference to the asset whose volatility is modeled. A generic yield curve object, which can be valued in a variety of ways. The values of a yield curve, including possibly inputs and outputs (dfs, forwards, zero rates). A curve of zero rates. A curve of forward rates. A curve of discount factors. A curve used to model a set of zero-coupon interest rates. The frequency at which the rates are compounded (e.g. continuously compounded). The curve of zero-coupon values. This is a global element used for creating global types. It holds Market information, e.g. curves, surfaces, quotes, etc. The bid, mid, or ask values relevant for a quote A price "bid" by a buyer for an asset, i.e. the price a buyer is willing to pay. A price midway between the bid and the ask price. A price "asked" by a seller for an asset, i.e. the price at which a seller is willing to sell. The set of characterstics that describe the outputs of a credit curve. The material credit event. The level of seniority of the deliverable obligation. Whether the deliverable obligation is secured or unsecured. The currency of denomination of the deliverable obligation. The underlying obligations of the reference entity on which you are buying or selling protection What sort of obligation may be delivered in the event of the credit event. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category The set of characterstics that describe the outputs of a fx curve. Defines the two currencies for an FX trade and the quotation relationship between the two currencies. A pricing structure coordinate, or a reference to one. This can be used to either directly define a coordinate or reference an existing coordinate. An explicit, filled in data point coordinate. This might specify expiration, strike, etc. A reference to a pricing data point coordinate within this document. The dates that might be relevant for a pricing input, e.g. what valuation date it applies to, when it was built, when the data comes from, etc.. The base date for which the structure applies, i.e. the curve date. Normally this will align with the valuation date. The spot settlement date for which the structure applies, normally 0-2 days after the base date. The difference between the baseDate and the spotDate is termed the settlement lag, and is sometimes called "days to spot". The date from which the input data used to construct the pricing input was obtained. Often the same as the baseDate, but sometimes the pricing input may be "rolled forward", in which input data from one date is used to generate a curve for a later date. The last date for which data is supplied in this pricing input. The date and time when the pricing input was generated. The index (an ordinate) of a pricing structure. The index expresses how far along a particular dimension (e.g. time, strike, etc.) a point is located. A time dimension that represents the term of a financial instrument, e.g. of a zero-coupon bond on a curve, or of an underlying caplet or swap for an option. A time dimension that represents the time to expiration of an option. A numerical dimension that represents the strike rate or price of an option. The model of the recovery rate (single value or curve). A single recovery rate, to be used for all terms. A curve of recovery rates, allowing different terms to have different recovery rates. Include or reference an underlying asset definition. An underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a caplet or simple european swaption. A reference to an underlying asset that defines the meaning of the value, i.e. the product that the value corresponds to. For example, this could be a caplet or simple european swaption. The set of characteristics that describe the outputs of a yield curve.