ISO 19312 Pricing - Data Types

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Contents

CalculationType1Code

Definition
"Specifies calculation types such as yield, duration, analytics etc."
Elements
Yield - Yield is the annual rate of return for any investment and is expressed as a percentage.
YieldToMaturity - "The internal rate of return an investor would achieve if he or she purchased that bond at its current dirty price, and held it to maturity, assuming all coupon and principal payments are received as scheduled"
CurrentYield - The ratio of the interest payment amount to the clean price.
DiscountYield - "Yield quoted for a discount instrument. This is the ratio of the discount to the face value, divided by the period to maturity as a fraction of a year."
DirectYield - Dividend related to the price.
YieldToNextCall - The yield of a bond to the next possible call date.
YieldToAverageLife - The yield achieved by substituting a bond's average life for the issue's final maturity date.
BondEquivalentYield - "A calculation for restating semi-annual, quarterly, or monthly discount-bond or note yields into an annual yield."

CalculationType2Code

Definition
"Specifies calculation types such as yield, duration, analytics etc."
Elements
Duration - "A measurement of how long, in years, it takes for the price of a bond to be repaid by its internal cash flows."
ModifiedDuration - A formula that expresses the measurable change in the value of a security in response to a change in interest rates.
MacaulyDuration - The weighted-average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing the present value of the cash flow by the price.

CalculationType3Code

Definition
"Specifies calculation types such as yield, duration, analytics etc."
Elements
LifeToNextProbableCall - The life of the bond to next probable call.
AverageLife - The weighted average time to redemption of an amortising bond using relative redemption cash flows as weights.

CalculationType4Code

Definition
"Specifies calculation types such as yield, duration, analytics etc."
Elements
Convexity - Measure of change in duration (linear measure of changes in bond price in reaction to interest rate changes) of a bond as interest rate changes over time.
Volatility - A statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index.
Alpha - Excess return on an investment attributed to an investment managers performance.
Beta - Volatility of an instrument relative to a particular market set of instruments.
Delta - First order (linear) sensitivity to changes in an underlying security price.
Gamma - Second order (quadratic) sensitivity to changes in an underlying security price.
Speed - Third order sensitivity to changes in an underlying security price.
Rho - First order (linear) sensitivity to changes in the risk free rate of return.
Theta - First order (linear) sensitivity to the passage of time.
Vega - First order (linear) sensitivity to changes in implied volatility of an underlying security. Sometimes called kappa or tau.
Lamda - Percent change in option value per change in underlying price.
Vega Gamma or Volga - Second order (quadratic) sensitivity to changes in implied volatility in an underlying security price.
Vanna - Sensitivity of delta to a change in volatility.
Delta Decay or Charm - Measures time decay of Delta.
Color - Sensitivity of Delta Decay to underlying price.
PriceEarningRatio - Price per share divided by the earnings per share. P/E ratio is used to measure how cheap or expensive its share price is.
PriceBookRatio - A ratio used to compare a stock's market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter's book value per share.
PriceSalesRatio - "A ratio for valuing a stock relative to its own past performance, other companies or the market itself. Price to sales is calculated by dividing a stock's current price by its revenue per share for the trailing 12 months."
EarningPerShare - The portion of a company's profit allocated to each outstanding share of common stock. EPS serves as an indicator of a company's profitability.
EPSPctChangeTTM - Percent Change in EPS Trailing Twelve Months.
NetIncomeSalesRatio - Net income as percent of sales.
PriceEarningsGrowth - A ratio used to determine a stock's value while taking into account earnings growth.
QuickRatio - (Current Assets - Inventory)/Liabilities.
CurrentRatio - Current Assets/Current Liabilities.
DividendPayoutRatio - Dividends per Share/EPS.
DebtEquityRatio - Total Liabilities / Shareholder Equity.
Return on Equity - A measure of a corporation's profitability that reveals how much profit a company generates with the money shareholders have invested.
Return on Assets - "An indicator of how profitable a company is relative to its total assets. ROA gives an idea as to how efficient management is at using its assets to generate earnings. Calculated by dividing a company's annual earnings by its total assets, ROA is displayed as a percentage."
Return on Investment - Return on investment.
SalesEmployee - An important ratio that looks at a company's sales in relation to the number of employees they have.
CurrentAssets - "A balance sheet account that represents the value of all assets that are reasonably expected to be converted into cash within one year in the normal course of business. Current assets include cash, accounts receivable, inventory, marketable securities, prepaid expenses and other liquid assets that can be readily converted to cash."
LTDebt - Loans and financial obligations lasting over one year.
CurrentLiabilities - "A company's debts or obligations that are due within one year. Current liabilities appear on the company's balance sheet and include short term debt, accounts payable, accrued liabilities and other debts."
SalesRevenue - Amount of sales.
SalesMargin - A financial metric used to assess a firm's financial health by revealing the proportion of money left over from revenues after accounting for the cost of goods sold. Gross profit margin serves as the source for paying additional expenses and future savings.
AvgEstimateEarningsGrowth-1yr - "If we go here, really need to have the substructure -- # of analysts, release dates, etc."
AvgEstimateEarningsGrowth-5yr - "If we go here, really need to have the substructure -- # of analysts, release dates, etc."
AvgAnalystRating - "If we go here, really need to have the substructure -- # of analysts, release dates, etc."
FundPortAnnReturn - Last twelve months or calendar year.
FundPortCumReturn - "Requires timeframe - generally from inception or in 3, 5, and 10 year periods."
FundPortStdDev - Portfolio volatility as a percentage.
FundvBenchAnnReturn - Last twelve months or calendar year.
FundvBenchCumReturn - "Requires timeframe - generally from inception or in 3, 5, and 10 year periods."
FundvStdDev - Portfolio vs. Benchmark volatility.
FundvBenchExcessAnnReturn - Return variance from Benchmark.
FundvBenchExcessCumReturn - Return variance from Benchmark.
FundvBenchTrackingError - Volatility of fund excess return.

PriceFactTypeCode

Definition
Specifies observed limits or specific price condition.
Elements
Last - The last price provided.
Close - The closing price for the day.
High - Highest price over the period.
Low - Lowest price during the period.
Open - The opening price for the day.
Best - "For bid/ask, top of orderbook."

TradeTransactionCondition2Code

Definition
Indicates the conditions under which the order/trade is to be/was executed.
Elements
CumBonus - Indicates whether the trade is executed cum bonus.
ExBonus - Indicates whether the trade is executed ex bonus.
CumCoupon - Indicates whether the trade is executed cum coupon.
ExCoupon - Indicates whether the trade is executed ex coupon.
CumDividend - Indicates whether the trade is executed cum dividend.
ExDividend - Indicates whether the trade is executed ex dividend.
CumRights - Indicates whether the trade is executed cum rights.
ExRights - Indicates whether the trade is executed ex rights.
CumWarrant - Indicates whether the trade is executed cum warrant.
ExWarrant - Indicates whether the trade is executed ex warrant.
SpecialCumDividend - "Indicates whether the trade is executed with a special cum dividend, ie, buying after the ex date and getting the dividend."
SpecialExDividend - "Indicates whether the trade is executed with a special ex dividend, ie, selling before the ex date without the coupon. "
CrossTrade - Indicates that cross trades are allowed whereby buy and sell orders are offset without recording the trade on the exchange.
NoCrossTrade - "Indicates that cross trades, whereby buy and sell orders are offset without recording the trade on the exchange, are not allowed."
Automated - Indicates that the event occurs as the result of an automated process.

TypeOfPrice13Code

Definition
Specifies the type of price and information about the price.
Elements
Ask - Offer. Price for which seller is willing to sell item.
Bid - Price purchaser is willing to pay for item.
Draw - Price selected as a result of a lottery/tiebreaker.
Auction - Price selected as a crossing of an auction.
Mid - Average of the bid and ask.
IndicativePaid - Reduced and partial execution based on high bids and ask orders.
Kassa - Official declared price.
Spread - The difference between bid and ask.
Tax - Price for tax declaration purpose.
FairValue - Estimate of the potential market price.
SubscriptionNAV - NAV applicable to subscriptions.
RedemptionNAV - NAV applicable to redemptions.
Paid - Price at which the trade was done.
Settlement - Price used for the settlement of futures and options.
NetAssetValue - Net asset value (per unit).
Clean - Paid without accumulated interest
Dirty - Paid with accumulated interest.
TaxableIncomePerShareCalculated - Specifies whether the fund calculates a taxable interest per share (TIS).
Calculated - Price is calculated.
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