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‎Docs/UserGuide/parameterisation/stressconfig.tex‎

Lines changed: 63 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -8,21 +8,31 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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This file {\tt stressconfig.xml} specifies how stress tests can be configured. The general structure is shown in listing
99
\ref{lst:stress_config}.
1010

11-
In this example, two stress scenarios ``parallel\_rates'' and ``twist'' are defined. Each scenario definition contains
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In this example, two zero stress scenarios ``parallel\_rates'' and ``twist'' and one par rate ``par_parallel'' are defined.
12+
Each scenario definition contains
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the market components to be shifted in this scenario in a similar syntax that is also used for the sensitivity
1314
configuration, see \ref{sec:sensitivity}. Components that should not be shifted, can just be omitted in the definition
14-
of the scenario.
15+
of the scenario. Shifts for rate curves, credit curves and interest rate cap/floors can be given as par or zero rate shifts.
16+
By default shifts are zero rate shifts. If shifts are marked as par rate shifts all components (rate/credit/caps) shifts are
17+
par shifts in that category, for example it is not possible to have par rate first for one yield curve and zero rate for
18+
another curve in the same scenario. In case of par stress scenario, the shifted par instruments and related conventions are defined
19+
in a sensitivity configuration. The number number stress shifts (tenors/expiries and strikes) need to be allign with
20+
the tenors/expiries and strikes of par instruments \ref{sec:sensitivity}.
1521

1622
However, instead of specifying one shift size per market component, here a whole vector of shifts can be given, with
1723
different shift sizes applied to each point of the curve (or surface / cube).
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1925
In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
2026
and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
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UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
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improve the alignment of the scenario sim market and t0 curves.
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\begin{longlisting}
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%\hrule\medskip
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\begin{minted}[fontsize=\scriptsize]{xml}
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<StressTesting>
35+
<UseSpreadedTermStructures>false</UseSpreadedTermStructures>
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<StressTest id="parallel_rates">
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
@@ -74,8 +84,58 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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<StressTest id="twist">
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...
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</StressTest>
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<StressTest id="par_parallel">
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<ParShifts>
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<IRCurves>true</IRCurves>
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<SurvivalProbability>true</SurvivalProbability>
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<CapFloorVolatilities>true</CapFloorVolatilities>
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</ParShifts>
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
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</DiscountCurve>
99+
...
100+
</DiscountCurves>
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<IndexCurves>
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...
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</IndexCurves>
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<YieldCurves />
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<FxSpots />
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<FxVolatilities />
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<SwaptionVolatilities />
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<CapFloorVolatilities>
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<CapFloorVolatility key="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftExpiries>1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y</ShiftExpiries>
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<Shifts>
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<Shift tenor="1Y">0.01</Shift>
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<Shift tenor="2Y">0.01</Shift>
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<Shift tenor="3Y">0.01</Shift>
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<Shift tenor="4Y">0.01</Shift>
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<Shift tenor="5Y">0.01</Shift>
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<Shift tenor="6Y">0.01</Shift>
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<Shift tenor="7Y">0.01</Shift>
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<Shift tenor="8Y">0.01</Shift>
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<Shift tenor="9Y">0.01</Shift>
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</Shifts>
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</CapFloorVolatility>
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</CapFloorVolatilities>
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<EquitySpots />
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<EquityVolatilities />
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<SecuritySpreads />
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<RecoveryRates />
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<SurvivalProbabilities>
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<SurvivalProbability name="Underlying1">
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<ShiftType>Absolute</ShiftType>
132+
<Shifts>0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1Y, 2Y, 3Y, 5Y, 10Y</ShiftTenors>
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</SurvivalProbability>
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</SurvivalProbabilities>
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</StressTest>
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</StressTesting>
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\end{minted}
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\caption{Stress configuration}
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\label{lst:stress_config}
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\end{longlisting}
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\end{longlisting}

‎Docs/UserGuide/userguide.tex‎

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Original file line numberDiff line numberDiff line change
@@ -6134,10 +6134,16 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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This file {\tt stressconfig.xml} specifies how stress tests can be configured. The general structure is shown in listing
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\ref{lst:stress_config}.
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6137-
In this example, two stress scenarios ``parallel\_rates'' and ``twist'' are defined. Each scenario definition contains
6137+
In this example, two zero stress scenarios ``parallel\_rates'' and ``twist'' and one par rate ``par\_parallel'' are defined.
6138+
Each scenario definition contains
61386139
the market components to be shifted in this scenario in a similar syntax that is also used for the sensitivity
61396140
configuration, see \ref{sec:sensitivity}. Components that should not be shifted, can just be omitted in the definition
6140-
of the scenario.
6141+
of the scenario. Shifts for rate curves, credit curves and interest rate cap/floors can be given as par or zero rate shifts.
6142+
By default shifts are zero rate shifts. If shifts are marked as par rate shifts all components (rate/credit/caps) shifts are
6143+
par shifts in that category, for example it is not possible to have par rate first for one yield curve and zero rate for
6144+
another curve in the same scenario. In case of par stress scenario, the shifted par instruments and related conventions are defined
6145+
in a sensitivity configuration. The number number stress shifts (tenors/expiries and strikes) need to be allign with
6146+
the tenors/expiries and strikes of par instruments \ref{sec:sensitivity}.
61416147

61426148
However, instead of specifying one shift size per market component, here a whole vector of shifts can be given, with
61436149
different shift sizes applied to each point of the curve (or surface / cube).
@@ -6148,7 +6154,6 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
61496155
improve the alignment of the scenario sim market and t0 curves.
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6151-
61526157
\begin{longlisting}
61536158
%\hrule\medskip
61546159
\begin{minted}[fontsize=\scriptsize]{xml}
@@ -6205,6 +6210,56 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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<StressTest id="twist">
62066211
...
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</StressTest>
6213+
<StressTest id="par_parallel">
6214+
<ParShifts>
6215+
<IRCurves>true</IRCurves>
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<SurvivalProbability>true</SurvivalProbability>
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<CapFloorVolatilities>true</CapFloorVolatilities>
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</ParShifts>
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<DiscountCurves>
6220+
<DiscountCurve ccy="EUR">
6221+
<ShiftType>Absolute</ShiftType>
6222+
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
6223+
<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
6224+
</DiscountCurve>
6225+
...
6226+
</DiscountCurves>
6227+
<IndexCurves>
6228+
...
6229+
</IndexCurves>
6230+
<YieldCurves />
6231+
<FxSpots />
6232+
<FxVolatilities />
6233+
<SwaptionVolatilities />
6234+
<CapFloorVolatilities>
6235+
<CapFloorVolatility key="EUR-EURIBOR-6M">
6236+
<ShiftType>Absolute</ShiftType>
6237+
<ShiftExpiries>1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y</ShiftExpiries>
6238+
<Shifts>
6239+
<Shift tenor="1Y">0.01</Shift>
6240+
<Shift tenor="2Y">0.01</Shift>
6241+
<Shift tenor="3Y">0.01</Shift>
6242+
<Shift tenor="4Y">0.01</Shift>
6243+
<Shift tenor="5Y">0.01</Shift>
6244+
<Shift tenor="6Y">0.01</Shift>
6245+
<Shift tenor="7Y">0.01</Shift>
6246+
<Shift tenor="8Y">0.01</Shift>
6247+
<Shift tenor="9Y">0.01</Shift>
6248+
</Shifts>
6249+
</CapFloorVolatility>
6250+
</CapFloorVolatilities>
6251+
<EquitySpots />
6252+
<EquityVolatilities />
6253+
<SecuritySpreads />
6254+
<RecoveryRates />
6255+
<SurvivalProbabilities>
6256+
<SurvivalProbability name="Underlying1">
6257+
<ShiftType>Absolute</ShiftType>
6258+
<Shifts>0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
6259+
<ShiftTenors>1Y, 2Y, 3Y, 5Y, 10Y</ShiftTenors>
6260+
</SurvivalProbability>
6261+
</SurvivalProbabilities>
6262+
</StressTest>
62086263
</StressTesting>
62096264
\end{minted}
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\caption{Stress configuration}

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