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XVA bump and reval sensitivities
1 parent 72c198c commit 055290f

21 files changed

Lines changed: 1860 additions & 2 deletions

‎Examples/Example_68/ExpectedOutput/exposure_nettingset_CPTY_A.csv‎

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‎Examples/Example_68/ExpectedOutput/xva.csv‎

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#Type,IsPar,Factor_1,ShiftSize_1,Factor_2,ShiftSize_2,Currency,TradeId,NettingSetId,CVA,DVA,FBA,FCA,FBAexOwnSP,FCAexOwnSP,FBAexAllSP,FCAexAllSP,COLVA,MVA,OurKVACCR,TheirKVACCR,OurKVACVA,TheirKVACVA,CollateralFloor,AllocatedCVA,AllocatedDVA,AllocationMethod,BaselEPE,BaselEEPE
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Base,false,,0.00000000,,0.00000000,EUR,,CPTY_A,66500.29,87747.73,40464.79,-9800.81,46158.29,-11151.71,50059.79,-12072.07,0.00,-4433.13,0.00,0.00,0.00,0.00,0.00,66500.29,87747.73,None,288934.76,288934.76
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Base,false,,0.00000000,,0.00000000,EUR,Swap_EUR,CPTY_A,38849.87,69182.70,31865.03,-5709.87,36423.55,-6514.91,39548.37,-7065.01,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,155913.41,157137.23
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Base,false,,0.00000000,,0.00000000,EUR,Swap_USD,CPTY_A,50679.25,55388.70,25637.28,-7495.89,29058.31,-8498.62,31391.13,-9179.86,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,238957.03,238957.03
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Up,false,DiscountCurve/EUR/0/1Y,0.00010000,,0.00000000,EUR,,CPTY_A,66507.91,87762.53,40628.08,-9603.50,46350.81,-10921.06,50272.39,-11818.67,0.00,-4392.34,0.00,0.00,0.00,0.00,0.00,66507.91,87762.53,None,288981.50,288981.50
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Up,false,DiscountCurve/EUR/0/1Y,0.00010000,,0.00000000,EUR,Swap_EUR,CPTY_A,38858.39,69198.67,31998.37,-5595.33,36580.68,-6380.59,39721.84,-6917.17,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,155934.05,157154.25
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Up,false,DiscountCurve/EUR/0/1Y,0.00010000,,0.00000000,EUR,Swap_USD,CPTY_A,50681.43,55392.45,25735.74,-7347.32,29173.85,-8325.25,31518.34,-8989.61,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,239005.69,239005.69
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Up,false,DiscountCurve/EUR/1/5Y,0.00010000,,0.00000000,EUR,,CPTY_A,66457.66,87664.44,39462.51,-10972.55,45007.88,-12490.92,48807.80,-13525.39,0.00,-4914.24,0.00,0.00,0.00,0.00,0.00,66457.66,87664.44,None,288899.79,288899.79
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Up,false,DiscountCurve/EUR/1/5Y,0.00010000,,0.00000000,EUR,Swap_EUR,CPTY_A,38787.95,69068.40,31051.14,-6386.63,35487.84,-7290.55,38529.08,-7908.24,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,155784.70,157021.78
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Up,false,DiscountCurve/EUR/1/5Y,0.00010000,,0.00000000,EUR,Swap_USD,CPTY_A,50681.43,55392.45,25029.87,-8394.84,28365.83,-9522.74,30640.61,-10289.05,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,238993.91,238993.91
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Up,false,DiscountCurve/USD/0/1Y,0.00010000,,0.00000000,EUR,,CPTY_A,66510.60,87757.28,40469.16,-9802.32,46163.35,-11153.44,50065.32,-12073.94,0.00,-4433.59,0.00,0.00,0.00,0.00,0.00,66510.60,87757.28,None,289021.20,289021.20
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Up,false,DiscountCurve/USD/0/1Y,0.00010000,,0.00000000,EUR,Swap_EUR,CPTY_A,38849.87,69182.70,31865.03,-5709.87,36423.55,-6514.91,39548.37,-7065.01,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,155913.41,157137.23
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Up,false,DiscountCurve/USD/0/1Y,0.00010000,,0.00000000,EUR,Swap_USD,CPTY_A,50692.83,55403.45,25644.03,-7497.88,29066.11,-8500.90,31399.66,-9182.34,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,239059.72,239059.72
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Up,false,DiscountCurve/USD/1/5Y,0.00010000,,0.00000000,EUR,,CPTY_A,66438.58,87697.94,40442.09,-9791.76,46131.89,-11141.36,50030.83,-12060.83,0.00,-4430.01,0.00,0.00,0.00,0.00,0.00,66438.58,87697.94,None,288577.34,288577.34
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Up,false,DiscountCurve/USD/1/5Y,0.00010000,,0.00000000,EUR,Swap_EUR,CPTY_A,38849.87,69182.70,31865.03,-5709.87,36423.55,-6514.91,39548.37,-7065.01,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,155913.41,157137.23
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Up,false,DiscountCurve/USD/1/5Y,0.00010000,,0.00000000,EUR,Swap_USD,CPTY_A,50599.24,55309.91,25601.33,-7484.19,29016.55,-8485.20,31345.36,-9165.27,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.00,0.00,None,238550.34,238550.34

‎Examples/Example_68/Input/netting.xml‎

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<?xml version="1.0"?>
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<NettingSetDefinitions>
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<NettingSet>
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<NettingSetId>CPTY_A</NettingSetId>
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<ActiveCSAFlag>false</ActiveCSAFlag>
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<CSADetails>
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<Bilateral>Bilateral</Bilateral>
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<CSACurrency>EUR</CSACurrency>
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<Index>EUR-EONIA</Index>
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<ThresholdPay>100000</ThresholdPay>
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<ThresholdReceive>100000</ThresholdReceive>
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<MinimumTransferAmountPay>0</MinimumTransferAmountPay>
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<MinimumTransferAmountReceive>0</MinimumTransferAmountReceive>
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<IndependentAmount>
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<IndependentAmountHeld>0</IndependentAmountHeld>
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<IndependentAmountType>FIXED</IndependentAmountType>
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</IndependentAmount>
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<MarginingFrequency>
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<CallFrequency>1D</CallFrequency>
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<PostFrequency>1D</PostFrequency>
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</MarginingFrequency>
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<MarginPeriodOfRisk>0W</MarginPeriodOfRisk>
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<CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
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<CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
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<EligibleCollaterals>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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</EligibleCollaterals>
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</CSADetails>
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</NettingSet>
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<NettingSet>
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<NettingSetId>CPTY_B</NettingSetId>
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<ActiveCSAFlag>true</ActiveCSAFlag>
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<CSADetails>
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<Bilateral>Bilateral</Bilateral>
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<CSACurrency>EUR</CSACurrency>
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<Index>EUR-EONIA</Index>
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<ThresholdPay>0</ThresholdPay>
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<ThresholdReceive>0</ThresholdReceive>
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<MinimumTransferAmountPay>5000000</MinimumTransferAmountPay>
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<MinimumTransferAmountReceive>5000000</MinimumTransferAmountReceive>
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<IndependentAmount>
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<IndependentAmountHeld>0</IndependentAmountHeld>
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<IndependentAmountType>FIXED</IndependentAmountType>
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</IndependentAmount>
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<MarginingFrequency>
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<CallFrequency>1D</CallFrequency>
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<PostFrequency>1D</PostFrequency>
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</MarginingFrequency>
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<MarginPeriodOfRisk>2W</MarginPeriodOfRisk>
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<CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
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<CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
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<EligibleCollaterals>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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</EligibleCollaterals>
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</CSADetails>
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</NettingSet>
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</NettingSetDefinitions>

‎Examples/Example_68/Input/ore_amc.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205_flat.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">Disable</Parameter>
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<Parameter name="nThreads">2</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">xois_eur</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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<Parameter name="sensitivity">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv.csv</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">N</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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</Analytic>
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<Analytic type="simulation">
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<Parameter name="active">N</Parameter>
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<Parameter name="amc">Y</Parameter>
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<Parameter name="amcTradeTypes">Swap,Swaption,FxOption</Parameter>
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="storeScenarios">N</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodata.csv</Parameter>
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</Analytic>
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<Analytic type="xva">
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<Parameter name="active">N</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="exposureProfiles">Y</Parameter>
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<Parameter name="exposureProfilesByTrade">Y</Parameter>
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<Parameter name="quantile">0.95</Parameter>
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<Parameter name="calculationType">Symmetric</Parameter>
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<Parameter name="allocationMethod">None</Parameter>
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<Parameter name="marginalAllocationLimit">1.0</Parameter>
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<Parameter name="exerciseNextBreak">N</Parameter>
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<Parameter name="cva">Y</Parameter>
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<Parameter name="dva">N</Parameter>
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<Parameter name="dvaName">BANK</Parameter>
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<Parameter name="fva">N</Parameter>
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<Parameter name="fvaBorrowingCurve">BANK_EUR_BORROW</Parameter>
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<Parameter name="fvaLendingCurve">BANK_EUR_LEND</Parameter>
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<Parameter name="colva">N</Parameter>
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<Parameter name="collateralSpread">0.0000</Parameter>
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<Parameter name="collateralFloor">N</Parameter>
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<Parameter name="dim">Y</Parameter>
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<Parameter name="dimQuantile">0.99</Parameter>
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<Parameter name="dimHorizonCalendarDays">14</Parameter>
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<Parameter name="dimRegressionOrder">2</Parameter>
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<Parameter name="dimRegressors"/>
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<Parameter name="dimScaling">1.0</Parameter>
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<Parameter name="dimEvolutionFile">dim_evolution.csv</Parameter>
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<Parameter name="dimRegressionFiles">dim_regression.csv</Parameter>
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<Parameter name="dimOutputNettingSet">CPTY_A</Parameter>
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<Parameter name="dimOutputGridPoints">0</Parameter>
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<Parameter name="dimLocalRegressionEvaluations">0</Parameter>
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<Parameter name="dimLocalRegressionBandwidth">1.0</Parameter>
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<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
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<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
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</Analytic>
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<Analytic type="xvaSensitivity">
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<Parameter name="active">Y</Parameter>
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<Parameter name="marketConfigFile">simulation.xml</Parameter>
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<Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_68/Input/portfolio.xml‎

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<?xml version="1.0"?>
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<Portfolio>
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<Trade id="Swap_EUR">
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<TradeType>Swap</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<SwapData>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>true</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.02</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>A360</DayCounter>
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<PaymentConvention>MF</PaymentConvention>
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<FloatingLegData>
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<Index>EUR-EURIBOR-6M</Index>
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<Spreads>
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<Spread>0.000000</Spread>
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</Spreads>
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<IsInArrears>false</IsInArrears>
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<FixingDays>2</FixingDays>
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</FloatingLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>6M</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>MF</Convention>
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<TermConvention>MF</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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</SwapData>
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</Trade>
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<Trade id="Swap_USD">
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<TradeType>Swap</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<SwapData>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>true</Payer>
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<Currency>USD</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.02</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>US</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>false</Payer>
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<Currency>USD</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>A360</DayCounter>
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<PaymentConvention>MF</PaymentConvention>
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<FloatingLegData>
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<Index>USD-LIBOR-3M</Index>
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<Spreads>
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<Spread>0.000000</Spread>
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</Spreads>
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<IsInArrears>false</IsInArrears>
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<FixingDays>2</FixingDays>
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</FloatingLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>3M</Tenor>
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<Calendar>US</Calendar>
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<Convention>MF</Convention>
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<TermConvention>MF</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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</SwapData>
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</Trade>
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</Portfolio>

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