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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "d064dd9544" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "e2e21ee571" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
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‎Docs/UserGuide/simmcalibration.tex‎

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‎Docs/UserGuide/userguide.tex‎

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@@ -4348,6 +4348,7 @@ \subsubsection{Analytics}\label{sec:analytics}
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<Parameter name="resultCurrency">USD</Parameter>
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<Parameter name="enforceIMRegulations">true</Parameter>
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<Parameter name="mporDays">1</Parameter>
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<Parameter name="simmCalibration">simmcalibration.xml</Parameter>
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</Analytic>
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<Analytics>
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\end{minted}
@@ -4359,7 +4360,7 @@ \subsubsection{Analytics}\label{sec:analytics}
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\begin{itemize}
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\item {\tt version:} SIMM model version string \\
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Allowable values: 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4, 2.5, 2.5A \\
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Allowable values: 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4 (or 2.3.8), 2.5, 2.5A, 2.6 (or 2.5.6) \\
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Note that any new SIMM model versions are integrated into ORE with each release, tested against the official ISDA SIMM unit tests.
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\item {\tt crif:} Name of the CRIF file to be loaded
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\item {\tt calculationCurrency:} Determines the {\tt Risk\_FX} CRIF entry that is ignored in ISDA SIMM calculation \\
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Allowable values: Allowable boolean values are given in Table \ref{tab:boolean_allowable}. Defaults to \emph{False} if omitted.
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\item {\tt mporDays} (optional): Currency for expressing the amounts in the resulting SIMM report, by default set to the calculationCurrency. \\
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Allowable values: See Table \ref{tab:currency} \lstinline!Currency!.
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\item {\tt simmCalibration} (optional): Name of the SIMM calibration configuration file. See Section \ref{sec:simmcalibration} \lstinline!SIMM Calibration!.
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\end{itemize}
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The SIMM analytic requires minimal market data input and today's market configuration - FX rates for conversions calculation currency, USD and result currency.
@@ -6253,6 +6255,8 @@ \subsection{Calendar Adjustment: {\tt calendaradjustment.xml}}\label{sec:calenda
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\include{iborfallbackconfig}
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\include{simmcalibration}
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%--------------------------------------------------------
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%\subsection{Conventions: {\tt conventions.xml}}
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%\label{sec:conventions}
@@ -7844,6 +7848,9 @@ \subsubsection*{Monte Carlo Simulation}
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\bibitem{Andersen2016} Leif B. G. Andersen, Michael Pykhtin, Alexander Sokol, {\em Rethinking Margin Period of Risk},
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http://papers.ssrn.com/sol3/papers.cfm?abstract\_id=2719964, 2016
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\bibitem{SIMM2.5A} ISDA SIMM Methodology, version 2.5A, (based on v2.5a) \\
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\url{https://www.isda.org/a/FBLgE/ISDA-SIMM\_v2.5A.pdf}
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% \bibitem{SIMM}{SIMM Methodology\\ \tiny
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% http://www2.isda.org/attachment/ODM1Mw==/ISDA\%20SIMM\%20Methodology\_7\%20April\%202016\_v3.15\%20(PUBLIC).pdf}
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‎Examples/Example_44/ExpectedOutput/SIMM2.5A_10D_calibration/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
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CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,812069.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,812069.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,164145.02,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,USD,Call,ESA,164145.02,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,All,Call,ESA,72875.51,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Call,ESA,2114.17,USD,USD
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CRIF_20191230,RatesFX,InterestRate,All,All,Call,ESA,1049089.95,USD,USD
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CRIF_20191230,RatesFX,All,Delta,All,Call,ESA,812069.42,USD,USD
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CRIF_20191230,RatesFX,All,Vega,All,Call,ESA,164145.02,USD,USD
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CRIF_20191230,RatesFX,All,Curvature,All,Call,ESA,72875.51,USD,USD
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CRIF_20191230,RatesFX,All,All,All,Call,ESA,1049089.95,USD,USD
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CRIF_20191230,All,InterestRate,Delta,All,Call,ESA,812069.42,USD,USD
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CRIF_20191230,All,InterestRate,Vega,All,Call,ESA,164145.02,USD,USD
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CRIF_20191230,All,InterestRate,Curvature,All,Call,ESA,72875.51,USD,USD
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CRIF_20191230,All,InterestRate,All,All,Call,ESA,1049089.95,USD,USD
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CRIF_20191230,All,All,Delta,All,Call,ESA,812069.42,USD,USD
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CRIF_20191230,All,All,Vega,All,Call,ESA,164145.02,USD,USD
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CRIF_20191230,All,All,Curvature,All,Call,ESA,72875.51,USD,USD
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CRIF_20191230,All,All,All,All,Call,ESA,1049089.95,USD,USD
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All,All,All,All,All,Call,ESA,1049089.95,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,All,Post,CFTC,812069.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,USD,Post,CFTC,812069.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,All,Post,CFTC,164145.02,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,USD,Post,CFTC,164145.02,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Post,CFTC,2114.17,USD,USD
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CRIF_20191230,RatesFX,InterestRate,All,All,Post,CFTC,976214.44,USD,USD
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CRIF_20191230,RatesFX,All,Delta,All,Post,CFTC,812069.42,USD,USD
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CRIF_20191230,RatesFX,All,Vega,All,Post,CFTC,164145.02,USD,USD
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CRIF_20191230,RatesFX,All,All,All,Post,CFTC,976214.44,USD,USD
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CRIF_20191230,All,InterestRate,Delta,All,Post,CFTC,812069.42,USD,USD
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CRIF_20191230,All,InterestRate,Vega,All,Post,CFTC,164145.02,USD,USD
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CRIF_20191230,All,InterestRate,All,All,Post,CFTC,976214.44,USD,USD
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CRIF_20191230,All,All,Delta,All,Post,CFTC,812069.42,USD,USD
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CRIF_20191230,All,All,Vega,All,Post,CFTC,164145.02,USD,USD
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CRIF_20191230,All,All,All,All,Post,CFTC,976214.44,USD,USD
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All,All,All,All,All,Post,CFTC,976214.44,USD,USD

‎Examples/Example_44/ExpectedOutput/SIMM2.5A_1D_calibration/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
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CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,230752.53,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,230752.53,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,42860.09,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,USD,Call,ESA,42860.09,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,All,Call,ESA,5424.34,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Call,ESA,211.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,All,All,Call,ESA,279036.96,USD,USD
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CRIF_20191230,RatesFX,All,Delta,All,Call,ESA,230752.53,USD,USD
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CRIF_20191230,RatesFX,All,Vega,All,Call,ESA,42860.09,USD,USD
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CRIF_20191230,RatesFX,All,Curvature,All,Call,ESA,5424.34,USD,USD
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CRIF_20191230,RatesFX,All,All,All,Call,ESA,279036.96,USD,USD
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CRIF_20191230,All,InterestRate,Delta,All,Call,ESA,230752.53,USD,USD
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CRIF_20191230,All,InterestRate,Vega,All,Call,ESA,42860.09,USD,USD
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CRIF_20191230,All,InterestRate,Curvature,All,Call,ESA,5424.34,USD,USD
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CRIF_20191230,All,InterestRate,All,All,Call,ESA,279036.96,USD,USD
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CRIF_20191230,All,All,Delta,All,Call,ESA,230752.53,USD,USD
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CRIF_20191230,All,All,Vega,All,Call,ESA,42860.09,USD,USD
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CRIF_20191230,All,All,Curvature,All,Call,ESA,5424.34,USD,USD
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CRIF_20191230,All,All,All,All,Call,ESA,279036.96,USD,USD
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All,All,All,All,All,Call,ESA,279036.96,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,All,Post,CFTC,230752.53,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,USD,Post,CFTC,230752.53,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,All,Post,CFTC,42860.09,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Vega,USD,Post,CFTC,42860.09,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Post,CFTC,211.42,USD,USD
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CRIF_20191230,RatesFX,InterestRate,All,All,Post,CFTC,273612.62,USD,USD
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CRIF_20191230,RatesFX,All,Delta,All,Post,CFTC,230752.53,USD,USD
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CRIF_20191230,RatesFX,All,Vega,All,Post,CFTC,42860.09,USD,USD
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CRIF_20191230,RatesFX,All,All,All,Post,CFTC,273612.62,USD,USD
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CRIF_20191230,All,InterestRate,Delta,All,Post,CFTC,230752.53,USD,USD
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CRIF_20191230,All,InterestRate,Vega,All,Post,CFTC,42860.09,USD,USD
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CRIF_20191230,All,InterestRate,All,All,Post,CFTC,273612.62,USD,USD
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CRIF_20191230,All,All,Delta,All,Post,CFTC,230752.53,USD,USD
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CRIF_20191230,All,All,Vega,All,Post,CFTC,42860.09,USD,USD
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CRIF_20191230,All,All,All,All,Post,CFTC,273612.62,USD,USD
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All,All,All,All,All,Post,CFTC,273612.62,USD,USD

‎Examples/Example_44/Input/ore_SIMM2.5A_10D_calibration.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">2019-12-30</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/SIMM2.5A_10D_calibration</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">255</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile"></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">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile"></Parameter>
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<Parameter name="observationModel">None</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">default</Parameter>
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<Parameter name="fxcalibration">default</Parameter>
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<Parameter name="pricing">default</Parameter>
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<Parameter name="simulation">default</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="simm">
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<Parameter name="active">Y</Parameter>
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<!-- 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4, 2.5, 2.5A, 2.6 -->
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<Parameter name="version">2.5A</Parameter>
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<Parameter name="crif">crif.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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<Parameter name="enforceIMRegulations">Y</Parameter>
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<Parameter name="mporDays">10</Parameter>
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<Parameter name="simmCalibration">simm_calibration.xml</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_44/Input/ore_SIMM2.5A_1D_calibration.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">2019-12-30</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/SIMM2.5A_1D_calibration</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">255</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile"></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">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile"></Parameter>
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<Parameter name="observationModel">None</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">default</Parameter>
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<Parameter name="fxcalibration">default</Parameter>
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<Parameter name="pricing">default</Parameter>
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<Parameter name="simulation">default</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="simm">
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<Parameter name="active">Y</Parameter>
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<!-- 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4, 2.5, 2.5A, 2.6 -->
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<Parameter name="version">2.5A</Parameter>
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<Parameter name="crif">crif.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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<Parameter name="enforceIMRegulations">Y</Parameter>
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<Parameter name="mporDays">1</Parameter>
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<Parameter name="simmCalibration">simm_calibration.xml</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

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