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Roland Lichtersjenkins
Roland Lichters
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jenkins
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QPR-12370 add im schedule example to ex44
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‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/im_schedule.csv‎

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#Portfolio,ProductClass,GrossIM,GrossCurrentRC,NetCurrentRC,NetToGrossRatio,Side,Regulation,ScheduleIM,Currency
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nettingSetId_1,Rates,989.66,#N/A,#N/A,#N/A,Call,Unspecified,989.66,USD
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nettingSetId_1,All,989.66,4804.86,501.06,0.104282,Call,Unspecified,457.79,USD
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All,All,#N/A,#N/A,#N/A,#N/A,Call,Unspecified,457.79,USD
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nettingSetId_1,Rates,989.66,#N/A,#N/A,#N/A,Post,Unspecified,989.66,USD
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nettingSetId_1,All,989.66,-4303.80,0.00,0.000000,Post,Unspecified,395.86,USD
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All,All,#N/A,#N/A,#N/A,#N/A,Post,Unspecified,395.86,USD

‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/im_schedule_trade.csv‎

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#TradeId,Portfolio,ProductClass,EndDate,Maturity,Label,Multiplier,Notional,NotionalCurrency,PV,PVCurrency,Notional(Base),PV(Base),BaseCurrency,GrossIM(Base),CollectRegulations,PostRegulations
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IM_Schedule_1,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,6027.63,EUR,1014.05,EUR,7074.63,1190.19,USD,70.75,Unspecified,Unspecified
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IM_Schedule_2,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,1.14,GBP,874.35,GBP,1.51,1154.14,USD,0.02,Unspecified,Unspecified
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IM_Schedule_3,nettingSetId_1,Rates,2021-08-24,1.64932,Interest Rate 0-2 years,0.01,5496.62,USD,-1166.76,USD,5496.62,-1166.76,USD,54.97,Unspecified,Unspecified
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IM_Schedule_4,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,2909.05,EUR,1038.63,EUR,3414.35,1219.04,USD,68.29,Unspecified,Unspecified
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IM_Schedule_5,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,9726.84,GBP,-699.44,GBP,12839.43,-923.26,USD,256.79,Unspecified,Unspecified
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IM_Schedule_6,nettingSetId_1,Rates,2022-08-24,2.64932,Interest Rate 2-5 years,0.02,2067.19,USD,-308.77,USD,2067.19,-308.77,USD,41.34,Unspecified,Unspecified
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IM_Schedule_7,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,8212.29,EUR,-1061.78,EUR,9638.77,-1246.22,USD,192.78,Unspecified,Unspecified
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IM_Schedule_8,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,9779.90,GBP,940.53,GBP,12909.46,1241.49,USD,258.19,Unspecified,Unspecified
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IM_Schedule_9,nettingSetId_1,Rates,2023-08-24,3.64932,Interest Rate 2-5 years,0.02,2327.28,USD,-658.80,USD,2327.28,-658.80,USD,46.55,Unspecified,Unspecified

‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/regulation_breakdown_simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency

‎Examples/Example_44/ExpectedOutput/IM_SCHEDULE/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
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All,All,All,All,All,Call,,0.00,USD,USD
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All,All,All,All,All,Post,,0.00,USD,USD

‎Examples/Example_44/Input/crif_schedule.csv‎

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TradeID,PortfolioID,ProductClass,RiskType,Qualifier,Bucket,Label1,Label2,AmountCurrency,Amount,AmountUSD,end_date,im_model
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IM_Schedule_1,nettingSetId_1,Rates,PV,,,,,EUR,1014.052346,1190.193238,24/08/2021,Schedule
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IM_Schedule_1,nettingSetId_1,Rates,Notional,,,,,EUR,6027.633761,7074.633745,24/08/2021,Schedule
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IM_Schedule_2,nettingSetId_1,Rates,PV,,,,,GBP,874.3453637,1154.13588,24/08/2021,Schedule
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IM_Schedule_2,nettingSetId_1,Rates,Notional,,,,,GBP,1.143748173,1.509747589,24/08/2021,Schedule
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IM_Schedule_3,nettingSetId_1,Rates,PV,,,,,USD,-1166.757847,-1166.757847,24/08/2021,Schedule
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IM_Schedule_3,nettingSetId_1,Rates,Notional,,,,,USD,5496.624779,5496.624779,24/08/2021,Schedule
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IM_Schedule_4,nettingSetId_1,Rates,PV,,,,,EUR,1038.628473,1219.038239,24/08/2022,Schedule
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IM_Schedule_4,nettingSetId_1,Rates,Notional,,,,,EUR,2909.047389,3414.348921,24/08/2022,Schedule
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IM_Schedule_5,nettingSetId_1,Rates,PV,,,,,GBP,-699.4382929,-923.2585466,24/08/2022,Schedule
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IM_Schedule_5,nettingSetId_1,Rates,Notional,,,,,GBP,9726.8436,12839.43355,24/08/2022,Schedule
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IM_Schedule_6,nettingSetId_1,Rates,PV,,,,,USD,-308.7725131,-308.7725131,24/08/2022,Schedule
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IM_Schedule_6,nettingSetId_1,Rates,Notional,,,,,USD,2067.191553,2067.191553,24/08/2022,Schedule
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IM_Schedule_7,nettingSetId_1,Rates,PV,,,,,EUR,-1061.783673,-1246.215498,24/08/2023,Schedule
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IM_Schedule_7,nettingSetId_1,Rates,Notional,,,,,EUR,8212.291231,9638.766217,24/08/2023,Schedule
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IM_Schedule_8,nettingSetId_1,Rates,PV,,,,,GBP,940.5257038,1241.493929,24/08/2023,Schedule
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IM_Schedule_8,nettingSetId_1,Rates,Notional,,,,,GBP,9779.89512,12909.46156,24/08/2023,Schedule
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IM_Schedule_9,nettingSetId_1,Rates,PV,,,,,USD,-658.7952834,-658.7952834,24/08/2023,Schedule
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IM_Schedule_9,nettingSetId_1,Rates,Notional,,,,,USD,2327.28328,2327.28328,24/08/2023,Schedule
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‎Examples/Example_44/Input/ore_schedule.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/IM_SCHEDULE</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="imschedule">
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<Parameter name="active">Y</Parameter>
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<Parameter name="version">2.6</Parameter>
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<Parameter name="crif">crif_schedule.csv</Parameter>
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<Parameter name="calculationCurrency">USD</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_44/run.py‎

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for orexml in orexmls:
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oreex.print_headline(f"Run ORE SIMM; version={orexml[1]}; MPOR days={orexml[2]}")
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oreex.run(orexml[0])
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oreex.run("Input/ore_schedule.xml")

‎OREAnalytics/orea/app/analyticsmanager.cpp‎

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#include <orea/app/analytics/scenarioanalytic.hpp>
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#include <orea/app/analytics/scenariostatisticsanalytic.hpp>
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#include <orea/app/analytics/simmanalytic.hpp>
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#include <orea/app/analytics/imscheduleanalytic.hpp>
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#include <orea/app/analytics/varanalytic.hpp>
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#include <orea/app/analytics/xvaanalytic.hpp>
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#include <orea/app/analyticsmanager.hpp>
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addAnalytic("HISTSIM_VAR", boost::make_shared<HistoricalSimulationVarAnalytic>(inputs_));
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addAnalytic("XVA", boost::make_shared<XvaAnalytic>(inputs_));
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addAnalytic("SIMM", boost::make_shared<SimmAnalytic>(inputs_));
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addAnalytic("IM_SCHEDULE", boost::make_shared<IMScheduleAnalytic>(inputs_));
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addAnalytic("PARCONVERSION", boost::make_shared<ParConversionAnalytic>(inputs_));
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addAnalytic("SCENARIO_STATISTICS", boost::make_shared<ScenarioStatisticsAnalytic>(inputs_));
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addAnalytic("SCENARIO", boost::make_shared<ScenarioAnalytic>(inputs_));

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