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Alexis Davidjenkins
Alexis David
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"QPR-11600 : Adding ORE Academy data from videos"
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‎Examples/OREAcademy_FC003_Reporting_Currency/Curves_Configuration_EURUSD_Collateralisation.png‎

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‎Examples/OREAcademy_FC003_Reporting_Currency/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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EQ_CALL_STOXX50E,EquityOption,2021-12-17,0.482192,236.649138,EUR,282.348489,USD,4000.00,EUR,4772.44,,

‎Examples/OREAcademy_FC003_Reporting_Currency/Input/conventions.xml‎

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<?xml version="1.0" ?>
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<Conventions>
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<Zero>
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<Id>EUR-ZERO-TENOR-BASED</Id>
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<TenorBased>true</TenorBased>
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<DayCounter>A365</DayCounter>
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<Compounding>Continuous</Compounding>
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<CompoundingFrequency>Daily</CompoundingFrequency>
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<TenorCalendar>TARGET</TenorCalendar>
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<SpotLag>2</SpotLag>
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<SpotCalendar>TARGET</SpotCalendar>
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<RollConvention>Following</RollConvention>
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<EOM>false</EOM>
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</Zero>
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<Deposit>
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<Id>EUR-ON-DEPOSIT-ESTER</Id>
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<IndexBased>true</IndexBased>
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<Index>EUR-ESTER</Index>
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</Deposit>
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<Deposit>
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<Id>USD-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>USD-LIBOR</Index>
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</Deposit>
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<Deposit>
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<Id>USD-ON-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>USD-FedFunds</Index>
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</Deposit>
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<Deposit>
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<Id>EUR-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>EUR-EURIBOR</Index>
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</Deposit>
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<OIS>
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<Id>EUR-ESTER-OIS</Id>
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<SpotLag>1</SpotLag>
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<Index>EUR-ESTER</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>1</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Rule>Backward</Rule>
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</OIS>
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<OIS>
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<Id>USD-FedFunds-OIS</Id>
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<SpotLag>2</SpotLag>
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<Index>USD-FedFunds</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>2</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>Following</FixedConvention>
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<FixedPaymentConvention>Following</FixedPaymentConvention>
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<Rule>Backward</Rule>
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</OIS>
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<AverageOIS>
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<Id>USD-AVERAGE-OIS</Id>
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<SpotLag>2</SpotLag>
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<FixedTenor>6M</FixedTenor>
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<FixedDayCounter>30/360</FixedDayCounter>
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<FixedCalendar>US</FixedCalendar>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Index>USD-FedFunds</Index>
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<OnTenor>3M</OnTenor>
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<RateCutoff>2</RateCutoff>
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</AverageOIS>
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<FX>
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<Id>EUR-USD-FX</Id>
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<SpotDays>2</SpotDays>
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<SourceCurrency>EUR</SourceCurrency>
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<TargetCurrency>USD</TargetCurrency>
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<PointsFactor>10000</PointsFactor>
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<AdvanceCalendar>TARGET,US</AdvanceCalendar>
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<SpotRelative>true</SpotRelative>
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</FX>
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<CrossCurrencyBasis>
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<Id>EUR-USD-XCCY-BASIS</Id>
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<SettlementDays>2</SettlementDays>
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<SettlementCalendar>TARGET,US,UK</SettlementCalendar>
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<RollConvention>MF</RollConvention>
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<FlatIndex>USD-LIBOR-3M</FlatIndex>
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<SpreadIndex>EUR-EURIBOR-3M</SpreadIndex>
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<IsResettable>true</IsResettable>
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<FlatIndexIsResettable>true</FlatIndexIsResettable>
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</CrossCurrencyBasis>
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<FRA>
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<Id>USD-3M-FRA</Id>
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<Index>USD-LIBOR-3M</Index>
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</FRA>
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<FRA>
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<Id>EUR-3M-FRA</Id>
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<Index>EUR-EURIBOR-3M</Index>
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</FRA>
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<FRA>
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<Id>EUR-6M-FRA</Id>
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<Index>EUR-EURIBOR-6M</Index>
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</FRA>
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<Swap>
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<Id>USD-LIBOR-3M-SWAP</Id>
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<FixedCalendar>US,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>USD-LIBOR-3M</Index>
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</Swap>
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<Swap>
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<Id>EUR-EURIBOR-6M-SWAP</Id>
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<FixedCalendar>TARGET</FixedCalendar>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>EUR-EURIBOR-6M</Index>
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</Swap>
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<TenorBasisTwoSwap>
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<Id>EURIBOR-3M-6M-BASIS</Id>
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<Calendar>TARGET</Calendar>
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<LongFixedFrequency>Annual</LongFixedFrequency>
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<LongFixedConvention>MF</LongFixedConvention>
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<LongFixedDayCounter>30/360</LongFixedDayCounter>
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<LongIndex>EUR-EURIBOR-6M</LongIndex>
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<ShortFixedFrequency>Annual</ShortFixedFrequency>
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<ShortFixedConvention>MF</ShortFixedConvention>
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<ShortFixedDayCounter>30/360</ShortFixedDayCounter>
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<ShortIndex>EUR-EURIBOR-3M</ShortIndex>
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<LongMinusShort>true</LongMinusShort>
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</TenorBasisTwoSwap>
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</Conventions>

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