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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "327c957765" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "d993676d9c" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
2 parents 95ad9da + d993676 commit 161191a

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‎Examples/Example_54/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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Swp,ScriptedTrade,2036-03-03,20.073770,52.637038,EUR,52.637038,EUR,#N/A,#N/A,#N/A,CPTY_A,CPTY_A
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Swp,ScriptedTrade,2036-03-03,20.073770,5263.703751,EUR,5263.703751,EUR,#N/A,#N/A,#N/A,CPTY_A,CPTY_A

‎Examples/Example_54/ExpectedOutput/xvacg-cva-sensi-scenario.csv‎

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#TradeId,Factor,Up/Down,Base NPV,Scenario NPV,Difference
2-
CVA,DiscountCurve/EUR/3/6M,Up,11335.04,11335.04,0.00
3-
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CVA,DiscountCurve/EUR/5/2Y,Up,11335.04,11335.02,-0.01
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CVA,DiscountCurve/EUR/6/3Y,Up,11335.04,11334.98,-0.05
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CVA,DiscountCurve/EUR/7/5Y,Up,11335.04,11334.54,-0.49
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CVA,DiscountCurve/EUR/8/10Y,Up,11335.04,11332.33,-2.70
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CVA,DiscountCurve/EUR/9/15Y,Up,11335.04,11328.73,-6.30
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CVA,DiscountCurve/EUR/10/20Y,Up,11335.04,11327.98,-7.06
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CVA,DiscountCurve/EUR/11/30Y,Up,11335.04,11334.99,-0.04
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CVA,IndexCurve/EUR-EONIA/4/1Y,Up,11335.04,11335.04,0.00
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CVA,IndexCurve/EUR-EONIA/5/2Y,Up,11335.04,11335.04,0.01
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18-
CVA,IndexCurve/EUR-EONIA/11/30Y,Up,11335.04,11335.03,0.00
19-
CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,11335.04,11335.05,0.01
20-
CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,11335.04,11335.02,-0.02
21-
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22-
CVA,IndexCurve/EUR-EURIBOR-6M/1/1M,Up,11335.04,11335.07,0.03
23-
CVA,IndexCurve/EUR-EURIBOR-6M/3/6M,Up,11335.04,11335.23,0.19
24-
CVA,IndexCurve/EUR-EURIBOR-6M/4/1Y,Up,11335.04,11335.67,0.64
25-
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26-
CVA,IndexCurve/EUR-EURIBOR-6M/6/3Y,Up,11335.04,11338.34,3.30
27-
CVA,IndexCurve/EUR-EURIBOR-6M/7/5Y,Up,11335.04,11345.55,10.52
28-
CVA,IndexCurve/EUR-EURIBOR-6M/8/10Y,Up,11335.04,11358.75,23.71
29-
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30-
CVA,IndexCurve/EUR-EURIBOR-6M/10/20Y,Up,11335.04,11148.05,-186.99
31-
CVA,IndexCurve/EUR-EURIBOR-6M/11/30Y,Up,11335.04,11332.33,-2.70
32-
CVA,SwaptionVolatility/EUR/8/1Y/15Y/ATM,Up,11335.04,11337.27,2.24
33-
CVA,SwaptionVolatility/EUR/9/1Y/20Y/ATM,Up,11335.04,11344.04,9.00
34-
CVA,SwaptionVolatility/EUR/19/2Y/15Y/ATM,Up,11335.04,11341.06,6.03
35-
CVA,SwaptionVolatility/EUR/20/2Y/20Y/ATM,Up,11335.04,11344.09,9.06
36-
CVA,SwaptionVolatility/EUR/30/3Y/15Y/ATM,Up,11335.04,11344.33,9.29
37-
CVA,SwaptionVolatility/EUR/31/3Y/20Y/ATM,Up,11335.04,11341.22,6.18
38-
CVA,SwaptionVolatility/EUR/41/4Y/15Y/ATM,Up,11335.04,11347.87,12.84
39-
CVA,SwaptionVolatility/EUR/42/4Y/20Y/ATM,Up,11335.04,11338.23,3.19
40-
CVA,SwaptionVolatility/EUR/51/5Y/12Y/ATM,Up,11335.04,11337.76,2.73
41-
CVA,SwaptionVolatility/EUR/52/5Y/15Y/ATM,Up,11335.04,11357.51,22.47
42-
CVA,SwaptionVolatility/EUR/61/7Y/10Y/ATM,Up,11335.04,11337.44,2.40
43-
CVA,SwaptionVolatility/EUR/62/7Y/12Y/ATM,Up,11335.04,11362.92,27.88
44-
CVA,SwaptionVolatility/EUR/63/7Y/15Y/ATM,Up,11335.04,11346.67,11.63
45-
CVA,SwaptionVolatility/EUR/71/10Y/7Y/ATM,Up,11335.04,11337.38,2.34
46-
CVA,SwaptionVolatility/EUR/72/10Y/10Y/ATM,Up,11335.04,11356.66,21.62
47-
CVA,SwaptionVolatility/EUR/73/10Y/12Y/ATM,Up,11335.04,11345.03,10.00
48-
CVA,SwaptionVolatility/EUR/81/12Y/5Y/ATM,Up,11335.04,11336.54,1.51
49-
CVA,SwaptionVolatility/EUR/82/12Y/7Y/ATM,Up,11335.04,11353.72,18.68
50-
CVA,SwaptionVolatility/EUR/83/12Y/10Y/ATM,Up,11335.04,11343.61,8.58
51-
CVA,SwaptionVolatility/EUR/88/15Y/1Y/ATM,Up,11335.04,11335.47,0.44
52-
CVA,SwaptionVolatility/EUR/89/15Y/2Y/ATM,Up,11335.04,11336.18,1.15
53-
CVA,SwaptionVolatility/EUR/90/15Y/3Y/ATM,Up,11335.04,11337.70,2.67
54-
CVA,SwaptionVolatility/EUR/91/15Y/4Y/ATM,Up,11335.04,11340.19,5.16
55-
CVA,SwaptionVolatility/EUR/92/15Y/5Y/ATM,Up,11335.04,11346.63,11.59
56-
CVA,SwaptionVolatility/EUR/93/15Y/7Y/ATM,Up,11335.04,11341.53,6.50
57-
CVA,SwaptionVolatility/EUR/99/20Y/1Y/ATM,Up,11335.04,11336.79,1.76
58-
CVA,SwaptionVolatility/EUR/100/20Y/2Y/ATM,Up,11335.04,11336.77,1.73
59-
CVA,SwaptionVolatility/EUR/101/20Y/3Y/ATM,Up,11335.04,11336.82,1.79
60-
CVA,SwaptionVolatility/EUR/102/20Y/4Y/ATM,Up,11335.04,11336.32,1.28
61-
CVA,SurvivalProbability/BANK/0/2W,Up,11335.04,11335.03,0.00
62-
CVA,SurvivalProbability/BANK/1/1M,Up,11335.04,11334.96,-0.08
63-
CVA,SurvivalProbability/BANK/2/3M,Up,11335.04,11334.86,-0.18
64-
CVA,SurvivalProbability/BANK/3/6M,Up,11335.04,11334.40,-0.63
65-
CVA,SurvivalProbability/BANK/4/1Y,Up,11335.04,11334.27,-0.76
66-
CVA,SurvivalProbability/BANK/5/2Y,Up,11335.04,11333.47,-1.57
67-
CVA,SurvivalProbability/BANK/6/3Y,Up,11335.04,11333.22,-1.82
68-
CVA,SurvivalProbability/BANK/7/5Y,Up,11335.04,11334.37,-0.67
69-
CVA,SurvivalProbability/BANK/8/10Y,Up,11335.04,11345.81,10.78
70-
CVA,SurvivalProbability/BANK/9/15Y,Up,11335.04,11361.85,26.82
71-
CVA,SurvivalProbability/BANK/10/20Y,Up,11335.04,11360.90,25.86
72-
CVA,SurvivalProbability/BANK/11/30Y,Up,11335.04,11335.17,0.14
2+
CVA,DiscountCurve/EUR/3/6M,Up,1139242.24,1139242.25,0.00
3+
CVA,DiscountCurve/EUR/4/1Y,Up,1139242.24,1139242.24,0.00
4+
CVA,DiscountCurve/EUR/5/2Y,Up,1139242.24,1139242.23,-0.01
5+
CVA,DiscountCurve/EUR/6/3Y,Up,1139242.24,1139242.19,-0.05
6+
CVA,DiscountCurve/EUR/7/5Y,Up,1139242.24,1139241.76,-0.48
7+
CVA,DiscountCurve/EUR/8/10Y,Up,1139242.24,1139239.61,-2.64
8+
CVA,DiscountCurve/EUR/9/15Y,Up,1139242.24,1139236.10,-6.14
9+
CVA,DiscountCurve/EUR/10/20Y,Up,1139242.24,1139235.34,-6.91
10+
CVA,DiscountCurve/EUR/11/30Y,Up,1139242.24,1139242.20,-0.04
11+
CVA,IndexCurve/EUR-EONIA/4/1Y,Up,1139242.24,1139242.25,0.00
12+
CVA,IndexCurve/EUR-EONIA/5/2Y,Up,1139242.24,1139242.25,0.01
13+
CVA,IndexCurve/EUR-EONIA/6/3Y,Up,1139242.24,1139242.26,0.02
14+
CVA,IndexCurve/EUR-EONIA/7/5Y,Up,1139242.24,1139242.33,0.08
15+
CVA,IndexCurve/EUR-EONIA/8/10Y,Up,1139242.24,1139242.48,0.23
16+
CVA,IndexCurve/EUR-EONIA/9/15Y,Up,1139242.24,1139242.58,0.33
17+
CVA,IndexCurve/EUR-EONIA/10/20Y,Up,1139242.24,1139240.76,-1.48
18+
CVA,IndexCurve/EUR-EONIA/11/30Y,Up,1139242.24,1139242.24,0.00
19+
CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,1139242.24,1139242.26,0.01
20+
CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,1139242.24,1139242.23,-0.02
21+
CVA,IndexCurve/EUR-EURIBOR-6M/0/2W,Up,1139242.24,1139242.25,0.00
22+
CVA,IndexCurve/EUR-EURIBOR-6M/1/1M,Up,1139242.24,1139242.28,0.03
23+
CVA,IndexCurve/EUR-EURIBOR-6M/3/6M,Up,1139242.24,1139242.44,0.19
24+
CVA,IndexCurve/EUR-EURIBOR-6M/4/1Y,Up,1139242.24,1139242.88,0.63
25+
CVA,IndexCurve/EUR-EURIBOR-6M/5/2Y,Up,1139242.24,1139243.77,1.53
26+
CVA,IndexCurve/EUR-EURIBOR-6M/6/3Y,Up,1139242.24,1139245.53,3.28
27+
CVA,IndexCurve/EUR-EURIBOR-6M/7/5Y,Up,1139242.24,1139252.69,10.45
28+
CVA,IndexCurve/EUR-EURIBOR-6M/8/10Y,Up,1139242.24,1139265.84,23.60
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CVA,IndexCurve/EUR-EURIBOR-6M/9/15Y,Up,1139242.24,1139267.01,24.77
30+
CVA,IndexCurve/EUR-EURIBOR-6M/10/20Y,Up,1139242.24,1139055.37,-186.87
31+
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32+
CVA,SwaptionVolatility/EUR/8/1Y/15Y/ATM,Up,1139242.24,1139244.46,2.22
33+
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34+
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35+
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36+
CVA,SwaptionVolatility/EUR/30/3Y/15Y/ATM,Up,1139242.24,1139251.07,8.83
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CVA,SwaptionVolatility/EUR/41/4Y/15Y/ATM,Up,1139242.24,1139254.67,12.43
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40+
CVA,SwaptionVolatility/EUR/51/5Y/12Y/ATM,Up,1139242.24,1139244.89,2.65
41+
CVA,SwaptionVolatility/EUR/52/5Y/15Y/ATM,Up,1139242.24,1139264.34,22.10
42+
CVA,SwaptionVolatility/EUR/61/7Y/10Y/ATM,Up,1139242.24,1139244.71,2.46
43+
CVA,SwaptionVolatility/EUR/62/7Y/12Y/ATM,Up,1139242.24,1139268.68,26.44
44+
CVA,SwaptionVolatility/EUR/63/7Y/15Y/ATM,Up,1139242.24,1139253.42,11.18
45+
CVA,SwaptionVolatility/EUR/71/10Y/7Y/ATM,Up,1139242.24,1139244.29,2.05
46+
CVA,SwaptionVolatility/EUR/72/10Y/10Y/ATM,Up,1139242.24,1139264.14,21.90
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CVA,SwaptionVolatility/EUR/73/10Y/12Y/ATM,Up,1139242.24,1139251.96,9.72
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CVA,SwaptionVolatility/EUR/81/12Y/5Y/ATM,Up,1139242.24,1139243.94,1.70
49+
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51+
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52+
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53+
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CVA,SwaptionVolatility/EUR/91/15Y/4Y/ATM,Up,1139242.24,1139247.77,5.52
55+
CVA,SwaptionVolatility/EUR/92/15Y/5Y/ATM,Up,1139242.24,1139252.85,10.61
56+
CVA,SwaptionVolatility/EUR/93/15Y/7Y/ATM,Up,1139242.24,1139248.75,6.51
57+
CVA,SwaptionVolatility/EUR/99/20Y/1Y/ATM,Up,1139242.24,1139244.09,1.85
58+
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59+
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60+
CVA,SwaptionVolatility/EUR/102/20Y/4Y/ATM,Up,1139242.24,1139243.62,1.38
61+
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62+
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64+
CVA,SurvivalProbability/BANK/3/6M,Up,1139242.24,1139241.62,-0.62
65+
CVA,SurvivalProbability/BANK/4/1Y,Up,1139242.24,1139241.52,-0.72
66+
CVA,SurvivalProbability/BANK/5/2Y,Up,1139242.24,1139240.70,-1.54
67+
CVA,SurvivalProbability/BANK/6/3Y,Up,1139242.24,1139240.46,-1.78
68+
CVA,SurvivalProbability/BANK/7/5Y,Up,1139242.24,1139241.64,-0.61
69+
CVA,SurvivalProbability/BANK/8/10Y,Up,1139242.24,1139253.09,10.84
70+
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72+
CVA,SurvivalProbability/BANK/11/30Y,Up,1139242.24,1139242.38,0.14

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