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NathanielVolfangojenkins
NathanielVolfango
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jenkins
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Update Example_44 to include SIMM 2.6 and 1D MPOR
1 parent ae2c300 commit 1673a0b

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Lines changed: 231 additions & 7 deletions

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Examples/Example_44/ExpectedOutput/simm.csv renamed to Examples/Example_44/ExpectedOutput/SIMM2.4_10D/simm.csv

File renamed without changes.

‎Examples/Example_44/ExpectedOutput/SIMM2.4_1D/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
2+
CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,214359.50,USD,USD
3+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,214359.50,USD,USD
4+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,42059.74,USD,USD
5+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Call,ESA,42059.74,USD,USD
6+
CRIF_20191230,RatesFX,InterestRate,Curvature,All,Call,ESA,5671.92,USD,USD
7+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Call,ESA,212.68,USD,USD
8+
CRIF_20191230,RatesFX,InterestRate,All,All,Call,ESA,262091.16,USD,USD
9+
CRIF_20191230,RatesFX,All,Delta,All,Call,ESA,214359.50,USD,USD
10+
CRIF_20191230,RatesFX,All,Vega,All,Call,ESA,42059.74,USD,USD
11+
CRIF_20191230,RatesFX,All,Curvature,All,Call,ESA,5671.92,USD,USD
12+
CRIF_20191230,RatesFX,All,All,All,Call,ESA,262091.16,USD,USD
13+
CRIF_20191230,All,InterestRate,Delta,All,Call,ESA,214359.50,USD,USD
14+
CRIF_20191230,All,InterestRate,Vega,All,Call,ESA,42059.74,USD,USD
15+
CRIF_20191230,All,InterestRate,Curvature,All,Call,ESA,5671.92,USD,USD
16+
CRIF_20191230,All,InterestRate,All,All,Call,ESA,262091.16,USD,USD
17+
CRIF_20191230,All,All,Delta,All,Call,ESA,214359.50,USD,USD
18+
CRIF_20191230,All,All,Vega,All,Call,ESA,42059.74,USD,USD
19+
CRIF_20191230,All,All,Curvature,All,Call,ESA,5671.92,USD,USD
20+
CRIF_20191230,All,All,All,All,Call,ESA,262091.16,USD,USD
21+
All,All,All,All,All,Call,ESA,262091.16,USD,USD
22+
CRIF_20191230,RatesFX,InterestRate,Delta,All,Post,CFTC,214359.50,USD,USD
23+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Post,CFTC,214359.50,USD,USD
24+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Post,CFTC,42059.74,USD,USD
25+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Post,CFTC,42059.74,USD,USD
26+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Post,CFTC,212.68,USD,USD
27+
CRIF_20191230,RatesFX,InterestRate,All,All,Post,CFTC,256419.24,USD,USD
28+
CRIF_20191230,RatesFX,All,Delta,All,Post,CFTC,214359.50,USD,USD
29+
CRIF_20191230,RatesFX,All,Vega,All,Post,CFTC,42059.74,USD,USD
30+
CRIF_20191230,RatesFX,All,All,All,Post,CFTC,256419.24,USD,USD
31+
CRIF_20191230,All,InterestRate,Delta,All,Post,CFTC,214359.50,USD,USD
32+
CRIF_20191230,All,InterestRate,Vega,All,Post,CFTC,42059.74,USD,USD
33+
CRIF_20191230,All,InterestRate,All,All,Post,CFTC,256419.24,USD,USD
34+
CRIF_20191230,All,All,Delta,All,Post,CFTC,214359.50,USD,USD
35+
CRIF_20191230,All,All,Vega,All,Post,CFTC,42059.74,USD,USD
36+
CRIF_20191230,All,All,All,All,Post,CFTC,256419.24,USD,USD
37+
All,All,All,All,All,Post,CFTC,256419.24,USD,USD

‎Examples/Example_44/ExpectedOutput/SIMM2.6_10D/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
2+
CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,811888.16,USD,USD
3+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,811888.16,USD,USD
4+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,210187.75,USD,USD
5+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Call,ESA,210187.75,USD,USD
6+
CRIF_20191230,RatesFX,InterestRate,Curvature,All,Call,ESA,64143.55,USD,USD
7+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Call,ESA,2124.92,USD,USD
8+
CRIF_20191230,RatesFX,InterestRate,All,All,Call,ESA,1086219.46,USD,USD
9+
CRIF_20191230,RatesFX,All,Delta,All,Call,ESA,811888.16,USD,USD
10+
CRIF_20191230,RatesFX,All,Vega,All,Call,ESA,210187.75,USD,USD
11+
CRIF_20191230,RatesFX,All,Curvature,All,Call,ESA,64143.55,USD,USD
12+
CRIF_20191230,RatesFX,All,All,All,Call,ESA,1086219.46,USD,USD
13+
CRIF_20191230,All,InterestRate,Delta,All,Call,ESA,811888.16,USD,USD
14+
CRIF_20191230,All,InterestRate,Vega,All,Call,ESA,210187.75,USD,USD
15+
CRIF_20191230,All,InterestRate,Curvature,All,Call,ESA,64143.55,USD,USD
16+
CRIF_20191230,All,InterestRate,All,All,Call,ESA,1086219.46,USD,USD
17+
CRIF_20191230,All,All,Delta,All,Call,ESA,811888.16,USD,USD
18+
CRIF_20191230,All,All,Vega,All,Call,ESA,210187.75,USD,USD
19+
CRIF_20191230,All,All,Curvature,All,Call,ESA,64143.55,USD,USD
20+
CRIF_20191230,All,All,All,All,Call,ESA,1086219.46,USD,USD
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All,All,All,All,All,Call,ESA,1086219.46,USD,USD
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CRIF_20191230,RatesFX,InterestRate,Delta,All,Post,CFTC,811888.16,USD,USD
23+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Post,CFTC,811888.16,USD,USD
24+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Post,CFTC,210187.75,USD,USD
25+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Post,CFTC,210187.75,USD,USD
26+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Post,CFTC,2124.92,USD,USD
27+
CRIF_20191230,RatesFX,InterestRate,All,All,Post,CFTC,1022075.91,USD,USD
28+
CRIF_20191230,RatesFX,All,Delta,All,Post,CFTC,811888.16,USD,USD
29+
CRIF_20191230,RatesFX,All,Vega,All,Post,CFTC,210187.75,USD,USD
30+
CRIF_20191230,RatesFX,All,All,All,Post,CFTC,1022075.91,USD,USD
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CRIF_20191230,All,InterestRate,Delta,All,Post,CFTC,811888.16,USD,USD
32+
CRIF_20191230,All,InterestRate,Vega,All,Post,CFTC,210187.75,USD,USD
33+
CRIF_20191230,All,InterestRate,All,All,Post,CFTC,1022075.91,USD,USD
34+
CRIF_20191230,All,All,Delta,All,Post,CFTC,811888.16,USD,USD
35+
CRIF_20191230,All,All,Vega,All,Post,CFTC,210187.75,USD,USD
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CRIF_20191230,All,All,All,All,Post,CFTC,1022075.91,USD,USD
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All,All,All,All,All,Post,CFTC,1022075.91,USD,USD

‎Examples/Example_44/ExpectedOutput/SIMM2.6_1D/simm.csv‎

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#Portfolio,ProductClass,RiskClass,MarginType,Bucket,SimmSide,Regulation,InitialMargin,Currency,CalculationCurrency
2+
CRIF_20191230,RatesFX,InterestRate,Delta,All,Call,ESA,230705.49,USD,USD
3+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Call,ESA,230705.49,USD,USD
4+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Call,ESA,42037.55,USD,USD
5+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Call,ESA,42037.55,USD,USD
6+
CRIF_20191230,RatesFX,InterestRate,Curvature,All,Call,ESA,5447.64,USD,USD
7+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Call,ESA,212.49,USD,USD
8+
CRIF_20191230,RatesFX,InterestRate,All,All,Call,ESA,278190.68,USD,USD
9+
CRIF_20191230,RatesFX,All,Delta,All,Call,ESA,230705.49,USD,USD
10+
CRIF_20191230,RatesFX,All,Vega,All,Call,ESA,42037.55,USD,USD
11+
CRIF_20191230,RatesFX,All,Curvature,All,Call,ESA,5447.64,USD,USD
12+
CRIF_20191230,RatesFX,All,All,All,Call,ESA,278190.68,USD,USD
13+
CRIF_20191230,All,InterestRate,Delta,All,Call,ESA,230705.49,USD,USD
14+
CRIF_20191230,All,InterestRate,Vega,All,Call,ESA,42037.55,USD,USD
15+
CRIF_20191230,All,InterestRate,Curvature,All,Call,ESA,5447.64,USD,USD
16+
CRIF_20191230,All,InterestRate,All,All,Call,ESA,278190.68,USD,USD
17+
CRIF_20191230,All,All,Delta,All,Call,ESA,230705.49,USD,USD
18+
CRIF_20191230,All,All,Vega,All,Call,ESA,42037.55,USD,USD
19+
CRIF_20191230,All,All,Curvature,All,Call,ESA,5447.64,USD,USD
20+
CRIF_20191230,All,All,All,All,Call,ESA,278190.68,USD,USD
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All,All,All,All,All,Call,ESA,278190.68,USD,USD
22+
CRIF_20191230,RatesFX,InterestRate,Delta,All,Post,CFTC,230705.49,USD,USD
23+
CRIF_20191230,RatesFX,InterestRate,Delta,USD,Post,CFTC,230705.49,USD,USD
24+
CRIF_20191230,RatesFX,InterestRate,Vega,All,Post,CFTC,42037.55,USD,USD
25+
CRIF_20191230,RatesFX,InterestRate,Vega,USD,Post,CFTC,42037.55,USD,USD
26+
CRIF_20191230,RatesFX,InterestRate,Curvature,USD,Post,CFTC,212.49,USD,USD
27+
CRIF_20191230,RatesFX,InterestRate,All,All,Post,CFTC,272743.04,USD,USD
28+
CRIF_20191230,RatesFX,All,Delta,All,Post,CFTC,230705.49,USD,USD
29+
CRIF_20191230,RatesFX,All,Vega,All,Post,CFTC,42037.55,USD,USD
30+
CRIF_20191230,RatesFX,All,All,All,Post,CFTC,272743.04,USD,USD
31+
CRIF_20191230,All,InterestRate,Delta,All,Post,CFTC,230705.49,USD,USD
32+
CRIF_20191230,All,InterestRate,Vega,All,Post,CFTC,42037.55,USD,USD
33+
CRIF_20191230,All,InterestRate,All,All,Post,CFTC,272743.04,USD,USD
34+
CRIF_20191230,All,All,Delta,All,Post,CFTC,230705.49,USD,USD
35+
CRIF_20191230,All,All,Vega,All,Post,CFTC,42037.55,USD,USD
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CRIF_20191230,All,All,All,All,Post,CFTC,272743.04,USD,USD
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All,All,All,All,All,Post,CFTC,272743.04,USD,USD

Examples/Example_44/Input/ore.xml renamed to Examples/Example_44/Input/ore_SIMM2.4_10D.xml

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@@ -3,7 +3,7 @@
33
<Setup>
44
<Parameter name="asofDate">2019-12-30</Parameter>
55
<Parameter name="inputPath">Input</Parameter>
6-
<Parameter name="outputPath">Output</Parameter>
6+
<Parameter name="outputPath">Output/SIMM2.4_10D</Parameter>
77
<Parameter name="logFile">log.txt</Parameter>
88
<Parameter name="logMask">255</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
@@ -25,12 +25,11 @@
2525
<Analytics>
2626
<Analytic type="simm">
2727
<Parameter name="active">Y</Parameter>
28-
<!-- choices: 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, 2.5.6, 2.6 -->
28+
<!-- 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 -->
2929
<Parameter name="version">2.4</Parameter>
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<Parameter name="crif">crif.csv</Parameter>
3131
<Parameter name="calculationCurrency">USD</Parameter>
3232
<Parameter name="enforceIMRegulations">Y</Parameter>
33-
<!-- choices: 1 and 10 -->
3433
<Parameter name="mporDays">10</Parameter>
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</Analytic>
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</Analytics>

‎Examples/Example_44/Input/ore_SIMM2.4_1D.xml‎

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<?xml version="1.0"?>
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<ORE>
3+
<Setup>
4+
<Parameter name="asofDate">2019-12-30</Parameter>
5+
<Parameter name="inputPath">Input</Parameter>
6+
<Parameter name="outputPath">Output/SIMM2.4_1D</Parameter>
7+
<Parameter name="logFile">log.txt</Parameter>
8+
<Parameter name="logMask">255</Parameter>
9+
<Parameter name="marketDataFile">market.txt</Parameter>
10+
<Parameter name="fixingDataFile"></Parameter>
11+
<Parameter name="implyTodaysFixings">N</Parameter>
12+
<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
13+
<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
14+
<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
15+
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
16+
<Parameter name="portfolioFile"></Parameter>
17+
<Parameter name="observationModel">None</Parameter>
18+
</Setup>
19+
<Markets>
20+
<Parameter name="lgmcalibration">default</Parameter>
21+
<Parameter name="fxcalibration">default</Parameter>
22+
<Parameter name="pricing">default</Parameter>
23+
<Parameter name="simulation">default</Parameter>
24+
</Markets>
25+
<Analytics>
26+
<Analytic type="simm">
27+
<Parameter name="active">Y</Parameter>
28+
<!-- 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 -->
29+
<Parameter name="version">2.4</Parameter>
30+
<Parameter name="crif">crif.csv</Parameter>
31+
<Parameter name="calculationCurrency">USD</Parameter>
32+
<Parameter name="enforceIMRegulations">Y</Parameter>
33+
<Parameter name="mporDays">1</Parameter>
34+
</Analytic>
35+
</Analytics>
36+
</ORE>

‎Examples/Example_44/Input/ore_SIMM2.6_10D.xml‎

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1+
<?xml version="1.0"?>
2+
<ORE>
3+
<Setup>
4+
<Parameter name="asofDate">2019-12-30</Parameter>
5+
<Parameter name="inputPath">Input</Parameter>
6+
<Parameter name="outputPath">Output/SIMM2.6_10D</Parameter>
7+
<Parameter name="logFile">log.txt</Parameter>
8+
<Parameter name="logMask">255</Parameter>
9+
<Parameter name="marketDataFile">market.txt</Parameter>
10+
<Parameter name="fixingDataFile"></Parameter>
11+
<Parameter name="implyTodaysFixings">N</Parameter>
12+
<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
13+
<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
14+
<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
15+
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
16+
<Parameter name="portfolioFile"></Parameter>
17+
<Parameter name="observationModel">None</Parameter>
18+
</Setup>
19+
<Markets>
20+
<Parameter name="lgmcalibration">default</Parameter>
21+
<Parameter name="fxcalibration">default</Parameter>
22+
<Parameter name="pricing">default</Parameter>
23+
<Parameter name="simulation">default</Parameter>
24+
</Markets>
25+
<Analytics>
26+
<Analytic type="simm">
27+
<Parameter name="active">Y</Parameter>
28+
<!-- 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 -->
29+
<Parameter name="version">2.6</Parameter>
30+
<Parameter name="crif">crif.csv</Parameter>
31+
<Parameter name="calculationCurrency">USD</Parameter>
32+
<Parameter name="enforceIMRegulations">Y</Parameter>
33+
<Parameter name="mporDays">10</Parameter>
34+
</Analytic>
35+
</Analytics>
36+
</ORE>

‎Examples/Example_44/Input/ore_SIMM2.6_1D.xml‎

Lines changed: 36 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,36 @@
1+
<?xml version="1.0"?>
2+
<ORE>
3+
<Setup>
4+
<Parameter name="asofDate">2019-12-30</Parameter>
5+
<Parameter name="inputPath">Input</Parameter>
6+
<Parameter name="outputPath">Output/SIMM2.6_1D</Parameter>
7+
<Parameter name="logFile">log.txt</Parameter>
8+
<Parameter name="logMask">255</Parameter>
9+
<Parameter name="marketDataFile">market.txt</Parameter>
10+
<Parameter name="fixingDataFile"></Parameter>
11+
<Parameter name="implyTodaysFixings">N</Parameter>
12+
<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
13+
<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
14+
<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
15+
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
16+
<Parameter name="portfolioFile"></Parameter>
17+
<Parameter name="observationModel">None</Parameter>
18+
</Setup>
19+
<Markets>
20+
<Parameter name="lgmcalibration">default</Parameter>
21+
<Parameter name="fxcalibration">default</Parameter>
22+
<Parameter name="pricing">default</Parameter>
23+
<Parameter name="simulation">default</Parameter>
24+
</Markets>
25+
<Analytics>
26+
<Analytic type="simm">
27+
<Parameter name="active">Y</Parameter>
28+
<!-- 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 -->
29+
<Parameter name="version">2.6</Parameter>
30+
<Parameter name="crif">crif.csv</Parameter>
31+
<Parameter name="calculationCurrency">USD</Parameter>
32+
<Parameter name="enforceIMRegulations">Y</Parameter>
33+
<Parameter name="mporDays">1</Parameter>
34+
</Analytic>
35+
</Analytics>
36+
</ORE>

‎Examples/Example_44/ore.py‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -18,7 +18,7 @@
1818

1919
print ("Loading parameters...")
2020
params = Parameters()
21-
params.fromFile("Input/ore.xml")
21+
params.fromFile("Input/ore_SIMM2.4_10D.xml")
2222

2323
print ("Creating OREApp...")
2424
ore = OREApp(params, True)

‎Examples/Example_44/run.py‎

Lines changed: 9 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -6,6 +6,12 @@
66

77
oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
88

9-
oreex.print_headline("Run ORE SIMM")
10-
orexml="Input/ore.xml"
11-
oreex.run(orexml)
9+
orexmls = [
10+
("Input/ore_SIMM2.4_10D.xml", "2.4", "10"),
11+
("Input/ore_SIMM2.4_1D.xml", "2.4", "1"),
12+
("Input/ore_SIMM2.6_10D.xml", "2.6", "10"),
13+
("Input/ore_SIMM2.6_1D.xml", "2.6", "1")
14+
]
15+
for orexml in orexmls:
16+
oreex.print_headline(f"Run ORE SIMM; version={orexml[1]}; MPOR days={orexml[2]}")
17+
oreex.run(orexml[0])

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