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add example 42
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‎Docs/UserGuide/userguide.tex‎

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@@ -929,7 +929,7 @@ \subsection{Building ORE-SWIG}\label{sec:oreswig}
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\end{enumerate}
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\subsection{How to build ORE Python Wheels on Windows}
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\subsection{How to build ORE Python Wheels on Windows}\label{sec:win_wheel}
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This section is a stand-alone HOWTO for building ore and oreswig, including Python wrappers and wheels, at the DOS command line using cmake and VS 2022.
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{\tt deactivate} \\
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{\tt rmdir /s /q env1} \\
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\subsection{How to build ORE Python Wheels on Linux and macOS}
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\subsection{How to build ORE Python Wheels on Linux and macOS}\label{sec:nix_wheel}
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This section is a stand-alone HOWTO for building and using a python wheel for OREAnalytics on Linux or macOS.
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40 & Par Sensitivity Analysis \\
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\hline
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41 & Multi-threaded Exposure Simulation \\
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\hline
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42 & ORE Python Module \\
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\end{tabular}
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\caption{ORE examples.}
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\label{tab_0}
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The example in folder {\tt Examples/Example\_41} demonstrates the multithreaded valuation engine to generate the exposure for a
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portfolio of 8 copies of the vanilla swap in {\tt Example\_1}.
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%--------------------------------------------------------------------
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\subsection{ORE Python Module}% Example 42
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\label{example:42}
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%--------------------------------------------------------------------
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Since release 9 (March 2023) we provide easy access to ORE via a pre-compiled Python module. Some example scripts using this ORE module are provided in this example, so change to this directory first
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\medskip
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{\tt cd Example\_42}
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\medskip
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The examples require Python 3, the actual ORE Python module is then installed with a one-liner, see below. However, to separate ORE from any other Python environments on your machine, we recommend creating a virtual environment first. In that case the steps are as follows:
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\begin{itemize}
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\item To create a virtual environment: {\tt python -m venv env1}
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\item To activate this environment on Windows: {\tt .{\bs}env1{\bs}Scripts{\bs}activate.bat} \\
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or on macOS/Linux: {\tt ./env1/bin/activate }
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\item Then install ORE:\\
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{\tt pip install open-source-risk-engine }
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\item And try examples:\\
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\begin{itemize}
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\item {\tt python ore.py} \\
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This demonstrates the Python-wrapped version of the ORE application that is also used in the command line application {\tt ore.exe}. We use it here to re-run the Swap exposure of {\tt Example\_1}.
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\item {\tt python commodityforward.py} \\
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The ORE Python module also allows lower-level access to the QuantLib and QuantExt libraries, demonstrated here for a CommodityForward instrument defined QuantExt.
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\end{itemize}
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More use cases of the ORE Python module, including Jupyter notebooks, can be found in the ORE SWIG repository, in particular in folder OREAnalytics-SWIG/Python/Examples.
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\item Finally you can deactivate the environment:
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{\tt deactivate} \\
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or even fully remove the environment again by removing the {\tt env1} folder.
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\end{itemize}
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You can build the Python module and installable packages yourself following the instructions in sections \ref{sec:oreswig}, \ref{sec:win_wheel}, \ref{sec:nix_wheel}
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based on your local ORE code. {\tt pip install open-source-risk-engine } will always provide the latest release.
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\clearpage
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%========================================================

‎Examples/Example_42/Input/currencies.xml‎

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<CurrencyConfig>
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<!-- PGK -->
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<Currency>
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<Name>Papua New Guinean kina</Name>
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<ISOCode>PGK</ISOCode>
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<NumericCode>598</NumericCode>
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<Symbol>K</Symbol>
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<FractionSymbol></FractionSymbol>
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<!-- 1 kina = 100 toea -->
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<FractionsPerUnit>100</FractionsPerUnit>
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<RoundingType>Closest</RoundingType>
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<RoundingPrecision>2</RoundingPrecision>
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<Format>%3% %1$.2f</Format>
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</Currency>
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<!-- SOS -->
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<Currency>
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<Name>Somali shilling</Name>
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<ISOCode>SOS</ISOCode>
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<NumericCode>706</NumericCode>
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<Symbol>K</Symbol>
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<FractionSymbol></FractionSymbol>
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<!-- 1 shilling = 100 senti -->
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<FractionsPerUnit>100</FractionsPerUnit>
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<RoundingType>Closest</RoundingType>
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<RoundingPrecision>2</RoundingPrecision>
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<Format>%3% %1$.2f</Format>
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</Currency>
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</CurrencyConfig>

‎Examples/Example_42/Input/netting.xml‎

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<?xml version="1.0"?>
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<NettingSetDefinitions>
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<NettingSet>
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<NettingSetId>CPTY_A</NettingSetId>
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<ActiveCSAFlag>false</ActiveCSAFlag>
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<CSADetails>
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<Bilateral>Bilateral</Bilateral>
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<CSACurrency>EUR</CSACurrency>
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<Index>EUR-EONIA</Index>
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<ThresholdPay>100000</ThresholdPay>
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<ThresholdReceive>100000</ThresholdReceive>
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<MinimumTransferAmountPay>0</MinimumTransferAmountPay>
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<MinimumTransferAmountReceive>0</MinimumTransferAmountReceive>
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<IndependentAmount>
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<IndependentAmountHeld>0</IndependentAmountHeld>
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<IndependentAmountType>FIXED</IndependentAmountType>
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</IndependentAmount>
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<MarginingFrequency>
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<CallFrequency>1D</CallFrequency>
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<PostFrequency>1D</PostFrequency>
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</MarginingFrequency>
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<MarginPeriodOfRisk>0W</MarginPeriodOfRisk>
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<CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
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<CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
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<EligibleCollaterals>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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</EligibleCollaterals>
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</CSADetails>
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</NettingSet>
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</NettingSetDefinitions>

‎Examples/Example_42/Input/ore.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">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205_flat.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</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">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio_swap.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>
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<Parameter name="fxcalibration">libor</Parameter>
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<Parameter name="eqcalibration">libor</Parameter>
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<Parameter name="pricing">libor</Parameter>
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<Parameter name="simulation">libor</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">Y</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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<Parameter name="outputTodaysMarketCalibration">Y</Parameter>
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</Analytic>
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<Analytic type="simulation">
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<Parameter name="active">Y</Parameter>
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="observationModel">Disable</Parameter>
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<!-- Parameter name="scenariodump">scenariodump.csv</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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</Analytic>
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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="useXvaRunner">N</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="exposureProfiles">Y</Parameter>
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<Parameter name="exposureProfilesByTrade">Y</Parameter>
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<Parameter name="quantile">0.95</Parameter>
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<Parameter name="calculationType">Symmetric</Parameter>
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<Parameter name="allocationMethod">None</Parameter>
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<Parameter name="marginalAllocationLimit">1.0</Parameter>
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<Parameter name="exerciseNextBreak">N</Parameter>
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<Parameter name="cva">Y</Parameter>
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<Parameter name="dva">N</Parameter>
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<Parameter name="dvaName">BANK</Parameter>
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<Parameter name="fva">N</Parameter>
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<Parameter name="fvaBorrowingCurve">BANK_EUR_BORROW</Parameter>
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<Parameter name="fvaLendingCurve">BANK_EUR_LEND</Parameter>
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<Parameter name="colva">N</Parameter>
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<Parameter name="collateralFloor">N</Parameter>
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<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
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<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
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</Analytic>
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<Analytic type="initialMargin">
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<Parameter name="active">N</Parameter>
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<Parameter name="method"/>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_42/Input/portfolio_swap.xml‎

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<?xml version="1.0"?>
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<Portfolio>
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<Trade id="Swap_20y">
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<TradeType>Swap</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<SwapData>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.02</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>true</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>A360</DayCounter>
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<PaymentConvention>MF</PaymentConvention>
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<FloatingLegData>
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<Index>EUR-EURIBOR-6M</Index>
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<Spreads>
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<Spread>0.000000</Spread>
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</Spreads>
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<IsInArrears>false</IsInArrears>
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<FixingDays>2</FixingDays>
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</FloatingLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160301</StartDate>
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<EndDate>20360301</EndDate>
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<Tenor>6M</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>MF</Convention>
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<TermConvention>MF</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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</SwapData>
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</Trade>
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</Portfolio>

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