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QPR-12325 add parametric smile config to curve config in example
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‎Examples/Example_60/Input/curveconfig.xml‎

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@@ -31,6 +31,36 @@
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FlochKennedy -->
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<!-- <StrikeInterpolation>LinearFlat</StrikeInterpolation> -->
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<StrikeInterpolation>Hagan2002NormalZeroBeta</StrikeInterpolation>
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<!-- SABR configuration -->
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<ParametricSmileConfiguration>
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<Parameters>
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<Parameter>
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<Name>alpha</Name>
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<InitialValue>0.0050</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>beta</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>true</IsFixed>
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</Parameter>
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<Parameter>
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<Name>nu</Name>
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<InitialValue>0.30</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>rho</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<MaxAcceptableError>0.05</MaxAcceptableError>
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</Calibration>
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</ParametricSmileConfiguration>
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<QuoteIncludesIndexName>false</QuoteIncludesIndexName>
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<BootstrapConfig>
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<Accuracy>0.0000000000010000</Accuracy>
@@ -62,6 +92,36 @@
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<Interpolation>Hagan2002NormalZeroBeta</Interpolation>
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<!-- <Interpolation>Antonov2015FreeBoundaryNormal</Interpolation> -->
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<!-- <Interpolation>KienitzLawsonSwaynePde</Interpolation> -->
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<!-- SABR configuration -->
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<ParametricSmileConfiguration>
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<Parameters>
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<Parameter>
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<Name>alpha</Name>
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<InitialValue>0.0050</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>beta</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>true</IsFixed>
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</Parameter>
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<Parameter>
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<Name>nu</Name>
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<InitialValue>0.30</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>rho</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<MaxAcceptableError>0.05</MaxAcceptableError>
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</Calibration>
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</ParametricSmileConfiguration>
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<!-- Optional, defaults to Flat, applies to Interpolation = Linear only, it is ignored for the SABR interpolations
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None,
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Flat,

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