Update Example 44 in UserGuide

Author: NathanielVolfango

Docs/UserGuide/userguide.tex

@@ -3284,7 +3284,7 @@ \subsection{ISDA SIMM Model}% Example 44
 
 This example demonstrates the calculation of initial margin using ISDA's Standard Initial Margin Model (SIMM) based on a provided 
 sensitivity file in ISDA's Common Risk Interchange Format (CRIF).
-ORE covers all SIMM versions since inception to date, i.e. 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 (=2.5.6).
+ORE covers all SIMM versions since inception to date, i.e.\ 1.0, 1.1, 1.2, 1.3, 1.3.38, 2.0, 2.1, 2.2, 2.3, 2.4 (=2.3.8), 2.5, 2.5A, 2.6 (=2.5.6).
 All versions have been tested against the respective ISDA SIMM model unit test suites and pass these tests.
 Any new SIMM versions will be added with each ORE release.
 
@@ -3299,15 +3299,27 @@ \subsection{ISDA SIMM Model}% Example 44
 \centerline{{\tt python run.py}} 
 
 \medskip
-ORE will pick up the small example CRIF file in {\tt Input/crif.csv} (i.e. par sensitivities rebucketed and reformatted to match the ISDA CRIF template) and generate the resulting SIMM report in {\tt Output/simm.csv} for SIMM version 2.4 in this example. This report shows ISDA SIMM results with the usual breakdown by product class, risk class, margin type, bucket and SIMM "side" (IM to call or post).
+ORE will pick up the small example CRIF file in {\tt Input/crif.csv} (i.e.\ par sensitivities rebucketed and reformatted to match the ISDA CRIF template) and generate the resulting SIMM report in a {\tt simm.csv} file.
+This report shows ISDA SIMM results with the usual breakdown by product class, risk class, margin type, bucket and SIMM ``side'' (IM to call or post).
+The SIMM calculation in this example is done for SIMM version 2.4 and 2.6, with MPoR 1d and 10d:
+
+\begin{itemize}
+  \item SIMM 2.4, 1-day MPoR
+  \item SIMM 2.4, 10-day MPoR
+  \item SIMM 2.6, 1-day MPoR
+  \item SIMM 2.6, 10-day MPoR
+\end{itemize}
 
 \medskip
-The relevant inputs in {\tt ore.xml} are 
+There are four input files -- {\tt ore\_SIMM2.4\_1D.xml}, {\tt ore\_SIMM2.4\_10D.xml}, {\tt ore\_SIMM2.6\_1D.xml}, {\tt ore\_SIMM2.6\_10D.xml} -- with corresponding folders in the {\tt Output/} directory.
+The relevant inputs in the files are:
+
 \begin{itemize}
 \item SIMM version
 \item name of the CRIF file to be loaded
 \item calculation currency - this determines which Risk\_FX entries of the CRIF will be ignored in the SIMM calculation
 \item result currency (optional) - currency of the resulting SIMM amounts in the report, by default equal to the calculation currency
+\item MPoR horizon, in terms of days
 \end{itemize}
 
 The market data input and todays's market configuration required here is minimal - limited to FX rates for conversions from base/calculation currency into USD and into the result currency.