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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "9afd85a5ce" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "6d800c9483" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
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‎Docs/UserGuide/tradecomponents/cmbleg.tex‎

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@@ -22,7 +22,7 @@ \subsubsection{Constant Maturity Bond Leg Data}
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...
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</ScheduleData>
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<CMBLegData>
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<Index>CMB-US-TBILL-13W</Index>
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<Index>CMB-US-TBILL-HD-13W</Index>
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<FixingDays>2</FixingDays>
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<Spreads>
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<Spread>0.0010</Spread>

‎Docs/UserGuide/tradedata/swaption.tex‎

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@@ -142,7 +142,79 @@ \subsubsection{Swaption}
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\item \lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
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the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
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\item An \lstinline!ExerciseDates! node where exactly one \lstinline!ExerciseDate! date element must be given for \emph{European} style swaptions, and for \emph{Bermudan} style swaptions at least two \lstinline!ExerciseDate! date elements must be given. \\
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\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given. \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<ExerciseDate>2027-03-02</ExerciseDate>
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<ExerciseDate>2028-03-02</ExerciseDate>
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<ExerciseDate>2029-03-02</ExerciseDate>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption ExerciseDate:s}
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\label{lst:bermudan_swaption_exercisedates}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Rules>
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<StartDate>2027-03-02</StartDate>
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<EndDate>2029-03-02</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>US</Calendar>
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<Convention>MF</Convention>
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<Rules>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Rules based}
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\label{lst:bermudan_swaption_rules}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Dates>
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<Calendar>NullCalendar</Calendar>
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<Convention>Unadjusted</Convention>
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<Dates>
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<Date>2027-03-02</Date>
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<Date>2028-03-02</Date>
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<Date>2029-03-02</Date>
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<Dates>
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<Dates>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Dates based}
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\label{lst:bermudan_swaption_dates}
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\end{listing}
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\item \lstinline!Premiums! [Optional]: Option premium node with amounts paid by the option buyer to the option seller.
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‎Docs/UserGuide/userguide.tex‎

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@@ -5772,15 +5772,18 @@ \subsubsection{Market}\label{sec:sim_market}
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It should be noted that equity volatilities are taken to be a curve by default. To simulate an equity volatility surface with smile the xml node {\tt <Surface> } must be supplied.
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There are two methods in ORE for equity volatility simulation:
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\begin{itemize}
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
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\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit moneyness levels for simulation should be provided.
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this
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case set {\tt <SimulateATMOnly>} to true and no surface node is given.
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\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
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explicit moneyness levels for simulation should be provided.
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\end{itemize}
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Swaption volatilities are taken to be a surface by default. To simulate a swaption volatility cube with smile the xml node {\tt <Cube> } must be supplied.
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There are two methods in ORE for swaption volatility cube simulation:
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\begin{itemize}
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
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\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit strike spreads for simulation should be provided.
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\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
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explicit strike spreads for simulation should be provided.
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\end{itemize}
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FX volatilities are taken to be a curve by default. To simulate an FX volatility cube with smile the xml node {\tt <Surface> } must be supplied. The surface node contains the moneyness levels to be simulated.
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</Currencies>
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<Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
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<Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
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<SimulateATMOnly>false</SimulateATMOnly>
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<Cube>
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<SimulateATMOnly>false</SimulateATMOnly>
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<StrikeSpreads>-0.02,-0.01,0.0,0.01,0.02</StrikeSpreads>
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</Cube>
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<!-- Sets a new daycounter for just the EUR swaptionVolatility surface -->
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<Name>Lufthansa</Name>
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</Names>
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<Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
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<SimulateATMOnly>false</SimulateATMOnly>
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<Surface>
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<SimulateATMOnly>false</SimulateATMOnly><!-- false -->
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<Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness><!-- omitted if SimulateATMOnly true -->
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<Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness>
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</Surface>
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<TimeExtrapolation>Flat</TimeExtrapolation>
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<StrikeExtrapolation>Flat</StrikeExtrapolation>

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