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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "e81dfa148d" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "6679dceb47" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 60202a2 + 6679dce commit 30a1a2d

13 files changed

Lines changed: 60 additions & 48 deletions

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‎Examples/Example_10/Input/ore.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.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>

‎Examples/Example_10/Input/ore_iah_0.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_iah_0.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.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>

‎Examples/Example_10/Input/ore_iah_1.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_iah_1.xml</Parameter>
54-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
5555
<Parameter name="cubeFile">cube.csv.gz</Parameter>
5656
<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_mpor.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_mpor.xml</Parameter>
53-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.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>

‎Examples/Example_10/Input/ore_mta.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_mta.xml</Parameter>
53-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
5454
<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>

‎Examples/Example_10/Input/ore_threshold.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
54-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
54+
<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
5555
<Parameter name="cubeFile">cube.csv.gz</Parameter>
5656
<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_threshold_break.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
53-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
5454
<Parameter name="cubeFile">cube.csv.gz</Parameter>
5555
<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
5656
<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_threshold_dim.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
53-
<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
5454
<Parameter name="cubeFile">cube.csv.gz</Parameter>
5555
<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
5656
<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_2/ExpectedOutput/npv_payer.csv‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,13 +1,13 @@
11
#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
Swaption_1_19,Swaption,2036-03-03,20.073770,780375.764209,EUR,780375.764209,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3-
Swaption_2_18,Swaption,2036-03-03,20.073770,1001153.601683,EUR,1001153.601683,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4-
Swaption_3_17,Swaption,2036-03-03,20.073770,1160727.483027,EUR,1160727.483027,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5-
Swaption_4_16,Swaption,2036-03-03,20.073770,1254046.409145,EUR,1254046.409145,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6-
Swaption_5_15,Swaption,2036-03-03,20.073770,1310853.645369,EUR,1310853.645369,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7-
Swaption_6_14,Swaption,2036-03-03,20.073770,1328783.620035,EUR,1328783.620035,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8-
Swaption_7_13,Swaption,2036-03-03,20.073770,1327178.118065,EUR,1327178.118065,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9-
Swaption_8_12,Swaption,2036-03-03,20.073770,1279268.352242,EUR,1279268.352242,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10-
Swaption_9_11,Swaption,2036-03-03,20.073770,1221728.923294,EUR,1221728.923294,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
2+
Swaption_01_19,Swaption,2036-03-03,20.073770,780375.764209,EUR,780375.764209,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3+
Swaption_02_18,Swaption,2036-03-03,20.073770,1001153.601683,EUR,1001153.601683,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4+
Swaption_03_17,Swaption,2036-03-03,20.073770,1160727.483027,EUR,1160727.483027,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5+
Swaption_04_16,Swaption,2036-03-03,20.073770,1254046.409145,EUR,1254046.409145,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6+
Swaption_05_15,Swaption,2036-03-03,20.073770,1310853.645369,EUR,1310853.645369,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7+
Swaption_06_14,Swaption,2036-03-03,20.073770,1328783.620035,EUR,1328783.620035,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8+
Swaption_07_13,Swaption,2036-03-03,20.073770,1327178.118065,EUR,1327178.118065,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9+
Swaption_08_12,Swaption,2036-03-03,20.073770,1279268.352242,EUR,1279268.352242,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10+
Swaption_09_11,Swaption,2036-03-03,20.073770,1221728.923294,EUR,1221728.923294,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1111
Swaption_10_10,Swaption,2036-03-03,20.073770,1156594.462136,EUR,1156594.462136,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1212
Swaption_11_9,Swaption,2036-03-03,20.073770,1072866.080225,EUR,1072866.080225,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1313
Swaption_12_8,Swaption,2036-03-03,20.073770,981232.539406,EUR,981232.539406,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A

‎Examples/Example_2/ExpectedOutput/npv_receiver.csv‎

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@@ -1,13 +1,13 @@
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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
Swaption_1_19,Swaption,2036-03-03,20.073770,409213.522933,EUR,409213.522933,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3-
Swaption_2_18,Swaption,2036-03-03,20.073770,524344.944312,EUR,524344.944312,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4-
Swaption_3_17,Swaption,2036-03-03,20.073770,590351.499090,EUR,590351.499090,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5-
Swaption_4_16,Swaption,2036-03-03,20.073770,615477.474118,EUR,615477.474118,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6-
Swaption_5_15,Swaption,2036-03-03,20.073770,626569.675882,EUR,626569.675882,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7-
Swaption_6_14,Swaption,2036-03-03,20.073770,637411.758750,EUR,637411.758750,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8-
Swaption_7_13,Swaption,2036-03-03,20.073770,631893.882086,EUR,631893.882086,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9-
Swaption_8_12,Swaption,2036-03-03,20.073770,632969.167411,EUR,632969.167411,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10-
Swaption_9_11,Swaption,2036-03-03,20.073770,623756.005194,EUR,623756.005194,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
2+
Swaption_01_19,Swaption,2036-03-03,20.073770,409213.522933,EUR,409213.522933,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3+
Swaption_02_18,Swaption,2036-03-03,20.073770,524344.944312,EUR,524344.944312,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4+
Swaption_03_17,Swaption,2036-03-03,20.073770,590351.499090,EUR,590351.499090,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5+
Swaption_04_16,Swaption,2036-03-03,20.073770,615477.474118,EUR,615477.474118,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6+
Swaption_05_15,Swaption,2036-03-03,20.073770,626569.675882,EUR,626569.675882,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7+
Swaption_06_14,Swaption,2036-03-03,20.073770,637411.758750,EUR,637411.758750,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8+
Swaption_07_13,Swaption,2036-03-03,20.073770,631893.882086,EUR,631893.882086,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9+
Swaption_08_12,Swaption,2036-03-03,20.073770,632969.167411,EUR,632969.167411,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10+
Swaption_09_11,Swaption,2036-03-03,20.073770,623756.005194,EUR,623756.005194,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1111
Swaption_10_10,Swaption,2036-03-03,20.073770,606396.429657,EUR,606396.429657,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1212
Swaption_11_9,Swaption,2036-03-03,20.073770,577039.831014,EUR,577039.831014,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1313
Swaption_12_8,Swaption,2036-03-03,20.073770,540324.712582,EUR,540324.712582,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A

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