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QPR-12427 Fix overlapping closeout Grid
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‎Docs/UserGuide/userguide.tex‎

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@@ -3652,6 +3652,13 @@ \subsection{Base Scenario Analytic}% Example 57
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Demonstration of the {\tt Scenario} analytic which has been added to export the simulation market's base scenario
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as a file.
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%--------------------------------------------------------------------
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\subsection{Overlapping close-out grids}% Example 61
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\label{example:61}
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%--------------------------------------------------------------------
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The example in folder {\tt Examples/Example\_61} demonstrates ORE's capability to handle xVA simulations using American Monte-Carlo with overlapping close-out grids.
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\clearpage
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%========================================================
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\section{Launchers and Visualisation}\label{sec:visualisation}

‎Examples/Example_61/ExpectedOutput/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
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CPTY_A,2023-01-31,0.000000,0.00,22792.63,0.00,-22792.63,0.00,0.00
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CPTY_A,2023-02-01,0.002740,4108.82,26645.12,30419.19,0.00,4109.31,4109.31
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CPTY_A,2023-02-02,0.005479,6281.22,23563.61,29692.46,0.00,6282.77,6282.77
5+
CPTY_A,2023-02-03,0.008219,8926.06,21031.50,35747.39,0.00,8929.39,8929.39
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CPTY_A,2023-02-06,0.016438,16352.26,28468.26,74140.35,0.00,16364.59,16364.59
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CPTY_A,2023-02-07,0.019178,14842.46,22106.35,59226.52,0.00,14855.54,16364.59
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CPTY_A,2023-02-08,0.021918,16359.45,23623.11,63195.37,0.00,16375.95,16375.95
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CPTY_A,2023-02-09,0.024658,18341.39,25604.06,67094.10,0.00,18362.21,18362.21
10+
CPTY_A,2023-02-10,0.027397,18765.39,26027.36,70112.61,0.00,18789.08,18789.08
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CPTY_A,2023-02-13,0.035616,22771.06,30034.38,76104.22,0.00,22808.48,22808.48
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CPTY_A,2023-02-14,0.038356,23545.94,30835.28,80162.46,0.00,23587.63,23587.63
13+
CPTY_A,2023-02-15,0.041096,24458.14,31739.60,81653.81,0.00,24504.56,24504.56
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CPTY_A,2023-02-28,0.076712,10765.20,40781.80,29763.10,0.00,10803.43,24504.56
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CPTY_A,2023-03-31,0.161644,8494.20,56888.37,24263.15,0.00,8558.50,24504.56
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CPTY_A,2023-05-02,0.249315,7653.67,66217.33,22376.42,0.00,7744.40,24504.56
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CPTY_A,2023-07-31,0.495890,8707.50,69512.56,25812.99,0.00,8919.15,24504.56
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CPTY_A,2023-10-31,0.747945,7307.82,49973.75,21439.88,0.00,7578.70,24504.56
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CPTY_A,2024-01-31,0.999775,2039.99,14139.84,5826.75,0.00,2140.73,24504.56
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CPTY_A,2024-04-30,1.245677,0.00,0.00,0.00,0.00,0.00,24504.56
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CPTY_A,2024-07-31,1.497043,0.00,0.00,0.00,0.00,0.00,24504.56
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CPTY_A,2024-10-31,1.748409,0.00,0.00,0.00,0.00,0.00,24504.56
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CPTY_A,2025-01-31,2.000000,0.00,0.00,0.00,0.00,0.00,24504.56
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CPTY_A,2026-02-02,3.005479,0.00,0.00,0.00,0.00,0.00,24504.56

‎Examples/Example_61/ExpectedOutput/exposure_trade_FX_Forward_2D.csv‎

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#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE
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FX_Forward_2D,2023-01-31,0.000000,0,5251,0,0,0,0,0
3+
FX_Forward_2D,2023-02-01,0.002740,405,5656,0,0,3203,405,405
4+
FX_Forward_2D,2023-02-02,0.005479,0,0,0,0,0,0,405
5+
FX_Forward_2D,2023-02-03,0.008219,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-06,0.016438,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-07,0.019178,0,0,0,0,0,0,405
8+
FX_Forward_2D,2023-02-08,0.021918,0,0,0,0,0,0,405
9+
FX_Forward_2D,2023-02-09,0.024658,0,0,0,0,0,0,405
10+
FX_Forward_2D,2023-02-10,0.027397,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-13,0.035616,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-14,0.038356,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-15,0.041096,0,0,0,0,0,0,405
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FX_Forward_2D,2023-02-28,0.076712,0,0,0,0,0,0,405
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FX_Forward_2D,2023-03-31,0.161644,0,0,0,0,0,0,405
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FX_Forward_2D,2023-05-02,0.249315,0,0,0,0,0,0,405
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FX_Forward_2D,2023-07-31,0.495890,0,0,0,0,0,0,405
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FX_Forward_2D,2023-10-31,0.747945,0,0,0,0,0,0,405
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FX_Forward_2D,2024-01-31,0.999775,0,0,0,0,0,0,405
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FX_Forward_2D,2024-04-30,1.245677,0,0,0,0,0,0,405
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FX_Forward_2D,2024-07-31,1.497043,0,0,0,0,0,0,405
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FX_Forward_2D,2024-10-31,1.748409,0,0,0,0,0,0,405
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FX_Forward_2D,2025-01-31,2.000000,0,0,0,0,0,0,405
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FX_Forward_2D,2026-02-02,3.005479,0,0,0,0,0,0,405

‎Examples/Example_61/ExpectedOutput/exposure_trade_FX_Forward_3D.csv‎

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#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE
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FX_Forward_3D,2023-01-31,0.000000,0,5177,0,0,0,0,0
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FX_Forward_3D,2023-02-01,0.002740,425,5602,0,0,3350,425,425
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FX_Forward_3D,2023-02-02,0.005479,1006,6183,0,0,6744,1006,1006
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FX_Forward_3D,2023-02-03,0.008219,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-06,0.016438,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-07,0.019178,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-08,0.021918,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-09,0.024658,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-10,0.027397,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-13,0.035616,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-14,0.038356,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-15,0.041096,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-02-28,0.076712,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-03-31,0.161644,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-05-02,0.249315,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-07-31,0.495890,0,0,0,0,0,0,1006
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FX_Forward_3D,2023-10-31,0.747945,0,0,0,0,0,0,1006
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FX_Forward_3D,2024-01-31,0.999775,0,0,0,0,0,0,1006
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FX_Forward_3D,2024-04-30,1.245677,0,0,0,0,0,0,1006
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FX_Forward_3D,2024-07-31,1.497043,0,0,0,0,0,0,1006
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FX_Forward_3D,2024-10-31,1.748409,0,0,0,0,0,0,1006
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FX_Forward_3D,2025-01-31,2.000000,0,0,0,0,0,0,1006
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FX_Forward_3D,2026-02-02,3.005479,0,0,0,0,0,0,1006

‎Examples/Example_61/ExpectedOutput/exposure_trade_FX_Forward_7D.csv‎

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#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE
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FX_Forward_7D,2023-01-31,0.000000,0,4840,0,0,0,0,0
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FX_Forward_7D,2023-02-01,0.002740,500,5341,0,0,3845,500,500
4+
FX_Forward_7D,2023-02-02,0.005479,1089,5930,0,0,7102,1089,1089
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FX_Forward_7D,2023-02-03,0.008219,1642,6482,0,0,9982,1642,1642
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FX_Forward_7D,2023-02-06,0.016438,2948,7799,0,0,15947,2950,2950
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FX_Forward_7D,2023-02-07,0.019178,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-08,0.021918,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-09,0.024658,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-10,0.027397,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-13,0.035616,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-14,0.038356,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-15,0.041096,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-02-28,0.076712,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-03-31,0.161644,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-05-02,0.249315,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-07-31,0.495890,0,0,0,0,0,0,2950
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FX_Forward_7D,2023-10-31,0.747945,0,0,0,0,0,0,2950
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FX_Forward_7D,2024-01-31,0.999775,0,0,0,0,0,0,2950
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FX_Forward_7D,2024-04-30,1.245677,0,0,0,0,0,0,2950
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FX_Forward_7D,2024-07-31,1.497043,0,0,0,0,0,0,2950
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FX_Forward_7D,2024-10-31,1.748409,0,0,0,0,0,0,2950
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FX_Forward_7D,2025-01-31,2.000000,0,0,0,0,0,0,2950
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FX_Forward_7D,2026-02-02,3.005479,0,0,0,0,0,0,2950

‎Examples/Example_61/ExpectedOutput/exposure_trade_SCRIPTED_FX_TARF.csv‎

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#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE
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SCRIPTED_FX_TARF,2023-01-31,0.000000,0,7524,0,0,0,0,0
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SCRIPTED_FX_TARF,2023-02-01,0.002740,2783,10051,0,0,20245,2784,2784
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SCRIPTED_FX_TARF,2023-02-02,0.005479,4921,12185,0,0,15794,4922,4922
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SCRIPTED_FX_TARF,2023-02-03,0.008219,7692,14957,0,0,25770,7695,7695
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SCRIPTED_FX_TARF,2023-02-06,0.016438,13546,20812,0,0,58137,13557,13557
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SCRIPTED_FX_TARF,2023-02-07,0.019178,14842,22106,0,0,59227,14856,14856
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SCRIPTED_FX_TARF,2023-02-08,0.021918,16359,23623,0,0,63195,16376,16376
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SCRIPTED_FX_TARF,2023-02-09,0.024658,18341,25604,0,0,67094,18362,18362
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SCRIPTED_FX_TARF,2023-02-10,0.027397,18765,26027,0,0,70113,18789,18789
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SCRIPTED_FX_TARF,2023-02-13,0.035616,22771,30034,0,0,76104,22808,22808
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SCRIPTED_FX_TARF,2023-02-14,0.038356,23546,30835,0,0,80162,23588,23588
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SCRIPTED_FX_TARF,2023-02-15,0.041096,24458,31740,0,0,81654,24505,24505
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SCRIPTED_FX_TARF,2023-02-28,0.076712,10765,40782,0,0,29763,10803,24505
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SCRIPTED_FX_TARF,2023-03-31,0.161644,8494,56888,0,0,24263,8559,24505
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SCRIPTED_FX_TARF,2023-05-02,0.249315,7654,66217,0,0,22376,7744,24505
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SCRIPTED_FX_TARF,2023-07-31,0.495890,8708,69513,0,0,25813,8919,24505
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SCRIPTED_FX_TARF,2023-10-31,0.747945,7308,49974,0,0,21440,7579,24505
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SCRIPTED_FX_TARF,2024-01-31,0.999775,2040,14140,0,0,5827,2141,24505
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SCRIPTED_FX_TARF,2024-04-30,1.245677,0,0,0,0,0,0,24505
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SCRIPTED_FX_TARF,2024-07-31,1.497043,0,0,0,0,0,0,24505
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SCRIPTED_FX_TARF,2024-10-31,1.748409,0,0,0,0,0,0,24505
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SCRIPTED_FX_TARF,2025-01-31,2.000000,0,0,0,0,0,0,24505
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SCRIPTED_FX_TARF,2026-02-02,3.005479,0,0,0,0,0,0,24505

‎Examples/Example_61/ExpectedOutput/flows.csv‎

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#TradeId,Type,CashflowNo,LegNo,PayDate,FlowType,Amount,Currency,Coupon,Accrual,AccrualStartDate,AccrualEndDate,AccruedAmount,fixingDate,fixingValue,Notional,DiscountFactor,PresentValue,FXRate(Local-Base),PresentValue(Base),BaseCurrency,FloorStrike,CapStrike,FloorVolatility,CapVolatility,EffectiveFloorVolatility,EffectiveCapVolatility
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FX_Forward_2D,FxForward,1,0,2023-02-02,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9998874671,999887.4670778866,1.0844549000,1084332.8631212029,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FX_Forward_2D,FxForward,1,1,2023-02-02,Notional,-1090000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9997537001,-1089731.5331017070,1.0000000000,-1089731.5331017070,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FX_Forward_3D,FxForward,1,0,2023-02-03,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9998279324,999827.9323700778,1.0844549000,1084268.3004155997,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
5+
FX_Forward_3D,FxForward,1,1,2023-02-03,Notional,-1090000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9996268465,-1089593.2626453692,1.0000000000,-1089593.2626453692,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FX_Forward_7D,FxForward,1,0,2023-02-07,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9996214848,999621.4847903342,1.0844549000,1084044.4173261535,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
7+
FX_Forward_7D,FxForward,1,1,2023-02-07,Notional,-1090000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9991195929,-1089040.3562420630,1.0000000000,-1089040.3562420630,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
8+
SCRIPTED_FX_TARF,FxTaRF,1,0,2023-02-20,Cashflow,22977.2350,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9974725276,22919.1606373897,1.0000000000,22919.1606373897,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
9+
SCRIPTED_FX_TARF,FxTaRF,2,0,2023-03-20,Cashflow,18653.4812,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9938972077,18539.6428425366,1.0000000000,18539.6428425366,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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SCRIPTED_FX_TARF,FxTaRF,3,0,2023-04-20,Cashflow,9990.7975,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9898650145,9889.5408942447,1.0000000000,9889.5408942447,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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SCRIPTED_FX_TARF,FxTaRF,4,0,2023-05-20,Cashflow,4129.8982,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9858802577,4071.5851257520,1.0000000000,4071.5851257520,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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SCRIPTED_FX_TARF,FxTaRF,5,0,2023-06-20,Cashflow,768.7326,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9817263675,754.6850933067,1.0000000000,754.6850933067,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
13+
SCRIPTED_FX_TARF,FxTaRF,6,0,2023-07-20,Cashflow,-2452.3041,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9777257626,-2397.6809447249,1.0000000000,-2397.6809447249,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
14+
SCRIPTED_FX_TARF,FxTaRF,7,0,2023-08-20,Cashflow,-4875.7329,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9736341481,-4747.1800495083,1.0000000000,-4747.1800495083,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
15+
SCRIPTED_FX_TARF,FxTaRF,8,0,2023-09-20,Cashflow,-6722.2157,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9695545568,-6517.5548992379,1.0000000000,-6517.5548992379,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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SCRIPTED_FX_TARF,FxTaRF,9,0,2023-10-20,Cashflow,-8411.0999,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9656654184,-8122.3082605514,1.0000000000,-8122.3082605514,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
17+
SCRIPTED_FX_TARF,FxTaRF,10,0,2023-11-20,Cashflow,-9894.2765,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9617410240,-9515.7316133298,1.0000000000,-9515.7316133298,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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SCRIPTED_FX_TARF,FxTaRF,11,0,2023-12-20,Cashflow,-10694.5251,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9580315414,-10245.6923804581,1.0000000000,-10245.6923804581,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
19+
SCRIPTED_FX_TARF,FxTaRF,12,0,2024-01-20,Cashflow,-11655.6273,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9542667568,-11122.5776818019,1.0000000000,-11122.5776818019,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
20+
SCRIPTED_FX_TARF,FxTaRF,13,0,2024-02-20,Cashflow,-12482.2807,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9509864345,-11870.4795808733,1.0000000000,-11870.4795808733,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A

‎Examples/Example_61/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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FX_Forward_2D,FxForward,2023-02-02,0.005479,-5398.669981,USD,-5398.669981,USD,1090000.00,USD,1090000.00,CPTY_A,CPTY_A
3+
FX_Forward_3D,FxForward,2023-02-03,0.008219,-5324.962230,USD,-5324.962230,USD,1090000.00,USD,1090000.00,CPTY_A,CPTY_A
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FX_Forward_7D,FxForward,2023-02-07,0.019178,-4995.938916,USD,-4995.938916,USD,1090000.00,USD,1090000.00,CPTY_A,CPTY_A
5+
SCRIPTED_FX_TARF,FxTaRF,2024-02-20,1.054420,-8364.590817,USD,-8364.590817,USD,1030000.00,USD,1030000.00,CPTY_A,CPTY_A

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