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pcaspersjenkins
pcaspers
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QPR-12028 XVA Sensi PoC
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‎Examples/Example_54/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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Swp,ScriptedTrade,2036-03-03,20.073770,52.637038,EUR,52.637038,EUR,#N/A,#N/A,#N/A,CPTY_A,CPTY_A

‎Examples/Example_54/ExpectedOutput/xvacg-cva-sensi-scenario.csv‎

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#TradeId,Factor,Up/Down,Base NPV,Scenario NPV,Difference
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CVA,DiscountCurve/EUR/3/6M,Up,11335.04,11335.04,0.00
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CVA,DiscountCurve/EUR/4/1Y,Up,11335.04,11335.03,0.00
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CVA,DiscountCurve/EUR/5/2Y,Up,11335.04,11335.03,0.00
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CVA,DiscountCurve/EUR/6/3Y,Up,11335.04,11335.00,-0.04
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CVA,DiscountCurve/EUR/7/5Y,Up,11335.04,11334.63,-0.41
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CVA,DiscountCurve/EUR/8/10Y,Up,11335.04,11332.57,-2.46
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CVA,DiscountCurve/EUR/9/15Y,Up,11335.04,11329.08,-5.96
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CVA,DiscountCurve/EUR/10/20Y,Up,11335.04,11326.46,-8.58
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CVA,DiscountCurve/EUR/11/30Y,Up,11335.04,11334.99,-0.05
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CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,11335.04,11335.05,0.01
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CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,11335.04,11335.02,-0.02
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CVA,IndexCurve/EUR-EURIBOR-6M/0/2W,Up,11335.04,11335.04,0.00
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CVA,IndexCurve/EUR-EURIBOR-6M/1/1M,Up,11335.04,11335.07,0.03
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CVA,IndexCurve/EUR-EURIBOR-6M/3/6M,Up,11335.04,11335.23,0.19
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CVA,IndexCurve/EUR-EURIBOR-6M/4/1Y,Up,11335.04,11335.67,0.64
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CVA,IndexCurve/EUR-EURIBOR-6M/5/2Y,Up,11335.04,11336.58,1.54
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CVA,IndexCurve/EUR-EURIBOR-6M/6/3Y,Up,11335.04,11338.34,3.30
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CVA,IndexCurve/EUR-EURIBOR-6M/7/5Y,Up,11335.04,11345.55,10.52
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CVA,IndexCurve/EUR-EURIBOR-6M/8/10Y,Up,11335.04,11358.75,23.71
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CVA,IndexCurve/EUR-EURIBOR-6M/9/15Y,Up,11335.04,11359.90,24.87
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CVA,IndexCurve/EUR-EURIBOR-6M/10/20Y,Up,11335.04,11148.05,-186.99
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CVA,IndexCurve/EUR-EURIBOR-6M/11/30Y,Up,11335.04,11332.33,-2.70
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CVA,SwaptionVolatility/EUR/8/1Y/15Y/ATM,Up,11335.04,11337.27,2.24
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CVA,SwaptionVolatility/EUR/9/1Y/20Y/ATM,Up,11335.04,11344.04,9.00
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CVA,SwaptionVolatility/EUR/19/2Y/15Y/ATM,Up,11335.04,11341.06,6.03
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CVA,SwaptionVolatility/EUR/20/2Y/20Y/ATM,Up,11335.04,11344.09,9.06
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CVA,SwaptionVolatility/EUR/30/3Y/15Y/ATM,Up,11335.04,11344.33,9.29
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CVA,SwaptionVolatility/EUR/31/3Y/20Y/ATM,Up,11335.04,11341.22,6.18
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CVA,SwaptionVolatility/EUR/41/4Y/15Y/ATM,Up,11335.04,11347.87,12.84
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CVA,SwaptionVolatility/EUR/42/4Y/20Y/ATM,Up,11335.04,11338.23,3.19
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CVA,SwaptionVolatility/EUR/51/5Y/12Y/ATM,Up,11335.04,11337.76,2.73
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CVA,SwaptionVolatility/EUR/52/5Y/15Y/ATM,Up,11335.04,11357.51,22.47
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CVA,SwaptionVolatility/EUR/61/7Y/10Y/ATM,Up,11335.04,11337.44,2.40
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CVA,SwaptionVolatility/EUR/62/7Y/12Y/ATM,Up,11335.04,11362.92,27.88
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CVA,SwaptionVolatility/EUR/63/7Y/15Y/ATM,Up,11335.04,11346.67,11.63
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CVA,SwaptionVolatility/EUR/71/10Y/7Y/ATM,Up,11335.04,11337.38,2.34
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CVA,SwaptionVolatility/EUR/72/10Y/10Y/ATM,Up,11335.04,11356.66,21.62
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CVA,SwaptionVolatility/EUR/73/10Y/12Y/ATM,Up,11335.04,11345.03,10.00
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CVA,SwaptionVolatility/EUR/81/12Y/5Y/ATM,Up,11335.04,11336.54,1.51
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CVA,SwaptionVolatility/EUR/82/12Y/7Y/ATM,Up,11335.04,11353.72,18.68
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CVA,SwaptionVolatility/EUR/83/12Y/10Y/ATM,Up,11335.04,11343.61,8.58
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CVA,SwaptionVolatility/EUR/88/15Y/1Y/ATM,Up,11335.04,11335.47,0.44
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CVA,SwaptionVolatility/EUR/89/15Y/2Y/ATM,Up,11335.04,11336.18,1.15
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CVA,SwaptionVolatility/EUR/90/15Y/3Y/ATM,Up,11335.04,11337.70,2.67
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CVA,SwaptionVolatility/EUR/91/15Y/4Y/ATM,Up,11335.04,11340.19,5.16
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CVA,SwaptionVolatility/EUR/92/15Y/5Y/ATM,Up,11335.04,11346.63,11.59
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CVA,SwaptionVolatility/EUR/93/15Y/7Y/ATM,Up,11335.04,11341.53,6.50
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CVA,SwaptionVolatility/EUR/99/20Y/1Y/ATM,Up,11335.04,11336.79,1.76
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CVA,SwaptionVolatility/EUR/100/20Y/2Y/ATM,Up,11335.04,11336.77,1.73
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CVA,SwaptionVolatility/EUR/101/20Y/3Y/ATM,Up,11335.04,11336.82,1.79
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CVA,SwaptionVolatility/EUR/102/20Y/4Y/ATM,Up,11335.04,11336.32,1.28
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CVA,SurvivalProbability/BANK/0/2W,Up,11335.04,11335.03,0.00
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CVA,SurvivalProbability/BANK/1/1M,Up,11335.04,11334.96,-0.08
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CVA,SurvivalProbability/BANK/2/3M,Up,11335.04,11334.86,-0.18
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CVA,SurvivalProbability/BANK/3/6M,Up,11335.04,11334.40,-0.63
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CVA,SurvivalProbability/BANK/4/1Y,Up,11335.04,11334.27,-0.76
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CVA,SurvivalProbability/BANK/5/2Y,Up,11335.04,11333.47,-1.57
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CVA,SurvivalProbability/BANK/6/3Y,Up,11335.04,11333.22,-1.82
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CVA,SurvivalProbability/BANK/7/5Y,Up,11335.04,11334.37,-0.67
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CVA,SurvivalProbability/BANK/8/10Y,Up,11335.04,11345.81,10.78
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CVA,SurvivalProbability/BANK/9/15Y,Up,11335.04,11361.85,26.82
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CVA,SurvivalProbability/BANK/10/20Y,Up,11335.04,11360.90,25.86
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CVA,SurvivalProbability/BANK/11/30Y,Up,11335.04,11335.17,0.14

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