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Merge remote-tracking branch 'origin/master' into gh_206_210_master
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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/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>

‎Examples/Example_22/Input/simulation_atmOnly.xml‎

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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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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves>

‎Examples/Example_22/Input/simulation_fullSurface.xml‎

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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>
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<Moneyness>0.5,0.6,0.7,0.8,0.9,0.95,1.0,1.05,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,2.0,2.5,3.0</Moneyness>
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</Surface>
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</EquityVolatilities>

‎Examples/Example_40/Input/ore.xml‎

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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="logMask">255</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="sensitivityOutputFile">sensitivity.csv</Parameter>
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<Parameter name="outputSensitivityThreshold">0.000001</Parameter>
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<Parameter name="parSensitivity">Y</Parameter>
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<Parameter name="optimiseRiskFactors">Y</Parameter>
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<Parameter name="parSensitivityOutputFile">parsensitivity.csv</Parameter>
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<Parameter name="outputJacobi">Y</Parameter>
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<Parameter name="jacobiOutputFile">jacobi.csv</Parameter>
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<Parameter name="jacobiInverseOutputFile">jacobi_inverse.csv</Parameter>
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</Analytic>
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<!--
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<Analytic type="parSensitivity">
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<Parameter name="active">Y</Parameter>
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<Parameter name="parRateSensitivityOutputFile">par_sensi.csv</Parameter>
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<Parameter name="parConversionMatrixOutputFile">par_jacobi.csv</Parameter>
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</Analytic>
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-->
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<Analytic type="stress">
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<Parameter name="active">N</Parameter>
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<Parameter name="marketConfigFile">simulation.xml</Parameter>

‎Examples/Example_40/Input/simulation.xml‎

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<Name>SPX</Name>
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</Names>
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<Expiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</Expiries>
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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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<Moneyness/>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves/>

‎Examples/Example_50/Input/simulation.xml‎

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<Name>SPX</Name>
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</Names>
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<Expiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</Expiries>
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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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<Moneyness/>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves/>

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