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‎Docs/UserGuide/tradedata/totalReturnSwap.tex‎

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@@ -62,7 +62,7 @@ \subsubsection{Generic Total Return Swap / Contract for Difference (CFD)}
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\item EquityOptionPosition: See \ref{ss:equity_option_position}, the trade data is given in a EquityOptionPositionData
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sub node.
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\item BondPosition: See \ref{ss:bond_position}, the trade data is given in a BondBasketData sub node.
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\item Derivative: An arbitrary underlying derivative trade (swaption, variance swap). The derivative subnode has
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\item Derivative: An arbitrary underlying derivative trade (of any type covered by ORE). The derivative subnode has
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exactly two subnodes
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\begin{itemize}
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\item Id: A unqiue identifier for the derivative position. Historical prices must be given under the fixing name

‎Docs/UserGuide/userguide.tex‎

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%\title{Open Source Risk Engine \\ User Guide }
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\title{ORE User Guide}
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\author{Acadia Inc.}
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\date{31 March 2023}
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\date{16 June 2023}
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\maketitle
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\newpage
@@ -153,6 +153,7 @@ \section*{Document History}
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16 September 2022 & Acadia & updates for release 7\\
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6 December 2022 & Acadia & updates for release 8\\
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31 March 2023 & Acadia & updates for release 9\\
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16 June 2023 & Acadia & updates for release 10\\
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\hline
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\end{supertabular}
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\end{center}
@@ -818,7 +819,7 @@ \subsubsection*{Building on Windows with CMake}
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\medskip {\tt ctest -j4}
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\end{enumerate}
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For the best results, it is recommended, to compile ORE without the compiler flag \emph{QL_USE_INDEXED_COUPON}. Not all ORE classes (in particular coupons and rate helpers) support this functionality yet and the results might not always be what is expected.
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For the best results, it is recommended, to compile ORE without the compiler flag \emph{QL\_USE\_INDEXED\_COUPON}. Not all ORE classes (in particular coupons and rate helpers) support this functionality yet and the results might not always be what is expected.
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\subsubsection*{ZLIB support}
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@@ -3259,11 +3260,17 @@ \subsection{ISDA SIMM Model}% Example 44
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The market data input and todays's market configuration required here is minimal - limited to FX rates for conversions from base/calculation currency into USD and into the result currency.
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\bigskip
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If the ORE Python module is installed, as shown in Example 42, then you can also run the SIMM example using
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\medskip
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\centerline{\tt python ore.py}
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%--------------------------------------------------------
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\subsection{Collateral Bond Obligation}% Example 45
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\subsection{Collateralized Bond Obligation}% Example 45
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%--------------------------------------------------------
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This example in folder {\tt Examples/Example\_45} demonstrates a Cashflow CDO or Collateral Bond Obligation (CBO) via ORE. Calling
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This example in folder {\tt Examples/Example\_45} demonstrates a Cashflow CDO or Collateralized Bond Obligation (CBO) via ORE. Calling
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\medskip
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\centerline{\tt python run.py}
@@ -3274,10 +3281,11 @@ \subsection{Collateral Bond Obligation}% Example 45
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NPV results are calculated for the investment in the junior tranche.
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%--------------------------------------------------------
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\subsection{TRS on CBO}% Example 46
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\subsection{Generic Total Return Swap}% Example 46
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%--------------------------------------------------------
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This example in folder {\tt Examples/Example\_46} demonstrates a Total Return Swap (TRS) referencing a CBO pricing via ORE. Calling
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This example in folder {\tt Examples/Example\_46} demonstrates ORE's generic Total Return Swap referencing a CBO.
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Calling
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\medskip
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\centerline{\tt python run.py}
@@ -3287,11 +3295,43 @@ \subsection{TRS on CBO}% Example 46
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As opposed to example 45, the CBO and its bondbasket are represented explicitly in the CBO node.
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%--------------------------------------------------------
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\subsection{Bond Yield Shifted}% Example 47
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\label{example:47}
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\subsection{Composite Trade}% Example 47
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%--------------------------------------------------------
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This example in folder {\tt Examples/Example\_47} demonstrates the input of ORE's Composite Trade that can consist on any number
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and type of products covered by ORE. In this case the composite consists of two Equity Swaps.
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Calling
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\medskip
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\centerline{\tt python run.py}
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\medskip
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runs ORE and generates an NPV report.
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%--------------------------------------------------------
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\subsection{Convertible Bond and ASCOT}% Example 48
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%--------------------------------------------------------
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This example in folder {\tt Examples/Example\_48} demonstrates the input of
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\begin{itemize}
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\item a ConvertibleBond trade
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\item a related Asset Swapped Convertible Option Transaction (ASCOT)
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\item a vanilla Swap that represents the package of Convertible Bond position and ASCOT
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\end{itemize}
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Calling
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\medskip
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\centerline{\tt python run.py}
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\medskip
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runs ORE and generates an NPV report.
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%--------------------------------------------------------
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\subsection{Bond Yield Shifted}% Example 49
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\label{example:49}
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%--------------------------------------------------------
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3294-
The example in folder {\tt Examples/Example\_47} shows how to use a yield curve
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The example in folder {\tt Examples/Example\_49} shows how to use a yield curve
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built from a BondYieldShifted segment, as described in section \ref{sec:bond_yield_shifted}.
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In particular, it builds the curve {\tt USD.BMK.GVN.CURVE\_SHIFTED} shifted by three liquid Bonds:

‎Examples/Example_44/ore.py‎

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'''
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Copyright (C) 2018-2023 Quaternion Risk Management Ltd
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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'''
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#import sys, time
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from ORE import *
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print ("Loading parameters...")
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params = Parameters()
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params.fromFile("Input/ore.xml")
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print ("Creating OREApp...")
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ore = OREApp(params, True)
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print ("Running ORE process...");
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ore.run()
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print ("Running ORE process done");

‎Examples/Example_47/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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ZeroBond_long,Bond,2052-06-03,30.007066,2022230.174819,USD,2022230.174819,USD,10000000.00,USD,10000000.00,,CPTY
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ZeroBond_short,Bond,2032-06-01,10.001602,5754510.641522,USD,5754510.641522,USD,10000000.00,USD,10000000.00,,CPTY
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Composite_Equity_Swap,CompositeTrade,2021-04-20,0.147945,4093277.401115,USD,4093277.401115,USD,538080000.00,USD,538080000.00,CPTY,CPTY

‎Examples/Example_47/Input/conventions.xml‎

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<?xml version="1.0" encoding="utf-8"?>
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<Conventions>
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<Zero>
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<Id>CCY-ZERO-CONVENTIONS-TENOR-BASED</Id>
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<TenorBased>true</TenorBased>
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<DayCounter>A365</DayCounter>
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<Compounding>Continuous</Compounding>
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<CompoundingFrequency>Daily</CompoundingFrequency>
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<TenorCalendar>TARGET</TenorCalendar>
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<FRA>
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<Id>JPY-3M-FRA</Id>
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<Index>JPY-LIBOR-3M</Index>
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</FRA>
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<FRA>
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<Id>JPY-6M-FRA</Id>
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<Index>JPY-LIBOR-6M</Index>
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</FRA>
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<Deposit>
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<Id>JPY-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>JPY-LIBOR</Index>
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</Deposit>
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<TenorBasisSwap>
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<Id>JPY-LIBOR-3M-6M-BASIS</Id>
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<LongIndex>JPY-LIBOR-6M</LongIndex>
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<ShortIndex>JPY-LIBOR-3M</ShortIndex>
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<ShortPayTenor/>
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<SpreadOnShort/>
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<IncludeSpread/>
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</TenorBasisSwap>
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<Swap>
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<Id>JPY-LIBOR-3M-SWAP</Id>
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<FixedCalendar>JP,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>A365</FixedDayCounter>
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<Index>JPY-LIBOR-3M</Index>
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</Swap>
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<Swap>
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<Id>JPY-LIBOR-6M-SWAP</Id>
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<FixedCalendar>JP,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>A365</FixedDayCounter>
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<Index>JPY-LIBOR-6M</Index>
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</Swap>
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<OIS>
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<Id>JPY-OIS</Id>
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<SpotLag>2</SpotLag>
11-
<SpotCalendar>TARGET</SpotCalendar>
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<RollConvention>Following</RollConvention>
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<Index>JPY-TONAR</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>1</PaymentLag>
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<EOM>false</EOM>
14-
</Zero>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>Following</FixedConvention>
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<FixedPaymentConvention>Following</FixedPaymentConvention>
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<Rule>Backward</Rule>
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<PaymentCalendar/>
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</OIS>
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<Deposit>
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<Id>JPY-ON-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>JPY-TONAR</Index>
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</Deposit>
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<Swap>
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<Id>JPY-SWAP</Id>
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<FixedCalendar>JP,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>A365</FixedDayCounter>
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<Index>JPY-LIBOR-6M</Index>
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</Swap>
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<FRA>
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<Id>USD-3M-FRA</Id>
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<Index>USD-LIBOR-3M</Index>
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</FRA>
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<AverageOIS>
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<Id>USD-AVERAGE-OIS</Id>
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<SpotLag>2</SpotLag>
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<FixedTenor>6M</FixedTenor>
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<FixedDayCounter>30/360</FixedDayCounter>
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<FixedCalendar>US</FixedCalendar>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Index>USD-FedFunds</Index>
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<OnTenor>3M</OnTenor>
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<RateCutoff>2</RateCutoff>
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</AverageOIS>
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<Deposit>
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<Id>USD-DEPOSIT</Id>
83+
<IndexBased>true</IndexBased>
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<Index>USD-LIBOR</Index>
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</Deposit>
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<FX>
87+
<Id>USD-JPY-FX</Id>
88+
<SpotDays>2</SpotDays>
89+
<SourceCurrency>USD</SourceCurrency>
90+
<TargetCurrency>JPY</TargetCurrency>
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<PointsFactor>100</PointsFactor>
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<AdvanceCalendar>US,JP</AdvanceCalendar>
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<SpotRelative>true</SpotRelative>
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</FX>
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<CrossCurrencyBasis>
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<Id>USD-JPY-XCCY-BASIS</Id>
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<SettlementDays>2</SettlementDays>
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<SettlementCalendar>JP,US,UK</SettlementCalendar>
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<RollConvention>MF</RollConvention>
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<FlatIndex>USD-LIBOR-3M</FlatIndex>
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<SpreadIndex>JPY-LIBOR-3M</SpreadIndex>
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<EOM/>
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<IsResettable/>
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<FlatIndexIsResettable/>
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<FlatTenor/>
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<SpreadTenor/>
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</CrossCurrencyBasis>
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<Swap>
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<Id>USD-LIBOR-3M-SWAP</Id>
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<FixedCalendar>US,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>USD-LIBOR-3M</Index>
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</Swap>
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<OIS>
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<Id>USD-OIS</Id>
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<SpotLag>2</SpotLag>
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<Index>USD-FedFunds</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>2</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>Following</FixedConvention>
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<FixedPaymentConvention>Following</FixedPaymentConvention>
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<Rule>Backward</Rule>
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<PaymentCalendar/>
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</OIS>
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<Deposit>
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<Id>USD-ON-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>USD-FedFunds</Index>
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</Deposit>
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<Swap>
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<Id>USD-SWAP</Id>
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<FixedCalendar>US,UK</FixedCalendar>
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<FixedFrequency>Semiannual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>USD-LIBOR-3M</Index>
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</Swap>
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</Conventions>

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