QPR-8566 schema fixes

Author: pcaspers

Examples/Example_43/Input/netting.xml

@@ -2,7 +2,6 @@
 <NettingSetDefinitions>
   <NettingSet>
     <NettingSetId>CPTY_A</NettingSetId>
-    <Counterparty>CPTY_A</Counterparty>
     <ActiveCSAFlag>false</ActiveCSAFlag>
     <CSADetails>
       <Bilateral>Bilateral</Bilateral>
@@ -32,7 +31,6 @@
   </NettingSet>
   <NettingSet>
     <NettingSetId>CPTY_B</NettingSetId>
-    <Counterparty>CPTY_B</Counterparty>
     <ActiveCSAFlag>true</ActiveCSAFlag>
     <CSADetails>
       <Bilateral>Bilateral</Bilateral>
@@ -62,7 +60,6 @@
   </NettingSet>
   <NettingSet>
     <NettingSetId>CPTY_C</NettingSetId>
-    <Counterparty>CPTY_C</Counterparty>
     <ActiveCSAFlag>false</ActiveCSAFlag>
     <CSADetails>
       <Bilateral>Bilateral</Bilateral>
@@ -92,7 +89,6 @@
   </NettingSet>
   <NettingSet>
     <NettingSetId>CPTY_D</NettingSetId>
-    <Counterparty>CPTY_D</Counterparty>
     <ActiveCSAFlag>false</ActiveCSAFlag>
     <CSADetails>
       <Bilateral>Bilateral</Bilateral>

Examples/Example_43/Input/portfolio3.xml

@@ -235,7 +235,6 @@
     <Envelope>
       <CounterParty>CPTY_B</CounterParty>
       <NettingSetId>CPTY_B</NettingSetId>
-      <NettingSetId/>
       <AdditionalFields/>
     </Envelope>
     <BondData>

Examples/Example_43/Input/portfolio4.xml

@@ -58,9 +58,6 @@
       <CreditCurveId>BOND_BB</CreditCurveId>
       <SettlesAccrual>Y</SettlesAccrual>
       <PaysAtDefaultTime>Y</PaysAtDefaultTime>
-      <ProtectionStart/>
-      <UpfrontDate/>
-      <UpfrontFee/>
       <LegData>
         <LegType>Fixed</LegType>
         <Payer>true</Payer>
@@ -92,5 +89,4 @@
       </LegData>
     </CreditDefaultSwapData>
   </Trade>
--->
 </Portfolio>

Examples/Example_43/Input/simulation.xml

@@ -274,7 +274,6 @@
       </Currencies>
       <Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
       <Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
-      <Strikes/>
     </SwaptionVolatilities>
     <CapFloorVolatilities>
       <Simulate>false</Simulate>
@@ -297,7 +296,6 @@
         <!--<CurrencyPair>GBPUSD</CurrencyPair>-->
       </CurrencyPairs>
       <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
-      <Strikes/>
     </FxVolatilities>
     <BenchmarkCurves>
       <BenchmarkCurve>

xsd/curveconfig.xsd

@@ -505,7 +505,6 @@
       <xs:element type="xs:string" name="SourceCurve" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:string" name="Pillars" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:decimal" name="SpotLag" minOccurs="0" maxOccurs="1"/>
-      <!-- SourceCurves and SwitchDates removed by JW, but restored here -->
       <xs:element name="SourceCurves" minOccurs="0">
         <xs:complexType>
           <xs:sequence>
@@ -529,6 +528,8 @@
       <xs:element type="bootstrapConfigType" name="BootstrapConfig" minOccurs="0" maxOccurs="1"/>
       <!-- AllowNegativeRates removed by JW, but restored here -->
       <xs:element type="bool" name="AllowNegativeRates" minOccurs="0" maxOccurs="1"/>
+      <xs:element type="xs:string" name="InitialState" minOccurs="0"/>
+      <xs:element type="xs:string" name="States" minOccurs="0"/>
    </xs:all>
   </xs:complexType>
 
@@ -538,6 +539,7 @@
       <xs:enumeration value="HazardRate"/>
       <xs:enumeration value="Benchmark"/>
       <xs:enumeration value="Price"/>
+      <xs:enumeration value="TransitionMatrix"/>
       <xs:enumeration value="Null"/>
     </xs:restriction>
   </xs:simpleType>

xsd/simulation.xsd

@@ -1442,19 +1442,11 @@
           </xs:sequence>
         </xs:complexType>
       </xs:element>
-      <xs:element name="Correlations" minOccurs="0" maxOccurs="1">
+      <xs:element name="CreditStates" minOccurs="0" maxOccurs="1">
         <xs:complexType>
-          <xs:all>
-            <xs:element type="bool" name="Simulate"  maxOccurs="1" minOccurs="0"/>
-            <xs:element name="Pairs">
-              <xs:complexType>
-                <xs:sequence>
-                  <xs:element type="xs:string" name="Pair" maxOccurs="unbounded" minOccurs="0"/>
-                </xs:sequence>
-              </xs:complexType>
-            </xs:element>
-            <xs:element type="xs:string" name="Expiries"/>
-          </xs:all>
+          <xs:sequence>
+            <xs:element type="xs:string" name="NumberOfFactors"/>
+          </xs:sequence>
         </xs:complexType>
       </xs:element>
     </xs:all>