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QPR-12148 update docs
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‎Docs/UserGuide/parameterisation/stressconfig.tex‎

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@@ -8,32 +8,37 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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This file {\tt stressconfig.xml} specifies how stress tests can be configured. The general structure is shown in listing
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\ref{lst:stress_config}.
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In this example, two stress scenarios ``parallel\_rates'' and ``twist'' are defined. Each scenario definition contains
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In this example, two zero stress scenarios ``parallel\_rates'' and ``twist'' and one par rate ``par_parallel'' are defined.
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Each scenario definition contains
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the market components to be shifted in this scenario in a similar syntax that is also used for the sensitivity
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configuration, see \ref{sec:sensitivity}. Components that should not be shifted, can just be omitted in the definition
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of the scenario.
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of the scenario. Shifts for rate curves, credit curves and interest rate cap/floors can be given as par or zero rate shifts.
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By default shifts are zero rate shifts. If shifts are marked as par rate shifts all components (rate/credit/caps) shifts are
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par shifts in that category, for example it is not possible to have par rate first for one yield curve and zero rate for
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another curve in the same scenario. In case of par stress scenario, the shifted par instruments and related conventions are defined
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in a sensitivity configuration. The number number stress shifts (tenors/expiries and strikes) need to be allign with
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the tenors/expiries and strikes of par instruments \ref{sec:sensitivity}.
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However, instead of specifying one shift size per market component, here a whole vector of shifts can be given, with
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different shift sizes applied to each point of the curve (or surface / cube).
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In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
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and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
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In case of discount, index, yield and survival probability curves and cap floor surfaces the shifts can be defined as parRateShifts {\tt ParShift}.
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It's default to shifts on the zero rates. If a curve in a asset class (e.g. rates) is defined as par rate shift,
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all curves in this asset class has to be defined as par rate shift.
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UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
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improve the alignment of the scenario sim market and t0 curves.
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\begin{longlisting}
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%\hrule\medskip
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\begin{minted}[fontsize=\scriptsize]{xml}
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<StressTesting>
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<UseSpreadedTermStructures>false</UseSpreadedTermStructures>
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<StressTest id="parallel_rates">
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
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<ParShift>true</ParShift>
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</DiscountCurve>
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...
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</DiscountCurves>
@@ -73,15 +78,64 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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<ShiftType>Absolute</ShiftType>
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<ShiftExpiries>6M,1Y,2Y,3Y,5Y,10Y</ShiftExpiries>
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<Shifts>0.001,0.001,0.001,0.001,0.001,0.001</Shifts>
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<ParShift>false</ParShift>
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</CapFloorVolatility>
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</CapFloorVolatilities>
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</StressTest>
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<StressTest id="twist">
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...
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</StressTest>
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<StressTest id="par_parallel">
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<ParShifts>
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<IRCurves>true</IRCurves>
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<SurvivalProbability>true</SurvivalProbability>
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<CapFloorVolatilities>true</CapFloorVolatilities>
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</ParShifts>
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
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</DiscountCurve>
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...
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</DiscountCurves>
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<IndexCurves>
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...
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</IndexCurves>
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<YieldCurves />
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<FxSpots />
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<FxVolatilities />
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<SwaptionVolatilities />
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<CapFloorVolatilities>
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<CapFloorVolatility key="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftExpiries>1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y</ShiftExpiries>
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<Shifts>
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<Shift tenor="1Y">0.01</Shift>
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<Shift tenor="2Y">0.01</Shift>
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<Shift tenor="3Y">0.01</Shift>
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<Shift tenor="4Y">0.01</Shift>
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<Shift tenor="5Y">0.01</Shift>
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<Shift tenor="6Y">0.01</Shift>
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<Shift tenor="7Y">0.01</Shift>
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<Shift tenor="8Y">0.01</Shift>
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<Shift tenor="9Y">0.01</Shift>
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</Shifts>
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</CapFloorVolatility>
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</CapFloorVolatilities>
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<EquitySpots />
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<EquityVolatilities />
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<SecuritySpreads />
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<RecoveryRates />
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<SurvivalProbabilities>
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<SurvivalProbability name="Underlying1">
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<ShiftType>Absolute</ShiftType>
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<Shifts>0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1Y, 2Y, 3Y, 5Y, 10Y</ShiftTenors>
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</SurvivalProbability>
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</SurvivalProbabilities>
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</StressTest>
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</StressTesting>
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\end{minted}
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\caption{Stress configuration}
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\label{lst:stress_config}
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\end{longlisting}
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\end{longlisting}

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