Merge remote-tracking branch 'origin/QPR-8566' into QPR-8566

Author: rolandlichters

Examples/Example_43/Input/creditsimulation4.xml

@@ -136,7 +136,7 @@
     <DoubleDefault>Y</DoubleDefault>
     <Seed>42</Seed>
     <Paths>1000</Paths>
-    <CreditMode>Migration</CreditMode>
+    <CreditMode>Default</CreditMode>
     <!-- Migration, Default -->
     <LoanExposureMode>Notional</LoanExposureMode>
     <!-- Notional, Value -->

Examples/Example_43/Input/netting.xml

@@ -90,4 +90,34 @@
       </EligibleCollaterals>
     </CSADetails>
   </NettingSet>
+  <NettingSet>
+    <NettingSetId>CPTY_D</NettingSetId>
+    <Counterparty>CPTY_D</Counterparty>
+    <ActiveCSAFlag>false</ActiveCSAFlag>
+    <CSADetails>
+      <Bilateral>Bilateral</Bilateral>
+      <CSACurrency>EUR</CSACurrency>
+      <Index>EUR-EONIA</Index>
+      <ThresholdPay>0</ThresholdPay>
+      <ThresholdReceive>0</ThresholdReceive>
+      <MinimumTransferAmountPay>0</MinimumTransferAmountPay>
+      <MinimumTransferAmountReceive>0</MinimumTransferAmountReceive>
+      <IndependentAmount>
+        <IndependentAmountHeld>0</IndependentAmountHeld>
+        <IndependentAmountType>FIXED</IndependentAmountType>
+      </IndependentAmount>
+      <MarginingFrequency>
+        <CallFrequency>1D</CallFrequency>
+        <PostFrequency>1D</PostFrequency>
+      </MarginingFrequency>
+      <MarginPeriodOfRisk>2W</MarginPeriodOfRisk>
+      <CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
+      <CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
+      <EligibleCollaterals>
+        <Currencies>
+          <Currency>EUR</Currency>
+        </Currencies>
+      </EligibleCollaterals>
+    </CSADetails>
+  </NettingSet>
 </NettingSetDefinitions>

Examples/Example_43/Input/portfolio4.xml

@@ -3,8 +3,8 @@
   <Trade id="Bond_1">
     <TradeType>Bond</TradeType>
     <Envelope>
-      <CounterParty>CPTY_B</CounterParty>
-      <NettingSetId>CPTY_A</NettingSetId>
+      <CounterParty>CPTY_D</CounterParty>
+      <NettingSetId>CPTY_D</NettingSetId>
       <AdditionalFields/>
     </Envelope>
     <BondData>
@@ -46,6 +46,7 @@
       </LegData>
     </BondData>
   </Trade>
+<!--
   <Trade id="CDS_1">
     <TradeType>CreditDefaultSwap</TradeType>
     <Envelope>
@@ -55,7 +56,7 @@
     </Envelope>
     <CreditDefaultSwapData>
       <IssuerId>CPTY_A</IssuerId>
-      <CreditCurveId>BOND_B</CreditCurveId>
+      <CreditCurveId>BOND_BB</CreditCurveId>
       <SettlesAccrual>Y</SettlesAccrual>
       <PaysAtDefaultTime>Y</PaysAtDefaultTime>
       <ProtectionStart/>
@@ -92,4 +93,5 @@
       </LegData>
     </CreditDefaultSwapData>
   </Trade>
+-->
 </Portfolio>

Examples/Example_43/Input/todaysmarket.xml

@@ -149,6 +149,7 @@
     <DefaultCurve name="CPTY_A">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
     <DefaultCurve name="CPTY_B">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
     <DefaultCurve name="CPTY_C">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
+    <DefaultCurve name="CPTY_D">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
     <!-- Rating dependent curves -->
     <DefaultCurve name="CPTY_C_AAA">Default/USD/CPTY_C_SR_EUR_AAA</DefaultCurve>
     <DefaultCurve name="CPTY_C_AA">Default/USD/CPTY_C_SR_EUR_AA</DefaultCurve>

Examples/Example_43/run.py

@@ -6,6 +6,22 @@
 
 oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
 
+oreex.print_headline("Run ORE for Bond and CDS")
+orexml="Input/ore4.xml"
+oreex.run(orexml)
+case="bond_cds"
+targetFileName = "credit_migration_" + case + "_11.csv"
+oreex.setup_plot("cdf_" + case)
+oreex.plot(targetFileName, 0, 2, 'b', label="Loss")
+oreex.decorate_plot(title="Example 43 - Loss distribution", ylabel="CDF", xlabel="Loss", y_format_as_int=False)
+oreex.save_plot_to_file()
+oreex.setup_plot("pdf_" + case)
+oreex.plot(targetFileName, 0, 1, 'b', label="Loss")
+oreex.decorate_plot(title="Example 43 - Loss distribution", ylabel="PDF", xlabel="Loss", y_format_as_int=False)
+oreex.save_plot_to_file()
+
+sys.exit("Done")
+
 oreex.print_headline("Run ORE for a single Bond")
 orexml="Input/ore.xml"
 oreex.run(orexml)
@@ -62,19 +78,6 @@
 oreex.decorate_plot(title="Example 43 - Loss distribution", ylabel="PDF", xlabel="Loss", y_format_as_int=False)
 oreex.save_plot_to_file()
 
-oreex.print_headline("Run ORE for Bond and CDS")
-orexml="Input/ore4.xml"
-oreex.run(orexml)
-case="bond_cds"
-targetFileName = "credit_migration_" + case + "_11.csv"
-oreex.setup_plot("cdf_" + case)
-oreex.plot(targetFileName, 0, 2, 'b', label="Loss")
-oreex.decorate_plot(title="Example 43 - Loss distribution", ylabel="CDF", xlabel="Loss", y_format_as_int=False)
-oreex.save_plot_to_file()
-oreex.setup_plot("pdf_" + case)
-oreex.plot(targetFileName, 0, 1, 'b', label="Loss")
-oreex.decorate_plot(title="Example 43 - Loss distribution", ylabel="PDF", xlabel="Loss", y_format_as_int=False)
-oreex.save_plot_to_file()
 
 #oreex.print_headline("Run ORE for 100 Bonds")
 #orexml="Input/ore100.xml"