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mgronckimgroncki
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Add example for generic barrier option and fx generic barrier option in AMC
1 parent ccb1dd6 commit 4370a06

10 files changed

Lines changed: 711 additions & 986 deletions

‎Examples/AmericanMonteCarlo/ExpectedOutput/generic_barrier_option/exposure_trade_generic_barrier_option_fx_raw_kiko.csv‎

Lines changed: 62 additions & 0 deletions
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1+
#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE,TimeWeightedBaselEPE,TimeWeightedBaselEEPE
2+
generic_barrier_option_fx_raw_kiko,2022-01-31,0.000000,7880,0,0,0,7880,7880,7880,7879.94,7879.94
3+
generic_barrier_option_fx_raw_kiko,2022-02-01,0.002740,7884,0,0,0,13822,7885,7885,7884.62,7884.62
4+
generic_barrier_option_fx_raw_kiko,2022-02-02,0.005479,7886,0,0,0,14357,7888,7888,7886.12,7886.12
5+
generic_barrier_option_fx_raw_kiko,2022-02-03,0.008219,7887,0,0,0,16063,7890,7890,7887.33,7887.33
6+
generic_barrier_option_fx_raw_kiko,2022-02-04,0.010959,7887,0,0,0,17253,7890,7890,7888.11,7888.11
7+
generic_barrier_option_fx_raw_kiko,2022-02-07,0.019178,7894,0,0,0,20968,7901,7901,7893.62,7893.62
8+
generic_barrier_option_fx_raw_kiko,2022-02-08,0.021918,7887,0,0,0,22507,7895,7901,7893.74,7894.54
9+
generic_barrier_option_fx_raw_kiko,2022-02-09,0.024658,7891,0,0,0,23411,7900,7901,7894.43,7895.26
10+
generic_barrier_option_fx_raw_kiko,2022-02-10,0.027397,7896,0,0,0,24515,7906,7906,7895.58,7896.33
11+
generic_barrier_option_fx_raw_kiko,2022-02-11,0.030137,7895,0,0,0,25532,7906,7906,7896.54,7897.22
12+
generic_barrier_option_fx_raw_kiko,2022-02-14,0.038356,7912,0,0,0,28820,7926,7926,7902.78,7903.31
13+
generic_barrier_option_fx_raw_kiko,2022-02-15,0.041096,7915,0,0,0,29655,7930,7930,7904.63,7905.12
14+
generic_barrier_option_fx_raw_kiko,2022-02-16,0.043836,7912,0,0,0,30612,7928,7930,7906.06,7906.71
15+
generic_barrier_option_fx_raw_kiko,2022-02-17,0.046575,7899,0,0,0,32048,7916,7930,7906.62,7908.11
16+
generic_barrier_option_fx_raw_kiko,2022-02-18,0.049315,7906,0,0,0,33030,7924,7930,7907.61,7909.35
17+
generic_barrier_option_fx_raw_kiko,2022-02-22,0.060274,8031,0,0,0,37381,8053,8053,7934.06,7935.48
18+
generic_barrier_option_fx_raw_kiko,2022-02-23,0.063014,8074,0,0,0,38758,8098,8098,7941.18,7942.54
19+
generic_barrier_option_fx_raw_kiko,2022-02-24,0.065753,8122,0,0,0,39887,8147,8147,7949.74,7951.04
20+
generic_barrier_option_fx_raw_kiko,2022-02-25,0.068493,8185,0,0,0,41322,8210,8210,7960.17,7961.42
21+
generic_barrier_option_fx_raw_kiko,2022-02-28,0.076712,8449,0,0,0,44201,8479,8479,8015.72,8016.84
22+
generic_barrier_option_fx_raw_kiko,2022-03-01,0.079452,8533,0,0,0,45348,8564,8564,8034.63,8035.71
23+
generic_barrier_option_fx_raw_kiko,2022-03-02,0.082192,8422,0,0,0,44817,8454,8564,8048.61,8053.31
24+
generic_barrier_option_fx_raw_kiko,2022-03-03,0.084932,8322,0,0,0,43581,8354,8564,8058.47,8069.79
25+
generic_barrier_option_fx_raw_kiko,2022-03-04,0.087671,0,0,0,0,0,0,8564,7806.64,8085.23
26+
generic_barrier_option_fx_raw_kiko,2022-03-07,0.095890,0,0,0,0,0,0,8564,7137.50,8126.27
27+
generic_barrier_option_fx_raw_kiko,2022-03-08,0.098630,0,0,0,0,0,0,8564,6939.24,8138.43
28+
generic_barrier_option_fx_raw_kiko,2022-03-09,0.101370,0,0,0,0,0,0,8564,6751.69,8149.93
29+
generic_barrier_option_fx_raw_kiko,2022-03-10,0.104110,0,0,0,0,0,0,8564,6574.01,8160.82
30+
generic_barrier_option_fx_raw_kiko,2022-03-11,0.106849,0,0,0,0,0,0,8564,6405.45,8171.16
31+
generic_barrier_option_fx_raw_kiko,2022-03-14,0.115068,0,0,0,0,0,0,8564,5947.92,8199.22
32+
generic_barrier_option_fx_raw_kiko,2022-03-15,0.117808,0,0,0,0,0,0,8564,5809.59,8207.70
33+
generic_barrier_option_fx_raw_kiko,2022-03-16,0.120548,0,0,0,0,0,0,8564,5677.56,8215.80
34+
generic_barrier_option_fx_raw_kiko,2022-03-17,0.123288,0,0,0,0,0,0,8564,5551.39,8223.54
35+
generic_barrier_option_fx_raw_kiko,2022-03-18,0.126027,0,0,0,0,0,0,8564,5430.71,8230.94
36+
generic_barrier_option_fx_raw_kiko,2022-03-21,0.134247,0,0,0,0,0,0,8564,5098.22,8251.33
37+
generic_barrier_option_fx_raw_kiko,2022-03-22,0.136986,0,0,0,0,0,0,8564,4996.25,8257.58
38+
generic_barrier_option_fx_raw_kiko,2022-03-23,0.139726,0,0,0,0,0,0,8564,4898.29,8263.59
39+
generic_barrier_option_fx_raw_kiko,2022-03-24,0.142466,0,0,0,0,0,0,8564,4804.09,8269.37
40+
generic_barrier_option_fx_raw_kiko,2022-03-25,0.145205,0,0,0,0,0,0,8564,4713.44,8274.92
41+
generic_barrier_option_fx_raw_kiko,2022-03-28,0.153425,0,0,0,0,0,0,8564,4460.94,8290.41
42+
generic_barrier_option_fx_raw_kiko,2022-03-29,0.156164,0,0,0,0,0,0,8564,4382.68,8295.21
43+
generic_barrier_option_fx_raw_kiko,2022-03-30,0.158904,0,0,0,0,0,0,8564,4307.11,8299.84
44+
generic_barrier_option_fx_raw_kiko,2022-03-31,0.161644,0,0,0,0,0,0,8564,4234.11,8304.32
45+
generic_barrier_option_fx_raw_kiko,2022-04-01,0.164384,0,0,0,0,0,0,8564,4163.54,8308.65
46+
generic_barrier_option_fx_raw_kiko,2022-04-04,0.172603,0,0,0,0,0,0,8564,3965.28,8320.81
47+
generic_barrier_option_fx_raw_kiko,2022-04-05,0.175342,0,0,0,0,0,0,8564,3903.32,8324.61
48+
generic_barrier_option_fx_raw_kiko,2022-04-06,0.178082,0,0,0,0,0,0,8564,3843.27,8328.29
49+
generic_barrier_option_fx_raw_kiko,2022-04-07,0.180822,0,0,0,0,0,0,8564,3785.04,8331.86
50+
generic_barrier_option_fx_raw_kiko,2022-04-08,0.183562,0,0,0,0,0,0,8564,3728.55,8335.32
51+
generic_barrier_option_fx_raw_kiko,2022-04-11,0.191781,0,0,0,0,0,0,8564,3568.75,8345.12
52+
generic_barrier_option_fx_raw_kiko,2022-04-12,0.194521,0,0,0,0,0,0,8564,3518.49,8348.21
53+
generic_barrier_option_fx_raw_kiko,2022-04-13,0.197260,0,0,0,0,0,0,8564,3469.62,8351.20
54+
generic_barrier_option_fx_raw_kiko,2022-04-14,0.200000,0,0,0,0,0,0,8564,3422.09,8354.12
55+
generic_barrier_option_fx_raw_kiko,2022-04-19,0.213699,0,0,0,0,0,0,8564,3202.72,8367.57
56+
generic_barrier_option_fx_raw_kiko,2022-04-20,0.216438,0,0,0,0,0,0,8564,3162.18,8370.06
57+
generic_barrier_option_fx_raw_kiko,2022-04-21,0.219178,0,0,0,0,0,0,8564,3122.66,8372.48
58+
generic_barrier_option_fx_raw_kiko,2022-04-22,0.221918,0,0,0,0,0,0,8564,3084.11,8374.84
59+
generic_barrier_option_fx_raw_kiko,2022-04-25,0.230137,0,0,0,0,0,0,8564,2973.96,8381.60
60+
generic_barrier_option_fx_raw_kiko,2022-04-26,0.232877,0,0,0,0,0,0,8564,2938.97,8383.74
61+
generic_barrier_option_fx_raw_kiko,2022-04-27,0.235616,0,0,0,0,0,0,8564,2904.80,8385.84
62+
generic_barrier_option_fx_raw_kiko,2022-04-28,0.238356,0,0,0,0,0,0,8564,2871.41,8387.89

‎Examples/AmericanMonteCarlo/ExpectedOutput/generic_barrier_option/exposure_trade_generic_fx_barrier_option.csv‎

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1+
#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE,TimeWeightedBaselEPE,TimeWeightedBaselEEPE
2+
generic_fx_barrier_option,2022-01-31,0.000000,7880,0,0,0,7880,7880,7880,7879.94,7879.94
3+
generic_fx_barrier_option,2022-02-01,0.002740,7884,0,0,0,13822,7885,7885,7884.62,7884.62
4+
generic_fx_barrier_option,2022-02-02,0.005479,7886,0,0,0,14357,7888,7888,7886.12,7886.12
5+
generic_fx_barrier_option,2022-02-03,0.008219,7887,0,0,0,16063,7890,7890,7887.33,7887.33
6+
generic_fx_barrier_option,2022-02-04,0.010959,7887,0,0,0,17253,7890,7890,7888.11,7888.11
7+
generic_fx_barrier_option,2022-02-07,0.019178,7894,0,0,0,20968,7901,7901,7893.62,7893.62
8+
generic_fx_barrier_option,2022-02-08,0.021918,7887,0,0,0,22507,7895,7901,7893.74,7894.54
9+
generic_fx_barrier_option,2022-02-09,0.024658,7891,0,0,0,23411,7900,7901,7894.43,7895.26
10+
generic_fx_barrier_option,2022-02-10,0.027397,7896,0,0,0,24515,7906,7906,7895.58,7896.33
11+
generic_fx_barrier_option,2022-02-11,0.030137,7895,0,0,0,25532,7906,7906,7896.54,7897.22
12+
generic_fx_barrier_option,2022-02-14,0.038356,7912,0,0,0,28820,7926,7926,7902.78,7903.31
13+
generic_fx_barrier_option,2022-02-15,0.041096,7915,0,0,0,29655,7930,7930,7904.63,7905.12
14+
generic_fx_barrier_option,2022-02-16,0.043836,7912,0,0,0,30612,7928,7930,7906.06,7906.71
15+
generic_fx_barrier_option,2022-02-17,0.046575,7899,0,0,0,32048,7916,7930,7906.62,7908.11
16+
generic_fx_barrier_option,2022-02-18,0.049315,7906,0,0,0,33030,7924,7930,7907.61,7909.35
17+
generic_fx_barrier_option,2022-02-22,0.060274,8031,0,0,0,37381,8053,8053,7934.06,7935.48
18+
generic_fx_barrier_option,2022-02-23,0.063014,8074,0,0,0,38758,8098,8098,7941.18,7942.54
19+
generic_fx_barrier_option,2022-02-24,0.065753,8122,0,0,0,39887,8147,8147,7949.74,7951.04
20+
generic_fx_barrier_option,2022-02-25,0.068493,8185,0,0,0,41322,8210,8210,7960.17,7961.42
21+
generic_fx_barrier_option,2022-02-28,0.076712,8449,0,0,0,44201,8479,8479,8015.72,8016.84
22+
generic_fx_barrier_option,2022-03-01,0.079452,8533,0,0,0,45348,8564,8564,8034.63,8035.71
23+
generic_fx_barrier_option,2022-03-02,0.082192,8422,0,0,0,44817,8454,8564,8048.61,8053.31
24+
generic_fx_barrier_option,2022-03-03,0.084932,8322,0,0,0,43581,8354,8564,8058.47,8069.79
25+
generic_fx_barrier_option,2022-03-04,0.087671,0,0,0,0,0,0,8564,7806.64,8085.23
26+
generic_fx_barrier_option,2022-03-07,0.095890,0,0,0,0,0,0,8564,7137.50,8126.27
27+
generic_fx_barrier_option,2022-03-08,0.098630,0,0,0,0,0,0,8564,6939.24,8138.43
28+
generic_fx_barrier_option,2022-03-09,0.101370,0,0,0,0,0,0,8564,6751.69,8149.93
29+
generic_fx_barrier_option,2022-03-10,0.104110,0,0,0,0,0,0,8564,6574.01,8160.82
30+
generic_fx_barrier_option,2022-03-11,0.106849,0,0,0,0,0,0,8564,6405.45,8171.16
31+
generic_fx_barrier_option,2022-03-14,0.115068,0,0,0,0,0,0,8564,5947.92,8199.22
32+
generic_fx_barrier_option,2022-03-15,0.117808,0,0,0,0,0,0,8564,5809.59,8207.70
33+
generic_fx_barrier_option,2022-03-16,0.120548,0,0,0,0,0,0,8564,5677.56,8215.80
34+
generic_fx_barrier_option,2022-03-17,0.123288,0,0,0,0,0,0,8564,5551.39,8223.54
35+
generic_fx_barrier_option,2022-03-18,0.126027,0,0,0,0,0,0,8564,5430.71,8230.94
36+
generic_fx_barrier_option,2022-03-21,0.134247,0,0,0,0,0,0,8564,5098.22,8251.33
37+
generic_fx_barrier_option,2022-03-22,0.136986,0,0,0,0,0,0,8564,4996.25,8257.58
38+
generic_fx_barrier_option,2022-03-23,0.139726,0,0,0,0,0,0,8564,4898.29,8263.59
39+
generic_fx_barrier_option,2022-03-24,0.142466,0,0,0,0,0,0,8564,4804.09,8269.37
40+
generic_fx_barrier_option,2022-03-25,0.145205,0,0,0,0,0,0,8564,4713.44,8274.92
41+
generic_fx_barrier_option,2022-03-28,0.153425,0,0,0,0,0,0,8564,4460.94,8290.41
42+
generic_fx_barrier_option,2022-03-29,0.156164,0,0,0,0,0,0,8564,4382.68,8295.21
43+
generic_fx_barrier_option,2022-03-30,0.158904,0,0,0,0,0,0,8564,4307.11,8299.84
44+
generic_fx_barrier_option,2022-03-31,0.161644,0,0,0,0,0,0,8564,4234.11,8304.32
45+
generic_fx_barrier_option,2022-04-01,0.164384,0,0,0,0,0,0,8564,4163.54,8308.65
46+
generic_fx_barrier_option,2022-04-04,0.172603,0,0,0,0,0,0,8564,3965.28,8320.81
47+
generic_fx_barrier_option,2022-04-05,0.175342,0,0,0,0,0,0,8564,3903.32,8324.61
48+
generic_fx_barrier_option,2022-04-06,0.178082,0,0,0,0,0,0,8564,3843.27,8328.29
49+
generic_fx_barrier_option,2022-04-07,0.180822,0,0,0,0,0,0,8564,3785.04,8331.86
50+
generic_fx_barrier_option,2022-04-08,0.183562,0,0,0,0,0,0,8564,3728.55,8335.32
51+
generic_fx_barrier_option,2022-04-11,0.191781,0,0,0,0,0,0,8564,3568.75,8345.12
52+
generic_fx_barrier_option,2022-04-12,0.194521,0,0,0,0,0,0,8564,3518.49,8348.21
53+
generic_fx_barrier_option,2022-04-13,0.197260,0,0,0,0,0,0,8564,3469.62,8351.20
54+
generic_fx_barrier_option,2022-04-14,0.200000,0,0,0,0,0,0,8564,3422.09,8354.12
55+
generic_fx_barrier_option,2022-04-19,0.213699,0,0,0,0,0,0,8564,3202.72,8367.57
56+
generic_fx_barrier_option,2022-04-20,0.216438,0,0,0,0,0,0,8564,3162.18,8370.06
57+
generic_fx_barrier_option,2022-04-21,0.219178,0,0,0,0,0,0,8564,3122.66,8372.48
58+
generic_fx_barrier_option,2022-04-22,0.221918,0,0,0,0,0,0,8564,3084.11,8374.84
59+
generic_fx_barrier_option,2022-04-25,0.230137,0,0,0,0,0,0,8564,2973.96,8381.60
60+
generic_fx_barrier_option,2022-04-26,0.232877,0,0,0,0,0,0,8564,2938.97,8383.74
61+
generic_fx_barrier_option,2022-04-27,0.235616,0,0,0,0,0,0,8564,2904.80,8385.84
62+
generic_fx_barrier_option,2022-04-28,0.238356,0,0,0,0,0,0,8564,2871.41,8387.89

‎Examples/AmericanMonteCarlo/ExpectedOutput/generic_barrier_option/npv.csv‎

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1+
#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2+
generic_barrier_option_fx_raw_kiko,ScriptedTrade,2022-03-04,0.087671,7936.921587,USD,7936.921587,USD,1080000.00,USD,1080000.00,CPTY_A,CPTY_A
3+
generic_fx_barrier_option,FxGenericBarrierOption,2022-03-04,0.087671,7936.921587,USD,7936.921587,USD,1080000.00,USD,1080000.00,CPTY_A,CPTY_A

‎Examples/AmericanMonteCarlo/Input/ore_barrier.xml‎

Lines changed: 8 additions & 11 deletions
Original file line numberDiff line numberDiff line change
@@ -3,7 +3,7 @@
33
<Setup>
44
<Parameter name="asofDate">2022-01-31</Parameter>
55
<Parameter name="inputPath">Input</Parameter>
6-
<Parameter name="outputPath">Output/genericBarrierOptionAMC</Parameter>
6+
<Parameter name="outputPath">Output/generic_barrier_option</Parameter>
77
<Parameter name="logFile">log.txt</Parameter>
88
<Parameter name="logMask">31</Parameter>
99
<Parameter name="marketDataFile">market.txt</Parameter>
@@ -13,7 +13,7 @@
1313
<Parameter name="conventionsFile">conventions.xml</Parameter>
1414
<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
1515
<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
16-
<Parameter name="portfolioFile">portfolio_genericBarrierOptionAMC.xml</Parameter>
16+
<Parameter name="portfolioFile">portfolio_genericbarrieroption.xml</Parameter>
1717
<Parameter name="observationModel">None</Parameter>
1818
<Parameter name="scriptLibrary">scriptlibrary_barrier.xml</Parameter>
1919
</Setup>
@@ -30,10 +30,7 @@
3030
<Parameter name="active">Y</Parameter>
3131
<Parameter name="baseCurrency">USD</Parameter>
3232
<Parameter name="outputFileName">npv.csv</Parameter>
33-
</Analytic>
34-
<Analytic type="additionalResults">
35-
<Parameter name="active">Y</Parameter>
36-
<Parameter name="outputFileName">additional_results.csv</Parameter>
33+
<Parameter name="additionalResults">Y</Parameter>
3734
</Analytic>
3835
<Analytic type="cashflow">
3936
<Parameter name="active">Y</Parameter>
@@ -48,15 +45,15 @@
4845
<Analytic type="simulation">
4946
<Parameter name="active">Y</Parameter>
5047
<Parameter name="amc">Y</Parameter>
51-
<Parameter name="amcTradeTypes">FxOption,ScriptedTrade,FxGenericBarrierOption</Parameter>
48+
<Parameter name="amcTradeTypes">ScriptedTrade,FxGenericBarrierOption</Parameter>
5249
<Parameter name="simulationConfigFile">simulation_barrier.xml</Parameter>
53-
<Parameter name="pricingEnginesFile">pricingengine_fxoption.xml</Parameter>
54-
<Parameter name="amcPricingEnginesFile">pricingengine_fxoption_amc.xml</Parameter>
50+
<Parameter name="pricingEnginesFile">pricingengine_barrier.xml</Parameter>
51+
<Parameter name="amcPricingEnginesFile">pricingengine_barrier_amc.xml</Parameter>
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<Parameter name="baseCurrency">USD</Parameter>
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<Parameter name="storeScenarios">N</Parameter>
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<Parameter name="cubeFile">cube.csv</Parameter>
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<!--Parameter name="cubeFile">cube.csv</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodataDump.csv</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodataDump.csv</Parameter-->
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</Analytic>
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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>

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