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pcaspersjenkins
pcaspers
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jenkins
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QPR-12201 update cached results
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Lines changed: 36 additions & 36 deletions

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‎OREAnalytics/test/sensitivityanalysis.cpp‎

Lines changed: 36 additions & 36 deletions
Original file line numberDiff line numberDiff line change
@@ -416,42 +416,42 @@ void testPortfolioSensitivity(ObservationMode::Mode om) {
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{"17_Swaption_EUR", "Up:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 9574.97, 0.187171},
417417
{"17_Swaption_EUR", "Down:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 9574.97, -102.402},
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{"17_Swaption_EUR", "Down:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 9574.97, -0.187171},
419-
{"13_Swaption_EUR", "Up:DiscountCurve/EUR/2/2Y", 28942.4, -0.1908},
420-
{"13_Swaption_EUR", "Up:DiscountCurve/EUR/3/3Y", 28942.4, -1.08453},
421-
{"13_Swaption_EUR", "Up:DiscountCurve/EUR/4/5Y", 28942.4, -2.40986},
422-
{"13_Swaption_EUR", "Up:DiscountCurve/EUR/5/7Y", 28942.4, -5.27631},
423-
{"13_Swaption_EUR", "Up:DiscountCurve/EUR/6/10Y", 28942.4, -10.4971},
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{"13_Swaption_EUR", "Up:DiscountCurve/EUR/7/15Y", 28942.4, -2.50552},
425-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/2/2Y", 28942.4, 0.190804},
426-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/3/3Y", 28942.4, 1.08461},
427-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/4/5Y", 28942.4, 2.41026},
428-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/5/7Y", 28942.4, 5.27825},
429-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/6/10Y", 28942.4, 10.504},
430-
{"13_Swaption_EUR", "Down:DiscountCurve/EUR/7/15Y", 28942.4, 2.50645},
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{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/2/2Y", 28942.4, -38.301},
432-
{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/3/3Y", 28942.4, -45.5766},
433-
{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/4/5Y", 28942.4, -65.0922},
434-
{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/5/7Y", 28942.4, -18.1541},
435-
{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", 28942.4, 305.628},
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{"13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/7/15Y", 28942.4, 286.162},
437-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/2/2Y", 28942.4, 38.3044},
438-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/3/3Y", 28942.4, 45.5813},
439-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/4/5Y", 28942.4, 67.0121},
440-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/5/7Y", 28942.4, 19.5217},
441-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", 28942.4, -305.566},
442-
{"13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/7/15Y", 28942.4, -286.126},
443-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 28942.4, 11.0872},
444-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/1/2Y/10Y/ATM", 28942.4, 76.6783},
445-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 28942.4, 109.723},
446-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/3/5Y/10Y/ATM", 28942.4, 60.6695},
447-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/4/10Y/5Y/ATM", 28942.4, 18.7823},
448-
{"13_Swaption_EUR", "Up:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 28942.4, 4.70603},
449-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 28942.4, -11.1019},
450-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/1/2Y/10Y/ATM", 28942.4, -77.4478},
451-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 28942.4, -109.977},
452-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/3/5Y/10Y/ATM", 28942.4, -60.9071},
453-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/4/10Y/5Y/ATM", 28942.4, -18.8482},
454-
{"13_Swaption_EUR", "Down:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 28942.4, -4.71396},
419+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/2/2Y", 28897.73677078046239330, -0.27803008252885775 },
420+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/3/3Y", 28897.73677078046239330, -1.33378866274506436 },
421+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/4/5Y", 28897.73677078046239330, -3.18918880432465812 },
422+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/5/7Y", 28897.73677078046239330, -5.84492214726196835 },
423+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/6/10Y", 28897.73677078046239330, -8.05244884515923331 },
424+
{ "13_Swaption_EUR", "Up:DiscountCurve/EUR/7/15Y", 28897.73677078046239330, -0.69943596490338678 },
425+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/2/2Y", 28897.73677078046239330, 0.27805747913225787 },
426+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/3/3Y", 28897.73677078046239330, 1.33400263515068218 },
427+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/4/5Y", 28897.73677078046239330, 3.19001306503196247 },
428+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/5/7Y", 28897.73677078046239330, 5.84723266483342741 },
429+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/6/10Y", 28897.73677078046239330, 8.05807870846547303 },
430+
{ "13_Swaption_EUR", "Down:DiscountCurve/EUR/7/15Y", 28897.73677078046239330, 0.69933176309859846 },
431+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/2/2Y", 28897.73677078046239330, -38.21252730777996476 },
432+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/3/3Y", 28897.73677078046239330, -45.32662074925974593 },
433+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/4/5Y", 28897.73677078046239330, -64.33186224827295518 },
434+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/5/7Y", 28897.73677078046239330, -17.67819831141969189 },
435+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", 28897.73677078046239330, 303.22767876380385133 },
436+
{ "13_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/7/15Y", 28897.73677078046239330, 284.38032909158937400 },
437+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/2/2Y", 28897.73677078046239330, 38.21580821301176911 },
438+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/3/3Y", 28897.73677078046239330, 45.32991632828270667 },
439+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/4/5Y", 28897.73677078046239330, 66.17154485030550859 },
440+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/5/7Y", 28897.73677078046239330, 18.94715080036257859 },
441+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", 28897.73677078046239330, -303.16555956740558031 },
442+
{ "13_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/7/15Y", 28897.73677078046239330, -284.35056285505561391 },
443+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 28897.73677078046239330, 11.08070607382614980 },
444+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/1/2Y/10Y/ATM", 28897.73677078046239330, 76.78895257816475350 },
445+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 28897.73677078046239330, 109.40430923897656612 },
446+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/3/5Y/10Y/ATM", 28897.73677078046239330, 60.54663518636516528 },
447+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/4/10Y/5Y/ATM", 28897.73677078046239330, 18.72588467272362323 },
448+
{ "13_Swaption_EUR", "Up:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 28897.73677078046239330, 4.69121790060671628 },
449+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 28897.73677078046239330, -11.09549747305936762 },
450+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/1/2Y/10Y/ATM", 28897.73677078046239330, -77.54106330653303303 },
451+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 28897.73677078046239330, -109.65679842332247063 },
452+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/3/5Y/10Y/ATM", 28897.73677078046239330, -60.77103383964640670 },
453+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/4/10Y/5Y/ATM", 28897.73677078046239330, -18.79003667952929391 },
454+
{ "13_Swaption_EUR", "Down:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 28897.73677078046239330, -4.69902158074910403 },
455455
{"7_FxOption_EUR_USD", "Up:DiscountCurve/EUR/3/3Y", 1.36968e+06, -2107.81},
456456
{"7_FxOption_EUR_USD", "Up:DiscountCurve/EUR/4/5Y", 1.36968e+06, -3.85768},
457457
{"7_FxOption_EUR_USD", "Up:DiscountCurve/USD/3/3Y", 1.36968e+06, 1698.91},

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