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mgronckijenkins
mgroncki
authored and
jenkins
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QPR-12426 update example 2
1 parent 6b213ee commit 43f9ee9

4 files changed

Lines changed: 36 additions & 36 deletions

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‎Examples/Example_2/ExpectedOutput/npv_payer.csv‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,13 +1,13 @@
11
#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
Swaption_1_19,Swaption,2036-03-03,20.073770,780375.764209,EUR,780375.764209,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3-
Swaption_2_18,Swaption,2036-03-03,20.073770,1001153.601683,EUR,1001153.601683,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4-
Swaption_3_17,Swaption,2036-03-03,20.073770,1160727.483027,EUR,1160727.483027,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5-
Swaption_4_16,Swaption,2036-03-03,20.073770,1254046.409145,EUR,1254046.409145,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6-
Swaption_5_15,Swaption,2036-03-03,20.073770,1310853.645369,EUR,1310853.645369,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7-
Swaption_6_14,Swaption,2036-03-03,20.073770,1328783.620035,EUR,1328783.620035,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8-
Swaption_7_13,Swaption,2036-03-03,20.073770,1327178.118065,EUR,1327178.118065,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9-
Swaption_8_12,Swaption,2036-03-03,20.073770,1279268.352242,EUR,1279268.352242,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10-
Swaption_9_11,Swaption,2036-03-03,20.073770,1221728.923294,EUR,1221728.923294,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
2+
Swaption_01_19,Swaption,2036-03-03,20.073770,780375.764209,EUR,780375.764209,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3+
Swaption_02_18,Swaption,2036-03-03,20.073770,1001153.601683,EUR,1001153.601683,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4+
Swaption_03_17,Swaption,2036-03-03,20.073770,1160727.483027,EUR,1160727.483027,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5+
Swaption_04_16,Swaption,2036-03-03,20.073770,1254046.409145,EUR,1254046.409145,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6+
Swaption_05_15,Swaption,2036-03-03,20.073770,1310853.645369,EUR,1310853.645369,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7+
Swaption_06_14,Swaption,2036-03-03,20.073770,1328783.620035,EUR,1328783.620035,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8+
Swaption_07_13,Swaption,2036-03-03,20.073770,1327178.118065,EUR,1327178.118065,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9+
Swaption_08_12,Swaption,2036-03-03,20.073770,1279268.352242,EUR,1279268.352242,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10+
Swaption_09_11,Swaption,2036-03-03,20.073770,1221728.923294,EUR,1221728.923294,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1111
Swaption_10_10,Swaption,2036-03-03,20.073770,1156594.462136,EUR,1156594.462136,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1212
Swaption_11_9,Swaption,2036-03-03,20.073770,1072866.080225,EUR,1072866.080225,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1313
Swaption_12_8,Swaption,2036-03-03,20.073770,981232.539406,EUR,981232.539406,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A

‎Examples/Example_2/ExpectedOutput/npv_receiver.csv‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,13 +1,13 @@
11
#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
Swaption_1_19,Swaption,2036-03-03,20.073770,409213.522933,EUR,409213.522933,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3-
Swaption_2_18,Swaption,2036-03-03,20.073770,524344.944312,EUR,524344.944312,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4-
Swaption_3_17,Swaption,2036-03-03,20.073770,590351.499090,EUR,590351.499090,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5-
Swaption_4_16,Swaption,2036-03-03,20.073770,615477.474118,EUR,615477.474118,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6-
Swaption_5_15,Swaption,2036-03-03,20.073770,626569.675882,EUR,626569.675882,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7-
Swaption_6_14,Swaption,2036-03-03,20.073770,637411.758750,EUR,637411.758750,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8-
Swaption_7_13,Swaption,2036-03-03,20.073770,631893.882086,EUR,631893.882086,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9-
Swaption_8_12,Swaption,2036-03-03,20.073770,632969.167411,EUR,632969.167411,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10-
Swaption_9_11,Swaption,2036-03-03,20.073770,623756.005194,EUR,623756.005194,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
2+
Swaption_01_19,Swaption,2036-03-03,20.073770,409213.522933,EUR,409213.522933,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3+
Swaption_02_18,Swaption,2036-03-03,20.073770,524344.944312,EUR,524344.944312,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4+
Swaption_03_17,Swaption,2036-03-03,20.073770,590351.499090,EUR,590351.499090,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5+
Swaption_04_16,Swaption,2036-03-03,20.073770,615477.474118,EUR,615477.474118,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6+
Swaption_05_15,Swaption,2036-03-03,20.073770,626569.675882,EUR,626569.675882,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7+
Swaption_06_14,Swaption,2036-03-03,20.073770,637411.758750,EUR,637411.758750,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8+
Swaption_07_13,Swaption,2036-03-03,20.073770,631893.882086,EUR,631893.882086,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9+
Swaption_08_12,Swaption,2036-03-03,20.073770,632969.167411,EUR,632969.167411,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10+
Swaption_09_11,Swaption,2036-03-03,20.073770,623756.005194,EUR,623756.005194,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1111
Swaption_10_10,Swaption,2036-03-03,20.073770,606396.429657,EUR,606396.429657,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1212
Swaption_11_9,Swaption,2036-03-03,20.073770,577039.831014,EUR,577039.831014,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1313
Swaption_12_8,Swaption,2036-03-03,20.073770,540324.712582,EUR,540324.712582,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A

‎Examples/Example_2/Input/portfolio_swaption_payer.xml‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,6 +1,6 @@
11
<?xml version="1.0"?>
22
<Portfolio>
3-
<Trade id="Swaption_1_19">
3+
<Trade id="Swaption_01_19">
44
<TradeType>Swaption</TradeType>
55
<Envelope>
66
<CounterParty>CPTY_A</CounterParty>
@@ -81,7 +81,7 @@
8181
</LegData>
8282
</SwaptionData>
8383
</Trade>
84-
<Trade id="Swaption_2_18">
84+
<Trade id="Swaption_02_18">
8585
<TradeType>Swaption</TradeType>
8686
<Envelope>
8787
<CounterParty>CPTY_A</CounterParty>
@@ -162,7 +162,7 @@
162162
</LegData>
163163
</SwaptionData>
164164
</Trade>
165-
<Trade id="Swaption_3_17">
165+
<Trade id="Swaption_03_17">
166166
<TradeType>Swaption</TradeType>
167167
<Envelope>
168168
<CounterParty>CPTY_A</CounterParty>
@@ -243,7 +243,7 @@
243243
</LegData>
244244
</SwaptionData>
245245
</Trade>
246-
<Trade id="Swaption_4_16">
246+
<Trade id="Swaption_04_16">
247247
<TradeType>Swaption</TradeType>
248248
<Envelope>
249249
<CounterParty>CPTY_A</CounterParty>
@@ -324,7 +324,7 @@
324324
</LegData>
325325
</SwaptionData>
326326
</Trade>
327-
<Trade id="Swaption_5_15">
327+
<Trade id="Swaption_05_15">
328328
<TradeType>Swaption</TradeType>
329329
<Envelope>
330330
<CounterParty>CPTY_A</CounterParty>
@@ -405,7 +405,7 @@
405405
</LegData>
406406
</SwaptionData>
407407
</Trade>
408-
<Trade id="Swaption_6_14">
408+
<Trade id="Swaption_06_14">
409409
<TradeType>Swaption</TradeType>
410410
<Envelope>
411411
<CounterParty>CPTY_A</CounterParty>
@@ -486,7 +486,7 @@
486486
</LegData>
487487
</SwaptionData>
488488
</Trade>
489-
<Trade id="Swaption_7_13">
489+
<Trade id="Swaption_07_13">
490490
<TradeType>Swaption</TradeType>
491491
<Envelope>
492492
<CounterParty>CPTY_A</CounterParty>
@@ -567,7 +567,7 @@
567567
</LegData>
568568
</SwaptionData>
569569
</Trade>
570-
<Trade id="Swaption_8_12">
570+
<Trade id="Swaption_08_12">
571571
<TradeType>Swaption</TradeType>
572572
<Envelope>
573573
<CounterParty>CPTY_A</CounterParty>
@@ -648,7 +648,7 @@
648648
</LegData>
649649
</SwaptionData>
650650
</Trade>
651-
<Trade id="Swaption_9_11">
651+
<Trade id="Swaption_09_11">
652652
<TradeType>Swaption</TradeType>
653653
<Envelope>
654654
<CounterParty>CPTY_A</CounterParty>

‎Examples/Example_2/Input/portfolio_swaption_receiver.xml‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,6 +1,6 @@
11
<?xml version="1.0"?>
22
<Portfolio>
3-
<Trade id="Swaption_1_19">
3+
<Trade id="Swaption_01_19">
44
<TradeType>Swaption</TradeType>
55
<Envelope>
66
<CounterParty>CPTY_A</CounterParty>
@@ -81,7 +81,7 @@
8181
</LegData>
8282
</SwaptionData>
8383
</Trade>
84-
<Trade id="Swaption_2_18">
84+
<Trade id="Swaption_02_18">
8585
<TradeType>Swaption</TradeType>
8686
<Envelope>
8787
<CounterParty>CPTY_A</CounterParty>
@@ -162,7 +162,7 @@
162162
</LegData>
163163
</SwaptionData>
164164
</Trade>
165-
<Trade id="Swaption_3_17">
165+
<Trade id="Swaption_03_17">
166166
<TradeType>Swaption</TradeType>
167167
<Envelope>
168168
<CounterParty>CPTY_A</CounterParty>
@@ -243,7 +243,7 @@
243243
</LegData>
244244
</SwaptionData>
245245
</Trade>
246-
<Trade id="Swaption_4_16">
246+
<Trade id="Swaption_04_16">
247247
<TradeType>Swaption</TradeType>
248248
<Envelope>
249249
<CounterParty>CPTY_A</CounterParty>
@@ -324,7 +324,7 @@
324324
</LegData>
325325
</SwaptionData>
326326
</Trade>
327-
<Trade id="Swaption_5_15">
327+
<Trade id="Swaption_05_15">
328328
<TradeType>Swaption</TradeType>
329329
<Envelope>
330330
<CounterParty>CPTY_A</CounterParty>
@@ -405,7 +405,7 @@
405405
</LegData>
406406
</SwaptionData>
407407
</Trade>
408-
<Trade id="Swaption_6_14">
408+
<Trade id="Swaption_06_14">
409409
<TradeType>Swaption</TradeType>
410410
<Envelope>
411411
<CounterParty>CPTY_A</CounterParty>
@@ -486,7 +486,7 @@
486486
</LegData>
487487
</SwaptionData>
488488
</Trade>
489-
<Trade id="Swaption_7_13">
489+
<Trade id="Swaption_07_13">
490490
<TradeType>Swaption</TradeType>
491491
<Envelope>
492492
<CounterParty>CPTY_A</CounterParty>
@@ -567,7 +567,7 @@
567567
</LegData>
568568
</SwaptionData>
569569
</Trade>
570-
<Trade id="Swaption_8_12">
570+
<Trade id="Swaption_08_12">
571571
<TradeType>Swaption</TradeType>
572572
<Envelope>
573573
<CounterParty>CPTY_A</CounterParty>
@@ -648,7 +648,7 @@
648648
</LegData>
649649
</SwaptionData>
650650
</Trade>
651-
<Trade id="Swaption_9_11">
651+
<Trade id="Swaption_09_11">
652652
<TradeType>Swaption</TradeType>
653653
<Envelope>
654654
<CounterParty>CPTY_A</CounterParty>

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