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QPR-13703 update centralbank example
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16 files changed

Lines changed: 2183 additions & 753 deletions

‎Examples/CurveBuilding/ExpectedOutput/centralbank/curves.csv‎

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‎Examples/CurveBuilding/ExpectedOutput/centralbank_0/curves.csv‎

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‎Examples/CurveBuilding/ExpectedOutput/centralbank_1/curves.csv‎

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‎Examples/CurveBuilding/ExpectedOutput/centralbank_2/curves.csv‎

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‎Examples/CurveBuilding/ExpectedOutput/centralbank_3/curves.csv‎

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Examples/CurveBuilding/Input/curveconfig_centralbank.xml renamed to Examples/CurveBuilding/Input/curveconfig_centralbank_0.xml

File renamed without changes.

‎Examples/CurveBuilding/Input/curveconfig_centralbank_1.xml‎

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<?xml version="1.0" encoding="utf-8"?>
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<CurveConfiguration>
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<YieldCurves>
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<YieldCurve>
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<CurveId>GBP1D</CurveId>
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<CurveDescription>GBP discount curve bootstrapped from OIS swap rates</CurveDescription>
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<Currency>GBP</Currency>
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<DiscountCurve>GBP1D</DiscountCurve>
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<Segments>
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<!-- SONIA ON Rate -->
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<Simple>
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<Type>Deposit</Type>
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<Quotes>
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<Quote>MM/RATE/GBP/0D/1D</Quote>
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</Quotes>
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<Conventions>GBP-DEPOSIT</Conventions>
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<PillarChoice>NoPillar</PillarChoice>
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<Priority>0</Priority>
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</Simple>
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<!-- SONIA short OI swaps until first BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<!-- <Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1W</Quote> -->
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<!-- <Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2W</Quote> -->
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<!-- <Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3W</Quote> -->
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<!-- <Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1M</Quote> -->
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<!-- <Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2M</Quote> -->
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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<!-- SONIA forward starting BOE meeting date swap -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/20251218/1D/20260205</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260205/1D/20260319</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260319/1D/20260430</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260430/1D/20260618</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<PillarChoice>StartDateAndMaturityDate</PillarChoice>
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<Priority>1</Priority>
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</Simple>
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<!-- SONIA longer term OI swaps after last BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/6M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/7M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/8M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/9M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/10M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/11M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5Y</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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</Segments>
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<InterpolationVariable>Discount</InterpolationVariable>
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<InterpolationMethod>DefaultLogMixedLinearCubic</InterpolationMethod>
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<MixedInterpolationCutoff>3</MixedInterpolationCutoff>
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<YieldCurveDayCounter>A365</YieldCurveDayCounter>
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<BootstrapConfig>
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<Accuracy>1E-14</Accuracy>
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<Global>true</Global>
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</BootstrapConfig>
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</YieldCurve>
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</YieldCurves>
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<SwaptionVolatilities>
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<SwaptionVolatility>
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<CurveId>GBP_VOL</CurveId>
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<CurveDescription>GBP normal swaption volatilities</CurveDescription>
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<Dimension>ATM</Dimension>
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<VolatilityType>Lognormal</VolatilityType>
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<Extrapolation>Flat</Extrapolation>
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<DayCounter>Actual/365 (Fixed)</DayCounter>
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<Calendar>TARGET</Calendar>
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<BusinessDayConvention>Following</BusinessDayConvention>
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<OptionTenors>5Y,10Y,20Y</OptionTenors>
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<SwapTenors>5Y,10Y,20Y</SwapTenors>
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<ShortSwapIndexBase>GBP-CMS-SONIA-1Y</ShortSwapIndexBase>
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<SwapIndexBase>GBP-CMS-SONIA-10Y</SwapIndexBase>
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</SwaptionVolatility>
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</SwaptionVolatilities>
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</CurveConfiguration>

‎Examples/CurveBuilding/Input/curveconfig_centralbank_2.xml‎

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<?xml version="1.0" encoding="utf-8"?>
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<CurveConfiguration>
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<YieldCurves>
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<YieldCurve>
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<CurveId>GBP1D</CurveId>
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<CurveDescription>GBP discount curve bootstrapped from OIS swap rates</CurveDescription>
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<Currency>GBP</Currency>
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<DiscountCurve>GBP1D</DiscountCurve>
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<Segments>
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<!-- SONIA ON Rate -->
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<Simple>
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<Type>Deposit</Type>
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<Quotes>
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<Quote>MM/RATE/GBP/0D/1D</Quote>
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</Quotes>
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<Conventions>GBP-DEPOSIT</Conventions>
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<Priority>0</Priority>
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</Simple>
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<!-- SONIA short OI swaps until first BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2M</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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<!-- SONIA forward starting BOE meeting date swap -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/20251218/1D/20260205</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260205/1D/20260319</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260319/1D/20260430</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260430/1D/20260618</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>1</Priority>
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</Simple>
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<!-- SONIA longer term OI swaps after last BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/6M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/7M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/8M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/9M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/10M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/11M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5Y</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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</Segments>
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<InterpolationVariable>Discount</InterpolationVariable>
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<InterpolationMethod>DefaultLogMixedLinearCubic</InterpolationMethod>
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<MixedInterpolationCutoff>3</MixedInterpolationCutoff>
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<YieldCurveDayCounter>A365</YieldCurveDayCounter>
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<BootstrapConfig>
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<Accuracy>1E-14</Accuracy>
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<Global>true</Global>
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</BootstrapConfig>
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</YieldCurve>
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</YieldCurves>
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<SwaptionVolatilities>
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<SwaptionVolatility>
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<CurveId>GBP_VOL</CurveId>
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<CurveDescription>GBP normal swaption volatilities</CurveDescription>
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<Dimension>ATM</Dimension>
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<VolatilityType>Lognormal</VolatilityType>
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<Extrapolation>Flat</Extrapolation>
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<DayCounter>Actual/365 (Fixed)</DayCounter>
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<Calendar>TARGET</Calendar>
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<BusinessDayConvention>Following</BusinessDayConvention>
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<OptionTenors>5Y,10Y,20Y</OptionTenors>
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<SwapTenors>5Y,10Y,20Y</SwapTenors>
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<ShortSwapIndexBase>GBP-CMS-SONIA-1Y</ShortSwapIndexBase>
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<SwapIndexBase>GBP-CMS-SONIA-10Y</SwapIndexBase>
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</SwaptionVolatility>
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</SwaptionVolatilities>
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</CurveConfiguration>

‎Examples/CurveBuilding/Input/curveconfig_centralbank_3.xml‎

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<?xml version="1.0" encoding="utf-8"?>
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<CurveConfiguration>
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<YieldCurves>
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<YieldCurve>
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<CurveId>GBP1D</CurveId>
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<CurveDescription>GBP discount curve bootstrapped from OIS swap rates</CurveDescription>
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<Currency>GBP</Currency>
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<DiscountCurve>GBP1D</DiscountCurve>
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<Segments>
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<!-- SONIA ON Rate -->
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<Simple>
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<Type>Deposit</Type>
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<Quotes>
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<Quote>MM/RATE/GBP/0D/1D</Quote>
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</Quotes>
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<Conventions>GBP-DEPOSIT</Conventions>
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<Priority>0</Priority>
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</Simple>
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<!-- SONIA short OI swaps until first BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2M</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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<!-- SONIA forward starting BOE meeting date swap -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/20251218/1D/20260205</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260205/1D/20260319</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260319/1D/20260430</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260430/1D/20260618</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<PillarChoice>StartDate</PillarChoice>
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<Priority>1</Priority>
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</Simple>
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<!-- SONIA longer term OI swaps after last BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/6M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/7M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/8M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/9M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/10M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/11M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5Y</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
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</Segments>
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<InterpolationVariable>Discount</InterpolationVariable>
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<InterpolationMethod>DefaultLogMixedLinearCubic</InterpolationMethod>
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<MixedInterpolationCutoff>3</MixedInterpolationCutoff>
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<YieldCurveDayCounter>A365</YieldCurveDayCounter>
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<BootstrapConfig>
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<Accuracy>1E-14</Accuracy>
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<Global>true</Global>
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</BootstrapConfig>
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</YieldCurve>
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</YieldCurves>
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<SwaptionVolatilities>
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<SwaptionVolatility>
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<CurveId>GBP_VOL</CurveId>
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<CurveDescription>GBP normal swaption volatilities</CurveDescription>
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<Dimension>ATM</Dimension>
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<VolatilityType>Lognormal</VolatilityType>
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<Extrapolation>Flat</Extrapolation>
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<DayCounter>Actual/365 (Fixed)</DayCounter>
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<Calendar>TARGET</Calendar>
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<BusinessDayConvention>Following</BusinessDayConvention>
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<OptionTenors>5Y,10Y,20Y</OptionTenors>
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<SwapTenors>5Y,10Y,20Y</SwapTenors>
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<ShortSwapIndexBase>GBP-CMS-SONIA-1Y</ShortSwapIndexBase>
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<SwapIndexBase>GBP-CMS-SONIA-10Y</SwapIndexBase>
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</SwaptionVolatility>
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</SwaptionVolatilities>
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</CurveConfiguration>

‎Examples/CurveBuilding/Input/curveconfig_centralbank_4.xml‎

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<?xml version="1.0" encoding="utf-8"?>
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<CurveConfiguration>
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<YieldCurves>
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<YieldCurve>
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<CurveId>GBP1D</CurveId>
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<CurveDescription>GBP discount curve bootstrapped from OIS swap rates</CurveDescription>
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<Currency>GBP</Currency>
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<DiscountCurve>GBP1D</DiscountCurve>
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<Segments>
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<!-- SONIA ON Rate -->
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<Simple>
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<Type>Deposit</Type>
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<Quotes>
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<Quote>MM/RATE/GBP/0D/1D</Quote>
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</Quotes>
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<Conventions>GBP-DEPOSIT</Conventions>
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<Priority>0</Priority>
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</Simple>
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<!-- SONIA short OI swaps until first BOE meeting date -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3W</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2M</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
33+
<!-- SONIA forward starting BOE meeting date swap -->
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="false">IR_SWAP/RATE/GBP/20251218/1D/20260205</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260205/1D/20260319</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260319/1D/20260430</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/20260430/1D/20260618</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<PillarChoice>StartDateAndLastRelevantDate</PillarChoice>
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<Priority>1</Priority>
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</Simple>
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<!-- SONIA longer term OI swaps after last BOE meeting date -->
47+
<Simple>
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<Type>OIS</Type>
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<Quotes>
50+
<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/6M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/7M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/8M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/9M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/10M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/11M</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/1Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/2Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/3Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/4Y</Quote>
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<Quote optional="false">IR_SWAP/RATE/GBP/0D/1D/5Y</Quote>
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</Quotes>
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<Conventions>GBP-OIS</Conventions>
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<Priority>2</Priority>
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<MinDistance>5</MinDistance>
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</Simple>
69+
</Segments>
70+
<InterpolationVariable>Discount</InterpolationVariable>
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<InterpolationMethod>DefaultLogMixedLinearCubic</InterpolationMethod>
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<MixedInterpolationCutoff>3</MixedInterpolationCutoff>
73+
<YieldCurveDayCounter>A365</YieldCurveDayCounter>
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<BootstrapConfig>
75+
<Accuracy>1E-14</Accuracy>
76+
<Global>true</Global>
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<SmoothnessLambda>0.2</SmoothnessLambda>
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</BootstrapConfig>
79+
</YieldCurve>
80+
</YieldCurves>
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<SwaptionVolatilities>
82+
<SwaptionVolatility>
83+
<CurveId>GBP_VOL</CurveId>
84+
<CurveDescription>GBP normal swaption volatilities</CurveDescription>
85+
<Dimension>ATM</Dimension>
86+
<VolatilityType>Lognormal</VolatilityType>
87+
<Extrapolation>Flat</Extrapolation>
88+
<DayCounter>Actual/365 (Fixed)</DayCounter>
89+
<Calendar>TARGET</Calendar>
90+
<BusinessDayConvention>Following</BusinessDayConvention>
91+
<OptionTenors>5Y,10Y,20Y</OptionTenors>
92+
<SwapTenors>5Y,10Y,20Y</SwapTenors>
93+
<ShortSwapIndexBase>GBP-CMS-SONIA-1Y</ShortSwapIndexBase>
94+
<SwapIndexBase>GBP-CMS-SONIA-10Y</SwapIndexBase>
95+
</SwaptionVolatility>
96+
</SwaptionVolatilities>
97+
</CurveConfiguration>

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