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QPR-12491 add example config for parameter term structures
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‎Examples/Example_60/Input/curveconfig.xml‎

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@@ -55,6 +55,29 @@
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively, the parameters can be specified for each optionlet, e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue>0.0050,0.0060,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.1</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue>0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.20,0.30</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.9,0.0,0.0</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- </Parameters> -->
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively the parameters can be specified per option tenor (row) and swap tenor (col), e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0070, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.8,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.20,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,-0.99 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- </Parameters> -->
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>

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