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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "47f9bee8f7" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "e18d89ff82" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
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Docs/UserGuide/tradecomponents/optiondata.tex

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@@ -29,6 +29,14 @@ \subsubsection{Option Data}
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<ExerciseDate>2019-04-20</ExerciseDate>
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<ExerciseDate>2020-04-20</ExerciseDate>
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</ExerciseDates>
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<!-- Alternative format for exercise dates using Schedule format -->
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<ExerciseSchedule>
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<Rules>
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<StartDate>2019-04-20</StartDate>
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<EndDate>2024-04-20</EndDate>
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<Tenor>3M</Tenor>
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</Rules>
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</ExerciseSchedule>
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<Premiums>
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<Premium>
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<Amount>100000</Amount>
@@ -195,11 +203,16 @@ \subsubsection{Option Data}
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Allowable values: See Table \ref{tab:convention} Roll Convention.
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\item ExerciseDates: This node contains child elements of type
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\lstinline!ExerciseDate!. Options of style \emph{European} or
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\lstinline!ExerciseDate!. Options of style \emph{European} or
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\emph{American} require a single exercise date expressed by one
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single \lstinline!ExerciseDate! child element. \emph{Bermudan}
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style options must have two or more \lstinline!ExerciseDate! child
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elements.
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elements. One can alternatively use \lstinline!ExerciseSchedule! to
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specify the option exercise dates.
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\item ExerciseSchedule [Optional]: This node can be provided instead of \lstinline!ExerciseDates! and
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should be specified in the same format as a Schedule (see Section \ref{ss:schedule_data}), e.g.\ for
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a list of Bermudan exercise dates.
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\item Premiums [Optional]: Option premium amounts paid by the option buyer to the option seller.
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Docs/UserGuide/tradedata/fx_digitalbarrieroption.tex

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@@ -67,9 +67,14 @@ \subsubsection{FX Digital Barrier Option}
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\end{itemize}
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\item BarrierData: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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\item BarrierData: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
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Note that the \emph{FxDigitalBarrierOption} is a single barrier instrument, and can have only one BarrierData node with one barrier level.
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Level specified in BarrierData should be quoted as the amount in DomesticCurrency per one unit of ForeignCurrency, with both currencies as defined in FxDigitalBarrierOptionData node.
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Type specified in BarrierData can be one of: \emph{UpAndIn, DownAndIn, UpAndOut, DownAndOut}
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\item StartDate[Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future. If`StartDate' is provided then the fixings for dates between this date and the asof date are checked to see if the option was triggered. If no fixing is available then we skip that date. This is to allow for backwards compatibility.
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.

Docs/UserGuide/userguide.tex

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@@ -4037,6 +4037,7 @@ \subsubsection{Analytics}\label{sec:analytics}
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<Parameter name="flipViewXVA">N</Parameter>
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<Parameter name="flipViewBorrowingCurvePostfix">_BORROW</Parameter>
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<Parameter name="flipViewLendingCurvePostfix">_LEND</Parameter>
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<Parameter name="mporCashFlowMode">NonePay</Parameter>
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</Analytic>
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</Analytics>
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\end{minted}
@@ -4148,6 +4149,9 @@ \subsubsection{Analytics}\label{sec:analytics}
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\item {\tt flipViewXVA:} If set to {\tt Y}, the perspective in XVA calculations is switched to the cpty view, the npvs and the netting sets being reverted during calculation. In order to get the lending/borrowing curve, the calculation assumes these curves being set up with the cptyname + the postfix given in the next two settings.
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\item {\tt flipViewBorrowingCurvePostfix:} postfix for the borrowing curve, the calculation assumes this is curves being set up with cptyname + postfix given.
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\item {\tt flipViewLendingCurvePostfix:} postfix for the lending curve, the calculation assumes this is curve being set up with cptyname + postfix given.
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\item {\tt mporCashFlowMode:} Assumption about payment of cashflows within mpor period. One of NonePay, BothPay, WePay,
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TheyPay, Unspecified. Defaults to Unspecified, in this case PP will assume NonePay if mpor sticky date is used,
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otherwise to BothPay.
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\end{itemize}
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The two cube file outputs {\tt rawCubeOutputFile} and {\tt netCubeOutputFile} are provided for interactive analysis and visualisation purposes, see section

Examples/Example_1/ExpectedOutput/curves.csv

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11
#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
22
CPTY_A,2016-02-05,0.000000,597.96,0.00,597.96,-597.96,597.96,597.96
3-
CPTY_A,2016-05-06,0.248634,127062.18,148733.87,560837.38,0.00,127702.93,127702.93
4-
CPTY_A,2016-08-05,0.497268,205812.28,254892.63,792043.75,0.00,207893.27,207893.27
5-
CPTY_A,2016-11-07,0.754098,287714.70,232849.86,1302698.63,0.00,292099.11,292099.11
6-
CPTY_A,2017-02-06,1.003002,327467.82,287756.85,1420665.88,0.00,334089.77,334089.77
7-
CPTY_A,2017-05-05,1.244098,319747.08,383419.01,1382771.88,0.00,327761.11,334089.77
8-
CPTY_A,2017-08-07,1.501632,385394.09,444839.66,1521446.63,0.00,397056.54,397056.54
9-
CPTY_A,2017-11-06,1.750947,446711.69,422639.96,1657059.63,0.00,462488.56,462488.56
10-
CPTY_A,2018-02-05,2.000262,429443.10,418655.08,1644256.38,0.00,446792.29,462488.56
11-
CPTY_A,2018-05-08,2.252317,400329.73,475668.53,1696050.38,0.00,418586.02,462488.56
12-
CPTY_A,2018-08-06,2.498892,363871.94,450468.31,1282229.00,0.00,382327.85,462488.56
13-
CPTY_A,2018-11-05,2.748207,448952.52,420388.65,1645179.75,0.00,474058.39,474058.39
14-
CPTY_A,2019-02-05,3.000262,520621.97,452079.75,2166585.00,0.00,552486.30,552486.30
15-
CPTY_A,2019-05-07,3.249577,459020.89,496885.48,1887073.50,0.00,489525.67,552486.30
16-
CPTY_A,2019-08-05,3.496152,502475.16,527699.52,1858565.50,0.00,538490.48,552486.30
17-
CPTY_A,2019-11-05,3.748207,547689.40,458634.84,2140512.50,0.00,589882.24,589882.24
18-
CPTY_A,2020-02-05,4.000000,572835.66,490730.47,2384685.25,0.00,620052.65,620052.65
19-
CPTY_A,2020-05-05,4.245902,504984.83,539097.34,1984087.25,0.00,549277.45,620052.65
20-
CPTY_A,2020-08-05,4.497268,554465.16,568298.25,2399081.00,0.00,606106.96,620052.65
21-
CPTY_A,2020-11-05,4.748634,503950.17,458011.00,1921231.13,0.00,553635.82,620052.65
22-
CPTY_A,2021-02-05,5.000262,463003.53,438130.17,1708261.88,0.00,511190.14,620052.65
23-
CPTY_A,2021-05-05,5.244098,431532.59,483640.66,1550769.38,0.00,478749.56,620052.65
24-
CPTY_A,2021-08-05,5.496152,355184.61,453415.03,1297655.13,0.00,396019.43,620052.65
25-
CPTY_A,2021-11-05,5.748207,372114.06,404740.57,1279533.00,0.00,416971.14,620052.65
26-
CPTY_A,2022-02-07,6.005741,372727.85,422910.31,1294681.13,0.00,419794.22,620052.65
27-
CPTY_A,2022-05-05,6.244098,369205.30,486920.14,1675681.63,0.00,417794.09,620052.65
28-
CPTY_A,2022-08-05,6.496152,374501.68,489089.50,1434005.00,0.00,425907.91,620052.65
29-
CPTY_A,2022-11-07,6.753687,424885.17,447471.46,1728538.13,0.00,485677.74,620052.65
30-
CPTY_A,2023-02-06,7.003002,448511.14,469243.12,1838105.00,0.00,515221.38,620052.65
31-
CPTY_A,2023-05-05,7.244098,394899.87,492193.79,1736124.63,0.00,455805.03,620052.65
32-
CPTY_A,2023-08-07,7.501632,432071.07,516507.51,1699611.38,0.00,501256.44,620052.65
33-
CPTY_A,2023-11-06,7.750947,446860.90,449865.19,1824517.25,0.00,520977.75,620052.65
34-
CPTY_A,2024-02-05,8.000000,460928.95,467551.10,1412870.75,0.00,540036.18,620052.65
35-
CPTY_A,2024-05-07,8.251366,400008.19,490820.55,1538558.63,0.00,471002.63,620052.65
36-
CPTY_A,2024-08-05,8.497268,421306.01,512837.52,1605116.63,0.00,498506.24,620052.65
37-
CPTY_A,2024-11-05,8.748634,460719.72,458199.72,1579033.38,0.00,547867.23,620052.65
38-
CPTY_A,2025-02-05,9.000262,493553.87,475303.45,1612934.00,0.00,589846.03,620052.65
39-
CPTY_A,2025-05-06,9.246837,442873.88,505848.95,1863350.25,0.00,531866.54,620052.65
40-
CPTY_A,2025-08-05,9.496152,458271.34,523416.09,2075728.63,0.00,553079.22,620052.65
41-
CPTY_A,2025-11-05,9.748207,444597.22,444471.76,2479551.25,0.00,539258.47,620052.65
42-
CPTY_A,2026-02-05,10.000262,465851.57,461106.97,2917432.00,0.00,567862.73,620052.65
43-
CPTY_A,2026-05-05,10.244098,416264.43,489305.45,2239142.25,0.00,509872.87,620052.65
44-
CPTY_A,2026-08-05,10.496152,427527.20,498977.03,2329171.25,0.00,526288.55,620052.65
45-
CPTY_A,2026-11-05,10.748207,413459.04,419569.12,2232755.25,0.00,511517.19,620052.65
46-
CPTY_A,2027-02-05,11.000262,443931.16,444537.75,2394453.25,0.00,551964.24,620052.65
47-
CPTY_A,2027-05-05,11.244098,380568.51,457258.36,1735343.50,0.00,475472.10,620052.65
48-
CPTY_A,2027-08-05,11.496152,379872.71,464500.67,1504370.38,0.00,476977.46,620052.65
49-
CPTY_A,2027-11-05,11.748207,401096.47,399183.93,2071566.50,0.00,506146.42,620052.65
50-
CPTY_A,2028-02-07,12.005464,402107.66,404858.52,1855952.25,0.00,510016.66,620052.65
51-
CPTY_A,2028-05-05,12.245902,330902.19,411218.41,1589151.00,0.00,421709.21,620052.65
52-
CPTY_A,2028-08-07,12.502732,342950.88,418939.19,1984036.38,0.00,439296.76,620052.65
53-
CPTY_A,2028-11-06,12.751366,392804.64,360063.65,2352809.00,0.00,505643.81,620052.65
54-
CPTY_A,2029-02-05,13.000262,439603.68,371272.88,2695092.25,0.00,568684.54,620052.65
55-
CPTY_A,2029-05-08,13.252317,394678.16,382828.32,2500942.25,0.00,513119.76,620052.65
56-
CPTY_A,2029-08-06,13.498892,386272.08,380543.32,2874714.00,0.00,504646.70,620052.65
57-
CPTY_A,2029-11-05,13.748207,412764.33,316224.00,2085869.25,0.00,541923.88,620052.65
58-
CPTY_A,2030-02-05,14.000262,387275.78,311514.60,1974666.63,0.00,511001.31,620052.65
59-
CPTY_A,2030-05-07,14.249577,301120.77,316735.21,1980049.25,0.00,399286.29,620052.65
60-
CPTY_A,2030-08-05,14.496152,279788.95,308105.29,1826308.13,0.00,372814.43,620052.65
61-
CPTY_A,2030-11-05,14.748207,306156.81,252061.03,1808665.13,0.00,409988.46,620052.65
62-
CPTY_A,2031-02-05,15.000262,292399.30,254940.45,1806523.50,0.00,393522.52,620052.65
63-
CPTY_A,2031-05-06,15.246837,204065.03,266044.41,1487305.50,0.00,275982.19,620052.65
64-
CPTY_A,2031-08-05,15.496152,198300.96,264352.05,1631098.00,0.00,269513.23,620052.65
65-
CPTY_A,2031-11-05,15.748207,222563.11,209705.45,1627385.88,0.00,304000.87,620052.65
66-
CPTY_A,2032-02-05,16.000000,212765.05,207765.99,1557585.25,0.00,292070.90,620052.65
67-
CPTY_A,2032-05-05,16.245902,156637.96,220781.75,1260085.63,0.00,216074.88,620052.65
68-
CPTY_A,2032-08-05,16.497268,156549.70,221699.44,1188617.75,0.00,217033.04,620052.65
69-
CPTY_A,2032-11-05,16.748634,185412.98,160561.22,1286293.88,0.00,258333.13,620052.65
70-
CPTY_A,2033-02-07,17.005741,183707.14,166945.61,1079034.75,0.00,257264.25,620052.65
71-
CPTY_A,2033-05-05,17.244098,122287.64,176886.46,674037.19,0.00,172061.85,620052.65
72-
CPTY_A,2033-08-05,17.496152,124488.96,176478.15,552148.06,0.00,176035.08,620052.65
73-
CPTY_A,2033-11-07,17.753687,128694.21,112116.40,632426.69,0.00,182911.43,620052.65
74-
CPTY_A,2034-02-06,18.003002,135965.62,112585.34,692692.94,0.00,194202.02,620052.65
75-
CPTY_A,2034-05-05,18.244098,78763.01,116104.84,512577.34,0.00,113036.61,620052.65
76-
CPTY_A,2034-08-07,18.501632,80966.85,118783.95,504787.41,0.00,116793.18,620052.65
77-
CPTY_A,2034-11-06,18.750947,102784.97,57187.65,522883.31,0.00,148998.77,620052.65
78-
CPTY_A,2035-02-05,19.000262,98145.20,58069.12,456588.03,0.00,142976.59,620052.65
79-
CPTY_A,2035-05-08,19.252317,40716.17,61753.57,221660.06,0.00,59611.38,620052.65
80-
CPTY_A,2035-08-06,19.498892,40784.66,62065.65,213343.22,0.00,60003.74,620052.65
81-
CPTY_A,2035-11-05,19.748207,62397.39,6503.39,218281.09,0.00,92255.17,620052.65
82-
CPTY_A,2036-02-05,20.000000,62510.64,6425.78,234777.17,0.00,92884.79,620052.65
83-
CPTY_A,2036-05-06,20.248634,0.00,0.00,0.00,0.00,0.00,620052.65
3+
CPTY_A,2016-05-06,0.248634,127002.98,148662.15,560569.13,0.00,127643.44,127643.44
4+
CPTY_A,2016-08-05,0.497268,205715.45,254771.75,791661.75,0.00,207795.46,207795.46
5+
CPTY_A,2016-11-07,0.754098,287607.07,232717.91,1302106.25,0.00,291989.83,291989.83
6+
CPTY_A,2017-02-06,1.003002,327337.96,287595.76,1420012.75,0.00,333957.28,333957.28
7+
CPTY_A,2017-05-05,1.244098,319601.63,383241.70,1382133.63,0.00,327612.00,333957.28
8+
CPTY_A,2017-08-07,1.501632,385221.21,444639.74,1520748.50,0.00,396878.42,396878.42
9+
CPTY_A,2017-11-06,1.750947,446533.58,422430.91,1656342.50,0.00,462304.15,462304.15
10+
CPTY_A,2018-02-05,2.000262,429271.72,418443.53,1643527.50,0.00,446613.98,462304.15
11+
CPTY_A,2018-05-08,2.252317,400160.89,475461.93,1695314.50,0.00,418409.48,462304.15
12+
CPTY_A,2018-08-06,2.498892,363724.06,450270.06,1281614.38,0.00,382172.47,462304.15
13+
CPTY_A,2018-11-05,2.748207,448791.91,420188.79,1644453.63,0.00,473888.79,473888.79
14+
CPTY_A,2019-02-05,3.000262,520423.66,451863.98,2165577.75,0.00,552275.86,552275.86
15+
CPTY_A,2019-05-07,3.249577,458842.52,496684.45,1886260.00,0.00,489335.45,552275.86
16+
CPTY_A,2019-08-05,3.496152,502279.61,527490.05,1857769.63,0.00,538280.92,552275.86
17+
CPTY_A,2019-11-05,3.748207,547492.66,458430.07,2139630.25,0.00,589670.34,589670.34
18+
CPTY_A,2020-02-05,4.000000,572630.17,490518.11,2383689.50,0.00,619830.23,619830.23
19+
CPTY_A,2020-05-05,4.245902,504790.97,538884.49,1983149.38,0.00,549066.58,619830.23
20+
CPTY_A,2020-08-05,4.497268,554255.47,568080.57,2397902.50,0.00,605877.74,619830.23
21+
CPTY_A,2020-11-05,4.748634,503780.58,457808.11,1920304.25,0.00,553449.51,619830.23
22+
CPTY_A,2021-02-05,5.000262,462865.24,437942.08,1707663.50,0.00,511037.45,619830.23
23+
CPTY_A,2021-05-05,5.244098,431387.75,483456.30,1550033.00,0.00,478588.87,619830.23
24+
CPTY_A,2021-08-05,5.496152,355070.78,453236.54,1297184.63,0.00,395892.51,619830.23
25+
CPTY_A,2021-11-05,5.748207,372016.03,404567.31,1279318.50,0.00,416861.30,619830.23
26+
CPTY_A,2022-02-07,6.005741,372631.78,422733.92,1294489.00,0.00,419686.02,619830.23
27+
CPTY_A,2022-05-05,6.244098,369095.59,486740.72,1675332.63,0.00,417669.95,619830.23
28+
CPTY_A,2022-08-05,6.496152,374386.75,488910.50,1433502.75,0.00,425777.21,619830.23
29+
CPTY_A,2022-11-07,6.753687,424780.86,447299.26,1728202.63,0.00,485558.51,619830.23
30+
CPTY_A,2023-02-06,7.003002,448416.39,469082.50,1837608.13,0.00,515112.53,619830.23
31+
CPTY_A,2023-05-05,7.244098,394805.77,492039.55,1735507.25,0.00,455696.41,619830.23
32+
CPTY_A,2023-08-07,7.501632,431961.51,516347.42,1699134.38,0.00,501129.35,619830.23
33+
CPTY_A,2023-11-06,7.750947,446755.08,449706.50,1823792.88,0.00,520854.38,619830.23
34+
CPTY_A,2024-02-05,8.000000,460824.86,467396.62,1412634.63,0.00,539914.22,619830.23
35+
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CPTY_A,2025-08-05,9.496152,458148.56,523255.53,2075179.00,0.00,552931.05,619830.23
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CPTY_A,2026-08-05,10.496152,427424.81,498833.88,2328540.25,0.00,526162.51,619830.23
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CPTY_A,2026-11-05,10.748207,413375.98,419433.92,2232317.50,0.00,511414.43,619830.23
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CPTY_A,2027-02-05,11.000262,443844.57,444405.92,2393971.25,0.00,551856.57,619830.23
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CPTY_A,2027-05-05,11.244098,380493.18,457139.50,1735019.13,0.00,475377.99,619830.23
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CPTY_A,2027-08-05,11.496152,379801.08,464384.25,1503997.13,0.00,476887.52,619830.23
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CPTY_A,2028-02-07,12.005464,402039.48,404747.70,1855618.63,0.00,509930.18,619830.23
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CPTY_A,2028-05-05,12.245902,330842.94,411117.48,1588860.00,0.00,421633.71,619830.23
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CPTY_A,2028-08-07,12.502732,342884.80,418835.04,1983614.13,0.00,439212.12,619830.23
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CPTY_A,2028-11-06,12.751366,392739.99,359971.14,2352302.50,0.00,505560.59,619830.23
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CPTY_A,2029-02-05,13.000262,439524.03,371178.74,2694525.00,0.00,568581.49,619830.23
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CPTY_A,2029-05-08,13.252317,394595.58,382741.02,2500395.25,0.00,513012.40,619830.23
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CPTY_A,2029-08-06,13.498892,386195.87,380460.60,2874057.50,0.00,504547.14,619830.23
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CPTY_A,2030-02-05,14.000262,387209.40,311435.62,1974202.88,0.00,510913.72,619830.23
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CPTY_A,2030-05-07,14.249577,301063.74,316659.57,1979548.38,0.00,399210.66,619830.23
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CPTY_A,2030-08-05,14.496152,279737.80,308028.87,1825859.13,0.00,372746.28,619830.23
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CPTY_A,2030-11-05,14.748207,306104.66,251989.59,1808240.75,0.00,409918.62,619830.23
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CPTY_A,2031-02-05,15.000262,292346.24,254864.08,1806102.13,0.00,393451.11,619830.23
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CPTY_A,2031-05-06,15.246837,204024.37,265973.93,1486948.13,0.00,275927.20,619830.23
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CPTY_A,2031-08-05,15.496152,198262.93,264280.26,1630696.50,0.00,269461.55,619830.23
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CPTY_A,2031-11-05,15.748207,222528.52,209641.73,1627059.63,0.00,303953.62,619830.23
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CPTY_A,2032-02-05,16.000000,212726.10,207697.70,1557382.88,0.00,292017.43,619830.23
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CPTY_A,2032-05-05,16.245902,156612.83,220725.93,1259838.00,0.00,216040.21,619830.23
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CPTY_A,2032-08-05,16.497268,156525.33,221642.66,1188473.25,0.00,216999.26,619830.23
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CPTY_A,2032-11-05,16.748634,185389.62,160512.49,1286129.88,0.00,258300.58,619830.23
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CPTY_A,2033-08-05,17.496152,124473.97,176436.98,552076.50,0.00,176013.89,619830.23
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CPTY_A,2033-11-07,17.753687,128688.17,112083.92,632325.44,0.00,182902.84,619830.23
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CPTY_A,2034-02-06,18.003002,135959.57,112554.82,692575.06,0.00,194193.38,619830.23
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CPTY_A,2034-08-07,18.501632,80958.71,118757.26,504600.59,0.00,116781.45,619830.23
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CPTY_A,2035-02-05,19.000262,98141.85,58051.52,456477.47,0.00,142971.70,619830.23
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CPTY_A,2035-05-08,19.252317,40714.08,61742.41,221564.98,0.00,59608.32,619830.23
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CPTY_A,2035-08-06,19.498892,40782.23,62054.43,213247.77,0.00,60000.17,619830.23
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CPTY_A,2035-11-05,19.748207,62398.57,6499.72,218211.52,0.00,92256.91,619830.23
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CPTY_A,2036-02-05,20.000000,62511.74,6422.13,234728.19,0.00,92886.42,619830.23
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CPTY_A,2036-05-06,20.248634,0.00,0.00,0.00,0.00,0.00,619830.23

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