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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "11c5c34e52" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "c7ca4f7bb9" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
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‎Docs/UserGuide/tradecomponents/cmbleg.tex‎

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@@ -22,7 +22,7 @@ \subsubsection{Constant Maturity Bond Leg Data}
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...
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</ScheduleData>
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<CMBLegData>
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<Index>CMB-US-TBILL-13W</Index>
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<Index>CMB-US-TBILL-HD-13W</Index>
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<FixingDays>2</FixingDays>
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<Spreads>
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<Spread>0.0010</Spread>

‎Docs/UserGuide/tradedata/swaption.tex‎

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@@ -6,7 +6,7 @@ \subsubsection{Swaption}
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component sub-node. These trade components are outlined in section \ref{ss:option_data} and section
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\ref{ss:leg_data}.\\
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\vspace{5mm}
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Supported swaption exercise styles are \emph{European} and \emph{Bermudan}. Swaptions of both exercise styles can have an arbitrary number of legs, with
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Supported swaption exercise styles are \emph{European}, \emph{Bermudan}, \emph{American}. Swaptions of all exercise styles can have an arbitrary number of legs, with
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each leg represented by a \lstinline!LegData! sub-node. Cross currency swaptions are not supported for either exercise style, i.e. the Currency element must
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have the same value for all \lstinline!LegData! sub-nodes of a swaption. There must be at least one full coupon period after the exercise date for European
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Swaptions, and after the last exercise date for Bermudan Swaptions. See Table \ref{tab:swaption_requirements} for further details on requirements for
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\item \lstinline!ExerciseFeeSettlementConvention![Optional]: The roll convention used to compute the exercise fee settlement date from
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the exercise date. Defaults to \emph{Unadjusted} if not given. Allowable values: See Table \ref{tab:convention} Roll Convention.
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\item An \lstinline!ExerciseDates! node where exactly one \lstinline!ExerciseDate! date element must be given for \emph{European} style swaptions, and for \emph{Bermudan} style swaptions at least two \lstinline!ExerciseDate! date elements must be given. \\
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\item An \lstinline!ExerciseDates! node where for \emph{European} style swaptions exactly one \lstinline!ExerciseDate! date element must be given. \emph{Bermudan} style swaptions can have \lstinline!ExerciseDate! elements given directly (at least two \lstinline!ExerciseDate! elements must be given), or Rules or Dates based exercise dates. See Listings \ref{lst:bermudan_swaption_exercisedates}, \ref{lst:bermudan_swaption_rules} and \ref{lst:bermudan_swaption_dates}.
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<ExerciseDate>2027-03-02</ExerciseDate>
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<ExerciseDate>2028-03-02</ExerciseDate>
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<ExerciseDate>2029-03-02</ExerciseDate>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption ExerciseDate:s}
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\label{lst:bermudan_swaption_exercisedates}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Rules>
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<StartDate>2027-03-02</StartDate>
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<EndDate>2029-03-02</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>US</Calendar>
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<Convention>MF</Convention>
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<Rules>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Rules based}
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\label{lst:bermudan_swaption_rules}
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\end{listing}
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\begin{listing}[H]
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwaptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<Style>Bermudan</Style>
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<Settlement>Physical</Settlement>
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<ExerciseDates>
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<Dates>
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<Calendar>NullCalendar</Calendar>
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<Convention>Unadjusted</Convention>
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<Dates>
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<Date>2027-03-02</Date>
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<Date>2028-03-02</Date>
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<Date>2029-03-02</Date>
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<Dates>
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<Dates>
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</ExerciseDates>
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...
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</OptionData>
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...
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\end{minted}
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\caption{Bermudan Swaption Dates based}
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\label{lst:bermudan_swaption_dates}
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\end{listing}
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\item \lstinline!Premiums! [Optional]: Option premium node with amounts paid by the option buyer to the option seller.
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‎Docs/UserGuide/userguide.tex‎

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@@ -5772,15 +5772,18 @@ \subsubsection{Market}\label{sec:sim_market}
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It should be noted that equity volatilities are taken to be a curve by default. To simulate an equity volatility surface with smile the xml node {\tt <Surface> } must be supplied.
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There are two methods in ORE for equity volatility simulation:
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\begin{itemize}
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
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\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit moneyness levels for simulation should be provided.
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this
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case set {\tt <SimulateATMOnly>} to true and no surface node is given.
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\item Simulating the full volatility surface. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
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explicit moneyness levels for simulation should be provided.
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\end{itemize}
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Swaption volatilities are taken to be a surface by default. To simulate a swaption volatility cube with smile the xml node {\tt <Cube> } must be supplied.
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There are two methods in ORE for swaption volatility cube simulation:
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\begin{itemize}
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\item Simulating ATM volatilities only (and shifting other strikes relative to this using the $T_{0}$ smile). In this case set {\tt <SimulateATMOnly>} to true.
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\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and explicit strike spreads for simulation should be provided.
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\item Simulating the full volatility cube. The node {\tt <SimulateATMOnly>} should be omitted or set to false, and
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explicit strike spreads for simulation should be provided.
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\end{itemize}
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FX volatilities are taken to be a curve by default. To simulate an FX volatility cube with smile the xml node {\tt <Surface> } must be supplied. The surface node contains the moneyness levels to be simulated.
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</Currencies>
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<Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
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<Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
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<SimulateATMOnly>false</SimulateATMOnly>
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<Cube>
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<SimulateATMOnly>false</SimulateATMOnly>
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<StrikeSpreads>-0.02,-0.01,0.0,0.01,0.02</StrikeSpreads>
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</Cube>
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<!-- Sets a new daycounter for just the EUR swaptionVolatility surface -->
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<Name>Lufthansa</Name>
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</Names>
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<Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
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<SimulateATMOnly>false</SimulateATMOnly>
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<Surface>
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<SimulateATMOnly>false</SimulateATMOnly><!-- false -->
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<Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness><!-- omitted if SimulateATMOnly true -->
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<Moneyness>0.1,0.5,1.0,1.5,2.0,3.0</Moneyness>
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</Surface>
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<TimeExtrapolation>Flat</TimeExtrapolation>
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<StrikeExtrapolation>Flat</StrikeExtrapolation>
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\item {\tt ShiftType:} Both absolute or relative shifts can be used to compute a sensitivity, specified by the key words
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{\tt Absolute} resp. {\tt Relative}.
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\item {\tt ShiftSize:} The size of the shift to apply.
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\item {\tt ShiftScheme:} The finite difference scheme to use ({\tt Forward}, {\tt Backward}, {\tt Central}), if not given, this parameter defaults to {\tt Forward}
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\item {\tt ShiftTenors:} For curves, the tenor buckets to apply shifts to, given as a comma separated list of periods.
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\item {\tt ShiftExpiries:} For volatility surfaces, the option expiry buckets to apply shifts to, given as a comma
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separated list of periods.
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\item {\tt CurveType:} In the context of Yield Curves used to identify an equity ``risk free'' rate forecasting curve; set to {\tt EquityForecast} in this case
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\end{itemize}
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The ShiftType, ShiftSize, ShiftScheme nodes take an optional attribute key that allows to configure different values for
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different sensitivity templates. The sensitivity templates are defined in the pricing engine configuration. This is best
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explained by an example: In Example 15 the product type BermudanSwaption has a sensitivity template \verb+IR_FD+
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attached, see \ref{lst:sensi_template}. This can be used to specify different shifts for trades that were built against
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this engine configuration, see \ref{lst:sensi_config_template}: For Bermudan swaptions a larger shift size of 10bp and a
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central difference scheme is used to compute discount curve sensitivities in EUR. Since no separate shift type is
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specified, the default shift type {\tt Absolute} is used. Note regarding the reports:
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\begin{itemize}
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\item the sensi scenario report contains scenario NPVs related to the possibly product specific configured shift sizes
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\item the sensi report contains renormalized sensitivities, i.e. sensitivities are always expressed w.r.t. the default shift sizes
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\item the sensi config report only contains the default configuration
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\scriptsize]{xml}
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<Product type="BermudanSwaption">
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<Model>LGM</Model>
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<ModelParameters>
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...
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</ModelParameters>
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<Engine>Grid</Engine>
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<EngineParameters>
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...
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<Parameter name="SensitivityTemplate">IR_FD</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Sensitivity template definition}
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\label{lst:sensi_template}
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\end{longlisting}
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\begin{longlisting}
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\begin{minted}[fontsize=\scriptsize]{xml}
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
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<ShiftScheme key="IR_FD">Central</ShiftScheme>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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</DiscountCurve>
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\end{minted}
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\caption{Sensitivity template definition}
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\label{lst:lst:sensi_config_template}
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\end{longlisting}
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The cross gamma filter section contains a list of pairs of sensitivity keys. For each possible pair of sensitivity keys
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matching the given strings, a cross gamma sensitivity is computed. The given pair of keys can be (and usually are)
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shorter than the actual sensitivity keys. In this case only the prefix of the actual key is matched. For example, the

‎Examples/Example_15/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115851.065563,EUR,-3115851.065563,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115844.394193,EUR,-3115844.394193,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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BOND,Bond,2021-02-03,4.994783,12902649.282760,EUR,12902649.282760,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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Bond_Floating,Bond,2021-02-03,4.994783,10765048.489931,EUR,10765048.489931,EUR,10000000.00,EUR,10000000.00,,CPTY_C
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CAP_EUR,CapFloor,2026-02-09,10.011221,-6881.951398,EUR,-6881.951398,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A

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