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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "3bf4ed17b4" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "029ed5e9f6" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
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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>

‎Examples/Example_15/ExpectedOutput/scenario.csv‎

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‎Examples/Example_22/Input/simulation_atmOnly.xml‎

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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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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves>

‎Examples/Example_22/Input/simulation_fullSurface.xml‎

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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>
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<Moneyness>0.5,0.6,0.7,0.8,0.9,0.95,1.0,1.05,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,2.0,2.5,3.0</Moneyness>
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</Surface>
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</EquityVolatilities>

‎Examples/Example_24/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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CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1160593.33,USD,1160593.33,CPTY_A,CPTY_A
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CommodityForward_Gold_1Y,CommodityForward,2017-02-05,1.000262,1398.707538,USD,1398.707538,USD,1162000.0,USD,1162000.0,CPTY_A,CPTY_A
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CommodityForward_Gold_Apr_17,CommodityForward,2017-04-28,1.224920,0.000000,USD,0.000000,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A
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CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,44308571.43,USD,44308571.43,CPTY_A,CPTY_A
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CommodityForward_WTI_2Y,CommodityForward,2018-02-05,2.000262,-1669620.658788,USD,-1669620.658788,USD,46000000.0,USD,46000000.0,CPTY_A,CPTY_A
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CommodityForward_WTI_Oct_21,CommodityForward,2021-10-31,5.734509,0.000000,USD,0.000000,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
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CommodityOption_WTI_Oct_21,CommodityOption,2021-10-31,5.734509,2399271.748696,USD,2399271.748696,USD,24875000.00,USD,24875000.00,CPTY_A,CPTY_A
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CommodityOption_Gold_Apr_17,CommodityOption,2017-04-28,1.224920,-23531.459416,USD,-23531.459416,USD,580900.00,USD,580900.00,CPTY_A,CPTY_A

‎Examples/Example_40/Input/simulation.xml‎

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<Name>SPX</Name>
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</Names>
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<Expiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</Expiries>
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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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<Moneyness/>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves/>

‎Examples/Example_50/Input/simulation.xml‎

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<Name>SPX</Name>
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</Names>
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<Expiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</Expiries>
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<Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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<Moneyness/>
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</Surface>
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<SimulateATMOnly>true</SimulateATMOnly>
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</EquityVolatilities>
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<BenchmarkCurves/>

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