Skip to content

Commit 633e6bf

Browse files
Roland Lichtersjenkins
Roland Lichters
authored and
jenkins
committed
merge master
2 parents 99e37dc + 5dc10cf commit 633e6bf

95 files changed

Lines changed: 21059 additions & 20994 deletions

File tree

Some content is hidden

Large Commits have some content hidden by default. Use the searchbox below for content that may be hidden.

‎Docs/UserGuide/userguide.tex‎

Lines changed: 31 additions & 6 deletions
Original file line numberDiff line numberDiff line change
@@ -986,7 +986,7 @@ \subsection{Building ORE-SWIG and Python Wheels}\label{sec:oreswig}
986986
for installing and building Python wrappers and wheels.
987987

988988
\medskip
989-
Typical usage of the Python wrapper is shown in ORE's {\tt Example\_42} and in ORE SWIG's {\tt OREAnalytics/Python/Examples} directory.
989+
Typical usage of the Python wrapper is shown in ORE's {\tt Example\_42} and in ORE SWIG's {\tt OREAnalytics/Python/Examples} directory.
990990

991991
%========================================================
992992
\section{Examples}\label{sec:examples}
@@ -2384,7 +2384,7 @@ \subsection{Inflation Swap Exposure under Jarrow-Yildrim}% Example 32
23842384
\label{example:32}
23852385
%--------------------------------------------------------------------
23862386

2387-
The example here is similar to that in Section \ref{example:17} in that we are generating exposures for inflation swaps. The example in Section \ref{example:17} uses the Dodgson-Kainth model whereas this example uses the Jarrow-Yildrim model. The valuation date is 5 Oct 2020 and the portfolio contains four spot starting inflation swaps:
2387+
The example here is similar to that in Section \ref{example:17} in that we are generating exposures for inflation swaps. The example in Section \ref{example:17} uses the Dodgson-Kainth model whereas this example uses the Jarrow-Yildrim model. The valuation date is 2 Nov 2020 and the portfolio contains four spot starting inflation swaps:
23882388

23892389
\begin{itemize}
23902390
\item trade\_01: 20Y standard UKRPI ZCIIS struck at the fair market rate of 3.1925\% giving an NPV of 0.0.
@@ -3329,8 +3329,8 @@ \subsection{Bond Yield Shifted}% Example 49
33293329
The resulting curve is exhibited in the {\tt curves.csv} output file.
33303330
Moreover, the results can be crosschecked against the NPVs, i.e. prices, of the ZeroBonds comprised in the portfolio.
33313331
\begin{itemize}
3332-
\item {\tt ZeroBond\_long}, maturing 2052-06-03 shows a price of 0.2022 akin to the 0.2022 in the curves output at the same date.
3333-
\item {\tt ZeroBond\_short}, maturing 2032-06-01 shows a price of 0.5754 aktin to the 0.5754 in the curves output at the same date.
3332+
\item {\tt ZeroBond\_long}, maturing 2052-03-01 shows a price of 0.2080 akin to the 0.2080 in the curves output at the same date.
3333+
\item {\tt ZeroBond\_short}, maturing 2032-06-01 shows a price of 0.5808 aktin to the 0.808 in the curves output at the same date.
33343334
\end{itemize}
33353335

33363336
The example can be run calling {\tt python run.py}.
@@ -3757,15 +3757,40 @@ \subsection{Balance Guaranteed Swap}% Example 66
37573757
current and past CPRs or expert judgement.
37583758

37593759
%--------------------------------------------------------------------
3760-
\subsection{XVA Stress Testing - TODO}% Example 67
3760+
\subsection{XVA Stress Testing}% Example 67
37613761
\label{example:67}
37623762
%--------------------------------------------------------------------
37633763

3764+
The example in folder {\\tt Examples/Example\_67} demonstrates the XVA stresstesting with the classical and AMC XVA engine.
3765+
The new analytic type \\emph{XVA\_STRESS} utilizes the existing stresstest framework and supports stresstests in both zero and par domain.
3766+
The Stresstest scenarios are given in the same input format as for the regular stresstest.
3767+
3768+
To analyse the impact of market rate shifts (Swap rates, CDS spreads, flat vols), one had to
3769+
manipulate the market data input into ORE and re-run the entire ORE process multiple times.
3770+
3771+
The generated outputs are the xva and exposure reports under each scenario.
3772+
37643773
%--------------------------------------------------------------------
3765-
\subsection{XVA Bump \& Revalue Sensitivities - TODO}% Example 68
3774+
\subsection{XVA Bump \& Revalue Sensitivities}% Example 68
37663775
\label{example:68}
37673776
%--------------------------------------------------------------------
37683777

3778+
The example in folder {\\tt Examples/Example\_68} demonstrates the XVA sensitivity analysis with the AMC XVA engine.
3779+
The new analytic type \emph{XVA\_SENSITIVITY} applies zero shifts as specified in the sensitivity.xml and
3780+
computes the xva and exposure measures under each shifted market condition.
3781+
3782+
The aggregation of the results to sensitivites need to handled outside of ORE.
3783+
These external computed sensitivites can be converted to par sensitivities with the
3784+
zero-to-par conversion analytic (see \ref{example:50}).
3785+
%--------------------------------------------------------------------
3786+
\subsection{Zero Rate Shifts To Par Shifts}% Example 69
3787+
\label{example:69}
3788+
%--------------------------------------------------------------------
3789+
3790+
The example in folder {\\tt Examples/Example\_69} demonstrates the conversion of zero shifts to par rate shifts.
3791+
ORE applies the zero rate shifts to the zero curves and computes the resulting shifts in the implied fair rate of a given set of par instruments.
3792+
The zero rate shifts are defined as stresstests and the par instruments are defined in the usual sensitivity configuration.
3793+
37693794
\clearpage
37703795
%========================================================
37713796
\section{Launchers and Visualisation}\label{sec:visualisation}

‎Examples/Example_32/ExpectedOutput/colva_nettingset_CPTY.csv‎

Lines changed: 81 additions & 81 deletions
Original file line numberDiff line numberDiff line change
@@ -1,83 +1,83 @@
11
#NettingSet,Date,Time,CollateralBalance,COLVA Increment,COLVA,CollateralFloor Increment,CollateralFloor
22
CPTY,#N/A,#N/A,#N/A,#N/A,0.0000,#N/A,0.0000
3-
CPTY,2021-01-05,0.2514,0.0000,0.0000,0.0000,0.0000,0.0000
4-
CPTY,2021-04-06,0.5007,0.0000,0.0000,0.0000,0.0000,0.0000
5-
CPTY,2021-07-05,0.7473,0.0000,0.0000,0.0000,0.0000,0.0000
6-
CPTY,2021-10-05,0.9993,0.0000,0.0000,0.0000,0.0000,0.0000
7-
CPTY,2022-01-05,1.2514,0.0000,0.0000,0.0000,0.0000,0.0000
8-
CPTY,2022-04-05,1.4980,0.0000,0.0000,0.0000,0.0000,0.0000
9-
CPTY,2022-07-05,1.7473,0.0000,0.0000,0.0000,0.0000,0.0000
10-
CPTY,2022-10-05,1.9993,0.0000,0.0000,0.0000,0.0000,0.0000
11-
CPTY,2023-01-05,2.2514,0.0000,0.0000,0.0000,0.0000,0.0000
12-
CPTY,2023-04-05,2.4980,0.0000,0.0000,0.0000,0.0000,0.0000
13-
CPTY,2023-07-05,2.7473,0.0000,0.0000,0.0000,0.0000,0.0000
14-
CPTY,2023-10-05,2.9993,0.0000,0.0000,0.0000,0.0000,0.0000
15-
CPTY,2024-01-05,3.2514,0.0000,0.0000,0.0000,0.0000,0.0000
16-
CPTY,2024-04-05,3.5000,0.0000,0.0000,0.0000,0.0000,0.0000
17-
CPTY,2024-07-05,3.7486,0.0000,0.0000,0.0000,0.0000,0.0000
18-
CPTY,2024-10-07,4.0055,0.0000,0.0000,0.0000,0.0000,0.0000
19-
CPTY,2025-01-06,4.2541,0.0000,0.0000,0.0000,0.0000,0.0000
20-
CPTY,2025-04-07,4.5035,0.0000,0.0000,0.0000,0.0000,0.0000
21-
CPTY,2025-07-07,4.7528,0.0000,0.0000,0.0000,0.0000,0.0000
22-
CPTY,2025-10-06,5.0021,0.0000,0.0000,0.0000,0.0000,0.0000
23-
CPTY,2026-01-05,5.2514,0.0000,0.0000,0.0000,0.0000,0.0000
24-
CPTY,2026-04-07,5.5035,0.0000,0.0000,0.0000,0.0000,0.0000
25-
CPTY,2026-07-06,5.7500,0.0000,0.0000,0.0000,0.0000,0.0000
26-
CPTY,2026-10-05,5.9993,0.0000,0.0000,0.0000,0.0000,0.0000
27-
CPTY,2027-01-05,6.2514,0.0000,0.0000,0.0000,0.0000,0.0000
28-
CPTY,2027-04-05,6.4980,0.0000,0.0000,0.0000,0.0000,0.0000
29-
CPTY,2027-07-05,6.7473,0.0000,0.0000,0.0000,0.0000,0.0000
30-
CPTY,2027-10-05,6.9993,0.0000,0.0000,0.0000,0.0000,0.0000
31-
CPTY,2028-01-05,7.2514,0.0000,0.0000,0.0000,0.0000,0.0000
32-
CPTY,2028-04-05,7.5000,0.0000,0.0000,0.0000,0.0000,0.0000
33-
CPTY,2028-07-05,7.7486,0.0000,0.0000,0.0000,0.0000,0.0000
34-
CPTY,2028-10-05,8.0000,0.0000,0.0000,0.0000,0.0000,0.0000
35-
CPTY,2029-01-05,8.2514,0.0000,0.0000,0.0000,0.0000,0.0000
36-
CPTY,2029-04-05,8.4980,0.0000,0.0000,0.0000,0.0000,0.0000
37-
CPTY,2029-07-05,8.7473,0.0000,0.0000,0.0000,0.0000,0.0000
38-
CPTY,2029-10-05,8.9993,0.0000,0.0000,0.0000,0.0000,0.0000
39-
CPTY,2030-01-07,9.2569,0.0000,0.0000,0.0000,0.0000,0.0000
40-
CPTY,2030-04-05,9.4980,0.0000,0.0000,0.0000,0.0000,0.0000
41-
CPTY,2030-07-05,9.7473,0.0000,0.0000,0.0000,0.0000,0.0000
42-
CPTY,2030-10-07,10.0048,0.0000,0.0000,0.0000,0.0000,0.0000
43-
CPTY,2031-01-06,10.2541,0.0000,0.0000,0.0000,0.0000,0.0000
44-
CPTY,2031-04-07,10.5035,0.0000,0.0000,0.0000,0.0000,0.0000
45-
CPTY,2031-07-07,10.7528,0.0000,0.0000,0.0000,0.0000,0.0000
46-
CPTY,2031-10-06,11.0021,0.0000,0.0000,0.0000,0.0000,0.0000
47-
CPTY,2032-01-05,11.2514,0.0000,0.0000,0.0000,0.0000,0.0000
48-
CPTY,2032-04-05,11.5000,0.0000,0.0000,0.0000,0.0000,0.0000
49-
CPTY,2032-07-05,11.7486,0.0000,0.0000,0.0000,0.0000,0.0000
50-
CPTY,2032-10-05,12.0000,0.0000,0.0000,0.0000,0.0000,0.0000
51-
CPTY,2033-01-05,12.2514,0.0000,0.0000,0.0000,0.0000,0.0000
52-
CPTY,2033-04-05,12.4980,0.0000,0.0000,0.0000,0.0000,0.0000
53-
CPTY,2033-07-05,12.7473,0.0000,0.0000,0.0000,0.0000,0.0000
54-
CPTY,2033-10-05,12.9993,0.0000,0.0000,0.0000,0.0000,0.0000
55-
CPTY,2034-01-05,13.2514,0.0000,0.0000,0.0000,0.0000,0.0000
56-
CPTY,2034-04-05,13.4980,0.0000,0.0000,0.0000,0.0000,0.0000
57-
CPTY,2034-07-05,13.7473,0.0000,0.0000,0.0000,0.0000,0.0000
58-
CPTY,2034-10-05,13.9993,0.0000,0.0000,0.0000,0.0000,0.0000
59-
CPTY,2035-01-05,14.2514,0.0000,0.0000,0.0000,0.0000,0.0000
60-
CPTY,2035-04-05,14.4980,0.0000,0.0000,0.0000,0.0000,0.0000
61-
CPTY,2035-07-05,14.7473,0.0000,0.0000,0.0000,0.0000,0.0000
62-
CPTY,2035-10-05,14.9993,0.0000,0.0000,0.0000,0.0000,0.0000
63-
CPTY,2036-01-07,15.2568,0.0000,0.0000,0.0000,0.0000,0.0000
64-
CPTY,2036-04-07,15.5055,0.0000,0.0000,0.0000,0.0000,0.0000
65-
CPTY,2036-07-07,15.7541,0.0000,0.0000,0.0000,0.0000,0.0000
66-
CPTY,2036-10-06,16.0027,0.0000,0.0000,0.0000,0.0000,0.0000
67-
CPTY,2037-01-05,16.2514,0.0000,0.0000,0.0000,0.0000,0.0000
68-
CPTY,2037-04-07,16.5035,0.0000,0.0000,0.0000,0.0000,0.0000
69-
CPTY,2037-07-06,16.7500,0.0000,0.0000,0.0000,0.0000,0.0000
70-
CPTY,2037-10-05,16.9993,0.0000,0.0000,0.0000,0.0000,0.0000
71-
CPTY,2038-01-05,17.2514,0.0000,0.0000,0.0000,0.0000,0.0000
72-
CPTY,2038-04-05,17.4980,0.0000,0.0000,0.0000,0.0000,0.0000
73-
CPTY,2038-07-05,17.7473,0.0000,0.0000,0.0000,0.0000,0.0000
74-
CPTY,2038-10-05,17.9993,0.0000,0.0000,0.0000,0.0000,0.0000
75-
CPTY,2039-01-05,18.2514,0.0000,0.0000,0.0000,0.0000,0.0000
76-
CPTY,2039-04-05,18.4980,0.0000,0.0000,0.0000,0.0000,0.0000
77-
CPTY,2039-07-05,18.7473,0.0000,0.0000,0.0000,0.0000,0.0000
78-
CPTY,2039-10-05,18.9993,0.0000,0.0000,0.0000,0.0000,0.0000
79-
CPTY,2040-01-05,19.2514,0.0000,0.0000,0.0000,0.0000,0.0000
80-
CPTY,2040-04-05,19.5000,0.0000,0.0000,0.0000,0.0000,0.0000
81-
CPTY,2040-07-05,19.7486,0.0000,0.0000,0.0000,0.0000,0.0000
82-
CPTY,2040-10-05,20.0000,0.0000,0.0000,0.0000,0.0000,0.0000
83-
CPTY,2041-01-07,20.2569,0.0000,0.0000,0.0000,0.0000,0.0000
3+
CPTY,2021-02-02,0.2516,0.0000,0.0000,0.0000,0.0000,0.0000
4+
CPTY,2021-05-04,0.5009,0.0000,0.0000,0.0000,0.0000,0.0000
5+
CPTY,2021-08-02,0.7475,0.0000,0.0000,0.0000,0.0000,0.0000
6+
CPTY,2021-11-02,0.9996,0.0000,0.0000,0.0000,0.0000,0.0000
7+
CPTY,2022-02-02,1.2516,0.0000,0.0000,0.0000,0.0000,0.0000
8+
CPTY,2022-05-03,1.4982,0.0000,0.0000,0.0000,0.0000,0.0000
9+
CPTY,2022-08-02,1.7475,0.0000,0.0000,0.0000,0.0000,0.0000
10+
CPTY,2022-11-02,1.9996,0.0000,0.0000,0.0000,0.0000,0.0000
11+
CPTY,2023-02-02,2.2516,0.0000,0.0000,0.0000,0.0000,0.0000
12+
CPTY,2023-05-02,2.4954,0.0000,0.0000,0.0000,0.0000,0.0000
13+
CPTY,2023-08-02,2.7475,0.0000,0.0000,0.0000,0.0000,0.0000
14+
CPTY,2023-11-02,2.9996,0.0000,0.0000,0.0000,0.0000,0.0000
15+
CPTY,2024-02-02,3.2514,0.0000,0.0000,0.0000,0.0000,0.0000
16+
CPTY,2024-05-02,3.4973,0.0000,0.0000,0.0000,0.0000,0.0000
17+
CPTY,2024-08-02,3.7486,0.0000,0.0000,0.0000,0.0000,0.0000
18+
CPTY,2024-11-04,4.0055,0.0000,0.0000,0.0000,0.0000,0.0000
19+
CPTY,2025-02-03,4.2543,0.0000,0.0000,0.0000,0.0000,0.0000
20+
CPTY,2025-05-02,4.4954,0.0000,0.0000,0.0000,0.0000,0.0000
21+
CPTY,2025-08-04,4.7530,0.0000,0.0000,0.0000,0.0000,0.0000
22+
CPTY,2025-11-03,5.0023,0.0000,0.0000,0.0000,0.0000,0.0000
23+
CPTY,2026-02-02,5.2516,0.0000,0.0000,0.0000,0.0000,0.0000
24+
CPTY,2026-05-05,5.5037,0.0000,0.0000,0.0000,0.0000,0.0000
25+
CPTY,2026-08-03,5.7502,0.0000,0.0000,0.0000,0.0000,0.0000
26+
CPTY,2026-11-02,5.9996,0.0000,0.0000,0.0000,0.0000,0.0000
27+
CPTY,2027-02-02,6.2516,0.0000,0.0000,0.0000,0.0000,0.0000
28+
CPTY,2027-05-04,6.5009,0.0000,0.0000,0.0000,0.0000,0.0000
29+
CPTY,2027-08-02,6.7475,0.0000,0.0000,0.0000,0.0000,0.0000
30+
CPTY,2027-11-02,6.9996,0.0000,0.0000,0.0000,0.0000,0.0000
31+
CPTY,2028-02-02,7.2514,0.0000,0.0000,0.0000,0.0000,0.0000
32+
CPTY,2028-05-02,7.4973,0.0000,0.0000,0.0000,0.0000,0.0000
33+
CPTY,2028-08-02,7.7486,0.0000,0.0000,0.0000,0.0000,0.0000
34+
CPTY,2028-11-02,8.0000,0.0000,0.0000,0.0000,0.0000,0.0000
35+
CPTY,2029-02-02,8.2516,0.0000,0.0000,0.0000,0.0000,0.0000
36+
CPTY,2029-05-02,8.4954,0.0000,0.0000,0.0000,0.0000,0.0000
37+
CPTY,2029-08-02,8.7475,0.0000,0.0000,0.0000,0.0000,0.0000
38+
CPTY,2029-11-02,8.9996,0.0000,0.0000,0.0000,0.0000,0.0000
39+
CPTY,2030-02-04,9.2571,0.0000,0.0000,0.0000,0.0000,0.0000
40+
CPTY,2030-05-02,9.4954,0.0000,0.0000,0.0000,0.0000,0.0000
41+
CPTY,2030-08-02,9.7475,0.0000,0.0000,0.0000,0.0000,0.0000
42+
CPTY,2030-11-04,10.0050,0.0000,0.0000,0.0000,0.0000,0.0000
43+
CPTY,2031-02-03,10.2543,0.0000,0.0000,0.0000,0.0000,0.0000
44+
CPTY,2031-05-02,10.4954,0.0000,0.0000,0.0000,0.0000,0.0000
45+
CPTY,2031-08-04,10.7530,0.0000,0.0000,0.0000,0.0000,0.0000
46+
CPTY,2031-11-03,11.0023,0.0000,0.0000,0.0000,0.0000,0.0000
47+
CPTY,2032-02-02,11.2514,0.0000,0.0000,0.0000,0.0000,0.0000
48+
CPTY,2032-05-04,11.5027,0.0000,0.0000,0.0000,0.0000,0.0000
49+
CPTY,2032-08-02,11.7486,0.0000,0.0000,0.0000,0.0000,0.0000
50+
CPTY,2032-11-02,12.0000,0.0000,0.0000,0.0000,0.0000,0.0000
51+
CPTY,2033-02-02,12.2516,0.0000,0.0000,0.0000,0.0000,0.0000
52+
CPTY,2033-05-03,12.4982,0.0000,0.0000,0.0000,0.0000,0.0000
53+
CPTY,2033-08-02,12.7475,0.0000,0.0000,0.0000,0.0000,0.0000
54+
CPTY,2033-11-02,12.9996,0.0000,0.0000,0.0000,0.0000,0.0000
55+
CPTY,2034-02-02,13.2516,0.0000,0.0000,0.0000,0.0000,0.0000
56+
CPTY,2034-05-02,13.4954,0.0000,0.0000,0.0000,0.0000,0.0000
57+
CPTY,2034-08-02,13.7475,0.0000,0.0000,0.0000,0.0000,0.0000
58+
CPTY,2034-11-02,13.9996,0.0000,0.0000,0.0000,0.0000,0.0000
59+
CPTY,2035-02-02,14.2516,0.0000,0.0000,0.0000,0.0000,0.0000
60+
CPTY,2035-05-02,14.4954,0.0000,0.0000,0.0000,0.0000,0.0000
61+
CPTY,2035-08-02,14.7475,0.0000,0.0000,0.0000,0.0000,0.0000
62+
CPTY,2035-11-02,14.9996,0.0000,0.0000,0.0000,0.0000,0.0000
63+
CPTY,2036-02-04,15.2568,0.0000,0.0000,0.0000,0.0000,0.0000
64+
CPTY,2036-05-02,15.4973,0.0000,0.0000,0.0000,0.0000,0.0000
65+
CPTY,2036-08-04,15.7541,0.0000,0.0000,0.0000,0.0000,0.0000
66+
CPTY,2036-11-03,16.0027,0.0000,0.0000,0.0000,0.0000,0.0000
67+
CPTY,2037-02-02,16.2516,0.0000,0.0000,0.0000,0.0000,0.0000
68+
CPTY,2037-05-05,16.5037,0.0000,0.0000,0.0000,0.0000,0.0000
69+
CPTY,2037-08-03,16.7502,0.0000,0.0000,0.0000,0.0000,0.0000
70+
CPTY,2037-11-02,16.9996,0.0000,0.0000,0.0000,0.0000,0.0000
71+
CPTY,2038-02-02,17.2516,0.0000,0.0000,0.0000,0.0000,0.0000
72+
CPTY,2038-05-04,17.5009,0.0000,0.0000,0.0000,0.0000,0.0000
73+
CPTY,2038-08-02,17.7475,0.0000,0.0000,0.0000,0.0000,0.0000
74+
CPTY,2038-11-02,17.9996,0.0000,0.0000,0.0000,0.0000,0.0000
75+
CPTY,2039-02-02,18.2516,0.0000,0.0000,0.0000,0.0000,0.0000
76+
CPTY,2039-05-03,18.4982,0.0000,0.0000,0.0000,0.0000,0.0000
77+
CPTY,2039-08-02,18.7475,0.0000,0.0000,0.0000,0.0000,0.0000
78+
CPTY,2039-11-02,18.9996,0.0000,0.0000,0.0000,0.0000,0.0000
79+
CPTY,2040-02-02,19.2514,0.0000,0.0000,0.0000,0.0000,0.0000
80+
CPTY,2040-05-02,19.4973,0.0000,0.0000,0.0000,0.0000,0.0000
81+
CPTY,2040-08-02,19.7486,0.0000,0.0000,0.0000,0.0000,0.0000
82+
CPTY,2040-11-02,20.0000,0.0000,0.0000,0.0000,0.0000,0.0000
83+
CPTY,2041-02-04,20.2571,0.0000,0.0000,0.0000,0.0000,0.0000

0 commit comments

Comments
 (0)