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pcaspersfarahkhashman
pcaspers
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farahkhashman
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Merge branch 'feature/QPR-13622' into 'master'
QPR-13622 swap exposure without swaptions Closes QPR-13622 See merge request qs/oreplus!3024
1 parent ac62cfe commit 63f1731

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‎Examples/Exposure/Input/ore_swap_hw2f_swaptions.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swap_hw2f</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio_swap_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/ore_swap_swaptions.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swap</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio_swap_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/ore_swapflat_swaptions.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swapflat</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205_flat.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio_swapflat_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>
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<Parameter name="fxcalibration">libor</Parameter>
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<Parameter name="eqcalibration">libor</Parameter>
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<Parameter name="pricing">libor</Parameter>
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<Parameter name="simulation">libor</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/portfolio_swap.xml‎

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</LegData>
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</SwapData>
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</Trade>
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<!--
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<Trade id="Payer_Swaption_01_19">
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<TradeType>Swaption</TradeType>
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<Envelope>
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</ScheduleData>
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</LegData>
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</SwaptionData>
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</Trade>
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</Trade>
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-->
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</Portfolio>

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