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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "507d02588e" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "2fe17e820e" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
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‎Docs/UserGuide/tradedata/swaption.tex‎

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@@ -142,7 +142,79 @@ \subsubsection{Swaption}
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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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@@ -6000,6 +6000,7 @@ \subsection{Sensitivity Analysis: {\tt sensitivity.xml}}\label{sec:sensitivity}
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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

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