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pcaspersjenkins
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QPR-12014 schema change
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Lines changed: 17 additions & 17 deletions

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‎Examples/Example_15/Input/sensitivity.xml‎

Lines changed: 16 additions & 16 deletions
Original file line numberDiff line numberDiff line change
@@ -5,40 +5,40 @@
55
<DiscountCurve ccy="EUR">
66
<ShiftType>Absolute</ShiftType>
77
<ShiftSize>0.0001</ShiftSize>
8-
<ShiftScheme>Forward</ShiftScheme>
98
<ShiftSize key="IR_FD">0.001</ShiftSize>
9+
<ShiftScheme>Forward</ShiftScheme>
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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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<DiscountCurve ccy="USD">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
16-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
17+
<ShiftScheme>Forward</ShiftScheme>
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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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<DiscountCurve ccy="GBP">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
24-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
25+
<ShiftScheme>Forward</ShiftScheme>
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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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<DiscountCurve ccy="CHF">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
32-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
33+
<ShiftScheme>Forward</ShiftScheme>
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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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<DiscountCurve ccy="JPY">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
40-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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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>
@@ -48,72 +48,72 @@
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<IndexCurve index="EUR-EURIBOR-6M">
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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>Forward</ShiftScheme>
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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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</IndexCurve>
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<IndexCurve index="EUR-EURIBOR-3M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
59-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
60+
<ShiftScheme>Forward</ShiftScheme>
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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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</IndexCurve>
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<IndexCurve index="EUR-EONIA">
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<ShiftType>Absolute</ShiftType>
6666
<ShiftSize>0.0001</ShiftSize>
67-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
68+
<ShiftScheme>Forward</ShiftScheme>
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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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</IndexCurve>
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<IndexCurve index="USD-LIBOR-3M">
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<ShiftType>Absolute</ShiftType>
7474
<ShiftSize>0.0001</ShiftSize>
75-
<ShiftScheme>Forward</ShiftScheme>
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<ShiftSize key="IR_FD">0.001</ShiftSize>
76+
<ShiftScheme>Forward</ShiftScheme>
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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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</IndexCurve>
8080
<IndexCurve index="USD-LIBOR-6M">
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<ShiftType>Absolute</ShiftType>
8282
<ShiftSize>0.0001</ShiftSize>
83-
<ShiftScheme>Forward</ShiftScheme>
8483
<ShiftSize key="IR_FD">0.001</ShiftSize>
84+
<ShiftScheme>Forward</ShiftScheme>
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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>
8787
</IndexCurve>
8888
<IndexCurve index="GBP-LIBOR-3M">
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<ShiftType>Absolute</ShiftType>
9090
<ShiftSize>0.0001</ShiftSize>
91-
<ShiftScheme>Forward</ShiftScheme>
9291
<ShiftSize key="IR_FD">0.001</ShiftSize>
92+
<ShiftScheme>Forward</ShiftScheme>
9393
<ShiftScheme key="IR_FD">Central</ShiftScheme>
9494
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
9595
</IndexCurve>
9696
<IndexCurve index="GBP-LIBOR-6M">
9797
<ShiftType>Absolute</ShiftType>
9898
<ShiftSize>0.0001</ShiftSize>
99-
<ShiftScheme>Forward</ShiftScheme>
10099
<ShiftSize key="IR_FD">0.001</ShiftSize>
100+
<ShiftScheme>Forward</ShiftScheme>
101101
<ShiftScheme key="IR_FD">Central</ShiftScheme>
102102
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
103103
</IndexCurve>
104104
<IndexCurve index="CHF-LIBOR-6M">
105105
<ShiftType>Absolute</ShiftType>
106106
<ShiftSize>0.0001</ShiftSize>
107-
<ShiftScheme>Forward</ShiftScheme>
108107
<ShiftSize key="IR_FD">0.001</ShiftSize>
108+
<ShiftScheme>Forward</ShiftScheme>
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<ShiftScheme key="IR_FD">Central</ShiftScheme>
110110
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
111111
</IndexCurve>
112112
<IndexCurve index="JPY-LIBOR-6M">
113113
<ShiftType>Absolute</ShiftType>
114114
<ShiftSize>0.0001</ShiftSize>
115-
<ShiftScheme>Forward</ShiftScheme>
116115
<ShiftSize key="IR_FD">0.001</ShiftSize>
116+
<ShiftScheme>Forward</ShiftScheme>
117117
<ShiftScheme key="IR_FD">Central</ShiftScheme>
118118
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
119119
</IndexCurve>
@@ -123,8 +123,8 @@
123123
<YieldCurve name="BENCHMARK_EUR">
124124
<ShiftType>Absolute</ShiftType>
125125
<ShiftSize>0.0001</ShiftSize>
126-
<ShiftScheme>Forward</ShiftScheme>
127126
<ShiftSize key="IR_FD">0.001</ShiftSize>
127+
<ShiftScheme>Forward</ShiftScheme>
128128
<ShiftScheme key="IR_FD">Central</ShiftScheme>
129129
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
130130
</YieldCurve>
@@ -181,8 +181,8 @@
181181
<SwaptionVolatility ccy="EUR">
182182
<ShiftType>Relative</ShiftType>
183183
<ShiftSize>0.01</ShiftSize>
184-
<ShiftScheme>Forward</ShiftScheme>
185184
<ShiftSize key="IR_FD">0.01</ShiftSize>
185+
<ShiftScheme>Forward</ShiftScheme>
186186
<ShiftScheme key="IR_FD">Central</ShiftScheme>
187187
<ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
188188
<ShiftStrikes/>

‎Examples/Example_40/Input/sensitivity.xml‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -262,8 +262,8 @@
262262
<CreditCurve name="CPTY_1">
263263
<Currency>USD</Currency>
264264
<ShiftType>Absolute</ShiftType>
265-
<ShiftSize>0.0001</ShiftSize>
266265
<ShiftType key="CR_Semianalytical">Absolute</ShiftType>
266+
<ShiftSize>0.0001</ShiftSize>
267267
<ShiftSize key="CR_Semianalytical">0.001</ShiftSize>
268268
<ShiftScheme key="CR_Semianalytical">Central</ShiftScheme>
269269
<ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</ShiftTenors>

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