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Roland Lichtersjenkins
Roland Lichters
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jenkins
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QPR-12455 example 56 with Jupyer notebook and configurable runs
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‎Examples/Example_56/Input/market.txt‎

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‎Examples/Example_56/Input/ore.xml‎

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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</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="logMask">255</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</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="marketConfigFile">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>

‎Examples/Example_56/Input/ore_bump.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/bump</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">market.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</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">todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="scriptLibrary">scriptlibrary.xml</Parameter>
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<Parameter name="nThreads">1</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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<Parameter name="sensitivity">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.csv</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">N</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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</Analytic>
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<Analytic type="simulation">
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<Parameter name="active">Y</Parameter>
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<Parameter name="amc">Y</Parameter>
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<Parameter name="amcCg">Y</Parameter>
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<Parameter name="cvaBumpSensis">Y</Parameter>
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<Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter>
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<Parameter name="amcTradeTypes">Swap</Parameter>
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="storeScenarios">N</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodata.csv</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_56/Input/todaysmarket.xml‎

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<?xml version="1.0"?>
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<TodaysMarket>
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<Configuration id="default">
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<DiscountingCurvesId>xois_eur</DiscountingCurvesId>
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<YieldCurvesId>xois_eur</YieldCurvesId>
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</Configuration>
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<Configuration id="collateral_inccy">
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<DiscountingCurvesId>ois</DiscountingCurvesId>
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<YieldCurvesId>ois</YieldCurvesId>
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</Configuration>
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<Configuration id="xois_eur">
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<DiscountingCurvesId>xois_eur</DiscountingCurvesId>
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</Configuration>
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<Configuration id="xois_usd">
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<DiscountingCurvesId>xois_usd</DiscountingCurvesId>
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</Configuration>
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<Configuration id="libor">
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<DiscountingCurvesId>inccy_swap</DiscountingCurvesId>
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<YieldCurvesId>inccy_swap</YieldCurvesId>
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</Configuration>
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<!-- yield curve definition (in ccy swap discounting) -->
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<YieldCurves id="default">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (in ccy ois discounting) -->
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<YieldCurves id="ois">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
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<YieldCurves id="xois_eur">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
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<YieldCurves id="inccy_swap">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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<YieldCurve name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</YieldCurve>
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<YieldCurve name="BENCHMARK-EUR-6M">Yield/EUR/EURBMB</YieldCurve>
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</YieldCurves>
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<!-- discounting curve definition (in ccy swap discounting) -->
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<DiscountingCurves id="inccy_swap">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR6M</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD3M</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP6M</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<!-- discounting curve definition (in ccy ois discounting) -->
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<DiscountingCurves id="ois">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP1D</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF1D</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY1D</DiscountingCurve>
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</DiscountingCurves>
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<!-- discounting curve definition (xois discounting w.r.t. EUR collateral) -->
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<DiscountingCurves id="xois_eur">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<DiscountingCurves id="xois_usd">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<!-- index forwarding curve definition -->
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<IndexForwardingCurves id="default">
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<Index name="EUR-EURIBOR-1M">Yield/EUR/EUR1M</Index>
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<Index name="EUR-EURIBOR-3M">Yield/EUR/EUR3M</Index>
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<Index name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</Index>
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<Index name="EUR-EURIBOR-12M">Yield/EUR/EUR12M</Index>
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<Index name="EUR-EONIA">Yield/EUR/EUR1D</Index>
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<Index name="USD-FedFunds">Yield/USD/USD1D</Index>
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<Index name="USD-LIBOR-3M">Yield/USD/USD3M</Index>
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<Index name="USD-LIBOR-6M">Yield/USD/USD6M</Index>
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<Index name="GBP-SONIA">Yield/GBP/GBP1D</Index>
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<Index name="GBP-LIBOR-3M">Yield/GBP/GBP3M</Index>
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<Index name="CHF-TOIS">Yield/CHF/CHF1D</Index>
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<Index name="GBP-LIBOR-6M">Yield/GBP/GBP6M</Index>
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<Index name="CHF-LIBOR-3M">Yield/CHF/CHF3M</Index>
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<Index name="CHF-LIBOR-6M">Yield/CHF/CHF6M</Index>
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<Index name="JPY-LIBOR-6M">Yield/JPY/JPY6M</Index>
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<Index name="JPY-TONAR">Yield/JPY/JPY1D</Index>
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<Index name="USD-SIFMA">Yield/USD/USDBMA</Index>
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</IndexForwardingCurves>
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<SwapIndexCurves id="default">
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<SwapIndex name="EUR-CMS-1Y">
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<Discounting>EUR-EONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="EUR-CMS-2Y">
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<Discounting>EUR-EONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="EUR-CMS-10Y">
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<Discounting>EUR-EONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="EUR-CMS-30Y">
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<Discounting>EUR-EONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="USD-CMS-1Y">
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<Discounting>USD-FedFunds</Discounting>
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</SwapIndex>
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<SwapIndex name="USD-CMS-30Y">
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<Discounting>USD-FedFunds</Discounting>
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</SwapIndex>
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<SwapIndex name="GBP-CMS-1Y">
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<Discounting>GBP-SONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="GBP-CMS-30Y">
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<Discounting>GBP-SONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="CHF-CMS-1Y">
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<Discounting>CHF-TOIS</Discounting>
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</SwapIndex>
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<SwapIndex name="CHF-CMS-30Y">
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<Discounting>CHF-TOIS</Discounting>
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</SwapIndex>
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<SwapIndex name="JPY-CMS-1Y">
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<Discounting>JPY-TONAR</Discounting>
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</SwapIndex>
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<SwapIndex name="JPY-CMS-30Y">
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<Discounting>JPY-TONAR</Discounting>
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</SwapIndex>
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</SwapIndexCurves>
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<!-- inflation index definition -->
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<ZeroInflationIndexCurves id="default">
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<!--<InflationIndexCurve name="AUCPI">Inflation/AUCPI/AUCPI_ZC_Swaps</InflationIndexCurve> -->
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<ZeroInflationIndexCurve name="EUHICP">Inflation/EUHICP/EUHICP_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="FRHICP">Inflation/FRHICP/FRHICP_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="UKRPI">Inflation/UKRPI/UKRPI_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="USCPI">Inflation/USCPI/USCPI_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="ZACPI">Inflation/ZACPI/ZACPI_ZC_Swaps</ZeroInflationIndexCurve>
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</ZeroInflationIndexCurves>
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<YYInflationIndexCurves id="default">
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<YYInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_YY_Swaps</YYInflationIndexCurve>
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</YYInflationIndexCurves>
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<!-- fx spot definition -->
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<FxSpots id="default">
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<FxSpot pair="EURUSD">FX/EUR/USD</FxSpot>
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<FxSpot pair="EURGBP">FX/EUR/GBP</FxSpot>
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<FxSpot pair="EURCHF">FX/EUR/CHF</FxSpot>
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<FxSpot pair="EURJPY">FX/EUR/JPY</FxSpot>
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<FxSpot pair="GBPUSD">FX/GBP/USD</FxSpot>
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<FxSpot pair="USDCHF">FX/USD/CHF</FxSpot>
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</FxSpots>
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<!-- fx volatility definition -->
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<FxVolatilities id="default">
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<FxVolatility pair="EURUSD">FXVolatility/EUR/USD/EURUSD</FxVolatility>
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<FxVolatility pair="EURGBP">FXVolatility/EUR/GBP/EURGBP</FxVolatility>
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<FxVolatility pair="EURCHF">FXVolatility/EUR/CHF/EURCHF</FxVolatility>
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<FxVolatility pair="EURJPY">FXVolatility/EUR/JPY/EURJPY</FxVolatility>
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<FxVolatility pair="GBPUSD">FXVolatility/GBP/USD/GBPUSD</FxVolatility>
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</FxVolatilities>
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<!-- swaption volatility definition -->
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<SwaptionVolatilities id="default">
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<SwaptionVolatility currency="EUR">SwaptionVolatility/EUR/EUR_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="USD">SwaptionVolatility/USD/USD_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="GBP">SwaptionVolatility/GBP/GBP_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="CHF">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="JPY">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
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</SwaptionVolatilities>
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<!-- cap volatility definition -->
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<CapFloorVolatilities id="default">
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<CapFloorVolatility currency="EUR">CapFloorVolatility/EUR/EUR_CF_N</CapFloorVolatility>
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<CapFloorVolatility currency="USD">CapFloorVolatility/USD/USD_CF_N</CapFloorVolatility>
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<CapFloorVolatility currency="GBP">CapFloorVolatility/GBP/GBP_CF_N</CapFloorVolatility>
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</CapFloorVolatilities>
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<!-- cds volatility definition -->
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<CDSVolatilities id="default">
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<CDSVolatility name="CPTY_A">CDSVolatility/CPTY_A</CDSVolatility>
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<CDSVolatility name="CPTY_B">CDSVolatility/CPTY_A</CDSVolatility>
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<CDSVolatility name="BANK">CDSVolatility/CDXIG</CDSVolatility>
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<CDSVolatility name="CDXIG">CDSVolatility/CDXIG</CDSVolatility>
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</CDSVolatilities>
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<CDSVolatilities id="collateral_eur">
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<CDSVolatility name="CPTY_A">CDSVolatility/CPTY_A</CDSVolatility>
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<CDSVolatility name="CPTY_B">CDSVolatility/CPTY_A</CDSVolatility>
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<CDSVolatility name="BANK">CDSVolatility/CDXIG</CDSVolatility>
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<CDSVolatility name="CDXIG">CDSVolatility/CDXIG</CDSVolatility>
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</CDSVolatilities>
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<!-- default curves definition -->
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<DefaultCurves id="default">
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<DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
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<DefaultCurve name="CPTY_A">Default/USD/CPTY_A_SR_USD</DefaultCurve>
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<DefaultCurve name="CPTY_B">Default/USD/CPTY_A_SR_USD</DefaultCurve>
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<DefaultCurve name="CPTY_C">Default/EUR/CPTY_C_SR_EUR</DefaultCurve>
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<DefaultCurve name="BOND_YIELD_EUR_OVER_OIS">Default/EUR/BOND_YIELD_EUR_OVER_OIS</DefaultCurve>
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<!--
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<DefaultCurve name="CPTY_1">Default/EUR/CPTY_1_SR_EUR</DefaultCurve>
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<DefaultCurve name="CPTY_2">Default/EUR/CPTY_2_SR_EUR</DefaultCurve>
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<DefaultCurve name="CPTY_3">Default/EUR/CPTY_3_SR_EUR</DefaultCurve>
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-->
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</DefaultCurves>
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<!-- inflation volatility curves definition -->
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<YYInflationCapFloorVolatilities id="default">
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<YYInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_YY_CF_N</YYInflationCapFloorVolatility>
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</YYInflationCapFloorVolatilities>
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<ZeroInflationCapFloorVolatilities id="default">
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<ZeroInflationCapFloorVolatility name="UKRPI">InflationCapFloorVolatility/UKRPI/UKRPI_ZC_CF</ZeroInflationCapFloorVolatility>
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<ZeroInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_ZC_CF</ZeroInflationCapFloorVolatility>
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<ZeroInflationCapFloorVolatility name="USCPI">InflationCapFloorVolatility/USCPI/USCPI_ZC_CF</ZeroInflationCapFloorVolatility>
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</ZeroInflationCapFloorVolatilities>
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<EquityCurves id="default">
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<EquityCurve name="SP5">Equity/USD/SP5</EquityCurve>
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<EquityCurve name="Lufthansa">Equity/EUR/Lufthansa</EquityCurve>
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<EquityCurve name="SX5E">Equity/EUR/SX5E</EquityCurve>
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<EquityCurve name="FTSE">Equity/GBP/FTSE</EquityCurve>
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<EquityCurve name="SPX">Equity/USD/SPX</EquityCurve>
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</EquityCurves>
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<EquityVolatilities id="default">
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<EquityVolatility name="SP5">EquityVolatility/USD/SP5</EquityVolatility>
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<EquityVolatility name="Lufthansa">EquityVolatility/EUR/Lufthansa</EquityVolatility>
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<EquityVolatility name="SX5E">EquityVolatility/EUR/SX5E</EquityVolatility>
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<EquityVolatility name="FTSE">EquityVolatility/GBP/FTSE</EquityVolatility>
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<EquityVolatility name="SPX">EquityVolatility/USD/SPX</EquityVolatility>
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</EquityVolatilities>
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<BaseCorrelations id="default">
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<BaseCorrelation name="CDXIG">BaseCorrelation/CDXIG</BaseCorrelation>
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</BaseCorrelations>
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<CommodityCurves id="default">
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<CommodityCurve name="COMDTY_GOLD_USD">Commodity/USD/GOLD_USD</CommodityCurve>
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<CommodityCurve name="COMDTY_WTI_USD">Commodity/USD/WTI_USD</CommodityCurve>
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</CommodityCurves>
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<CommodityVolatilities id="default">
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<CommodityVolatility name="COMDTY_GOLD_USD">CommodityVolatility/USD/GOLD_USD_VOLS</CommodityVolatility>
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<CommodityVolatility name="COMDTY_WTI_USD">CommodityVolatility/USD/WTI_USD_VOLS</CommodityVolatility>
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</CommodityVolatilities>
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</TodaysMarket>

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