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pcaspersjenkins
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QPR-12028 fix zeta calc + update expected outputs
1 parent af3987a commit 8576004

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‎Examples/Example_54/ExpectedOutput/xvacg-cva-sensi-scenario.csv‎

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11
#TradeId,Factor,Up/Down,Base NPV,Scenario NPV,Difference
2-
CVA,DiscountCurve/EUR/3/6M,Up,11335.04,11335.04,0.00
3-
CVA,DiscountCurve/EUR/4/1Y,Up,11335.04,11335.03,0.00
4-
CVA,DiscountCurve/EUR/5/2Y,Up,11335.04,11335.03,0.00
5-
CVA,DiscountCurve/EUR/6/3Y,Up,11335.04,11335.00,-0.04
6-
CVA,DiscountCurve/EUR/7/5Y,Up,11335.04,11334.63,-0.41
7-
CVA,DiscountCurve/EUR/8/10Y,Up,11335.04,11332.57,-2.46
8-
CVA,DiscountCurve/EUR/9/15Y,Up,11335.04,11329.08,-5.96
9-
CVA,DiscountCurve/EUR/10/20Y,Up,11335.04,11326.46,-8.58
10-
CVA,DiscountCurve/EUR/11/30Y,Up,11335.04,11334.99,-0.05
11-
CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,11335.04,11335.05,0.01
12-
CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,11335.04,11335.02,-0.02
13-
CVA,IndexCurve/EUR-EURIBOR-6M/0/2W,Up,11335.04,11335.04,0.00
14-
CVA,IndexCurve/EUR-EURIBOR-6M/1/1M,Up,11335.04,11335.07,0.03
15-
CVA,IndexCurve/EUR-EURIBOR-6M/3/6M,Up,11335.04,11335.23,0.19
16-
CVA,IndexCurve/EUR-EURIBOR-6M/4/1Y,Up,11335.04,11335.67,0.64
17-
CVA,IndexCurve/EUR-EURIBOR-6M/5/2Y,Up,11335.04,11336.58,1.54
18-
CVA,IndexCurve/EUR-EURIBOR-6M/6/3Y,Up,11335.04,11338.34,3.30
19-
CVA,IndexCurve/EUR-EURIBOR-6M/7/5Y,Up,11335.04,11345.55,10.52
20-
CVA,IndexCurve/EUR-EURIBOR-6M/8/10Y,Up,11335.04,11358.75,23.71
21-
CVA,IndexCurve/EUR-EURIBOR-6M/9/15Y,Up,11335.04,11359.90,24.87
22-
CVA,IndexCurve/EUR-EURIBOR-6M/10/20Y,Up,11335.04,11148.05,-186.99
23-
CVA,IndexCurve/EUR-EURIBOR-6M/11/30Y,Up,11335.04,11332.33,-2.70
24-
CVA,SwaptionVolatility/EUR/8/1Y/15Y/ATM,Up,11335.04,11337.27,2.24
25-
CVA,SwaptionVolatility/EUR/9/1Y/20Y/ATM,Up,11335.04,11344.04,9.00
26-
CVA,SwaptionVolatility/EUR/19/2Y/15Y/ATM,Up,11335.04,11341.06,6.03
27-
CVA,SwaptionVolatility/EUR/20/2Y/20Y/ATM,Up,11335.04,11344.09,9.06
28-
CVA,SwaptionVolatility/EUR/30/3Y/15Y/ATM,Up,11335.04,11344.33,9.29
29-
CVA,SwaptionVolatility/EUR/31/3Y/20Y/ATM,Up,11335.04,11341.22,6.18
30-
CVA,SwaptionVolatility/EUR/41/4Y/15Y/ATM,Up,11335.04,11347.87,12.84
31-
CVA,SwaptionVolatility/EUR/42/4Y/20Y/ATM,Up,11335.04,11338.23,3.19
32-
CVA,SwaptionVolatility/EUR/51/5Y/12Y/ATM,Up,11335.04,11337.76,2.73
33-
CVA,SwaptionVolatility/EUR/52/5Y/15Y/ATM,Up,11335.04,11357.51,22.47
34-
CVA,SwaptionVolatility/EUR/61/7Y/10Y/ATM,Up,11335.04,11337.44,2.40
35-
CVA,SwaptionVolatility/EUR/62/7Y/12Y/ATM,Up,11335.04,11362.92,27.88
36-
CVA,SwaptionVolatility/EUR/63/7Y/15Y/ATM,Up,11335.04,11346.67,11.63
37-
CVA,SwaptionVolatility/EUR/71/10Y/7Y/ATM,Up,11335.04,11337.38,2.34
38-
CVA,SwaptionVolatility/EUR/72/10Y/10Y/ATM,Up,11335.04,11356.66,21.62
39-
CVA,SwaptionVolatility/EUR/73/10Y/12Y/ATM,Up,11335.04,11345.03,10.00
40-
CVA,SwaptionVolatility/EUR/81/12Y/5Y/ATM,Up,11335.04,11336.54,1.51
41-
CVA,SwaptionVolatility/EUR/82/12Y/7Y/ATM,Up,11335.04,11353.72,18.68
42-
CVA,SwaptionVolatility/EUR/83/12Y/10Y/ATM,Up,11335.04,11343.61,8.58
43-
CVA,SwaptionVolatility/EUR/88/15Y/1Y/ATM,Up,11335.04,11335.47,0.44
44-
CVA,SwaptionVolatility/EUR/89/15Y/2Y/ATM,Up,11335.04,11336.18,1.15
45-
CVA,SwaptionVolatility/EUR/90/15Y/3Y/ATM,Up,11335.04,11337.70,2.67
46-
CVA,SwaptionVolatility/EUR/91/15Y/4Y/ATM,Up,11335.04,11340.19,5.16
47-
CVA,SwaptionVolatility/EUR/92/15Y/5Y/ATM,Up,11335.04,11346.63,11.59
48-
CVA,SwaptionVolatility/EUR/93/15Y/7Y/ATM,Up,11335.04,11341.53,6.50
49-
CVA,SwaptionVolatility/EUR/99/20Y/1Y/ATM,Up,11335.04,11336.79,1.76
50-
CVA,SwaptionVolatility/EUR/100/20Y/2Y/ATM,Up,11335.04,11336.77,1.73
51-
CVA,SwaptionVolatility/EUR/101/20Y/3Y/ATM,Up,11335.04,11336.82,1.79
52-
CVA,SwaptionVolatility/EUR/102/20Y/4Y/ATM,Up,11335.04,11336.32,1.28
53-
CVA,SurvivalProbability/BANK/0/2W,Up,11335.04,11335.03,0.00
54-
CVA,SurvivalProbability/BANK/1/1M,Up,11335.04,11334.96,-0.08
55-
CVA,SurvivalProbability/BANK/2/3M,Up,11335.04,11334.86,-0.18
56-
CVA,SurvivalProbability/BANK/3/6M,Up,11335.04,11334.40,-0.63
57-
CVA,SurvivalProbability/BANK/4/1Y,Up,11335.04,11334.27,-0.76
58-
CVA,SurvivalProbability/BANK/5/2Y,Up,11335.04,11333.47,-1.57
59-
CVA,SurvivalProbability/BANK/6/3Y,Up,11335.04,11333.22,-1.82
60-
CVA,SurvivalProbability/BANK/7/5Y,Up,11335.04,11334.37,-0.67
61-
CVA,SurvivalProbability/BANK/8/10Y,Up,11335.04,11345.81,10.78
62-
CVA,SurvivalProbability/BANK/9/15Y,Up,11335.04,11361.85,26.82
63-
CVA,SurvivalProbability/BANK/10/20Y,Up,11335.04,11360.90,25.86
64-
CVA,SurvivalProbability/BANK/11/30Y,Up,11335.04,11335.17,0.14
2+
CVA,DiscountCurve/EUR/3/6M,Up,11392.42,11392.42,0.00
3+
CVA,DiscountCurve/EUR/4/1Y,Up,11392.42,11392.42,0.00
4+
CVA,DiscountCurve/EUR/5/2Y,Up,11392.42,11392.42,0.00
5+
CVA,DiscountCurve/EUR/6/3Y,Up,11392.42,11392.39,-0.04
6+
CVA,DiscountCurve/EUR/7/5Y,Up,11392.42,11392.01,-0.41
7+
CVA,DiscountCurve/EUR/8/10Y,Up,11392.42,11389.95,-2.48
8+
CVA,DiscountCurve/EUR/9/15Y,Up,11392.42,11386.44,-5.98
9+
CVA,DiscountCurve/EUR/10/20Y,Up,11392.42,11383.82,-8.61
10+
CVA,DiscountCurve/EUR/11/30Y,Up,11392.42,11392.38,-0.05
11+
CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,11392.42,11392.44,0.01
12+
CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,11392.42,11392.40,-0.02
13+
CVA,IndexCurve/EUR-EURIBOR-6M/0/2W,Up,11392.42,11392.42,0.00
14+
CVA,IndexCurve/EUR-EURIBOR-6M/1/1M,Up,11392.42,11392.46,0.03
15+
CVA,IndexCurve/EUR-EURIBOR-6M/3/6M,Up,11392.42,11392.62,0.19
16+
CVA,IndexCurve/EUR-EURIBOR-6M/4/1Y,Up,11392.42,11393.06,0.64
17+
CVA,IndexCurve/EUR-EURIBOR-6M/5/2Y,Up,11392.42,11393.96,1.53
18+
CVA,IndexCurve/EUR-EURIBOR-6M/6/3Y,Up,11392.42,11395.72,3.30
19+
CVA,IndexCurve/EUR-EURIBOR-6M/7/5Y,Up,11392.42,11402.93,10.50
20+
CVA,IndexCurve/EUR-EURIBOR-6M/8/10Y,Up,11392.42,11416.11,23.68
21+
CVA,IndexCurve/EUR-EURIBOR-6M/9/15Y,Up,11392.42,11417.23,24.81
22+
CVA,IndexCurve/EUR-EURIBOR-6M/10/20Y,Up,11392.42,11204.95,-187.47
23+
CVA,IndexCurve/EUR-EURIBOR-6M/11/30Y,Up,11392.42,11389.72,-2.71
24+
CVA,SwaptionVolatility/EUR/8/1Y/15Y/ATM,Up,11392.42,11394.71,2.28
25+
CVA,SwaptionVolatility/EUR/9/1Y/20Y/ATM,Up,11392.42,11401.61,9.19
26+
CVA,SwaptionVolatility/EUR/19/2Y/15Y/ATM,Up,11392.42,11398.46,6.04
27+
CVA,SwaptionVolatility/EUR/20/2Y/20Y/ATM,Up,11392.42,11401.50,9.07
28+
CVA,SwaptionVolatility/EUR/30/3Y/15Y/ATM,Up,11392.42,11401.54,9.12
29+
CVA,SwaptionVolatility/EUR/31/3Y/20Y/ATM,Up,11392.42,11398.49,6.07
30+
CVA,SwaptionVolatility/EUR/41/4Y/15Y/ATM,Up,11392.42,11405.33,12.90
31+
CVA,SwaptionVolatility/EUR/42/4Y/20Y/ATM,Up,11392.42,11395.63,3.21
32+
CVA,SwaptionVolatility/EUR/51/5Y/12Y/ATM,Up,11392.42,11395.15,2.73
33+
CVA,SwaptionVolatility/EUR/52/5Y/15Y/ATM,Up,11392.42,11415.43,23.00
34+
CVA,SwaptionVolatility/EUR/61/7Y/10Y/ATM,Up,11392.42,11394.96,2.54
35+
CVA,SwaptionVolatility/EUR/62/7Y/12Y/ATM,Up,11392.42,11419.87,27.45
36+
CVA,SwaptionVolatility/EUR/63/7Y/15Y/ATM,Up,11392.42,11404.03,11.60
37+
CVA,SwaptionVolatility/EUR/71/10Y/7Y/ATM,Up,11392.42,11394.55,2.13
38+
CVA,SwaptionVolatility/EUR/72/10Y/10Y/ATM,Up,11392.42,11415.13,22.71
39+
CVA,SwaptionVolatility/EUR/73/10Y/12Y/ATM,Up,11392.42,11402.44,10.02
40+
CVA,SwaptionVolatility/EUR/81/12Y/5Y/ATM,Up,11392.42,11394.18,1.76
41+
CVA,SwaptionVolatility/EUR/82/12Y/7Y/ATM,Up,11392.42,11410.91,18.49
42+
CVA,SwaptionVolatility/EUR/83/12Y/10Y/ATM,Up,11392.42,11400.71,8.28
43+
CVA,SwaptionVolatility/EUR/88/15Y/1Y/ATM,Up,11392.42,11392.90,0.48
44+
CVA,SwaptionVolatility/EUR/89/15Y/2Y/ATM,Up,11392.42,11393.62,1.20
45+
CVA,SwaptionVolatility/EUR/90/15Y/3Y/ATM,Up,11392.42,11394.81,2.38
46+
CVA,SwaptionVolatility/EUR/91/15Y/4Y/ATM,Up,11392.42,11398.22,5.79
47+
CVA,SwaptionVolatility/EUR/92/15Y/5Y/ATM,Up,11392.42,11403.45,11.03
48+
CVA,SwaptionVolatility/EUR/93/15Y/7Y/ATM,Up,11392.42,11399.17,6.75
49+
CVA,SwaptionVolatility/EUR/99/20Y/1Y/ATM,Up,11392.42,11394.34,1.92
50+
CVA,SwaptionVolatility/EUR/100/20Y/2Y/ATM,Up,11392.42,11394.23,1.81
51+
CVA,SwaptionVolatility/EUR/101/20Y/3Y/ATM,Up,11392.42,11394.02,1.60
52+
CVA,SwaptionVolatility/EUR/102/20Y/4Y/ATM,Up,11392.42,11393.86,1.44
53+
CVA,SurvivalProbability/BANK/0/2W,Up,11392.42,11392.40,-0.03
54+
CVA,SurvivalProbability/BANK/1/1M,Up,11392.42,11392.38,-0.04
55+
CVA,SurvivalProbability/BANK/2/3M,Up,11392.42,11392.26,-0.16
56+
CVA,SurvivalProbability/BANK/3/6M,Up,11392.42,11391.80,-0.62
57+
CVA,SurvivalProbability/BANK/4/1Y,Up,11392.42,11391.70,-0.72
58+
CVA,SurvivalProbability/BANK/5/2Y,Up,11392.42,11390.88,-1.54
59+
CVA,SurvivalProbability/BANK/6/3Y,Up,11392.42,11390.64,-1.78
60+
CVA,SurvivalProbability/BANK/7/5Y,Up,11392.42,11391.82,-0.61
61+
CVA,SurvivalProbability/BANK/8/10Y,Up,11392.42,11403.26,10.84
62+
CVA,SurvivalProbability/BANK/9/15Y,Up,11392.42,11419.29,26.87
63+
CVA,SurvivalProbability/BANK/10/20Y,Up,11392.42,11418.30,25.87
64+
CVA,SurvivalProbability/BANK/11/30Y,Up,11392.42,11392.56,0.14

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