QPR-12014 updates, fixes (CMS Cap uses swap builder now instead of hardcoded discounting swap engine)

Author: pcaspers

Examples/Example_15/ExpectedOutput/var.csv

@@ -1,20 +1,20 @@
 #Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000
-(all),(all),(all),-51287863.246212,-36325159.387042,35902765.387042,50865469.246212
+(all),(all),(all),-51290159.407976,-36327329.388175,35901204.388175,50864034.407976
 PF1,(all),(all),-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
-PF2,(all),(all),-6556376.537509,-4690649.888990,4315580.888990,6181307.537509
-(all),(all),DeltaGamma,-51282672.151335,-36320063.234456,35907403.234456,50870012.151335
+PF2,(all),(all),-6557646.195612,-4692094.096579,4313294.096579,6178846.195612
+(all),(all),DeltaGamma,-51283164.981876,-36320419.015922,35907709.015922,50870454.981876
 PF1,(all),DeltaGamma,-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
-PF2,(all),DeltaGamma,-6548909.847891,-4683944.767985,4318609.767985,6183574.847891
-(all),(all),Vega,-186821.023493,-133518.324441,123784.324441,177087.023493
-PF2,(all),Vega,-186821.023493,-133518.324441,123784.324441,177087.023493
-(all),InterestRate,(all),-37044510.252175,-26255557.703812,25824845.703812,36613798.252175
+PF2,(all),DeltaGamma,-6548636.969272,-4683759.151709,4318374.151709,6183251.969272
+(all),(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
+PF2,(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
+(all),InterestRate,(all),-37045418.328177,-26256746.253322,25822303.253322,36610975.328177
 PF1,InterestRate,(all),-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
-PF2,InterestRate,(all),-6554936.762631,-4691765.708860,4302128.708860,6165299.762631
-(all),InterestRate,DeltaGamma,-37039004.674983,-26250169.181150,25829669.181150,36618504.674983
+PF2,InterestRate,(all),-6556216.192571,-4693216.825666,4299848.825666,6162848.192571
+(all),InterestRate,DeltaGamma,-37038123.786470,-26249553.669032,25829003.669032,36617573.786470
 PF1,InterestRate,DeltaGamma,-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
-PF2,InterestRate,DeltaGamma,-6547516.546540,-4685023.433061,4305598.433061,6168091.546540
-(all),InterestRate,Vega,-176663.630137,-126406.512686,116194.512686,166451.630137
-PF2,InterestRate,Vega,-176663.630137,-126406.512686,116194.512686,166451.630137
+PF2,InterestRate,DeltaGamma,-6547253.865097,-4684845.026740,4305370.026740,6167778.865097
+(all),InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
+PF2,InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
 (all),Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
 PF1,Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
 (all),Inflation,DeltaGamma,-304149.096627,-215013.224331,215263.224331,304399.096627
@@ -31,11 +31,11 @@ PF1,Equity,DeltaGamma,-324115.056396,-229166.854769,229166.854769,324115.056396
 PF2,Equity,DeltaGamma,-324019.443256,-229073.471869,229249.471869,324195.443256
 (all),Equity,Vega,-689.090258,-486.638148,490.638148,693.090258
 PF2,Equity,Vega,-689.090258,-486.638148,490.638148,693.090258
-(all),FX,(all),-35376141.960970,-25010736.063463,25025124.063463,35390529.960970
+(all),FX,(all),-35377760.129718,-25011880.196187,25026268.196187,35392148.129718
 PF1,FX,(all),-35425700.127330,-25047883.817749,25047883.817749,35425700.127330
-PF2,FX,(all),-70255.801245,-47567.193606,61955.193606,84643.801245
-(all),FX,DeltaGamma,-35376327.032976,-25010936.347566,25024850.347566,35390241.032976
+PF2,FX,(all),-69381.369396,-46948.923048,61336.923048,83769.369396
+(all),FX,DeltaGamma,-35377945.204099,-25012080.481969,25025994.481969,35391859.204099
 PF1,FX,DeltaGamma,-35425700.127330,-25047883.817749,25047883.817749,35425700.127330
-PF2,FX,DeltaGamma,-41247.803822,-27126.400504,41040.400504,55161.803822
+PF2,FX,DeltaGamma,-39829.948999,-26123.900547,40037.900547,53743.948999
 (all),FX,Vega,-60382.869692,-42624.522782,43098.522782,60856.869692
 PF2,FX,Vega,-60382.869692,-42624.522782,43098.522782,60856.869692

Examples/Example_15/Input/ore_var.xml

@@ -12,7 +12,7 @@
     <Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
     <Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
     <Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
-    <Parameter name="pricingEnginesFile">Input/pricingengine.xml</Parameter>
+    <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
     <Parameter name="portfolioFile">portfolio.xml</Parameter>
     <Parameter name="observationModel">None</Parameter>
   </Setup>