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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "971fecf6c0" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "432c4ff0cb" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
2 parents a9f1e4e + 432c4ff commit 9bb1303

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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.
@@ -6012,6 +6013,53 @@ \subsection{Sensitivity Analysis: {\tt sensitivity.xml}}\label{sec:sensitivity}
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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

‎Examples/Example_15/ExpectedOutput/scenario.csv‎

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‎Examples/Example_15/ExpectedOutput/sensitivity.csv‎

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‎Examples/Example_15/ExpectedOutput/var.csv‎

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#Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000
2-
(all),(all),(all),-51290159.407976,-36327329.388175,35901204.388175,50864034.407976
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(all),(all),(all),-51235590.702637,-36273022.490219,35954247.490219,50916815.702637
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PF1,(all),(all),-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
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PF2,(all),(all),-6557646.195612,-4692094.096579,4313294.096579,6178846.195612
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(all),(all),DeltaGamma,-51283164.981876,-36320419.015922,35907709.015922,50870454.981876
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PF2,(all),(all),-6496762.740931,-4633322.329692,4361872.329692,6225312.740931
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(all),(all),DeltaGamma,-51228597.857258,-36266113.235621,35960753.235621,50923237.857258
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PF1,(all),DeltaGamma,-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
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PF2,(all),DeltaGamma,-6548636.969272,-4683759.151709,4318374.151709,6183251.969272
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(all),(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
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PF2,(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
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(all),InterestRate,(all),-37045418.328177,-26256746.253322,25822303.253322,36610975.328177
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PF2,(all),DeltaGamma,-6487763.642587,-4624994.545862,4366959.545862,6229728.642587
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(all),(all),Vega,-177437.215274,-127422.632151,114007.632151,164022.215274
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PF2,(all),Vega,-177437.215274,-127422.632151,114007.632151,164022.215274
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(all),InterestRate,(all),-36990503.836512,-26202194.865752,25875101.865752,36663410.836512
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PF1,InterestRate,(all),-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
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PF2,InterestRate,(all),-6556216.192571,-4693216.825666,4299848.825666,6162848.192571
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(all),InterestRate,DeltaGamma,-37038123.786470,-26249553.669032,25829003.669032,36617573.786470
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PF2,InterestRate,(all),-6495322.849454,-4634438.067121,4348420.067121,6209304.849454
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(all),InterestRate,DeltaGamma,-36983211.482402,-26195003.828212,25881803.828212,36670011.482402
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PF1,InterestRate,DeltaGamma,-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
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PF2,InterestRate,DeltaGamma,-6547253.865097,-4684845.026740,4305370.026740,6167778.865097
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(all),InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
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PF2,InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
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PF2,InterestRate,DeltaGamma,-6486370.984829,-4626073.665994,4353948.665994,6214245.984829
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(all),InterestRate,Vega,-166550.351677,-119795.045528,105902.045528,152657.351677
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PF2,InterestRate,Vega,-166550.351677,-119795.045528,105902.045528,152657.351677
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(all),Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
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PF1,Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
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(all),Inflation,DeltaGamma,-304149.096627,-215013.224331,215263.224331,304399.096627

‎Examples/Example_15/Input/ore.xml‎

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<Analytic type="simulation">
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<Parameter name="active">N</Parameter>
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<Parameter name="simulationConfigFile">mcsimulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.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="active">Y</Parameter>
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<Parameter name="marketConfigFile">simulation.xml</Parameter>
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<Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="scenarioOutputFile">scenario.csv</Parameter>
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<Parameter name="sensitivityOutputFile">sensitivity.csv</Parameter>
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<Parameter name="outputSensitivityThreshold">0.000001</Parameter>
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<Parameter name="active">Y</Parameter>
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<Parameter name="marketConfigFile">simulation.xml</Parameter>
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<Parameter name="stressConfigFile">stresstest.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="scenarioOutputFile">stresstest.csv</Parameter>
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<Parameter name="outputThreshold">0.000001</Parameter>
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</Analytic>

‎Examples/Example_15/Input/sensitivity.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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<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>
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<DiscountCurve ccy="USD">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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>
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<DiscountCurve ccy="GBP">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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>
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<DiscountCurve ccy="CHF">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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>
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<DiscountCurve ccy="JPY">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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>
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</DiscountCurves>
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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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<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>
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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-EONIA">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="USD-LIBOR-3M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="USD-LIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="GBP-LIBOR-3M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="GBP-LIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="CHF-LIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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="JPY-LIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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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</IndexCurves>
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<YieldCurve name="BENCHMARK_EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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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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</YieldCurve>
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</YieldCurves>
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<SwaptionVolatility ccy="EUR">
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<ShiftType>Relative</ShiftType>
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<ShiftSize>0.01</ShiftSize>
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<ShiftSize key="IR_FD">0.01</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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<ShiftScheme key="IR_FD">Central</ShiftScheme>
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<ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
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<ShiftStrikes/>
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<ShiftTerms>1Y,5Y,10Y</ShiftTerms>

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