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QPR-12536 userguide
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Docs/UserGuide/userguide.tex

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@@ -3760,8 +3760,8 @@ \subsection{XVA Stress Testing}% Example 67
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The example in folder {\\tt Examples/Example\_67} demonstrates the XVA stresstesting with the classical and AMC XVA engine.
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The new analytic type \\emph{XVA_STRESS} leverages the existing stresstest framework and supports stresstests in zero and par domain.
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The Stresstest scenarios are given in the same format as for the regular stresstest.
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The new analytic type \\emph{XVA_STRESS} utilizes the existing stresstest framework and supports stresstests in both zero and par domain.
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The Stresstest scenarios are given in the same input format as for the regular stresstest.
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To analyse the impact of market rate shifts (Swap rates, CDS spreads, flat vols), one had to
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manipulate the market data input into ORE and re-run the entire ORE process multiple times.
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The example in folder {\\tt Examples/Example\_68} demonstrates the XVA sensitivity analysis with the AMC XVA engine.
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The new analytic type \\emph{XVA_SENSITIVITY} applies zero shifts as defined in the sensitivity.xml in the usual input format to the market data and
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computes the xva and exposure measures under each market rate shift.
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The new analytic type \\emph{XVA_SENSITIVITY} applies zero shifts as specified in the sensitivity.xml and
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computes the xva and exposure measures under each shifted market condition.
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The aggregation of the results to sensitivites need to handled outside of ORE for now.
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Those external computed sensitivites could be converted to par-sensi with the
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The aggregation of the results to sensitivites need to handled outside of ORE.
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These external computed sensitivites can be converted to par sensitivities with the
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zero-to-par conversion analytic (see \ref{example:50}).
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@@ -3788,7 +3788,7 @@ \subsection{Zero Rate Shifts To Par Shifts}% Example 69
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The example in folder {\\tt Examples/Example\_69} demonstrates the conversion of zero shifts to par rate shifts.
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ORE applies the zero rate shifts to the zero curves and computes the resulting shifts in the implied fair rate of a given set of par instruments.
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The zero rate shifts are given as stresstest and the par instruments are defined in the usual sensitivity configuration.
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The zero rate shifts are defined as stresstests and the par instruments are defined in the usual sensitivity configuration.
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\clearpage
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%========================================================

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