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QPR-11990 generate scenario in ore
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‎Examples/Example_55/ExpectedOutput/scenario.csv‎

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#Date,Scenario,Numeraire,DiscountCurve/EUR/0,DiscountCurve/EUR/1,DiscountCurve/EUR/2,DiscountCurve/EUR/3,DiscountCurve/EUR/4,DiscountCurve/EUR/5,DiscountCurve/EUR/6,DiscountCurve/EUR/7,DiscountCurve/EUR/8,DiscountCurve/EUR/9,DiscountCurve/EUR/10,DiscountCurve/EUR/11,DiscountCurve/USD/0,DiscountCurve/USD/1,DiscountCurve/USD/2,DiscountCurve/USD/3,DiscountCurve/USD/4,DiscountCurve/USD/5,DiscountCurve/USD/6,DiscountCurve/USD/7,DiscountCurve/USD/8,DiscountCurve/USD/9,DiscountCurve/USD/10,DiscountCurve/USD/11,IndexCurve/EUR-EONIA/0,IndexCurve/EUR-EONIA/1,IndexCurve/EUR-EONIA/2,IndexCurve/EUR-EONIA/3,IndexCurve/EUR-EONIA/4,IndexCurve/EUR-EONIA/5,IndexCurve/EUR-EONIA/6,IndexCurve/EUR-EONIA/7,IndexCurve/EUR-EONIA/8,IndexCurve/EUR-EONIA/9,IndexCurve/EUR-EONIA/10,IndexCurve/EUR-EONIA/11,IndexCurve/EUR-EURIBOR-3M/0,IndexCurve/EUR-EURIBOR-3M/1,IndexCurve/EUR-EURIBOR-3M/2,IndexCurve/EUR-EURIBOR-3M/3,IndexCurve/EUR-EURIBOR-3M/4,IndexCurve/EUR-EURIBOR-3M/5,IndexCurve/EUR-EURIBOR-3M/6,IndexCurve/EUR-EURIBOR-3M/7,IndexCurve/EUR-EURIBOR-3M/8,IndexCurve/EUR-EURIBOR-3M/9,IndexCurve/EUR-EURIBOR-3M/10,IndexCurve/EUR-EURIBOR-3M/11,IndexCurve/USD-FedFunds/0,IndexCurve/USD-FedFunds/1,IndexCurve/USD-FedFunds/2,IndexCurve/USD-FedFunds/3,IndexCurve/USD-FedFunds/4,IndexCurve/USD-FedFunds/5,IndexCurve/USD-FedFunds/6,IndexCurve/USD-FedFunds/7,IndexCurve/USD-FedFunds/8,IndexCurve/USD-FedFunds/9,IndexCurve/USD-FedFunds/10,IndexCurve/USD-FedFunds/11
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2016-02-05,1,1.00000000,0.99922271,0.99839123,0.99502396,0.98998808,0.98006773,0.96058946,0.94150059,0.90439805,0.81798217,0.73982380,0.66913343,0.54733975,0.96323035,0.92533328,0.78597395,0.62324611,0.42279399,0.80495132,0.77890061,0.71785604,0.59886312,0.50998082,0.43073596,0.30080571,0.99922271,0.99839123,0.99502396,0.98998808,0.98006773,0.96058946,0.94150059,0.90439805,0.81798217,0.73982380,0.66913343,0.54733975,0.99922281,0.99839130,0.99502399,0.99545439,0.99628459,1.00345900,1.00431973,0.99920773,0.94178829,0.86397679,0.80298042,0.71169139,0.99982649,0.99964082,0.99879515,0.99737205,0.99434185,0.98710681,0.97871928,0.95417112,0.87291300,0.78061520,0.69840036,0.56555320

‎Examples/Example_55/Input/ore.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</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="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="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="baseCurrency">EUR</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="scenario">
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<Parameter name="active">Y</Parameter>
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="scenarioOutputFile">scenario.csv</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_55/Input/pricingengine.xml‎

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<?xml version="1.0"?>
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<PricingEngines>
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<Product type="ScriptedTrade">
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<Model>Generic</Model>
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<ModelParameters>
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<Parameter name="Model">GaussianCam</Parameter>
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<Parameter name="BaseCcy">USD</Parameter>
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<Parameter name="EnforceBaseCcy">false</Parameter>
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<Parameter name="GridCoarsening">3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y)</Parameter>
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<Parameter name="IrReversion_EUR">0.01</Parameter>
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<Parameter name="IrReversion_GBP">0.01</Parameter>
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<Parameter name="FullDynamicFx">true</Parameter>
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<Parameter name="FullDynamicIr">true</Parameter>
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<!-- DK or JY -->
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<Parameter name="InfModelType">JY</Parameter>
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</ModelParameters>
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<Engine>Generic</Engine>
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<EngineParameters>
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<Parameter name="Engine">MC</Parameter>
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<Parameter name="Samples">10000</Parameter>
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<Parameter name="RegressionOrder">4</Parameter>
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<Parameter name="TimeStepsPerYear">24</Parameter>
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<Parameter name="Interactive">false</Parameter>
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<Parameter name="BootstrapTolerance">1.0</Parameter>
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<Parameter name="ZeroVolatility">false</Parameter>
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<Parameter name="Interactive">false</Parameter>
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</EngineParameters>
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</Product>
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<GlobalParameters>
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<Parameter name="ContinueOnCalibrationError">true</Parameter>
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</GlobalParameters>
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</PricingEngines>

‎Examples/Example_55/Input/simulation.xml‎

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<Simulation>
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<Market>
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<BaseCurrency>EUR</BaseCurrency>
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<Currencies>
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<Currency>USD</Currency>
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<Currency>EUR</Currency>
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</Currencies>
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<YieldCurves>
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<Configuration curve="">
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<Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors>
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<Interpolation>LogLinear</Interpolation>
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<Extrapolation>FlatZero</Extrapolation>
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</Configuration>
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</YieldCurves>
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<Indices>
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<Index>USD-FedFunds</Index>
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<Index>USD-Libor-3M</Index>
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<Index>EUR-EONIA</Index>
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<Index>EUR-EURIBOR-3M</Index>
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</Indices>
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<BenchmarkCurves/>
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<FxRates>
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<CurrencyPairs/>
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</FxRates>
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</Market>
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</Simulation>

‎Examples/Example_55/Input/todaysmarket.xml‎

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<TodaysMarket>
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<Configuration id="default">
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<YieldCurvesId>default</YieldCurvesId>
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<DiscountingCurvesId>default</DiscountingCurvesId>
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<IndexForwardingCurvesId>default</IndexForwardingCurvesId>
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<SwapIndexCurvesId>default</SwapIndexCurvesId>
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<ZeroInflationIndexCurvesId>default</ZeroInflationIndexCurvesId>
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<YYInflationIndexCurvesId>default</YYInflationIndexCurvesId>
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<FxSpotsId>default</FxSpotsId>
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<FxVolatilitiesId>default</FxVolatilitiesId>
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<SwaptionVolatilitiesId>default</SwaptionVolatilitiesId>
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<YieldVolatilitiesId>default</YieldVolatilitiesId>
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<CapFloorVolatilitiesId>default</CapFloorVolatilitiesId>
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<CDSVolatilitiesId>default</CDSVolatilitiesId>
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<DefaultCurvesId>default</DefaultCurvesId>
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<YYInflationCapFloorVolatilitiesId>default</YYInflationCapFloorVolatilitiesId>
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<ZeroInflationCapFloorVolatilitiesId>default</ZeroInflationCapFloorVolatilitiesId>
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<EquityCurvesId>default</EquityCurvesId>
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<EquityVolatilitiesId>default</EquityVolatilitiesId>
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<SecuritiesId>default</SecuritiesId>
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<BaseCorrelationsId>default</BaseCorrelationsId>
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<CommodityCurvesId>default</CommodityCurvesId>
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<CommodityVolatilitiesId>default</CommodityVolatilitiesId>
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<CorrelationsId>default</CorrelationsId>
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</Configuration>
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<DiscountingCurves id="default">
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<DiscountingCurve currency="USD">Yield/EUR/EUR-EONIA</DiscountingCurve>
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<DiscountingCurve currency="AUD">Yield/AUD/AUD-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="TRY">Yield/TRY/TRY-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="AMD">Yield/AMD/AMD-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="EUR">Yield/EUR/EUR-IN-USD</DiscountingCurve>
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</DiscountingCurves>
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<IndexForwardingCurves id="default">
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<Index name="USD-FedFunds">Yield/USD/USD-FedFunds</Index>
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<Index name="EUR-EONIA">Yield/EUR/EUR-EONIA</Index>
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<Index name="EUR-ESTER">Yield/EUR/EUR-ESTER</Index>
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<Index name="EUR-EURIBOR-3M">Yield/EUR/EUR-EURIBOR-3M</Index>
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<Index name="USD-SOFR">Yield/USD/USD-SOFR</Index>
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<Index name="USD-LIBOR-3M">Yield/USD/USD-LIBOR-3M</Index>
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</IndexForwardingCurves>
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<FxSpots id="default">
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<FxSpot pair="EURUSD">FX/EUR/USD</FxSpot>
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</FxSpots>
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</TodaysMarket>

‎Examples/Example_55/Readme.txt‎

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Example using experimental xva cg engine.

‎Examples/Example_55/comparison_config.json‎

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{
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"csv_settings": {
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"files": {
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"scenario.csv": {
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"keys": [
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"Date",
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"Scenario"
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]
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}
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}
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}
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}

‎Examples/Example_55/run.py‎

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#!/usr/bin/env python
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import glob
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import os
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import sys
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sys.path.append('../')
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from ore_examples_helper import OreExample
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oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
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oreex.print_headline("Run ORE to produce AMC CG exposure")
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oreex.run("Input/ore.xml")

‎OREAnalytics/orea/CMakeLists.txt‎

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app/analytic.cpp
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app/analytics/parconversionanalytic.cpp
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app/analytics/pricinganalytic.cpp
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app/analytics/scenarioanalytic.cpp
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app/analytics/scenariostatisticsanalytic.cpp
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app/analytics/simmanalytic.cpp
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app/analytics/varanalytic.cpp
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app/analytic.hpp
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app/analytics/parconversionanalytic.hpp
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app/analytics/pricinganalytic.hpp
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app/analytics/scenarioanalytic.hpp
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app/analytics/scenariostatisticsanalytic.hpp
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app/analytics/simmanalytic.hpp
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app/analytics/varanalytic.hpp

‎OREAnalytics/orea/app/analytic.hpp‎

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virtual std::set<QuantLib::Date> marketDates() const { return {inputs_->asof()}; }
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private:
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protected:
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std::unique_ptr<Impl> impl_;
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protected:
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//! list of analytic types run by this analytic
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std::set<std::string> types_;
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//! contains all the input parameters for the run

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