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Resolve QPR-12156 enable spreaded curves for stress testing (plus other fixes, see ticket, for BNY project)
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‎Docs/UserGuide/userguide.tex‎

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@@ -6135,10 +6135,15 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
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and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
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UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
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improve the alignment of the scenario sim market and t0 curves.
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\begin{longlisting}
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%\hrule\medskip
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\begin{minted}[fontsize=\scriptsize]{xml}
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<StressTesting>
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<UseSpreadedTermStructures>false</UseSpreadedTermStructures>
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<StressTest id="parallel_rates">
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<DiscountCurves>
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<DiscountCurve ccy="EUR">

‎Examples/Example_10/ExpectedOutput/log_structured.json‎

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‎Examples/Example_10/Input/ore.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_mpor.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_mta.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_threshold.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_threshold_break.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_10/Input/ore_threshold_dim.xml‎

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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">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_eur</Parameter>
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<Parameter name="simulation">collateral_eur</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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</Markets>
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<Analytics>
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<Analytic type="npv">

‎Examples/Example_14/ExpectedOutput/log_structured.json‎

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‎Examples/Example_15/ExpectedOutput/log_structured.json‎

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