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| 1 | +<?xml version="1.0"?> |
| 2 | +<ORE> |
| 3 | + <Setup> |
| 4 | + <Parameter name="asofDate">2016-02-05</Parameter> |
| 5 | + <Parameter name="inputPath">Input</Parameter> |
| 6 | + <Parameter name="outputPath">Output</Parameter> |
| 7 | + <Parameter name="logFile">log.txt</Parameter> |
| 8 | + <Parameter name="logMask">31</Parameter> |
| 9 | + <Parameter name="marketDataFile">market.txt</Parameter> |
| 10 | + <Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter> |
| 11 | + <Parameter name="implyTodaysFixings">N</Parameter> |
| 12 | + <Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter> |
| 13 | + <Parameter name="conventionsFile">../../Input/conventions.xml</Parameter> |
| 14 | + <Parameter name="marketConfigFile">todaysmarket.xml</Parameter> |
| 15 | + <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter> |
| 16 | + <Parameter name="portfolioFile">portfolio.xml</Parameter> |
| 17 | + <Parameter name="observationModel">None</Parameter> |
| 18 | + <Parameter name="scriptLibrary">scriptlibrary.xml</Parameter> |
| 19 | + <Parameter name="nThreads">1</Parameter> |
| 20 | + </Setup> |
| 21 | + <Markets> |
| 22 | + <Parameter name="lgmcalibration">collateral_inccy</Parameter> |
| 23 | + <Parameter name="fxcalibration">xois_eur</Parameter> |
| 24 | + <Parameter name="pricing">xois_eur</Parameter> |
| 25 | + <Parameter name="simulation">xois_eur</Parameter> |
| 26 | + <Parameter name="sensitivity">xois_eur</Parameter> |
| 27 | + </Markets> |
| 28 | + <Analytics> |
| 29 | + <Analytic type="npv"> |
| 30 | + <Parameter name="active">Y</Parameter> |
| 31 | + <Parameter name="baseCurrency">EUR</Parameter> |
| 32 | + <Parameter name="outputFileName">npv.csv</Parameter> |
| 33 | + </Analytic> |
| 34 | + <Analytic type="cashflow"> |
| 35 | + <Parameter name="active">Y</Parameter> |
| 36 | + <Parameter name="outputFileName">flows.csv</Parameter> |
| 37 | + </Analytic> |
| 38 | + <Analytic type="curves"> |
| 39 | + <Parameter name="active">N</Parameter> |
| 40 | + <Parameter name="configuration">default</Parameter> |
| 41 | + <Parameter name="grid">240,1M</Parameter> |
| 42 | + <Parameter name="outputFileName">curves.csv</Parameter> |
| 43 | + </Analytic> |
| 44 | + <Analytic type="simulation"> |
| 45 | + <Parameter name="active">Y</Parameter> |
| 46 | + <Parameter name="amc">Y</Parameter> |
| 47 | + <Parameter name="amcCg">Y</Parameter> |
| 48 | + <Parameter name="xvaCgBumpSensis">Y</Parameter> |
| 49 | + <Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter> |
| 50 | + <Parameter name="xvaCgUseExternalComputeDevice">Y</Parameter> |
| 51 | + <Parameter name="xvaCgExternalDeviceCompatibilityMode">Y</Parameter> |
| 52 | + <Parameter name="xvaCgUseDoublePrecisionForExternalCalculation">N</Parameter> |
| 53 | + <Parameter name="xvaCgExternalComputeDevice">BasicCpu/Default/Default</Parameter> |
| 54 | + <!-- <Parameter name="xvaCgExternalComputeDevice">OpenCL/Apple/Apple M2 Max</Parameter> --> |
| 55 | + <Parameter name="amcTradeTypes">Swap</Parameter> |
| 56 | + <Parameter name="simulationConfigFile">simulation_gpu.xml</Parameter> |
| 57 | + <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter> |
| 58 | + <Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter> |
| 59 | + <Parameter name="baseCurrency">EUR</Parameter> |
| 60 | + <Parameter name="storeScenarios">N</Parameter> |
| 61 | + <Parameter name="cubeFile">cube.csv.gz</Parameter> |
| 62 | + <Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter> |
| 63 | + <Parameter name="aggregationScenarioDataDump">scenariodata.csv</Parameter> |
| 64 | + </Analytic> |
| 65 | + </Analytics> |
| 66 | +</ORE> |
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