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pcaspersjenkins
pcaspers
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QPR-12277 QPR-12241 move collateral balances to ore, subtract IA from exposure, use t0 VM
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‎Examples/Example_1/ExpectedOutput/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
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CPTY_A,2016-02-05,0.000000,597.96,0.00,597.96,-597.96,597.96,597.96
2+
CPTY_A,2016-02-05,0.000000,597.96,0.00,597.96,597.96,597.96,597.96
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CPTY_A,2016-05-06,0.248634,127002.98,148662.15,560569.13,0.00,127643.44,127643.44
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CPTY_A,2016-08-05,0.497268,205715.45,254771.75,791661.75,0.00,207795.46,207795.46
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CPTY_A,2016-11-07,0.754098,287607.07,232717.91,1302106.25,0.00,291989.83,291989.83

‎Examples/Example_10/ExpectedOutput/collateral_mpor/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
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CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,-1201477.63,1201477.63,1201477.63
2+
CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-19,0.038251,475813.60,546273.05,1688515.02,1201370.26,475791.66,1201477.63
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CPTY_A,2016-03-04,0.076503,475068.76,378877.72,2176751.55,1130773.61,475009.37,1201477.63
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CPTY_A,2016-03-18,0.114754,708910.16,409660.47,2122672.25,1226788.43,708756.48,1201477.63

‎Examples/Example_10/ExpectedOutput/collateral_mta/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
2-
CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,-1201477.63,1201477.63,1201477.63
2+
CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-19,0.038251,475813.60,546273.05,1688515.02,1201370.26,475791.66,1201477.63
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CPTY_A,2016-03-04,0.076503,476116.71,378813.98,2176928.89,1129661.91,476057.19,1201477.63
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CPTY_A,2016-03-18,0.114754,708621.22,409604.94,2122663.77,1227021.85,708467.60,1201477.63

‎Examples/Example_10/ExpectedOutput/collateral_none/exposure_nettingset_CPTY_A.csv‎

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‎Examples/Example_10/ExpectedOutput/collateral_none/exposure_trade_Swap_1.csv‎

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‎Examples/Example_10/ExpectedOutput/collateral_none/exposure_trade_Swap_2.csv‎

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‎Examples/Example_10/ExpectedOutput/collateral_none/exposure_trade_Swap_3.csv‎

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‎Examples/Example_10/ExpectedOutput/collateral_none/xva.csv‎

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#TradeId,NettingSetId,CVA,DVA,FBA,FCA,FBAexOwnSP,FCAexOwnSP,FBAexAllSP,FCAexAllSP,COLVA,MVA,OurKVACCR,TheirKVACCR,OurKVACVA,TheirKVACVA,CollateralFloor,AllocatedCVA,AllocatedDVA,AllocationMethod,BaselEPE,BaselEEPE
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,CPTY_A,134199.94,208840.67,98861.15,-20872.75,106412.24,-22372.25,111242.71,-23332.46,0.00,0.00,0.00,0.00,0.00,0.00,0.00,134199.94,208840.67,Marginal,2279207.93,2289351.02
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Swap_1,CPTY_A,99408.47,178873.13,85059.51,-15286.73,90811.30,-16573.11,94486.30,-17401.98,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,65957.49,123886.96,Marginal,861474.30,866777.59
4-
Swap_2,CPTY_A,60560.36,100057.33,47178.31,-9485.70,51136.57,-10095.63,53678.86,-10484.38,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,25659.37,42889.31,Marginal,1457674.53,1490108.54
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Swap_3,CPTY_A,70230.14,87542.98,41583.36,-11090.59,44491.38,-11707.07,46333.05,-12095.27,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,42583.08,42064.40,Marginal,1817754.76,1848555.61
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,CPTY_A,13537.27,22499.56,10740.55,-2126.73,11386.06,-2256.69,11797.77,-2339.62,0.00,0.00,0.00,0.00,0.00,0.00,-352052.44,13537.27,22499.56,Marginal,460183.32,1201477.63
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Swap_1,CPTY_A,99408.47,178873.13,85059.51,-15286.73,90811.30,-16573.11,94486.30,-17401.98,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,93662.98,-9303.85,Marginal,861474.30,866777.59
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Swap_2,CPTY_A,60560.36,100057.33,47178.31,-9485.70,51136.57,-10095.63,53678.86,-10484.38,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,-24861.38,-7155.56,Marginal,1457674.53,1490108.54
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Swap_3,CPTY_A,70230.14,87542.98,41583.36,-11090.59,44491.38,-11707.07,46333.05,-12095.27,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,-55264.33,38958.98,Marginal,1817754.76,1848555.61

‎Examples/Example_10/ExpectedOutput/collateral_threshold/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
2-
CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,-1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-19,0.038251,1086304.76,156845.84,2688492.45,201451.89,1086254.67,1201477.63
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CPTY_A,2016-03-04,0.076503,856327.09,205624.80,2935201.53,576262.36,856220.04,1201477.63
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CPTY_A,2016-03-18,0.114754,1129562.92,324432.07,3122746.29,720907.28,1129318.06,1201477.63

‎Examples/Example_10/ExpectedOutput/collateral_threshold_break/exposure_nettingset_CPTY_A.csv‎

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#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
2-
CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,-1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-05,0.000000,1201477.63,0.00,1201477.63,1201477.63,1201477.63,1201477.63
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CPTY_A,2016-02-19,0.038251,1086304.76,156845.84,2688492.45,201451.89,1086254.67,1201477.63
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CPTY_A,2016-03-04,0.076503,856327.09,205624.80,2935201.53,576262.36,856220.04,1201477.63
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CPTY_A,2016-03-18,0.114754,1129562.92,324432.07,3122746.29,720907.28,1129318.06,1201477.63

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