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Merge remote-tracking branch 'origin/master' into QPR-12148
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‎Docs/UserGuide/parameterisation/stressconfig.tex‎

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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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In case of discount, index, yield and survival probability curves and cap floor surfaces the shifts can be defined as parRateShifts {\tt ParShift}.
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It's default to shifts on the zero rates. If a curve in a asset class (e.g. rates) is defined as par rate shift,
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all curves in this asset class has to be defined as par rate shift.
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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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<ShiftType>Absolute</ShiftType>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
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<ParShift>true</ParShift>
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</DiscountCurve>
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...
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</DiscountCurves>
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<ShiftType>Absolute</ShiftType>
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<ShiftExpiries>6M,1Y,2Y,3Y,5Y,10Y</ShiftExpiries>
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<Shifts>0.001,0.001,0.001,0.001,0.001,0.001</Shifts>
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<ParShift>false</ParShift>
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</CapFloorVolatility>
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</CapFloorVolatilities>
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</StressTest>

‎Docs/UserGuide/userguide.tex‎

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@@ -6134,10 +6134,16 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
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This file {\tt stressconfig.xml} specifies how stress tests can be configured. The general structure is shown in listing
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\ref{lst:stress_config}.
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In this example, two stress scenarios ``parallel\_rates'' and ``twist'' are defined. Each scenario definition contains
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In this example, two zero stress scenarios ``parallel\_rates'' and ``twist'' and one par rate ``par_parallel'' are defined.
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Each scenario definition contains
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the market components to be shifted in this scenario in a similar syntax that is also used for the sensitivity
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configuration, see \ref{sec:sensitivity}. Components that should not be shifted, can just be omitted in the definition
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of the scenario.
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of the scenario. Shifts for rate curves, credit curves and interest rate cap/floors can be given as par or zero rate shifts.
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By default shifts are zero rate shifts. If shifts are marked as par rate shifts all components (rate/credit/caps) shifts are
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par shifts in that category, for example it is not possible to have par rate first for one yield curve and zero rate for
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another curve in the same scenario. In case of par stress scenario, the shifted par instruments and related conventions are defined
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in a sensitivity configuration. The number number stress shifts (tenors/expiries and strikes) need to be allign with
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the tenors/expiries and strikes of par instruments \ref{sec:sensitivity}.
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However, instead of specifying one shift size per market component, here a whole vector of shifts can be given, with
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different shift sizes applied to each point of the curve (or surface / cube).
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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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<StressTest id="twist">
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...
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</StressTest>
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<StressTest id="par_parallel">
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<ParShifts>
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<IRCurves>true</IRCurves>
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<SurvivalProbability>true</SurvivalProbability>
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<CapFloorVolatilities>true</CapFloorVolatilities>
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</ParShifts>
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
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<Shifts>0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01</Shifts>
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</DiscountCurve>
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...
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</DiscountCurves>
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<IndexCurves>
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...
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</IndexCurves>
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<YieldCurves />
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<FxSpots />
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<FxVolatilities />
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<SwaptionVolatilities />
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<CapFloorVolatilities>
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<CapFloorVolatility key="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<ShiftExpiries>1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y</ShiftExpiries>
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<Shifts>
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<Shift tenor="1Y">0.01</Shift>
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<Shift tenor="2Y">0.01</Shift>
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<Shift tenor="3Y">0.01</Shift>
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<Shift tenor="4Y">0.01</Shift>
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<Shift tenor="5Y">0.01</Shift>
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<Shift tenor="6Y">0.01</Shift>
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<Shift tenor="7Y">0.01</Shift>
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<Shift tenor="8Y">0.01</Shift>
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<Shift tenor="9Y">0.01</Shift>
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</Shifts>
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</CapFloorVolatility>
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</CapFloorVolatilities>
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<EquitySpots />
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<EquityVolatilities />
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<SecuritySpreads />
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<RecoveryRates />
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<SurvivalProbabilities>
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<SurvivalProbability name="Underlying1">
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<ShiftType>Absolute</ShiftType>
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<Shifts>0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1Y, 2Y, 3Y, 5Y, 10Y</ShiftTenors>
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</SurvivalProbability>
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</SurvivalProbabilities>
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</StressTest>
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</StressTesting>
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\end{minted}
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\caption{Stress configuration}

‎Examples/Example_64/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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CDS,CreditDefaultSwap,2026-12-21,2.795000,-69177.875463,USD,-64058.630043,EUR,1000000.00,USD,925998.81,NS,CP
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Cap,Swap,2026-03-02,1.989520,4988926.691472,EUR,4988926.691472,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
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EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
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XccySwap,Swap,2026-01-06,1.838835,278592.728400,USD,257976.533708,EUR,102120250.00,USD,94563229.51,,A

‎Examples/Example_64/ExpectedOutput/stresstest.csv‎

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#TradeId,ScenarioLabel,Base NPV,Scenario NPV,Sensitivity
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CDS,cds_spread_par,-64058.63,-40203.77,23854.86
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CDS,cds_spread_zero,-64058.63,-49830.73,14227.90
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CDS,eur_ester_par,-64058.63,-63725.85,332.78
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CDS,eur_ester_par_and_FX,-64058.63,-64363.10,-304.47
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CDS,eur_ester_zero,-64058.63,-64055.12,3.51
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CDS,xccy_basis_per,-64058.63,-64996.71,-938.08
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CDS,xccy_basis_zero,-64058.63,-63292.51,766.12
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Cap,eur6m_no_caplet,4988926.69,5688615.63,699688.94
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Cap,eur6m_par,4988926.69,5702737.92,713811.23
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Cap,eur6m_zero,4988926.69,5551185.80,562259.11
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Cap,eur_capfloor_par,4988926.69,4413744.60,-575182.09
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Cap,eur_capfloor_zero,4988926.69,4411082.64,-577844.06
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Cap,eur_ester_par,4988926.69,4925225.31,-63701.38
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Cap,eur_ester_par_and_FX,4988926.69,4925225.31,-63701.38
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Cap,eur_ester_zero,4988926.69,4938763.65,-50163.04
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EUR6MSwap,eur6m_no_caplet,5924803.71,8061685.03,2136881.32
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EUR6MSwap,eur6m_par,5924803.71,8061685.03,2136881.32
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EUR6MSwap,eur6m_zero,5924803.71,7615306.91,1690503.20
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EUR6MSwap,eur_ester_par,5924803.71,5847119.02,-77684.69
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EUR6MSwap,eur_ester_par_and_FX,5924803.71,5847119.02,-77684.69
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EUR6MSwap,eur_ester_zero,5924803.71,5867078.77,-57724.94
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XccySwap,eur_ester_par,257976.53,1169385.55,911409.01
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XccySwap,eur_ester_par_and_FX,257976.53,215657.96,-42318.58
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XccySwap,eur_ester_zero,257976.53,13911.60,-244064.94
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XccySwap,xccy_basis_per,257976.53,-1013541.78,-1271518.32
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XccySwap,xccy_basis_zero,257976.53,1943677.74,1685701.20

‎Examples/Example_64/Input/conventions.xml‎

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<Conventions>
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<CDS>
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<Id>CDS-STANDARD-CONVENTIONS</Id>
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<SettlementDays>0</SettlementDays>
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<Calendar>WeekendsOnly</Calendar>
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<Frequency>Quarterly</Frequency>
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<PaymentConvention>Following</PaymentConvention>
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<Rule>CDS2015</Rule>
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<DayCounter>A360</DayCounter>
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<SettlesAccrual>true</SettlesAccrual>
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<PaysAtDefaultTime>true</PaysAtDefaultTime>
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</CDS>
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<Deposit>
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<Id>EUR-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>EUR-EURIBOR</Index>
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</Deposit>
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<Deposit>
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<Id>EUR-ON-DEPOSIT-ESTER</Id>
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<IndexBased>true</IndexBased>
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<Index>EUR-ESTER</Index>
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</Deposit>
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<Deposit>
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<Id>USD-ON-SOFR-DEPOSIT</Id>
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<IndexBased>true</IndexBased>
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<Index>USD-SOFR</Index>
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</Deposit>
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<Future>
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<Id>USD-SOFR-3M-FUTURES</Id>
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<Index>USD-SOFR</Index>
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</Future>
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<Future>
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<Id>EURIBOR-3M-FUTURES</Id>
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<Index>EUR-EURIBOR-3M</Index>
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</Future>
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<FRA>
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<Id>EUR-6M-FRA</Id>
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<Index>EUR-EURIBOR-6M</Index>
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</FRA>
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<OIS>
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<Id>EUR-ESTER-OIS</Id>
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<SpotLag>1</SpotLag>
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<Index>EUR-ESTER</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>1</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Rule>Backward</Rule>
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</OIS>
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<OIS>
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<Id>USD-SOFR-OIS</Id>
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<SpotLag>0</SpotLag>
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<Index>USD-SOFR</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>2</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Rule>Backward</Rule>
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</OIS>
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<CrossCurrencyBasis>
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<Id>EUR-USD-ON-XCCY-BASIS</Id>
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<SettlementDays>2</SettlementDays>
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<SettlementCalendar>TARGET,US</SettlementCalendar>
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<RollConvention>MF</RollConvention>
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<FlatIndex>USD-SOFR</FlatIndex>
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<FlatTenor>3M</FlatTenor>
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<SpreadIndex>EUR-ESTER</SpreadIndex>
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<SpreadTenor>3M</SpreadTenor>
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<IsResettable>true</IsResettable>
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<FlatIndexIsResettable>true</FlatIndexIsResettable>
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</CrossCurrencyBasis>
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<FX>
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<Id>EUR-USD-FX</Id>
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<SpotDays>2</SpotDays>
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<SourceCurrency>EUR</SourceCurrency>
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<TargetCurrency>USD</TargetCurrency>
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<PointsFactor>10000</PointsFactor>
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<AdvanceCalendar>TARGET,US</AdvanceCalendar>
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<SpotRelative>true</SpotRelative>
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</FX>
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<Swap>
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<Id>EUR-EURIBOR-3M-SWAP</Id>
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<FixedCalendar>TARGET</FixedCalendar>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>EUR-EURIBOR-3M</Index>
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</Swap>
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<Swap>
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<Id>EUR-EURIBOR-6M-SWAP</Id>
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<FixedCalendar>TARGET</FixedCalendar>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedDayCounter>30/360</FixedDayCounter>
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<Index>EUR-EURIBOR-6M</Index>
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</Swap>
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<TenorBasisTwoSwap>
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<Id>EURIBOR-3M-6M-BASIS</Id>
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<Calendar>TARGET</Calendar>
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<LongFixedFrequency>Annual</LongFixedFrequency>
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<LongFixedConvention>MF</LongFixedConvention>
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<LongFixedDayCounter>30/360</LongFixedDayCounter>
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<LongIndex>EUR-EURIBOR-6M</LongIndex>
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<ShortFixedFrequency>Annual</ShortFixedFrequency>
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<ShortFixedConvention>MF</ShortFixedConvention>
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<ShortFixedDayCounter>30/360</ShortFixedDayCounter>
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<ShortIndex>EUR-EURIBOR-3M</ShortIndex>
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<LongMinusShort>true</LongMinusShort>
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</TenorBasisTwoSwap>
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</Conventions>

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