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author
jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "b3703f1c00" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "381c93b332" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents baec4e3 + 381c93b commit cbb0c44

5 files changed

Lines changed: 19 additions & 13 deletions

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‎Examples/Example_63/ExpectedOutput/stresstest.csv‎

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@@ -6,19 +6,19 @@ 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_no_caplet,4988926.69,5710609.13,721682.44
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Cap,eur6m_par,4988926.69,5721598.62,732671.93
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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_par,4988926.69,4923338.02,-65588.67
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Cap,eur_ester_par_and_FX,4988926.69,4923338.02,-65588.67
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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_no_caplet,5924803.71,8055907.11,2131103.40
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EUR6MSwap,eur6m_par,5924803.71,8055907.11,2131103.40
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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_par,5924803.71,5847515.87,-77287.84
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EUR6MSwap,eur_ester_par_and_FX,5924803.71,5847515.87,-77287.84
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EUR6MSwap,eur_ester_zero,5924803.71,5867078.77,-57724.94
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XccySwap,eur_ester_par,268875.79,1184689.32,915813.53
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XccySwap,eur_ester_par_and_FX,268875.79,230961.73,-37914.06

‎Examples/Example_63/Input/sensitivity.xml‎

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@@ -50,9 +50,9 @@
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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<ShiftTenors>1D, 1M, 2M, 3M, 4M, 5M, 6M, 9M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y, 40Y, 50Y, 60Y</ShiftTenors>
53+
<ShiftTenors>6M, 7M, 8M,9M,10M,11M,1Y,15M,18M, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y, 40Y, 50Y, 60Y</ShiftTenors>
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<ParConversion>
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<Instruments>DEP, DEP, DEP, DEP, DEP, DEP, DEP, DEP, DEP, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS</Instruments>
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<Instruments>DEP, FRA, FRA,FRA,FRA,FRA,FRA,FRA,FRA, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS, IRS</Instruments>
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<SingleCurve>false</SingleCurve>
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<DiscountCurve>EUR-ESTER</DiscountCurve>
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<Conventions>

‎Examples/Example_63/Input/stresstest.xml‎

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@@ -286,7 +286,7 @@
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<IndexCurve index="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<Shifts>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1D, 1M,2M,3M,4M,5M,6M,9M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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<ShiftTenors>6M, 7M,8M,9M,10M,11M,12M,15M,18M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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</IndexCurve>
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<IndexCurve index="USD-SOFR">
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<IndexCurve index="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<Shifts>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1D, 1M,2M,3M,4M,5M,6M,9M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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<ShiftTenors>6M, 7M,8M,9M,10M,11M,12M,15M,18M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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</IndexCurve>
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<IndexCurve index="USD-SOFR">
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<IndexCurve index="EUR-EURIBOR-6M">
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<ShiftType>Absolute</ShiftType>
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<Shifts>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</Shifts>
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<ShiftTenors>1D, 1M,2M,3M,4M,5M,6M,9M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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<ShiftTenors>6M, 7M,8M,9M,10M,11M,12M,15M,18M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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</IndexCurve>
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<IndexCurve index="USD-SOFR">

‎QuantExt/qle/ad/external_randomvariable_ops.cpp‎

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@@ -22,6 +22,9 @@
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namespace QuantExt {
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std::size_t ExternalRandomVariable::nCreated_ = 0;
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std::size_t ExternalRandomVariable::nDeleted_ = 0;
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ExternalRandomVariable::ExternalRandomVariable(std::size_t id) : initialized_(true), id_(id) {}
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ExternalRandomVariable::ExternalRandomVariable(double v) : initialized_(true), v_(v) {
@@ -38,6 +41,7 @@ ExternalRandomVariable::ExternalRandomVariable(const std::size_t randomVariableO
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});
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id_ = ComputeEnvironment::instance().context().applyOperation(randomVariableOpCode, argIds);
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initialized_ = true;
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nCreated_++;
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}
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void ExternalRandomVariable::clear() {

‎QuantExt/qle/ad/external_randomvariable_ops.hpp‎

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@@ -45,6 +45,8 @@ class ExternalRandomVariable {
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static std::function<void(ExternalRandomVariable&)> preDeleter;
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static std::function<void(ExternalRandomVariable&)> deleter;
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static std::size_t nCreated_, nDeleted_;
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private:
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bool initialized_ = false;
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bool freed_ = false;

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