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QPR-13647 update test outputs
1 parent 9751e17 commit d2e919a

21 files changed

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‎Examples/MarketRisk/ExpectedOutput/HistSimVar/historical_PnL.csv‎

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‎Examples/MarketRisk/ExpectedOutput/HistSimVar/var.csv‎

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#Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000,ExpectedShortfall_0.010000,ExpectedShortfall_0.050000,ExpectedShortfall_0.950000,ExpectedShortfall_0.990000
2-
All,All,All,-874502.874530,-629898.758251,552878.029114,846747.430447,-949845.533394,-777808.333103,-46660.216653,-19301.216764
3-
All,All,DeltaGamma,-874502.874530,-629898.758251,552878.029114,846747.430447,-949845.533394,-777808.333103,-46660.216653,-19301.216764
4-
All,InterestRate,All,-63274.820389,-47022.474424,75704.146136,103062.394662,-68496.169001,-56659.031807,2840.586138,6221.907915
5-
All,InterestRate,DeltaGamma,-63274.820389,-47022.474424,75704.146136,103062.394662,-68496.169001,-56659.031807,2840.586138,6221.907915
6-
All,FX,All,-884243.685619,-636898.503103,534980.158696,806008.620044,-955310.750585,-776949.933008,-53409.935097,-26518.146700
7-
All,FX,DeltaGamma,-884243.685619,-636898.503103,534980.158696,806008.620044,-955310.750585,-776949.933008,-53409.935097,-26518.146700
2+
All,All,All,-874503.346996,-629899.117052,552878.307798,846747.819325,-949845.987415,-777808.702398,-46660.238115,-19301.225679
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All,All,DeltaGamma,-874503.346996,-629899.117052,552878.307798,846747.819325,-949845.987415,-777808.702398,-46660.238115,-19301.225679
4+
All,InterestRate,All,-63274.845054,-47022.474291,75704.158273,103062.448727,-68496.179457,-56659.032043,2840.589295,6221.911416
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All,InterestRate,DeltaGamma,-63274.845054,-47022.474291,75704.158273,103062.448727,-68496.179457,-56659.032043,2840.589295,6221.911416
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All,FX,All,-884244.095663,-636898.798448,534980.406779,806008.993809,-955311.193585,-776950.293297,-53409.959864,-26518.158997
7+
All,FX,DeltaGamma,-884244.095663,-636898.798448,534980.406779,806008.993809,-955311.193585,-776950.293297,-53409.959864,-26518.158997

‎Examples/MarketRisk/ExpectedOutput/ParConversion/parconversion_sensitivity.csv‎

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‎Examples/MarketRisk/ExpectedOutput/ParStress/stress_scenario_par_rates.csv‎

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‎Examples/MarketRisk/ExpectedOutput/ParStress/valid_cap/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
CDS,CreditDefaultSwap,2026-12-21,2.795000,-69177.877661,USD,-64058.632078,EUR,1000000.00,USD,925998.81,NS,CP
2+
CDS,CreditDefaultSwap,2026-12-21,2.795000,-69177.881713,USD,-64058.635830,EUR,1000000.00,USD,925998.81,NS,CP
33
Cap,Swap,2026-03-02,1.989520,4413744.604500,EUR,4413744.604500,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
44
EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
5-
XccySwap,Swap,2026-01-06,1.838835,290370.886693,USD,268883.094219,EUR,102120250.00,USD,94563229.51,,A
5+
XccySwap,Swap,2026-01-06,1.838835,290365.654422,USD,268878.249142,EUR,102120250.00,USD,94563229.51,,A

‎Examples/MarketRisk/ExpectedOutput/ParStress/valid_cds/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
CDS,CreditDefaultSwap,2026-12-21,2.795000,-43365.517475,USD,-40156.417380,EUR,1000000.00,USD,925998.81,NS,CP
2+
CDS,CreditDefaultSwap,2026-12-21,2.795000,-43365.519647,USD,-40156.419392,EUR,1000000.00,USD,925998.81,NS,CP
33
Cap,Swap,2026-03-02,1.989520,4988926.691472,EUR,4988926.691472,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
44
EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
5-
XccySwap,Swap,2026-01-06,1.838835,290370.886693,USD,268883.094219,EUR,102120250.00,USD,94563229.51,,A
5+
XccySwap,Swap,2026-01-06,1.838835,290365.654422,USD,268878.249142,EUR,102120250.00,USD,94563229.51,,A

‎Examples/MarketRisk/ExpectedOutput/ParStress/valid_ester/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
CDS,CreditDefaultSwap,2026-12-21,2.795000,-68757.916133,USD,-63669.748205,EUR,1000000.00,USD,925998.81,NS,CP
2+
CDS,CreditDefaultSwap,2026-12-21,2.795000,-68757.920152,USD,-63669.751927,EUR,1000000.00,USD,925998.81,NS,CP
33
Cap,Swap,2026-03-02,1.989520,4923481.215917,EUR,4923481.215917,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
44
EUR6MSwap,Swap,2026-03-02,1.989520,5847685.920958,EUR,5847685.920958,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
5-
XccySwap,Swap,2026-01-06,1.838835,1279254.081732,USD,1184587.751566,EUR,102120250.00,USD,94563229.51,,A
5+
XccySwap,Swap,2026-01-06,1.838835,1279248.972616,USD,1184583.020530,EUR,102120250.00,USD,94563229.51,,A

‎Examples/MarketRisk/ExpectedOutput/ParStress/valid_xccy/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
CDS,CreditDefaultSwap,2026-12-21,2.795000,-71654.560197,USD,-64963.598260,EUR,1000000.00,USD,906621.97,NS,CP
2+
CDS,CreditDefaultSwap,2026-12-21,2.795000,-71662.305296,USD,-64970.620137,EUR,1000000.00,USD,906621.97,NS,CP
33
Cap,Swap,2026-03-02,1.989520,4988926.691472,EUR,4988926.691472,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
44
EUR6MSwap,Swap,2026-03-02,1.989520,5924803.709084,EUR,5924803.709084,EUR,100000000.00,EUR,100000000.00,CPTY_A,CPTY_A
5-
XccySwap,Swap,2026-01-06,1.838835,-1106221.034764,USD,-1002924.289700,EUR,102120250.00,USD,92584461.85,,A
5+
XccySwap,Swap,2026-01-06,1.838835,-1116536.265624,USD,-1012276.304585,EUR,102120250.00,USD,92584461.85,,A

‎Examples/MarketRisk/ExpectedOutput/ParametricVar/var.csv‎

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#Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000
2+
PF2,All,All,-44719.196292,-17915.607269,111470.607269,138274.196292
23
All,All,All,-14997387.055247,-10611131.982943,10562186.982943,14948442.055247
34
PF1,All,All,-15075943.039092,-10680378.587813,10537878.587813,14933443.039092
4-
PF2,All,All,-44719.196292,-17915.607269,111470.607269,138274.196292
5+
PF2,All,DeltaGamma,-20745.094510,-985.274831,94399.274831,114159.094510
56
All,All,DeltaGamma,-14997329.928904,-10611112.244224,10562026.244224,14948243.928904
67
PF1,All,DeltaGamma,-15075943.039092,-10680378.587813,10537878.587813,14933443.039092
7-
PF2,All,DeltaGamma,-20745.094510,-985.274831,94399.274831,114159.094510
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All,All,Vega,-61750.696838,-43640.425975,43781.425975,61891.696838
98
PF2,All,Vega,-61750.696838,-43640.425975,43781.425975,61891.696838
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All,All,Vega,-61750.696838,-43640.425975,43781.425975,61891.696838
10+
PF2,InterestRate,All,-16591.799682,-135.471673,79302.471673,95758.799682
1011
All,InterestRate,All,-806027.108672,-579214.240586,515656.240586,742469.108672
1112
PF1,InterestRate,All,-847064.500977,-619825.720990,477100.720990,704339.500977
12-
PF2,InterestRate,All,-16591.799682,-135.471673,79302.471673,95758.799682
13+
PF2,InterestRate,DeltaGamma,-15100.970110,967.400879,78532.599121,94600.970110
1314
All,InterestRate,DeltaGamma,-805765.649196,-578980.599107,515755.599107,742540.649196
1415
PF1,InterestRate,DeltaGamma,-847064.500977,-619825.720990,477100.720990,704339.500977
15-
PF2,InterestRate,DeltaGamma,-15100.970110,967.400879,78532.599121,94600.970110
16-
All,InterestRate,Vega,-12292.314294,-8740.105787,8407.105787,11959.314294
1716
PF2,InterestRate,Vega,-12292.314294,-8740.105787,8407.105787,11959.314294
17+
All,InterestRate,Vega,-12292.314294,-8740.105787,8407.105787,11959.314294
1818
All,Inflation,All,-259177.048308,-183219.218437,183444.218437,259402.048308
1919
PF1,Inflation,All,-259177.048308,-183219.218437,183444.218437,259402.048308
2020
All,Inflation,DeltaGamma,-259177.048308,-183219.218437,183444.218437,259402.048308
2121
PF1,Inflation,DeltaGamma,-259177.048308,-183219.218437,183444.218437,259402.048308
22+
PF2,FX,All,-65027.749757,-43870.678765,58258.678765,79415.749757
2223
All,FX,All,-14943440.738201,-10563712.448653,10578100.448653,14957828.738201
2324
PF1,FX,All,-14982385.275155,-10593355.793562,10593355.793562,14982385.275155
24-
PF2,FX,All,-65027.749757,-43870.678765,58258.678765,79415.749757
25+
PF2,FX,DeltaGamma,-32300.561460,-20800.216791,34714.216791,46214.561460
2526
All,FX,DeltaGamma,-14943554.839067,-10563862.552326,10577776.552326,14957468.839067
2627
PF1,FX,DeltaGamma,-14982385.275155,-10593355.793562,10593355.793562,14982385.275155
27-
PF2,FX,DeltaGamma,-32300.561460,-20800.216791,34714.216791,46214.561460
28-
All,FX,Vega,-60383.334923,-42624.851726,43098.851726,60857.334923
2928
PF2,FX,Vega,-60383.334923,-42624.851726,43098.851726,60857.334923
29+
All,FX,Vega,-60383.334923,-42624.851726,43098.851726,60857.334923

‎Examples/MarketRisk/ExpectedOutput/ScenarioStress/stress_scenarios.csv‎

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