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pcaspers
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QPR-12201 update output
1 parent 9486248 commit d4d2c52

8 files changed

Lines changed: 6356 additions & 6356 deletions

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‎Examples/Example_33/ExpectedOutput/cds_option_npv.csv‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -1,13 +1,4 @@
11
#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2-
CdsOption_1_19,CreditDefaultSwapOption,2021-03-22,5.123550,57947.239449,EUR,57947.239449,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
3-
CdsOption_2_18,CreditDefaultSwapOption,2021-03-22,5.123550,72002.048077,EUR,72002.048077,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
4-
CdsOption_3_17,CreditDefaultSwapOption,2021-03-22,5.123550,80468.911680,EUR,80468.911680,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
5-
CdsOption_4_16,CreditDefaultSwapOption,2021-03-22,5.123550,85038.789281,EUR,85038.789281,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
6-
CdsOption_5_15,CreditDefaultSwapOption,2021-03-22,5.123550,86377.557354,EUR,86377.557354,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
7-
CdsOption_6_14,CreditDefaultSwapOption,2021-03-22,5.123550,86250.803866,EUR,86250.803866,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
8-
CdsOption_7_13,CreditDefaultSwapOption,2021-03-22,5.123550,84932.682180,EUR,84932.682180,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
9-
CdsOption_8_12,CreditDefaultSwapOption,2021-03-22,5.123550,82400.108167,EUR,82400.108167,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
10-
CdsOption_9_11,CreditDefaultSwapOption,2021-03-22,5.123550,78579.973755,EUR,78579.973755,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
112
CdsOption_10_10,CreditDefaultSwapOption,2021-03-22,5.123550,74089.271888,EUR,74089.271888,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
123
CdsOption_11_9,CreditDefaultSwapOption,2021-03-22,5.123550,69091.917479,EUR,69091.917479,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
134
CdsOption_12_8,CreditDefaultSwapOption,2021-03-22,5.123550,63572.428711,EUR,63572.428711,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
@@ -18,3 +9,12 @@ CdsOption_16_4,CreditDefaultSwapOption,2021-03-22,5.123550,37219.919641,EUR,3721
189
CdsOption_17_3,CreditDefaultSwapOption,2021-03-22,5.123550,29876.736075,EUR,29876.736075,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
1910
CdsOption_18_2,CreditDefaultSwapOption,2021-03-22,5.123550,22242.812225,EUR,22242.812225,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
2011
CdsOption_19_1,CreditDefaultSwapOption,2021-03-22,5.123550,14813.904193,EUR,14813.904193,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
12+
CdsOption_1_19,CreditDefaultSwapOption,2021-03-22,5.123550,57947.239449,EUR,57947.239449,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
13+
CdsOption_2_18,CreditDefaultSwapOption,2021-03-22,5.123550,72002.048077,EUR,72002.048077,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
14+
CdsOption_3_17,CreditDefaultSwapOption,2021-03-22,5.123550,80468.911680,EUR,80468.911680,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
15+
CdsOption_4_16,CreditDefaultSwapOption,2021-03-22,5.123550,85038.789281,EUR,85038.789281,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
16+
CdsOption_5_15,CreditDefaultSwapOption,2021-03-22,5.123550,86377.557354,EUR,86377.557354,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
17+
CdsOption_6_14,CreditDefaultSwapOption,2021-03-22,5.123550,86250.803866,EUR,86250.803866,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
18+
CdsOption_7_13,CreditDefaultSwapOption,2021-03-22,5.123550,84932.682180,EUR,84932.682180,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
19+
CdsOption_8_12,CreditDefaultSwapOption,2021-03-22,5.123550,82400.108167,EUR,82400.108167,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
20+
CdsOption_9_11,CreditDefaultSwapOption,2021-03-22,5.123550,78579.973755,EUR,78579.973755,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A

‎Examples/Example_33/ExpectedOutput/curves.csv‎

Lines changed: 164 additions & 164 deletions
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‎Examples/Example_33/ExpectedOutput/exposure_nettingset_CPTY_B.csv‎

Lines changed: 60 additions & 60 deletions
Original file line numberDiff line numberDiff line change
@@ -1,62 +1,62 @@
11
#NettingSet,Date,Time,EPE,ENE,PFE,ExpectedCollateral,BaselEE,BaselEEE
22
CPTY_B,2016-02-05,0.000000,0.00,6720.78,0.00,6720.78,0.00,0.00
3-
CPTY_B,2016-03-07,0.084699,26460.53,36170.58,116012.50,0.00,26461.10,26461.10
4-
CPTY_B,2016-04-05,0.163934,40841.68,37607.65,167373.97,0.00,40843.35,40843.35
5-
CPTY_B,2016-05-06,0.248634,43876.29,48557.67,187115.61,0.00,43879.02,43879.02
6-
CPTY_B,2016-06-06,0.333333,45043.83,55447.57,182247.77,0.00,45047.59,45047.59
7-
CPTY_B,2016-07-05,0.412568,57050.52,55970.61,213292.31,0.00,57056.40,57056.40
8-
CPTY_B,2016-08-05,0.497268,56951.35,60897.56,211620.95,0.00,56958.43,57056.40
9-
CPTY_B,2016-09-06,0.584699,60444.71,67647.03,222114.66,0.00,60449.14,60449.14
10-
CPTY_B,2016-10-05,0.663934,74789.55,68668.07,247085.88,0.00,74790.86,74790.86
11-
CPTY_B,2016-11-07,0.754098,73034.88,70228.18,273272.84,0.00,73031.52,74790.86
12-
CPTY_B,2016-12-05,0.830601,79810.11,79879.84,256707.66,0.00,79802.13,79802.13
13-
CPTY_B,2017-01-05,0.915330,93686.61,81487.39,319625.47,0.00,93671.66,93671.66
14-
CPTY_B,2017-02-06,1.003002,85291.43,76697.06,293318.50,0.00,85272.58,93671.66
15-
CPTY_B,2017-03-06,1.079714,82587.17,77635.10,310134.63,0.00,82564.47,93671.66
16-
CPTY_B,2017-04-05,1.161906,87968.38,73847.87,315289.28,0.00,87939.12,93671.66
17-
CPTY_B,2017-05-05,1.244098,89775.73,79154.44,284704.41,0.00,89740.69,93671.66
18-
CPTY_B,2017-06-06,1.331769,88175.31,80142.32,315319.06,0.00,88135.47,93671.66
19-
CPTY_B,2017-07-05,1.411221,93209.93,74038.94,336611.66,0.00,93162.61,93671.66
20-
CPTY_B,2017-08-07,1.501632,94114.38,82146.85,367182.06,0.00,94060.64,94060.64
21-
CPTY_B,2017-09-05,1.581084,93459.84,86910.03,329588.06,0.00,93401.26,94060.64
22-
CPTY_B,2017-10-05,1.663276,97012.09,77460.44,344092.16,0.00,96945.69,96945.69
23-
CPTY_B,2017-11-06,1.750947,91020.57,78830.99,319743.97,0.00,90952.67,96945.69
24-
CPTY_B,2017-12-05,1.830399,89541.95,80919.24,303855.00,0.00,89470.16,96945.69
25-
CPTY_B,2018-01-05,1.915330,91006.06,73993.84,337084.91,0.00,90927.68,96945.69
26-
CPTY_B,2018-02-05,2.000262,88839.01,78567.59,315105.19,0.00,88757.19,96945.69
27-
CPTY_B,2018-03-05,2.076974,86610.73,81441.18,283428.84,0.00,86532.92,96945.69
28-
CPTY_B,2018-04-05,2.161906,89399.29,76457.79,283682.34,0.00,89322.44,96945.69
29-
CPTY_B,2018-05-08,2.252317,87829.60,81629.74,288450.38,0.00,87757.74,96945.69
30-
CPTY_B,2018-06-05,2.329029,88593.90,86298.27,287909.88,0.00,88524.52,96945.69
31-
CPTY_B,2018-07-05,2.411221,94989.42,81643.72,302770.69,0.00,94918.61,96945.69
32-
CPTY_B,2018-08-06,2.498892,83054.70,75355.40,295368.63,0.00,82996.12,96945.69
33-
CPTY_B,2018-09-05,2.581084,76552.89,72298.57,261145.52,0.00,76501.77,96945.69
34-
CPTY_B,2018-10-05,2.663276,76372.23,62937.90,227277.64,0.00,76324.11,96945.69
35-
CPTY_B,2018-11-05,2.748207,70405.15,62371.18,230703.08,0.00,70363.53,96945.69
36-
CPTY_B,2018-12-05,2.830399,64342.69,62691.65,246197.69,0.00,64307.08,96945.69
37-
CPTY_B,2019-01-07,2.920810,67394.77,57779.57,243274.31,0.00,67360.25,96945.69
38-
CPTY_B,2019-02-05,3.000262,63373.91,57932.13,269380.81,0.00,63343.76,96945.69
39-
CPTY_B,2019-03-05,3.076974,59635.79,57827.95,244093.30,0.00,59618.61,96945.69
40-
CPTY_B,2019-04-05,3.161906,64824.68,53436.02,253887.33,0.00,64822.45,96945.69
41-
CPTY_B,2019-05-07,3.249577,62074.35,55893.27,236786.52,0.00,62088.48,96945.69
42-
CPTY_B,2019-06-05,3.329029,59685.72,59782.07,230706.88,0.00,59713.48,96945.69
43-
CPTY_B,2019-07-05,3.411221,63119.72,54520.02,245467.28,0.00,63164.60,96945.69
44-
CPTY_B,2019-08-05,3.496152,56406.48,53984.37,221508.48,0.00,56460.92,96945.69
45-
CPTY_B,2019-09-05,3.581084,49262.02,52148.09,202166.63,0.00,49322.08,96945.69
46-
CPTY_B,2019-10-07,3.668755,50569.87,43615.19,189531.69,0.00,50644.79,96945.69
47-
CPTY_B,2019-11-05,3.748207,44122.90,41915.13,169458.19,0.00,44198.76,96945.69
48-
CPTY_B,2019-12-05,3.830399,40803.06,44219.71,166865.92,0.00,40883.26,96945.69
49-
CPTY_B,2020-01-06,3.918033,43815.39,39652.00,165229.72,0.00,43913.02,96945.69
50-
CPTY_B,2020-02-05,4.000000,40482.16,41226.32,150090.84,0.00,40582.32,96945.69
51-
CPTY_B,2020-03-05,4.079235,36476.55,42568.27,138004.86,0.00,36580.51,96945.69
52-
CPTY_B,2020-04-06,4.166667,38289.81,35067.07,146722.97,0.00,38416.02,96945.69
53-
CPTY_B,2020-05-05,4.245902,30982.47,31782.99,131398.53,0.00,31097.13,96945.69
54-
CPTY_B,2020-06-05,4.330601,23084.19,28885.03,102840.34,0.00,23179.62,96945.69
55-
CPTY_B,2020-07-06,4.415301,25216.04,22066.48,106313.40,0.00,25331.19,96945.69
56-
CPTY_B,2020-08-05,4.497268,19835.86,21714.16,96441.03,0.00,19934.75,96945.69
57-
CPTY_B,2020-09-08,4.590164,14679.50,22548.48,70706.63,0.00,14759.67,96945.69
58-
CPTY_B,2020-10-05,4.663934,16458.08,15422.00,69384.88,0.00,16554.17,96945.69
59-
CPTY_B,2020-11-05,4.748634,10804.09,14758.97,44704.02,0.00,10871.85,96945.69
60-
CPTY_B,2020-12-07,4.836066,5841.62,15351.78,28802.64,0.00,5880.88,96945.69
61-
CPTY_B,2021-01-05,4.915330,6617.98,7223.34,26348.33,0.00,6665.14,96945.69
62-
CPTY_B,2021-02-05,5.000262,1702.55,7668.22,9500.88,0.00,1715.42,96945.69
3+
CPTY_B,2016-03-07,0.084699,26460.36,36170.66,116011.44,0.00,26460.92,26460.92
4+
CPTY_B,2016-04-05,0.163934,40841.07,37608.06,167375.67,0.00,40842.74,40842.74
5+
CPTY_B,2016-05-06,0.248634,43875.84,48557.76,187124.97,0.00,43878.57,43878.57
6+
CPTY_B,2016-06-06,0.333333,45043.03,55448.21,182248.25,0.00,45046.79,45046.79
7+
CPTY_B,2016-07-05,0.412568,57048.94,55970.66,213282.27,0.00,57054.83,57054.83
8+
CPTY_B,2016-08-05,0.497268,56949.57,60898.61,211625.23,0.00,56956.66,57054.83
9+
CPTY_B,2016-09-06,0.584699,60443.46,67647.43,222111.59,0.00,60447.89,60447.89
10+
CPTY_B,2016-10-05,0.663934,74787.94,68668.27,247080.70,0.00,74789.24,74789.24
11+
CPTY_B,2016-11-07,0.754098,73033.07,70228.65,273241.53,0.00,73029.71,74789.24
12+
CPTY_B,2016-12-05,0.830601,79807.46,79880.41,256657.69,0.00,79799.48,79799.48
13+
CPTY_B,2017-01-05,0.915330,93683.54,81489.82,319624.81,0.00,93668.60,93668.60
14+
CPTY_B,2017-02-06,1.003002,85287.83,76700.66,293316.28,0.00,85268.97,93668.60
15+
CPTY_B,2017-03-06,1.079714,82583.65,77638.88,310135.53,0.00,82560.94,93668.60
16+
CPTY_B,2017-04-05,1.161906,87965.53,73851.03,315292.94,0.00,87936.27,93668.60
17+
CPTY_B,2017-05-05,1.244098,89773.68,79156.79,284670.47,0.00,89738.64,93668.60
18+
CPTY_B,2017-06-06,1.331769,88172.83,80145.43,315286.88,0.00,88132.99,93668.60
19+
CPTY_B,2017-07-05,1.411221,93208.55,74042.50,336620.75,0.00,93161.23,93668.60
20+
CPTY_B,2017-08-07,1.501632,94115.46,82149.92,367188.97,0.00,94061.71,94061.71
21+
CPTY_B,2017-09-05,1.581084,93460.37,86914.67,329632.97,0.00,93401.79,94061.71
22+
CPTY_B,2017-10-05,1.663276,97013.03,77464.02,344119.69,0.00,96946.63,96946.63
23+
CPTY_B,2017-11-06,1.750947,91020.50,78833.38,319719.47,0.00,90952.60,96946.63
24+
CPTY_B,2017-12-05,1.830399,89541.40,80920.25,303890.09,0.00,89469.61,96946.63
25+
CPTY_B,2018-01-05,1.915330,91005.74,73994.13,337121.50,0.00,90927.36,96946.63
26+
CPTY_B,2018-02-05,2.000262,88838.72,78568.50,315153.84,0.00,88756.91,96946.63
27+
CPTY_B,2018-03-05,2.076974,86610.47,81442.65,283406.41,0.00,86532.65,96946.63
28+
CPTY_B,2018-04-05,2.161906,89398.35,76460.72,283655.94,0.00,89321.50,96946.63
29+
CPTY_B,2018-05-08,2.252317,87828.55,81631.45,288375.97,0.00,87756.68,96946.63
30+
CPTY_B,2018-06-05,2.329029,88593.25,86299.64,287886.75,0.00,88523.87,96946.63
31+
CPTY_B,2018-07-05,2.411221,94990.78,81645.65,302751.09,0.00,94919.97,96946.63
32+
CPTY_B,2018-08-06,2.498892,83056.64,75357.31,295346.66,0.00,82998.06,96946.63
33+
CPTY_B,2018-09-05,2.581084,76555.55,72300.04,261197.13,0.00,76504.43,96946.63
34+
CPTY_B,2018-10-05,2.663276,76375.29,62938.96,227319.70,0.00,76327.17,96946.63
35+
CPTY_B,2018-11-05,2.748207,70408.55,62372.42,230748.27,0.00,70366.92,96946.63
36+
CPTY_B,2018-12-05,2.830399,64346.01,62692.70,246244.45,0.00,64310.39,96946.63
37+
CPTY_B,2019-01-07,2.920810,67396.98,57781.73,243322.22,0.00,67362.46,96946.63
38+
CPTY_B,2019-02-05,3.000262,63376.67,57932.94,269441.78,0.00,63346.52,96946.63
39+
CPTY_B,2019-03-05,3.076974,59638.73,57828.15,244143.13,0.00,59621.55,96946.63
40+
CPTY_B,2019-04-05,3.161906,64827.48,53436.50,253941.28,0.00,64825.25,96946.63
41+
CPTY_B,2019-05-07,3.249577,62077.37,55893.27,236841.22,0.00,62091.51,96946.63
42+
CPTY_B,2019-06-05,3.329029,59688.78,59782.18,230738.70,0.00,59716.55,96946.63
43+
CPTY_B,2019-07-05,3.411221,63122.18,54520.69,245507.48,0.00,63167.06,96946.63
44+
CPTY_B,2019-08-05,3.496152,56408.76,53984.79,221538.27,0.00,56463.19,96946.63
45+
CPTY_B,2019-09-05,3.581084,49264.28,52149.04,202164.58,0.00,49324.34,96946.63
46+
CPTY_B,2019-10-07,3.668755,50571.85,43615.70,189566.14,0.00,50646.78,96946.63
47+
CPTY_B,2019-11-05,3.748207,44124.15,41916.30,169494.77,0.00,44200.02,96946.63
48+
CPTY_B,2019-12-05,3.830399,40804.57,44220.10,166859.25,0.00,40884.77,96946.63
49+
CPTY_B,2020-01-06,3.918033,43816.75,39652.92,165225.59,0.00,43914.38,96946.63
50+
CPTY_B,2020-02-05,4.000000,40483.30,41226.74,150083.64,0.00,40583.47,96946.63
51+
CPTY_B,2020-03-05,4.079235,36477.77,42568.38,137998.20,0.00,36581.73,96946.63
52+
CPTY_B,2020-04-06,4.166667,38290.89,35067.58,146716.56,0.00,38417.11,96946.63
53+
CPTY_B,2020-05-05,4.245902,30983.14,31783.40,131424.36,0.00,31097.81,96946.63
54+
CPTY_B,2020-06-05,4.330601,23084.78,28885.28,102860.77,0.00,23180.21,96946.63
55+
CPTY_B,2020-07-06,4.415301,25216.48,22066.97,106333.68,0.00,25331.64,96946.63
56+
CPTY_B,2020-08-05,4.497268,19836.46,21714.68,96437.85,0.00,19935.36,96946.63
57+
CPTY_B,2020-09-08,4.590164,14679.98,22548.86,70721.90,0.00,14760.14,96946.63
58+
CPTY_B,2020-10-05,4.663934,16458.38,15422.46,69380.23,0.00,16554.47,96946.63
59+
CPTY_B,2020-11-05,4.748634,10804.26,14759.32,44701.53,0.00,10872.03,96946.63
60+
CPTY_B,2020-12-07,4.836066,5841.81,15352.08,28801.17,0.00,5881.07,96946.63
61+
CPTY_B,2021-01-05,4.915330,6618.13,7223.57,26353.14,0.00,6665.29,96946.63
62+
CPTY_B,2021-02-05,5.000262,1702.61,7668.32,9502.65,0.00,1715.48,96946.63

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