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pcaspersjenkins
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QPR-12028 update after merge with master
1 parent c2119ce commit d993676

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Lines changed: 15 additions & 7 deletions

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Examples/Example_54/ExpectedOutput/xvacg-cva-sensi-scenario.csv

Lines changed: 15 additions & 7 deletions
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#TradeId,Factor,Up/Down,Base NPV,Scenario NPV,Difference
22
CVA,DiscountCurve/EUR/3/6M,Up,1139242.24,1139242.25,0.00
33
CVA,DiscountCurve/EUR/4/1Y,Up,1139242.24,1139242.24,0.00
4-
CVA,DiscountCurve/EUR/5/2Y,Up,1139242.24,1139242.24,0.00
5-
CVA,DiscountCurve/EUR/6/3Y,Up,1139242.24,1139242.21,-0.04
6-
CVA,DiscountCurve/EUR/7/5Y,Up,1139242.24,1139241.84,-0.40
7-
CVA,DiscountCurve/EUR/8/10Y,Up,1139242.24,1139239.84,-2.40
8-
CVA,DiscountCurve/EUR/9/15Y,Up,1139242.24,1139236.43,-5.81
9-
CVA,DiscountCurve/EUR/10/20Y,Up,1139242.24,1139233.86,-8.39
10-
CVA,DiscountCurve/EUR/11/30Y,Up,1139242.24,1139242.20,-0.05
4+
CVA,DiscountCurve/EUR/5/2Y,Up,1139242.24,1139242.23,-0.01
5+
CVA,DiscountCurve/EUR/6/3Y,Up,1139242.24,1139242.19,-0.05
6+
CVA,DiscountCurve/EUR/7/5Y,Up,1139242.24,1139241.76,-0.48
7+
CVA,DiscountCurve/EUR/8/10Y,Up,1139242.24,1139239.61,-2.64
8+
CVA,DiscountCurve/EUR/9/15Y,Up,1139242.24,1139236.10,-6.14
9+
CVA,DiscountCurve/EUR/10/20Y,Up,1139242.24,1139235.34,-6.91
10+
CVA,DiscountCurve/EUR/11/30Y,Up,1139242.24,1139242.20,-0.04
11+
CVA,IndexCurve/EUR-EONIA/4/1Y,Up,1139242.24,1139242.25,0.00
12+
CVA,IndexCurve/EUR-EONIA/5/2Y,Up,1139242.24,1139242.25,0.01
13+
CVA,IndexCurve/EUR-EONIA/6/3Y,Up,1139242.24,1139242.26,0.02
14+
CVA,IndexCurve/EUR-EONIA/7/5Y,Up,1139242.24,1139242.33,0.08
15+
CVA,IndexCurve/EUR-EONIA/8/10Y,Up,1139242.24,1139242.48,0.23
16+
CVA,IndexCurve/EUR-EONIA/9/15Y,Up,1139242.24,1139242.58,0.33
17+
CVA,IndexCurve/EUR-EONIA/10/20Y,Up,1139242.24,1139240.76,-1.48
18+
CVA,IndexCurve/EUR-EONIA/11/30Y,Up,1139242.24,1139242.24,0.00
1119
CVA,IndexCurve/EUR-EURIBOR-3M/9/15Y,Up,1139242.24,1139242.26,0.01
1220
CVA,IndexCurve/EUR-EURIBOR-3M/10/20Y,Up,1139242.24,1139242.23,-0.02
1321
CVA,IndexCurve/EUR-EURIBOR-6M/0/2W,Up,1139242.24,1139242.25,0.00

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