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damienbarkerjenkins
damienbarker
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jenkins
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Resolve QPR-12014 configurable sensi shift sizes, part 2 of 3
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‎Examples/Example_15/ExpectedOutput/flows.csv‎

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‎Examples/Example_15/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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BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3140651.967156,EUR,-3140651.967156,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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BERMUDAN_SWAPTION,Swaption,2038-10-01,22.652317,-3115851.065563,EUR,-3115851.065563,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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BOND,Bond,2021-02-03,4.994783,12902649.282760,EUR,12902649.282760,EUR,10000000.00,EUR,10000000.00,CPTY_A,CPTY_A
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Bond_Floating,Bond,2021-02-03,4.994783,10765048.489931,EUR,10765048.489931,EUR,10000000.00,EUR,10000000.00,,CPTY_C
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CAP_EUR,CapFloor,2026-02-09,10.011221,-6881.951398,EUR,-6881.951398,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A
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CAP_USD,CapFloor,2026-02-09,10.011221,-14245.033135,USD,-12580.206366,EUR,1000000.00,USD,883129.32,CPTY_A,CPTY_A
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CC_SWAP_EUR_USD,Swap,2026-02-05,10.000262,-23643219.533172,USD,-20880020.288282,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
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CC_SWAP_EUR_USD_RESET,Swap,2026-02-05,10.000262,-22174553.893030,USD,-19582998.606448,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
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CC_SWAP_EUR_USD_RESET,Swap,2026-02-05,10.000262,-22174553.893030,USD,-19582998.606449,EUR,100000000.00,USD,88312931.57,CPTY_A,CPTY_A
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CDS,CreditDefaultSwap,2026-03-20,10.118070,805.422071,USD,711.291842,EUR,10000000.00,USD,8831293.16,CPTY_B,CPTY_B
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CPI_Swap,Swap,2021-07-19,5.449577,829612.548929,GBP,1021768.347989,EUR,10000000.00,GBP,12316211.34,CPTY_A,CPTY_A
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EQ_CALL_LUFT,EquityOption,2018-03-01,2.066015,1872.588407,EUR,1872.588407,EUR,9486.00,EUR,9486.00,CPTY_A,CPTY_A

‎Examples/Example_15/ExpectedOutput/scenario.csv‎

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‎Examples/Example_15/ExpectedOutput/sensitivity.csv‎

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‎Examples/Example_15/ExpectedOutput/stresstest.csv‎

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#TradeId,ScenarioLabel,Base NPV,Scenario NPV,Sensitivity
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BERMUDAN_SWAPTION,parallel_rates,-3125432.29,-2074397.25,1051035.04
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BERMUDAN_SWAPTION,twist,-3125432.29,-3196530.22,-71097.93
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BERMUDAN_SWAPTION,parallel_rates,-3100941.24,-2043549.12,1057392.12
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BERMUDAN_SWAPTION,twist,-3100941.24,-3165028.92,-64087.68
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BOND,parallel_rates,12902111.76,12614454.85,-287656.90
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BOND,twist,12902111.76,12801562.04,-100549.71
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Bond_Floating,parallel_rates,10765631.07,10511973.88,-253657.19

‎Examples/Example_15/ExpectedOutput/var.csv‎

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#Portfolio,RiskClass,RiskType,Quantile_0.010000,Quantile_0.050000,Quantile_0.950000,Quantile_0.990000
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(all),(all),(all),-51288984.245165,-36325951.993862,35903557.993863,50866590.245165
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PF1,(all),(all),-50726701.680738,-35873450.367032,35826125.367033,50679376.680738
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PF2,(all),(all),-6556365.963796,-4690642.412803,4315573.412803,6181296.963796
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(all),(all),DeltaGamma,-51283793.157401,-36320855.846305,35908195.846305,50871133.157401
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PF1,(all),DeltaGamma,-50726701.680738,-35873450.367032,35826125.367033,50679376.680738
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PF2,(all),DeltaGamma,-6548899.269859,-4683937.288745,4318602.288745,6183564.269859
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(all),(all),Vega,-186821.023493,-133518.324441,123784.324441,177087.023493
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PF2,(all),Vega,-186821.023493,-133518.324441,123784.324441,177087.023493
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(all),InterestRate,(all),-37044510.252175,-26255557.703812,25824845.703812,36613798.252175
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(all),(all),(all),-51290159.407976,-36327329.388175,35901204.388175,50864034.407976
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PF1,(all),(all),-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
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PF2,(all),(all),-6557646.195612,-4692094.096579,4313294.096579,6178846.195612
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(all),(all),DeltaGamma,-51283164.981876,-36320419.015922,35907709.015922,50870454.981876
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PF1,(all),DeltaGamma,-50726701.680738,-35873450.367032,35826125.367032,50679376.680738
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PF2,(all),DeltaGamma,-6548636.969272,-4683759.151709,4318374.151709,6183251.969272
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(all),(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
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PF2,(all),Vega,-177910.952279,-127757.589806,114342.589806,164495.952279
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(all),InterestRate,(all),-37045418.328177,-26256746.253322,25822303.253322,36610975.328177
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PF1,InterestRate,(all),-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
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PF2,InterestRate,(all),-6554936.762631,-4691765.708860,4302128.708861,6165299.762631
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(all),InterestRate,DeltaGamma,-37039004.674983,-26250169.181150,25829669.181150,36618504.674983
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PF2,InterestRate,(all),-6556216.192571,-4693216.825666,4299848.825666,6162848.192571
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(all),InterestRate,DeltaGamma,-37038123.786470,-26249553.669032,25829003.669032,36617573.786470
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PF1,InterestRate,DeltaGamma,-36286970.228997,-25662864.686621,25621789.686621,36245895.228997
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PF2,InterestRate,DeltaGamma,-6547516.546540,-4685023.433061,4305598.433061,6168091.546540
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(all),InterestRate,Vega,-176663.630137,-126406.512686,116194.512686,166451.630137
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PF2,InterestRate,Vega,-176663.630137,-126406.512686,116194.512686,166451.630137
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PF2,InterestRate,DeltaGamma,-6547253.865097,-4684845.026740,4305370.026740,6167778.865097
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(all),InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
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PF2,InterestRate,Vega,-167057.011413,-120153.281333,106260.281333,153164.011413
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(all),Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
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PF1,Inflation,(all),-304149.096627,-215013.224331,215263.224331,304399.096627
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(all),Inflation,DeltaGamma,-304149.096627,-215013.224331,215263.224331,304399.096627

‎Examples/Example_15/Input/ore.xml‎

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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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</Setup>

‎Examples/Example_15/Input/ore_var.xml‎

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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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</Setup>

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