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Merge remote-tracking branch 'origin/feature/QPR-13640' into feature/QPR-11988
2 parents 0f6fdf8 + 4858da5 commit ea8992d

13 files changed

Lines changed: 1717 additions & 5 deletions
Lines changed: 62 additions & 0 deletions
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1+
#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE,TimeWeightedBaselEPE,TimeWeightedBaselEEPE
2+
generic_barrier_option_fx_raw_kiko,2022-01-31,0.000000,4949,0,0,0,4949,4949,4949,4949.44,4949.44
3+
generic_barrier_option_fx_raw_kiko,2022-02-01,0.002740,7499,0,0,0,12080,7500,7500,7500.30,7500.30
4+
generic_barrier_option_fx_raw_kiko,2022-02-02,0.005479,7483,0,0,0,12144,7485,7500,7492.44,7500.30
5+
generic_barrier_option_fx_raw_kiko,2022-02-03,0.008219,7445,0,0,0,13122,7448,7500,7477.59,7500.30
6+
generic_barrier_option_fx_raw_kiko,2022-02-04,0.010959,8067,0,0,0,17889,8072,8072,7626.07,7643.10
7+
generic_barrier_option_fx_raw_kiko,2022-02-07,0.019178,7841,0,0,0,20662,7848,8072,7721.21,7826.71
8+
generic_barrier_option_fx_raw_kiko,2022-02-08,0.021918,7757,0,0,0,20229,7765,8072,7726.71,7857.31
9+
generic_barrier_option_fx_raw_kiko,2022-02-09,0.024658,7517,0,0,0,24485,7526,8072,7704.38,7881.11
10+
generic_barrier_option_fx_raw_kiko,2022-02-10,0.027397,7690,0,0,0,19991,7699,8072,7703.89,7900.15
11+
generic_barrier_option_fx_raw_kiko,2022-02-11,0.030137,7754,0,0,0,23803,7765,8072,7709.46,7915.73
12+
generic_barrier_option_fx_raw_kiko,2022-02-14,0.038356,8109,0,0,0,24703,8123,8123,7798.11,7960.17
13+
generic_barrier_option_fx_raw_kiko,2022-02-15,0.041096,7795,0,0,0,23160,7809,8123,7798.86,7971.04
14+
generic_barrier_option_fx_raw_kiko,2022-02-16,0.043836,7725,0,0,0,26464,7740,8123,7795.21,7980.54
15+
generic_barrier_option_fx_raw_kiko,2022-02-17,0.046575,7575,0,0,0,23790,7592,8123,7783.23,7988.93
16+
generic_barrier_option_fx_raw_kiko,2022-02-18,0.049315,7120,0,0,0,25838,7136,8123,7747.26,7996.38
17+
generic_barrier_option_fx_raw_kiko,2022-02-22,0.060274,6441,0,0,0,23304,6459,8123,7513.03,8019.43
18+
generic_barrier_option_fx_raw_kiko,2022-02-23,0.063014,6864,0,0,0,28253,6884,8123,7485.69,8023.94
19+
generic_barrier_option_fx_raw_kiko,2022-02-24,0.065753,6847,0,0,0,27290,6868,8123,7459.96,8028.07
20+
generic_barrier_option_fx_raw_kiko,2022-02-25,0.068493,6481,0,0,0,28906,6502,8123,7421.64,8031.87
21+
generic_barrier_option_fx_raw_kiko,2022-02-28,0.076712,6191,0,0,0,28456,6213,8123,7292.14,8041.65
22+
generic_barrier_option_fx_raw_kiko,2022-03-01,0.079452,5991,0,0,0,33716,6013,8123,7248.02,8044.46
23+
generic_barrier_option_fx_raw_kiko,2022-03-02,0.082192,5484,0,0,0,34328,5505,8123,7189.92,8047.08
24+
generic_barrier_option_fx_raw_kiko,2022-03-03,0.084932,5460,0,0,0,31646,5482,8123,7134.83,8049.53
25+
generic_barrier_option_fx_raw_kiko,2022-03-04,0.087671,0,0,0,0,0,0,8123,6911.86,8051.83
26+
generic_barrier_option_fx_raw_kiko,2022-03-07,0.095890,0,0,0,0,0,0,8123,6319.42,8057.94
27+
generic_barrier_option_fx_raw_kiko,2022-03-08,0.098630,0,0,0,0,0,0,8123,6143.88,8059.75
28+
generic_barrier_option_fx_raw_kiko,2022-03-09,0.101370,0,0,0,0,0,0,8123,5977.83,8061.47
29+
generic_barrier_option_fx_raw_kiko,2022-03-10,0.104110,0,0,0,0,0,0,8123,5820.52,8063.09
30+
generic_barrier_option_fx_raw_kiko,2022-03-11,0.106849,0,0,0,0,0,0,8123,5671.27,8064.63
31+
generic_barrier_option_fx_raw_kiko,2022-03-14,0.115068,0,0,0,0,0,0,8123,5266.18,8068.81
32+
generic_barrier_option_fx_raw_kiko,2022-03-15,0.117808,0,0,0,0,0,0,8123,5143.71,8070.07
33+
generic_barrier_option_fx_raw_kiko,2022-03-16,0.120548,0,0,0,0,0,0,8123,5026.81,8071.28
34+
generic_barrier_option_fx_raw_kiko,2022-03-17,0.123288,0,0,0,0,0,0,8123,4915.10,8072.43
35+
generic_barrier_option_fx_raw_kiko,2022-03-18,0.126027,0,0,0,0,0,0,8123,4808.25,8073.53
36+
generic_barrier_option_fx_raw_kiko,2022-03-21,0.134247,0,0,0,0,0,0,8123,4513.87,8076.57
37+
generic_barrier_option_fx_raw_kiko,2022-03-22,0.136986,0,0,0,0,0,0,8123,4423.59,8077.50
38+
generic_barrier_option_fx_raw_kiko,2022-03-23,0.139726,0,0,0,0,0,0,8123,4336.85,8078.39
39+
generic_barrier_option_fx_raw_kiko,2022-03-24,0.142466,0,0,0,0,0,0,8123,4253.45,8079.25
40+
generic_barrier_option_fx_raw_kiko,2022-03-25,0.145205,0,0,0,0,0,0,8123,4173.20,8080.08
41+
generic_barrier_option_fx_raw_kiko,2022-03-28,0.153425,0,0,0,0,0,0,8123,3949.64,8082.39
42+
generic_barrier_option_fx_raw_kiko,2022-03-29,0.156164,0,0,0,0,0,0,8123,3880.34,8083.10
43+
generic_barrier_option_fx_raw_kiko,2022-03-30,0.158904,0,0,0,0,0,0,8123,3813.44,8083.79
44+
generic_barrier_option_fx_raw_kiko,2022-03-31,0.161644,0,0,0,0,0,0,8123,3748.81,8084.46
45+
generic_barrier_option_fx_raw_kiko,2022-04-01,0.164384,0,0,0,0,0,0,8123,3686.33,8085.10
46+
generic_barrier_option_fx_raw_kiko,2022-04-04,0.172603,0,0,0,0,0,0,8123,3510.79,8086.91
47+
generic_barrier_option_fx_raw_kiko,2022-04-05,0.175342,0,0,0,0,0,0,8123,3455.93,8087.48
48+
generic_barrier_option_fx_raw_kiko,2022-04-06,0.178082,0,0,0,0,0,0,8123,3402.76,8088.03
49+
generic_barrier_option_fx_raw_kiko,2022-04-07,0.180822,0,0,0,0,0,0,8123,3351.21,8088.56
50+
generic_barrier_option_fx_raw_kiko,2022-04-08,0.183562,0,0,0,0,0,0,8123,3301.19,8089.08
51+
generic_barrier_option_fx_raw_kiko,2022-04-11,0.191781,0,0,0,0,0,0,8123,3159.71,8090.53
52+
generic_barrier_option_fx_raw_kiko,2022-04-12,0.194521,0,0,0,0,0,0,8123,3115.21,8090.99
53+
generic_barrier_option_fx_raw_kiko,2022-04-13,0.197260,0,0,0,0,0,0,8123,3071.94,8091.44
54+
generic_barrier_option_fx_raw_kiko,2022-04-14,0.200000,0,0,0,0,0,0,8123,3029.86,8091.87
55+
generic_barrier_option_fx_raw_kiko,2022-04-19,0.213699,0,0,0,0,0,0,8123,2835.64,8093.88
56+
generic_barrier_option_fx_raw_kiko,2022-04-20,0.216438,0,0,0,0,0,0,8123,2799.74,8094.25
57+
generic_barrier_option_fx_raw_kiko,2022-04-21,0.219178,0,0,0,0,0,0,8123,2764.75,8094.61
58+
generic_barrier_option_fx_raw_kiko,2022-04-22,0.221918,0,0,0,0,0,0,8123,2730.61,8094.96
59+
generic_barrier_option_fx_raw_kiko,2022-04-25,0.230137,0,0,0,0,0,0,8123,2633.09,8095.97
60+
generic_barrier_option_fx_raw_kiko,2022-04-26,0.232877,0,0,0,0,0,0,8123,2602.11,8096.29
61+
generic_barrier_option_fx_raw_kiko,2022-04-27,0.235616,0,0,0,0,0,0,8123,2571.86,8096.60
62+
generic_barrier_option_fx_raw_kiko,2022-04-28,0.238356,0,0,0,0,0,0,8123,2542.29,8096.90
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#TradeId,Date,Time,EPE,ENE,AllocatedEPE,AllocatedENE,PFE,BaselEE,BaselEEE,TimeWeightedBaselEPE,TimeWeightedBaselEEPE
2+
generic_fx_barrier_option,2022-01-31,0.000000,4949,0,0,0,4949,4949,4949,4949.44,4949.44
3+
generic_fx_barrier_option,2022-02-01,0.002740,7499,0,0,0,12080,7500,7500,7500.30,7500.30
4+
generic_fx_barrier_option,2022-02-02,0.005479,7483,0,0,0,12144,7485,7500,7492.44,7500.30
5+
generic_fx_barrier_option,2022-02-03,0.008219,7445,0,0,0,13122,7448,7500,7477.59,7500.30
6+
generic_fx_barrier_option,2022-02-04,0.010959,8067,0,0,0,17889,8072,8072,7626.07,7643.10
7+
generic_fx_barrier_option,2022-02-07,0.019178,7841,0,0,0,20662,7848,8072,7721.21,7826.71
8+
generic_fx_barrier_option,2022-02-08,0.021918,7757,0,0,0,20229,7765,8072,7726.71,7857.31
9+
generic_fx_barrier_option,2022-02-09,0.024658,7517,0,0,0,24485,7526,8072,7704.38,7881.11
10+
generic_fx_barrier_option,2022-02-10,0.027397,7690,0,0,0,19991,7699,8072,7703.89,7900.15
11+
generic_fx_barrier_option,2022-02-11,0.030137,7754,0,0,0,23803,7765,8072,7709.46,7915.73
12+
generic_fx_barrier_option,2022-02-14,0.038356,8109,0,0,0,24703,8123,8123,7798.11,7960.17
13+
generic_fx_barrier_option,2022-02-15,0.041096,7795,0,0,0,23160,7809,8123,7798.86,7971.04
14+
generic_fx_barrier_option,2022-02-16,0.043836,7725,0,0,0,26464,7740,8123,7795.21,7980.54
15+
generic_fx_barrier_option,2022-02-17,0.046575,7575,0,0,0,23790,7592,8123,7783.23,7988.93
16+
generic_fx_barrier_option,2022-02-18,0.049315,7120,0,0,0,25838,7136,8123,7747.26,7996.38
17+
generic_fx_barrier_option,2022-02-22,0.060274,6441,0,0,0,23304,6459,8123,7513.03,8019.43
18+
generic_fx_barrier_option,2022-02-23,0.063014,6864,0,0,0,28253,6884,8123,7485.69,8023.94
19+
generic_fx_barrier_option,2022-02-24,0.065753,6847,0,0,0,27290,6868,8123,7459.96,8028.07
20+
generic_fx_barrier_option,2022-02-25,0.068493,6481,0,0,0,28906,6502,8123,7421.64,8031.87
21+
generic_fx_barrier_option,2022-02-28,0.076712,6191,0,0,0,28456,6213,8123,7292.14,8041.65
22+
generic_fx_barrier_option,2022-03-01,0.079452,5991,0,0,0,33716,6013,8123,7248.02,8044.46
23+
generic_fx_barrier_option,2022-03-02,0.082192,5484,0,0,0,34328,5505,8123,7189.92,8047.08
24+
generic_fx_barrier_option,2022-03-03,0.084932,5460,0,0,0,31646,5482,8123,7134.83,8049.53
25+
generic_fx_barrier_option,2022-03-04,0.087671,0,0,0,0,0,0,8123,6911.86,8051.83
26+
generic_fx_barrier_option,2022-03-07,0.095890,0,0,0,0,0,0,8123,6319.42,8057.94
27+
generic_fx_barrier_option,2022-03-08,0.098630,0,0,0,0,0,0,8123,6143.88,8059.75
28+
generic_fx_barrier_option,2022-03-09,0.101370,0,0,0,0,0,0,8123,5977.83,8061.47
29+
generic_fx_barrier_option,2022-03-10,0.104110,0,0,0,0,0,0,8123,5820.52,8063.09
30+
generic_fx_barrier_option,2022-03-11,0.106849,0,0,0,0,0,0,8123,5671.27,8064.63
31+
generic_fx_barrier_option,2022-03-14,0.115068,0,0,0,0,0,0,8123,5266.18,8068.81
32+
generic_fx_barrier_option,2022-03-15,0.117808,0,0,0,0,0,0,8123,5143.71,8070.07
33+
generic_fx_barrier_option,2022-03-16,0.120548,0,0,0,0,0,0,8123,5026.81,8071.28
34+
generic_fx_barrier_option,2022-03-17,0.123288,0,0,0,0,0,0,8123,4915.10,8072.43
35+
generic_fx_barrier_option,2022-03-18,0.126027,0,0,0,0,0,0,8123,4808.25,8073.53
36+
generic_fx_barrier_option,2022-03-21,0.134247,0,0,0,0,0,0,8123,4513.87,8076.57
37+
generic_fx_barrier_option,2022-03-22,0.136986,0,0,0,0,0,0,8123,4423.59,8077.50
38+
generic_fx_barrier_option,2022-03-23,0.139726,0,0,0,0,0,0,8123,4336.85,8078.39
39+
generic_fx_barrier_option,2022-03-24,0.142466,0,0,0,0,0,0,8123,4253.45,8079.25
40+
generic_fx_barrier_option,2022-03-25,0.145205,0,0,0,0,0,0,8123,4173.20,8080.08
41+
generic_fx_barrier_option,2022-03-28,0.153425,0,0,0,0,0,0,8123,3949.64,8082.39
42+
generic_fx_barrier_option,2022-03-29,0.156164,0,0,0,0,0,0,8123,3880.34,8083.10
43+
generic_fx_barrier_option,2022-03-30,0.158904,0,0,0,0,0,0,8123,3813.44,8083.79
44+
generic_fx_barrier_option,2022-03-31,0.161644,0,0,0,0,0,0,8123,3748.81,8084.46
45+
generic_fx_barrier_option,2022-04-01,0.164384,0,0,0,0,0,0,8123,3686.33,8085.10
46+
generic_fx_barrier_option,2022-04-04,0.172603,0,0,0,0,0,0,8123,3510.79,8086.91
47+
generic_fx_barrier_option,2022-04-05,0.175342,0,0,0,0,0,0,8123,3455.93,8087.48
48+
generic_fx_barrier_option,2022-04-06,0.178082,0,0,0,0,0,0,8123,3402.76,8088.03
49+
generic_fx_barrier_option,2022-04-07,0.180822,0,0,0,0,0,0,8123,3351.21,8088.56
50+
generic_fx_barrier_option,2022-04-08,0.183562,0,0,0,0,0,0,8123,3301.19,8089.08
51+
generic_fx_barrier_option,2022-04-11,0.191781,0,0,0,0,0,0,8123,3159.71,8090.53
52+
generic_fx_barrier_option,2022-04-12,0.194521,0,0,0,0,0,0,8123,3115.21,8090.99
53+
generic_fx_barrier_option,2022-04-13,0.197260,0,0,0,0,0,0,8123,3071.94,8091.44
54+
generic_fx_barrier_option,2022-04-14,0.200000,0,0,0,0,0,0,8123,3029.86,8091.87
55+
generic_fx_barrier_option,2022-04-19,0.213699,0,0,0,0,0,0,8123,2835.64,8093.88
56+
generic_fx_barrier_option,2022-04-20,0.216438,0,0,0,0,0,0,8123,2799.74,8094.25
57+
generic_fx_barrier_option,2022-04-21,0.219178,0,0,0,0,0,0,8123,2764.75,8094.61
58+
generic_fx_barrier_option,2022-04-22,0.221918,0,0,0,0,0,0,8123,2730.61,8094.96
59+
generic_fx_barrier_option,2022-04-25,0.230137,0,0,0,0,0,0,8123,2633.09,8095.97
60+
generic_fx_barrier_option,2022-04-26,0.232877,0,0,0,0,0,0,8123,2602.11,8096.29
61+
generic_fx_barrier_option,2022-04-27,0.235616,0,0,0,0,0,0,8123,2571.86,8096.60
62+
generic_fx_barrier_option,2022-04-28,0.238356,0,0,0,0,0,0,8123,2542.29,8096.90
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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
2+
generic_barrier_option_fx_raw_kiko,ScriptedTrade,2022-03-04,0.087671,7936.921587,USD,7936.921587,USD,1080000.00,USD,1080000.00,CPTY_A,CPTY_A
3+
generic_fx_barrier_option,FxGenericBarrierOption,2022-03-04,0.087671,7936.921587,USD,7936.921587,USD,1080000.00,USD,1080000.00,CPTY_A,CPTY_A
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<?xml version="1.0"?>
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<ORE>
3+
<Setup>
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<Parameter name="asofDate">2022-01-31</Parameter>
5+
<Parameter name="inputPath">Input</Parameter>
6+
<Parameter name="outputPath">Output/generic_barrier_option</Parameter>
7+
<Parameter name="logFile">log.txt</Parameter>
8+
<Parameter name="logMask">31</Parameter>
9+
<Parameter name="marketDataFile">market.txt</Parameter>
10+
<Parameter name="fixingDataFile">fixings.txt</Parameter>
11+
<Parameter name="implyTodaysFixings">N</Parameter>
12+
<Parameter name="curveConfigFile">curveconfig.xml</Parameter>
13+
<Parameter name="conventionsFile">conventions.xml</Parameter>
14+
<Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
15+
<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
16+
<Parameter name="portfolioFile">portfolio_genericbarrieroption.xml</Parameter>
17+
<Parameter name="observationModel">None</Parameter>
18+
<Parameter name="scriptLibrary">scriptlibrary_barrier.xml</Parameter>
19+
</Setup>
20+
<Markets>
21+
<Parameter name="lgmcalibration">inccy</Parameter>
22+
<Parameter name="fxcalibration">default</Parameter>
23+
<Parameter name="infcalibration">inccy</Parameter>
24+
<Parameter name="pricing">default</Parameter>
25+
<Parameter name="simulation">default</Parameter>
26+
<Parameter name="sensitivity">default</Parameter>
27+
</Markets>
28+
<Analytics>
29+
<Analytic type="npv">
30+
<Parameter name="active">Y</Parameter>
31+
<Parameter name="baseCurrency">USD</Parameter>
32+
<Parameter name="outputFileName">npv.csv</Parameter>
33+
<Parameter name="additionalResults">Y</Parameter>
34+
</Analytic>
35+
<Analytic type="cashflow">
36+
<Parameter name="active">Y</Parameter>
37+
<Parameter name="outputFileName">flows.csv</Parameter>
38+
</Analytic>
39+
<Analytic type="curves">
40+
<Parameter name="active">Y</Parameter>
41+
<Parameter name="configuration">default</Parameter>
42+
<Parameter name="grid">240,1M</Parameter>
43+
<Parameter name="outputFileName">curves.csv</Parameter>
44+
</Analytic>
45+
<Analytic type="simulation">
46+
<Parameter name="active">Y</Parameter>
47+
<Parameter name="amc">Y</Parameter>
48+
<Parameter name="amcTradeTypes">ScriptedTrade,FxGenericBarrierOption</Parameter>
49+
<Parameter name="simulationConfigFile">simulation_barrier.xml</Parameter>
50+
<Parameter name="pricingEnginesFile">pricingengine_barrier.xml</Parameter>
51+
<Parameter name="amcPricingEnginesFile">pricingengine_barrier_amc.xml</Parameter>
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<Parameter name="baseCurrency">USD</Parameter>
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<Parameter name="storeScenarios">N</Parameter>
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<!--Parameter name="cubeFile">cube.csv</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv</Parameter>
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<Parameter name="aggregationScenarioDataDump">scenariodataDump.csv</Parameter-->
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</Analytic>
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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="cubeFile">cube.dat</Parameter>
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<Parameter name="scenarioFile">scenariodata.dat</Parameter>
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<Parameter name="baseCurrency">USD</Parameter>
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<Parameter name="exposureProfiles">Y</Parameter>
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<Parameter name="exposureProfilesByTrade">Y</Parameter>
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<Parameter name="quantile">0.95</Parameter>
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<Parameter name="calculationType">Symmetric</Parameter>
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<Parameter name="allocationMethod">None</Parameter>
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<Parameter name="marginalAllocationLimit">1.0</Parameter>
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<Parameter name="exerciseNextBreak">N</Parameter>
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<Parameter name="cva">N</Parameter>
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<Parameter name="dva">N</Parameter>
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<Parameter name="dvaName">BANK</Parameter>
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<Parameter name="fva">N</Parameter>
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<Parameter name="fvaBorrowingCurve">USD-SOFR</Parameter>
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<Parameter name="fvaLendingCurve">USD-SOFR</Parameter>
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<Parameter name="colva">N</Parameter>
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<Parameter name="collateralSpread">0.0000</Parameter>
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<Parameter name="collateralFloor">N</Parameter>
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<Parameter name="dim">N</Parameter>
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<Parameter name="dimQuantile">0.99</Parameter>
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<Parameter name="dimHorizonCalendarDays">14</Parameter>
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<Parameter name="dimRegressionOrder">2</Parameter>
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<Parameter name="dimRegressors"/>
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<Parameter name="dimScaling">1.0</Parameter>
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<Parameter name="dimEvolutionFile">dim_evolution.csv</Parameter>
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<Parameter name="dimRegressionFiles">dim_regression.txt</Parameter>
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<Parameter name="dimOutputNettingSet">CPTY_A</Parameter>
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<Parameter name="dimOutputGridPoints">0</Parameter>
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<Parameter name="dimLocalRegressionEvaluations">0</Parameter>
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<Parameter name="dimLocalRegressionBandwidth">1.0</Parameter>
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<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
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<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

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