QPR-12456 add more instruments and engines to News and release notes

Author: pcaspers

Docs/UserGuide/userguide.tex

@@ -135,7 +135,7 @@
 \title{ORE User Guide}
 %\author{Quaternion Risk Management Ltd.}
 %\author{Acadia Inc.}
-\date{15 January 2024}
+\date{24 May 2024}
 \maketitle
 
 \newpage
@@ -339,7 +339,7 @@ \subsection{Scope}
 Flexi Swaps and Balance Guaranteed Swaps & Y & Y & Y & Y \\
 \hline
 \end{tabular}
-\caption{ORE product coverage. FX/Equity Exotics include Barrier, Digital, Digital Barrier (FX only), Double Barrier, European Barrier, KIKO Barrier (FX only), Touch and Double Touch Options. Scripted Trades cover single and multi-asset products across all asset classes except Credit (so far), see Example\_52 and the separate documentation in Docs/ScriptedTrade.}
+\caption{ORE product coverage. FX/Equity Exotics include Barrier, Digital, Digital Barrier (FX only), Double Barrier, European Barrier, KIKO Barrier (FX only), Touch and Double Touch Options, Outperformance options and Pairwise Variance Swaps. Scripted Trades cover single and multi-asset products across all asset classes except Credit (so far), see Example\_52 and the separate documentation in Docs/ScriptedTrade.}
 \label{tab_coverage}
 \end{center}
 \end{table}
@@ -418,6 +418,8 @@ \section{Release Notes}\label{sec:releasenotes}
 \item add Flexi Swap (ticket 12370), see Example 65
 \item add Balance Guaranteed Swap (ticket 12370), see Example 66
 \item add American Swaption with finite difference pricing in LGM (ticket 11618), see extended Example 4
+\item add Equity Outperformance Option (ticket 12456)
+\item add Pairwise Variance Swap (ticket 12456)
 \item add analytic pricer for Overnight Index Swaptions (ticket 11974)
 \item add finite difference LGM pricers for Bermudan and European Swaptions
 \item add numerical integration LGM pricer for European Swaptions
@@ -434,6 +436,8 @@ \section{Release Notes}\label{sec:releasenotes}
 \item introduce notional payment lag for resetting Cross Currency Swaps (ticket 12379)
 \item support security spreads over discount in Single Currency Swaps, Swaptions and Scripted Trades
   (ticket 12201 and 12275)
+\item add pricing engines that provide analytical deltas and gammas for Swaps, Swaptions, FX Forwards,
+  FX Options (ticket 12456)
 \end{itemize}
 
 \bigskip
@@ -453,6 +457,8 @@ \section{Release Notes}\label{sec:releasenotes}
 \item add IM Schedule analytic (ticket 11730), see extended Example 44
 \item add P\&L and P\&L Explain analytics (ticket 12458), see Example 62
 \item add par stress test support (ticket 12148), see Example 63
+\item add XVA stress testing (ticket 12376), see Example 67
+\item add XVA bump \& revalue sensitivities (ticket 12437), see Example 68
 \item add bond spread imply to ORE (ticket 12370)
 \item add market risk backtest analytic (ticket 12370)
 \item add calculation of stoplight bounds for backtests (ticket 12370)
@@ -462,7 +468,6 @@ \section{Release Notes}\label{sec:releasenotes}
 \item introduce configurable shift size and difference scheme per product for sensitivity analysis (ticket 12014)
 \item improve performance of SIMM calculations for large CRIF files (ticket 12397)
 \item output effective SOFR / RFR cap volatilities in reports (ticket 12192)
-\item XVA Stress testing (ticket 12376)
 \end{itemize}
 
 \bigskip
@@ -542,7 +547,8 @@ \section{Release Notes}\label{sec:releasenotes}
 \item 64: Formual-based Coupon
 \item 65: Flexi Swap
 \item 66: Balance Guaranteed Swap 
-\item 67: XVA Stress Analytic
+\item 67: XVA Stress Testing
+\item 68: XVA Bump \& Revalue Sensitivities
 \end{itemize}
 
 %========================================================
@@ -1136,6 +1142,8 @@ \section{Examples}\label{sec:examples}
 \hline
 67 &  XVA Stress Testing \\
 \hline
+68 &  XVA Bump \& Revalue Sensitivities \\
+\hline
 \end{tabular}
 \caption{ORE examples.}
 \label{tab_0}
@@ -3746,6 +3754,16 @@ \subsection{Balance Guaranteed Swap}% Example 66
 given by two ``conditional prepayment rate (CPR)'' levels, e.g. determined by
 current and past CPRs or expert judgement.
 
+%--------------------------------------------------------------------
+\subsection{XVA Stress Testing - TODO}% Example 67
+\label{example:67}
+%--------------------------------------------------------------------
+
+%--------------------------------------------------------------------
+\subsection{XVA Bump \& Revalue Sensitivities - TODO}% Example 68
+\label{example:68}
+%--------------------------------------------------------------------
+
 \clearpage
 %========================================================
 \section{Launchers and Visualisation}\label{sec:visualisation}

News.txt

@@ -5,10 +5,12 @@ ORE v12 includes the following notable changes.
 
 INSTRUMENTS & PRICING
 - add formula-based leg (ticket 12263), see Example 64
-- add Callable Swap (ticket 12370), Example, see extended Example 5
+- add Callable Swap (ticket 12370), see extended Example 5
 - add Flexi Swap (ticket 12370), see Example 65
 - add Balance Guaranteed Swap (ticket 12370), see Example 66
 - add American Swaption with finite difference pricing in LGM (ticket 11618), see extended Example 4
+- add Equity Outperformance Option (ticket 12456)
+- add Pairwise Variance Swap (ticket 12456)
 - add analytic pricer for Overnight Index Swaptions (ticket 11974)
 - add finite difference LGM pricers for Bermudan and European Swaptions
 - add numerical integration LGM pricer for European Swaptions
@@ -25,19 +27,23 @@ INSTRUMENTS & PRICING
 - introduce notional payment lag for resetting Cross Currency Swaps (ticket 12379)
 - support security spreads over discount in Single Currency Swaps, Swaptions and Scripted Trades
   (ticket 12201 and 12275)
+- add pricing engines that provide analytical deltas and gammas for Swaps, Swaptions, FX Forwards,
+  FX Options (ticket 12456)
 
 MARKETS & TERMSTRUCTURES
 - SABR pricing for Swaptions and Caps/Floors (ticket 12325), see Example 59
 - allow importing external SABR parameters (ticket 12491)
 
 ANALYTICS
-- add XVA Sensitivitiy Proof of Concept using AAD (ticket 12028), see Example 56
+- add XVA Sensitivity Proof of Concept using AAD (ticket 12028), see Example 56
 - support overlapping close-out date grid in exposure/XVA (ticket 9859), see Example 60
 - add scenario analytic (ticket 11990), see Example 57
 - add historical simulation VaR analytic (ticket 9793), see Example 58
 - add IM Schedule analytic (ticket 11730), see extended Example 44
 - add P&L and P&L Explain analytics (ticket 12458), see Example 62
 - add par stress test support (ticket 12148), see Example 63
+- add XVA stress testing (ticket 12376), see Example 67
+- add XVA bump & revalue sensitivities (ticket 12437), see Example 68
 - add bond spread imply to ORE (ticket 12370)
 - add market risk backtest analytic (ticket 12370)
 - add calculation of stoplight bounds for backtests (ticket 12370)
@@ -47,7 +53,6 @@ ANALYTICS
 - introduce configurable shift size and difference scheme per product for sensitivity analysis (ticket 12014)
 - improve performance of SIMM calculations for large CRIF files (ticket 12397)
 - output effective SOFR / RFR cap volatilities in reports (ticket 12192)
-- XVA Stress testing (ticket 12376)
 
 TESTS
 - add a test suite for ORE-SWIG (ticket 11823)
@@ -105,8 +110,8 @@ NEW & EXTENDED EXAMPLES
 - 64: Formual-based Coupon
 - 65: Flexi Swap
 - 66: Balance Guaranteed Swap 
-- 67: XVA Stress Analytic
-
+- 67: XVA Stress Testing
+- 68: XVA Bump & Revalue Sensitivities
 
 Changes for the 11th ORE release (1.8.11.0):
 ============================================