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mgroncki
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jenkins
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Merge remote-tracking branch 'origin/master' into QPR-12401_matthias
1 parent a472f99 commit f157e75

32 files changed

Lines changed: 1104 additions & 225 deletions

‎Examples/Example_69/ExpectedOutput/parshifts.csv‎

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#ScenarioLabel,ParKey,ParShift
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eur_ester_zero,DiscountCurve/EUR/1,0.009871
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eur_ester_zero,IndexCurve/EUR-ESTER/11,0.010145
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eur_ester_zero,DiscountCurve/EUR/31,0.010214
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eur_ester_zero,DiscountCurve/EUR/6,0.009974
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eur_ester_zero,DiscountCurve/EUR/15,0.010264
7+
eur_ester_zero,DiscountCurve/EUR/8,0.010043
8+
eur_ester_zero,DiscountCurve/EUR/5,0.009936
9+
eur_ester_zero,DiscountCurve/EUR/35,0.010784
10+
eur_ester_zero,DiscountCurve/EUR/9,0.010082
11+
eur_ester_zero,DiscountCurve/EUR/2,0.009880
12+
eur_ester_zero,DiscountCurve/EUR/0,0.009864
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eur_ester_zero,DiscountCurve/EUR/7,0.010011
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eur_ester_zero,DiscountCurve/EUR/11,0.010145
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eur_ester_zero,IndexCurve/EUR-ESTER/27,0.010198
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eur_ester_zero,DiscountCurve/EUR/19,0.010240
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eur_ester_zero,IndexCurve/EUR-ESTER/29,0.010193
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eur_ester_zero,DiscountCurve/EUR/27,0.010198
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eur_ester_zero,DiscountCurve/EUR/12,0.010174
20+
eur_ester_zero,DiscountCurve/EUR/22,0.010227
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eur_ester_zero,DiscountCurve/EUR/16,0.010189
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eur_ester_zero,DiscountCurve/EUR/17,0.010181
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eur_ester_zero,DiscountCurve/EUR/4,0.009902
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eur_ester_zero,DiscountCurve/EUR/14,0.010233
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eur_ester_zero,IndexCurve/EUR-ESTER/2,0.009880
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eur_ester_zero,DiscountCurve/EUR/10,0.010115
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eur_ester_zero,DiscountCurve/EUR/18,0.010201
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eur_ester_zero,DiscountCurve/EUR/33,0.010330
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eur_ester_zero,DiscountCurve/EUR/3,0.009888
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eur_ester_zero,IndexCurve/EUR-ESTER/16,0.010189
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eur_ester_zero,DiscountCurve/EUR/23,0.010217
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eur_ester_zero,IndexCurve/EUR-ESTER/0,0.009864
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eur_ester_zero,DiscountCurve/EUR/24,0.010210
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eur_ester_zero,IndexCurve/EUR-ESTER/23,0.010217
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eur_ester_zero,IndexCurve/EUR-ESTER/6,0.009974
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eur_ester_zero,IndexCurve/EUR-ESTER/17,0.010181
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eur_ester_zero,IndexCurve/EUR-ESTER/13,0.010207
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eur_ester_zero,DiscountCurve/EUR/25,0.010205
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eur_ester_zero,DiscountCurve/EUR/29,0.010193
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eur_ester_zero,IndexCurve/EUR-ESTER/28,0.010195
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eur_ester_zero,DiscountCurve/EUR/26,0.010201
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eur_ester_zero,DiscountCurve/EUR/28,0.010195
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eur_ester_zero,DiscountCurve/EUR/32,0.010207
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eur_ester_zero,DiscountCurve/EUR/13,0.010207
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eur_ester_zero,DiscountCurve/EUR/36,0.010471
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eur_ester_zero,DiscountCurve/EUR/21,0.010226
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eur_ester_zero,IndexCurve/EUR-ESTER/8,0.010043
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eur_ester_zero,DiscountCurve/EUR/34,0.010623
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eur_ester_zero,IndexCurve/EUR-ESTER/1,0.009871
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eur_ester_zero,IndexCurve/EUR-ESTER/21,0.010226
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eur_ester_zero,IndexCurve/EUR-ESTER/3,0.009888
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eur_ester_zero,IndexCurve/EUR-ESTER/25,0.010205
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eur_ester_zero,IndexCurve/EUR-ESTER/4,0.009902
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eur_ester_zero,IndexCurve/EUR-ESTER/26,0.010201
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eur_ester_zero,IndexCurve/EUR-ESTER/5,0.009936
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eur_ester_zero,IndexCurve/EUR-ESTER/7,0.010011
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eur_ester_zero,IndexCurve/EUR-ESTER/34,0.010623
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eur_ester_zero,IndexCurve/EUR-ESTER/36,0.010471
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eur_ester_zero,IndexCurve/EUR-ESTER/10,0.010115
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eur_ester_zero,IndexCurve/EUR-ESTER/15,0.010264
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eur_ester_zero,IndexCurve/EUR-ESTER/18,0.010201
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eur_ester_zero,IndexCurve/EUR-ESTER/9,0.010082
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eur_ester_zero,IndexCurve/EUR-ESTER/12,0.010174
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eur_ester_zero,IndexCurve/EUR-ESTER/31,0.010214
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eur_ester_zero,IndexCurve/EUR-ESTER/14,0.010233
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eur_ester_zero,IndexCurve/EUR-ESTER/20,0.010232
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eur_ester_zero,IndexCurve/EUR-ESTER/19,0.010240
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eur_ester_zero,IndexCurve/EUR-ESTER/30,0.010134
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eur_ester_zero,IndexCurve/EUR-ESTER/32,0.010207
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eur_ester_zero,IndexCurve/EUR-ESTER/33,0.010330
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eur_ester_zero,DiscountCurve/EUR/30,0.010134
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eur_ester_zero,IndexCurve/EUR-ESTER/24,0.010210
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eur_ester_zero,IndexCurve/EUR-ESTER/35,0.010784
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eur_ester_zero,DiscountCurve/EUR/20,0.010232
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eur_ester_zero,IndexCurve/EUR-ESTER/22,0.010227

‎Examples/Example_69/Input/conventions.xml‎

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<Conventions>
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<Deposit>
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<Id>EUR-ON-DEPOSIT-ESTER</Id>
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<IndexBased>true</IndexBased>
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<Index>EUR-ESTER</Index>
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</Deposit>
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<OIS>
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<Id>EUR-ESTER-OIS</Id>
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<SpotLag>1</SpotLag>
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<Index>EUR-ESTER</Index>
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<FixedDayCounter>A360</FixedDayCounter>
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<PaymentLag>1</PaymentLag>
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<EOM>false</EOM>
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<FixedFrequency>Annual</FixedFrequency>
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<FixedConvention>MF</FixedConvention>
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<FixedPaymentConvention>MF</FixedPaymentConvention>
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<Rule>Backward</Rule>
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</OIS>
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</Conventions>

‎Examples/Example_69/Input/curveconfig.xml‎

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<CurveConfiguration>
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<YieldCurves>
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<YieldCurve>
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<CurveId>EUR-ESTER</CurveId>
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<CurveDescription>EUR ESTER discount curve bootstrapped from OIS swap rates</CurveDescription>
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<Currency>EUR</Currency>
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<DiscountCurve>EUR-ESTER</DiscountCurve>
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<Segments>
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<Simple>
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<Type>Deposit</Type>
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<Quotes>
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<Quote>MM/RATE/EUR/ESTER/0D/1D</Quote>
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</Quotes>
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<Conventions>EUR-ON-DEPOSIT-ESTER</Conventions>
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<PillarChoice>LastRelevantPillarDate</PillarChoice>
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<Priority>0</Priority>
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<MinDistance>1</MinDistance>
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</Simple>
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<Simple>
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<Type>OIS</Type>
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<Quotes>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/1W</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/2W</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/3W</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/1M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/2M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/3M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/4M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/5M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/6M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/7M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/8M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/9M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/10M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/11M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/1Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/15M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/18M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/21M</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/2Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/3Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/4Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/5Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/6Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/7Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/8Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/9Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/10Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/11Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/12Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/15Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/20Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/25Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/30Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/40Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/50Y</Quote>
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<Quote optional="true">IR_SWAP/RATE/EUR/ESTER/2D/1D/60Y</Quote>
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</Quotes>
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<Conventions>EUR-ESTER-OIS</Conventions>
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<PillarChoice>LastRelevantPillarDate</PillarChoice>
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<Priority>0</Priority>
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<MinDistance>1</MinDistance>
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</Simple>
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</Segments>
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<InterpolationVariable>Discount</InterpolationVariable>
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<InterpolationMethod>LogLinear</InterpolationMethod>
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<MixedInterpolationCutoff>1</MixedInterpolationCutoff>
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<YieldCurveDayCounter>A365</YieldCurveDayCounter>
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<Tolerance>0.0000000000010000</Tolerance>
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<Extrapolation>true</Extrapolation>
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<BootstrapConfig>
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<Accuracy>0.0000000000010000</Accuracy>
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<GlobalAccuracy>0.0000000000010000</GlobalAccuracy>
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<DontThrow>false</DontThrow>
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<MaxAttempts>5</MaxAttempts>
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<MaxFactor>2</MaxFactor>
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<MinFactor>2</MinFactor>
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<DontThrowSteps>10</DontThrowSteps>
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</BootstrapConfig>
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</YieldCurve>
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</YieldCurves>
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</CurveConfiguration>
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‎Examples/Example_69/Input/fixings.csv‎

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#fixingDate,fixingId,fixingValue

‎Examples/Example_69/Input/marketdata.csv‎

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#datumDate,datumId, datumValue
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/10M,0.036
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/10Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/11M,0.035
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/11Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/12Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/15M,0.033
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/15Y,0.026
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/18M,0.032
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/1M,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/1W,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/1Y,0.035
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/20Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/21M,0.031
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/25Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/2M,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/2W,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/2Y,0.03
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/30Y,0.024
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/3M,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/3W,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/3Y,0.027
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/40Y,0.022
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/4M,0.039
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/4Y,0.026
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/50Y,0.021
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/5M,0.038
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/5Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/60Y,0.022
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/6M,0.038
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/6Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/7M,0.038
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/7Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/8M,0.037
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/8Y,0.025
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/9M,0.036
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2024-03-05,IR_SWAP/RATE/EUR/ESTER/2D/1D/9Y,0.025
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2024-03-05,MM/RATE/EUR/ESTER/0D/1D,0.039

‎Examples/Example_69/Input/ore.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="asofDate">2024-03-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">255</Parameter>
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<Parameter name="marketDataFile">marketdata.csv</Parameter>
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<Parameter name="fixingDataFile">fixings.csv</Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="curveConfigFile">curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">conventions.xml</Parameter>
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<Parameter name="marketConfigFile">todaysmarket.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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<Markets>
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<Parameter name="lgmcalibration">inccy</Parameter>
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<Parameter name="fxcalibration">default</Parameter>
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<Parameter name="pricing">default</Parameter>
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<Parameter name="simulation">default</Parameter>
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<Parameter name="sensitivity">default</Parameter>
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</Markets>
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<Analytics>
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<!--Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="outputFileName">npv.csv</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">Y</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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</Analytic>
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<Analytic type="sensitivity">
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<Parameter name="active">Y</Parameter>
44+
<Parameter name="marketConfigFile">simulation.xml</Parameter>
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<Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="scenarioOutputFile">scenario.csv</Parameter>
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<Parameter name="sensitivityOutputFile">sensitivity.csv</Parameter>
49+
<Parameter name="outputSensitivityThreshold">0.000000</Parameter>
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<Parameter name="recalibrateModels">Y</Parameter>
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<Parameter name="parSensitivity">Y</Parameter>
52+
<Parameter name="optimiseRiskFactors">Y</Parameter>
53+
<Parameter name="parSensitivityOutputFile">parsensitivity.csv</Parameter>
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<Parameter name="outputJacobi">Y</Parameter>
55+
<Parameter name="jacobiOutputFile">jacobi.csv</Parameter>
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<Parameter name="jacobiInverseOutputFile">jacobi_inverse.csv</Parameter>
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</Analytic>
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<Analytic type="stress">
59+
<Parameter name="active">Y</Parameter>
60+
<Parameter name="marketConfigFile">simulation.xml</Parameter>
61+
<Parameter name="stressConfigFile">stresstest.xml</Parameter>
62+
<Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="scenarioOutputFile">stresstest.csv</Parameter>
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<Parameter name="outputThreshold">0.000001</Parameter>
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<Parameter name="stressZeroScenarioDataFile">zeroStressScenarioData.xml</Parameter>
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</Analytic-->
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<Analytic type="zeroToParShift">
69+
<Parameter name="active">Y</Parameter>
70+
<Parameter name="marketConfigFile">simulation.xml</Parameter>
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<Parameter name="stressConfigFile">stresstest.xml</Parameter>
72+
<Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="scenarioOutputFile">stresstest.csv</Parameter>
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<Parameter name="parShiftsFile">parshifts.csv</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_69/Input/portfolio.xml‎

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<?xml version='1.0' encoding='UTF-8'?>
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<Portfolio>
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</Portfolio>

‎Examples/Example_69/Input/pricingengine.xml‎

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<?xml version="1.0"?>
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<PricingEngines>
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<Product type="Swap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingSwapEngine</Engine>
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<EngineParameters/>
8+
</Product>
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<Product type="CrossCurrencySwap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingCrossCurrencySwapEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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<Product type="CreditDefaultSwap">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>MidPointCdsEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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<Product type="CapFlooredIborLeg">
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<Model>BlackOrBachelier</Model>
27+
<ModelParameters/>
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<Engine>BlackIborCouponPricer</Engine>
29+
<EngineParameters>
30+
<!-- Black76 or BivariateLognormal -->
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<Parameter name="TimingAdjustment">Black76</Parameter>
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<!-- Correlation Parameter for BivariateLognormal -->
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<Parameter name="Correlation">1.0</Parameter>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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</PricingEngines>

‎Examples/Example_69/Input/sensitivity.xml‎

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<SensitivityAnalysis>
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<DiscountCurves>
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<DiscountCurve ccy="EUR">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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<ShiftTenors>1D, 1W,2W,3W,1M,2M,3M,4M,5M,6M,7M,8M,9M,10M,11M,1Y,15M,18M,21M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,11Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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<ParConversion>
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<Instruments>DEP, OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS</Instruments>
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<SingleCurve>true</SingleCurve>
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<Conventions>
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<Convention id="DEP">EUR-ON-DEPOSIT-ESTER</Convention>
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<Convention id="OIS">EUR-ESTER-OIS</Convention>
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</Conventions>
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</ParConversion>
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</DiscountCurve>
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</DiscountCurves>
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<IndexCurves>
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<IndexCurve index="EUR-ESTER">
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<ShiftType>Absolute</ShiftType>
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<ShiftSize>0.0001</ShiftSize>
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<ShiftScheme>Forward</ShiftScheme>
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<ShiftTenors>1D, 1W,2W,3W,1M,2M,3M,4M,5M,6M,7M,8M,9M,10M,11M,1Y,15M,18M,21M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,11Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y,60Y</ShiftTenors>
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<ParConversion>
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<Instruments>DEP, OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS,OIS</Instruments>
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<SingleCurve>true</SingleCurve>
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<Conventions>
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<Convention id="DEP">EUR-ON-DEPOSIT-ESTER</Convention>
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<Convention id="OIS">EUR-ESTER-OIS</Convention>
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</Conventions>
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</ParConversion>
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</IndexCurve>
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</IndexCurves>
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<YieldCurves/>
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<FxSpots>
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</FxSpots>
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<CreditCurves>
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</CreditCurves>
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<CapFloorVolatilities>
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</CapFloorVolatilities>
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<ComputeGamma>false</ComputeGamma>
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<UseSpreadedTermStructures>true</UseSpreadedTermStructures>
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</SensitivityAnalysis>
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