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Expand file tree Collapse file tree Original file line number Diff line number Diff line change @@ -6135,10 +6135,15 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
61356135In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
61366136and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
61376137
6138+ UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
6139+ improve the alignment of the scenario sim market and t0 curves.
6140+
6141+
61386142\begin{longlisting}
61396143%\hrule\medskip
61406144 \begin{minted}[fontsize=\scriptsize]{xml}
61416145<StressTesting>
6146+ <UseSpreadedTermStructures>false</UseSpreadedTermStructures>
61426147 <StressTest id="parallel_rates">
61436148 <DiscountCurves>
61446149 <DiscountCurve ccy="EUR">
Original file line number Diff line number Diff line change 44
55 <xs : complexType name =" stresstesting" >
66 <xs : sequence >
7+ <xs : element type =" bool" name =" UseSpreadedTermStructures" minOccurs =" 0" />
78 <xs : element type =" stresstest" name =" StressTest" maxOccurs =" unbounded" />
89 </xs : sequence >
910 </xs : complexType >
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