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sebastien.bouvard
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QPR-12830 Fix MC
2 parents 3e26c0b + 2443759 commit fd2578f

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‎Docker/Dockerfile-Test‎

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@@ -4,20 +4,27 @@ FROM ${DOCKER_REPO}debian:${DEBIAN_TAG}
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RUN apt-get update \
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&& DEBIAN_FRONTEND=noninteractive apt-get install -y --no-install-recommends \
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ca-certificates dos2unix python3 python3-pip python3-venv python3-dev libxml2-utils xsltproc \
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ca-certificates dos2unix gnupg python3 python3-pip python3-venv python3-dev libxml2-utils xsltproc curl git \
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-o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
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&& update-ca-certificates \
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&& apt-get clean \
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&& rm -rf /var/lib/apt/lists/*
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RUN sh -c 'curl -fsSL https://download.docker.com/linux/debian/gpg | gpg --dearmor -o /usr/share/keyrings/docker-archive-keyring.gpg' \
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&& sh -c 'echo "deb [arch=$(dpkg --print-architecture) signed-by=/usr/share/keyrings/docker-archive-keyring.gpg] https://download.docker.com/linux/debian bullseye stable" | tee /etc/apt/sources.list.d/docker.list > /dev/null' \
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&& apt-get update \
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&& apt-get install -f -y docker-ce-cli \
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-o Dpkg::Options::="--force-confdef" -o Dpkg::Options::="--force-confold" \
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&& apt-get clean \
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&& rm -rf /var/lib/apt/lists/*
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# Create and activate virtual environment
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RUN python3 -m venv /venv
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ENV PATH="/venv/bin:$PATH"
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# Install Python packages inside the virtual environment
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RUN pip3 install --break-system-packages \
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matplotlib pandas pytest pytest-xdist pytest-timeout datacompy jsondiff lxml xmldiff jupyter xmldiff numpy scipy ipywidgets papermill \
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matplotlib pandas pytest pytest-xdist pytest-timeout pytest-rerunfailures datacompy jsondiff lxml jupyter xmldiff numpy scipy ipywidgets papermill python-dotenv requests xmlschema clang-format openpyxl \
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&& rm -rf ~/.cache/pip
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CMD bash

‎Docs/UserGuide/tradedata/scriptedtrades.tex‎

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@@ -1103,6 +1103,110 @@ \subsubsection{Floating Strike Forward Starting Option}
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection{ACR Option}
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% we only have a scripted trade representation for this at the moment
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An ACR Option is represented as {\em acr option}, refer to Section
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\ref{app:scriptedtrade} for an introduction.
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Trade id="ArcOption">
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<TradeType>ScriptedTrade</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<ArcOptionData>
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<LongShort type="longShort">Short</LongShort>
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<SettlementDate type="event">2020-07-20</SettlementDate>
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<Notional type="number">100000000</Notional>
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<StrikeFactor type="number">0.9950</StrikeFactor>
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<BarrierFactor type="number">0.9840</StrikeFactor>
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<CapRate type="number">0.02</CapRate>
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<Offset type="number">0.0628</Offset>
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<ValuationSchedule type="event">
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<ScheduleData>
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<Rules>
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<StartDate>2020-01-15</StartDate>
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<EndDate>2020-07-10</EndDate>
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<Tenor>1M</Tenor>
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<Calendar>US</Calendar>
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<Convention>Following</Convention>
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<TermConvention>Following</TermConvention>
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<Rule>Forward</Rule>
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</Rules>
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</ScheduleData>
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</ValuationSchedule>
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<Underlying type="index">FX-ECB-JPY-USD</Underlying>
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<PayCcy type="currency">JPY</PayCcy>
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<Expiry type="event">2020-07-15</Expiry>
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</ArcOptionData>
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</Trade>
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\end{minted}
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The script referenced in the trade above is shown in Listing \ref{lst:arc_option}.
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\begin{listing}[hbt]
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\begin{minted}[fontsize=\footnotesize]{Basic}
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NUMBER d, effectiveExchangeRate, netAccAmount, currPrice, pay;
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NUMBER payoff, strike, sr1, sr2, sr3, itm, K, expectedN, settlementAmount;
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netAccAmount = 0;
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FOR d IN (2, SIZE(ValuationSchedule), 1) DO
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sr2 = Underlying(ValuationSchedule[d]);
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sr1 = Underlying(ValuationSchedule[d-1]);
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K = sr1*StrikeFactor;
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IF sr2 < sr1*BarrierFactor THEN
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itm = Notional*((1/sr2)-(1/K));
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ELSE
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itm = 0;
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END;
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netAccAmount = netAccAmount + itm;
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END;
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expectedN = SIZE(ValuationSchedule) - 1;
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sr3 = Underlying(ValuationSchedule[expectedN]);
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effectiveExchangeRate = Notional / ((Notional/sr3)-netAccAmount);
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IF effectiveExchangeRate >= CapRate THEN
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settlementAmount = Notional/(CapRate + Offset);
1177+
ELSE
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settlementAmount = Notional/(effectiveExchangeRate + Offset);
1179+
END;
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pay = PAY(settlementAmount, Expiry, SettlementDate, PayCcy);
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Option = pay;
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\end{minted}
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\caption{Payoff script for an Arc Option.}
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\label{lst:arc_option}
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\end{listing}
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The meanings and allowable values in the \lstinline!ArcOptionData! node below.
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\begin{itemize}
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\item{}[index] \lstinline!Underlying!: Underlying index. \\
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Allowable values: See Section \ref{data_index} for allowable values.
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\item{}[longShort] \lstinline!LongShort!: Own party position in the option. \\
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Allowable values: \emph{Long, Short}.
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\item{}[number] \lstinline!StrikeFactor!: The strike factor used within ITM computation.
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\item{}[number] \lstinline!BarrierFactor!: The barrier factor used within the condition for the ITM computation.
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\item{}[number] \lstinline!Notional!: Notional amount. \\
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Allowable values: Any non-negative number.
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\item{}[number] \lstinline!CapRate!: Rate used to compute the settlement amount.
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\item{}[number] \lstinline!Offset!: Offset used to compute the settlement amount.
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\item{}[event] \lstinline!SettlementDate!: Settlement date. \\
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Allowable values: See \lstinline!Date! in Table \ref{tab:allow_stand_data}.
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\item{}[currency] \lstinline!SettlementCurrency!: The payment currency. For FX, where the underlying is provided
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in the form \lstinline!FX-SOURCE-CCY1-CCY2! (see Table \ref{tab:fxindex_data}) this should
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be \lstinline!CCY2!. If \lstinline!CCY1! or the currency of the underlying (for EQ and
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COMM underlyings), this will result in a quanto payoff. Notice section \ref{sss:payccy_st}. \\
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Allowable values: See Table \ref{tab:currency} for allowable currency codes.
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\end{itemize}
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\subsubsection{Forward Starting Swaption}
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% we only have a scripted trade representation for this at the moment

‎Examples/Exposure/Input/ore_swap_hw2f_swaptions.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">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swap_hw2f</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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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="portfolioFile">portfolio_swap_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</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_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/ore_swap_swaptions.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">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swap</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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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="portfolioFile">portfolio_swap_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
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<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">xois_eur</Parameter>
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<Parameter name="pricing">xois_eur</Parameter>
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<Parameter name="simulation">xois_eur</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_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/ore_swapflat_swaptions.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">2016-02-05</Parameter>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output/swapflat</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="marketDataFile">../../Input/market_20160205_flat.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">Y</Parameter>
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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="portfolioFile">portfolio_swapflat_swaptions.xml</Parameter>
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<Parameter name="observationModel">None</Parameter>
18+
<Parameter name="continueOnError">false</Parameter>
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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>
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<Parameter name="fxcalibration">libor</Parameter>
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<Parameter name="eqcalibration">libor</Parameter>
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<Parameter name="pricing">libor</Parameter>
27+
<Parameter name="simulation">libor</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_swaptions.csv</Parameter>
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<Parameter name="additionalResults">Y</Parameter>
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<Parameter name="additionalResultsReportPrecision">12</Parameter>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Exposure/Input/portfolio_swap.xml‎

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@@ -71,6 +71,7 @@
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</LegData>
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</SwapData>
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</Trade>
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<!--
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<Trade id="Payer_Swaption_01_19">
7576
<TradeType>Swaption</TradeType>
7677
<Envelope>
@@ -3148,5 +3149,6 @@
31483149
</ScheduleData>
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</LegData>
31503151
</SwaptionData>
3151-
</Trade>
3152+
</Trade>
3153+
-->
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</Portfolio>

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