update ORE Python module examples

Author: rolandlichters

OREAnalytics-SWIG/Python/Examples/Input/fixings_20160205.txt

@@ -28,8 +28,6 @@
       <Currency>EUR</Currency>
       <Currency>USD</Currency>
       <Currency>GBP</Currency>
-      <Currency>CHF</Currency>
-      <Currency>JPY</Currency>
     </Currencies>
     <BootstrapTolerance>0.0001</BootstrapTolerance>
     <InterestRateModels>
@@ -192,8 +190,6 @@
       <Currency>EUR</Currency>
       <Currency>USD</Currency>
       <Currency>GBP</Currency>
-      <Currency>CHF</Currency>
-      <Currency>JPY</Currency>
     </Currencies>
     <YieldCurves>
       <Configuration>
@@ -210,8 +206,6 @@
       <Index>USD-LIBOR-3M</Index>
       <Index>GBP-LIBOR-6M</Index>
       <Index>GBP-LIBOR-3M</Index>
-      <Index>CHF-LIBOR-6M</Index>
-      <Index>JPY-LIBOR-6M</Index>
     </Indices>
     <SwapIndices>
       <SwapIndex>
@@ -238,8 +232,6 @@
         <Currency>EUR</Currency>
         <Currency>USD</Currency>
         <Currency>GBP</Currency>
-        <Currency>CHF</Currency>
-        <Currency>JPY</Currency>
       </Currencies>
       <Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
       <Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
@@ -251,7 +243,6 @@
       <CurrencyPairs>
         <CurrencyPair>USDEUR</CurrencyPair>
         <CurrencyPair>GBPEUR</CurrencyPair>
-        <CurrencyPair>JPYEUR</CurrencyPair>
       </CurrencyPairs>
       <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
     </FxVolatilities>

OREAnalytics-SWIG/Python/Examples/Input/market_20160205.txt

@@ -21,84 +21,58 @@
   </Configuration>
   <!-- yield curve definition (in ccy swap discounting) -->
   <YieldCurves id="default">
-    <YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
     <YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
     <YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
-    <YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
   </YieldCurves>
   <!-- yield curve definition (in ccy ois discounting) -->
   <YieldCurves id="ois">
-    <YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
     <YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
     <YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
-    <YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
   </YieldCurves>
   <!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
   <YieldCurves id="xois_eur">
-    <YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
     <YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
     <YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
-    <YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
   </YieldCurves>
   <!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
   <YieldCurves id="inccy_swap">
-    <YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
     <YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
     <YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
-    <YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
-    <YieldCurve name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</YieldCurve>
   </YieldCurves>
   <!-- discounting curve definition (in ccy swap discounting) -->
   <DiscountingCurves id="inccy_swap">
     <DiscountingCurve currency="EUR">Yield/EUR/EUR6M</DiscountingCurve>
     <DiscountingCurve currency="USD">Yield/USD/USD3M</DiscountingCurve>
     <DiscountingCurve currency="GBP">Yield/GBP/GBP6M</DiscountingCurve>
-    <DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
-    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
   </DiscountingCurves>
   <!-- discounting curve definition (in ccy ois discounting) -->
   <DiscountingCurves id="ois">
     <DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
     <DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
     <DiscountingCurve currency="GBP">Yield/GBP/GBP1D</DiscountingCurve>
-    <DiscountingCurve currency="CHF">Yield/CHF/CHF1D</DiscountingCurve>
-    <DiscountingCurve currency="JPY">Yield/JPY/JPY1D</DiscountingCurve>
   </DiscountingCurves>
   <!-- discounting curve definition (xois discounting w.r.t. EUR collateral) -->
   <DiscountingCurves id="xois_eur">
     <DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
     <DiscountingCurve currency="USD">Yield/USD/USD-IN-EUR</DiscountingCurve>
     <DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-EUR</DiscountingCurve>
-    <DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-EUR</DiscountingCurve>
-    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
   </DiscountingCurves>
   <DiscountingCurves id="xois_usd">
     <DiscountingCurve currency="EUR">Yield/EUR/EUR-IN-USD</DiscountingCurve>
     <DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
     <DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-USD</DiscountingCurve>
-    <DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-USD</DiscountingCurve>
-    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
   </DiscountingCurves>
 
   <!-- index forwarding curve definition -->
   <IndexForwardingCurves id="default">
-    <Index name="EUR-EURIBOR-1M">Yield/EUR/EUR1M</Index>
     <Index name="EUR-EURIBOR-3M">Yield/EUR/EUR3M</Index>
     <Index name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</Index>
-    <Index name="EUR-EURIBOR-12M">Yield/EUR/EUR12M</Index>
     <Index name="EUR-EONIA">Yield/EUR/EUR1D</Index>
     <Index name="USD-FedFunds">Yield/USD/USD1D</Index>
     <Index name="USD-LIBOR-3M">Yield/USD/USD3M</Index>
-    <Index name="USD-LIBOR-6M">Yield/USD/USD6M</Index>
     <Index name="GBP-SONIA">Yield/GBP/GBP1D</Index>
     <Index name="GBP-LIBOR-3M">Yield/GBP/GBP3M</Index>
-    <Index name="CHF-TOIS">Yield/CHF/CHF1D</Index>
     <Index name="GBP-LIBOR-6M">Yield/GBP/GBP6M</Index>
-    <Index name="CHF-LIBOR-3M">Yield/CHF/CHF3M</Index>
-    <Index name="CHF-LIBOR-6M">Yield/CHF/CHF6M</Index>
-    <Index name="JPY-LIBOR-6M">Yield/JPY/JPY6M</Index>
-    <Index name="JPY-TONAR">Yield/JPY/JPY1D</Index>
-    <Index name="USD-SIFMA">Yield/USD/USDBMA</Index>
     </IndexForwardingCurves>
   <SwapIndexCurves id="default">
     <SwapIndex name="EUR-CMS-1Y">
@@ -125,98 +99,51 @@
     <SwapIndex name="GBP-CMS-30Y">
       <Discounting>GBP-SONIA</Discounting>
     </SwapIndex>
-    <SwapIndex name="CHF-CMS-1Y">
-      <Discounting>CHF-TOIS</Discounting>
-    </SwapIndex>
-    <SwapIndex name="CHF-CMS-30Y">
-      <Discounting>CHF-TOIS</Discounting>
-    </SwapIndex>
-    <SwapIndex name="JPY-CMS-1Y">
-      <Discounting>JPY-TONAR</Discounting>
-    </SwapIndex>
-    <SwapIndex name="JPY-CMS-30Y">
-      <Discounting>JPY-TONAR</Discounting>
-    </SwapIndex>
   </SwapIndexCurves>
   <!-- inflation index definition -->
   <ZeroInflationIndexCurves id="default">
-      <!--<InflationIndexCurve name="AUCPI">Inflation/AUCPI/AUCPI_ZC_Swaps</InflationIndexCurve> -->
-      <ZeroInflationIndexCurve name="EUHICP">Inflation/EUHICP/EUHICP_ZC_Swaps</ZeroInflationIndexCurve>
-      <ZeroInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_ZC_Swaps</ZeroInflationIndexCurve>
-      <ZeroInflationIndexCurve name="FRHICP">Inflation/FRHICP/FRHICP_ZC_Swaps</ZeroInflationIndexCurve>
-      <ZeroInflationIndexCurve name="UKRPI">Inflation/UKRPI/UKRPI_ZC_Swaps</ZeroInflationIndexCurve>
-      <ZeroInflationIndexCurve name="USCPI">Inflation/USCPI/USCPI_ZC_Swaps</ZeroInflationIndexCurve>
-      <ZeroInflationIndexCurve name="ZACPI">Inflation/ZACPI/ZACPI_ZC_Swaps</ZeroInflationIndexCurve>
   </ZeroInflationIndexCurves>
   <YYInflationIndexCurves id="default">
-      <YYInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_YY_Swaps</YYInflationIndexCurve>
   </YYInflationIndexCurves>
   <!-- fx spot definition -->
   <FxSpots id="default">
     <FxSpot pair="EURUSD">FX/EUR/USD</FxSpot>
     <FxSpot pair="EURGBP">FX/EUR/GBP</FxSpot>
-    <FxSpot pair="EURCHF">FX/EUR/CHF</FxSpot>
-    <FxSpot pair="EURJPY">FX/EUR/JPY</FxSpot>
   </FxSpots>
   <!-- fx volatility definition -->
   <FxVolatilities id="default">
     <FxVolatility pair="EURUSD">FXVolatility/EUR/USD/EURUSD</FxVolatility>
     <FxVolatility pair="EURGBP">FXVolatility/EUR/GBP/EURGBP</FxVolatility>
-    <FxVolatility pair="EURCHF">FXVolatility/EUR/CHF/EURCHF</FxVolatility>
-    <FxVolatility pair="EURJPY">FXVolatility/EUR/JPY/EURJPY</FxVolatility>
-    <FxVolatility pair="GBPUSD">FXVolatility/GBP/USD/GBPUSD</FxVolatility>
   </FxVolatilities>
   <!-- swaption volatility definition -->
   <SwaptionVolatilities id="default">
     <SwaptionVolatility currency="EUR">SwaptionVolatility/EUR/EUR_SW_N</SwaptionVolatility>
     <SwaptionVolatility currency="USD">SwaptionVolatility/USD/USD_SW_N</SwaptionVolatility>
     <SwaptionVolatility currency="GBP">SwaptionVolatility/GBP/GBP_SW_N</SwaptionVolatility>
-    <SwaptionVolatility currency="CHF">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
-    <SwaptionVolatility currency="JPY">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
   </SwaptionVolatilities>
   <!-- cap volatility definition -->
   <CapFloorVolatilities id="default">
-    <CapFloorVolatility currency="EUR">CapFloorVolatility/EUR/EUR_CF_N</CapFloorVolatility>
-    <CapFloorVolatility currency="USD">CapFloorVolatility/USD/USD_CF_N</CapFloorVolatility>
-    <CapFloorVolatility currency="GBP">CapFloorVolatility/GBP/GBP_CF_N</CapFloorVolatility>
   </CapFloorVolatilities>
   <!-- default curves definition -->
   <DefaultCurves id="default">
-    <DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
     <DefaultCurve name="CPTY_A">Default/USD/CPTY_A_SR_USD</DefaultCurve>
-    <DefaultCurve name="CPTY_B">Default/USD/CPTY_A_SR_USD</DefaultCurve>
-    <DefaultCurve name="CPTY_C">Default/EUR/CPTY_C_SR_EUR</DefaultCurve>
-    <DefaultCurve name="BOND_YIELD_EUR_OVER_OIS">Default/EUR/BOND_YIELD_EUR_OVER_OIS</DefaultCurve>
+    <DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
   </DefaultCurves>
   <!-- inflation volatility curves definition -->
   <YYInflationCapFloorVolatilities id="default">
-    <YYInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_YY_CF_N</YYInflationCapFloorVolatility>
   </YYInflationCapFloorVolatilities>
   <ZeroInflationCapFloorVolatilities id="default">
-    <ZeroInflationCapFloorVolatility name="UKRPI">InflationCapFloorVolatility/UKRPI/UKRPI_ZC_CF</ZeroInflationCapFloorVolatility>
-    <ZeroInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_ZC_CF</ZeroInflationCapFloorVolatility>
-    <ZeroInflationCapFloorVolatility name="USCPI">InflationCapFloorVolatility/USCPI/USCPI_ZC_CF</ZeroInflationCapFloorVolatility>
   </ZeroInflationCapFloorVolatilities>
   <EquityCurves id="default">
-      <EquityCurve name="SP5">Equity/USD/SP5</EquityCurve>
-      <EquityCurve name="Lufthansa">Equity/EUR/Lufthansa</EquityCurve>
   </EquityCurves>
   <EquityVolatilities id="default">
-      <EquityVolatility name="SP5">EquityVolatility/USD/SP5</EquityVolatility>
-      <EquityVolatility name="Lufthansa">EquityVolatility/EUR/Lufthansa</EquityVolatility>
   </EquityVolatilities>
   <Securities id="collateral_eur">
-     <Security name="SECURITY_1">Security/SECURITY_1</Security>
-   </Securities>
+  </Securities>
   <Securities id="default">
-     <Security name="SECURITY_1">Security/SECURITY_1</Security>
-   </Securities>
+  </Securities>
   <CommodityCurves id="default">
-    <CommodityCurve name="COMDTY_GOLD_USD">Commodity/USD/GOLD_USD</CommodityCurve>
-    <CommodityCurve name="COMDTY_WTI_USD">Commodity/USD/WTI_USD</CommodityCurve>
   </CommodityCurves>
   <CommodityVolatilities id="default">
-      <CommodityVolatility name="COMDTY_GOLD_USD">CommodityVolatility/USD/GOLD_USD_VOLS</CommodityVolatility>
-      <CommodityVolatility name="COMDTY_WTI_USD">CommodityVolatility/USD/WTI_USD_VOLS</CommodityVolatility>
   </CommodityVolatilities>
 </TodaysMarket>