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2 parents 2f5731b + 0672d4b commit 09e1b27

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Lines changed: 73 additions & 9351 deletions

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

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

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‎OREAnalytics-SWIG/Python/Examples/Input/simulation.xml‎

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

‎OREAnalytics-SWIG/Python/Examples/Input/todaysmarket.xml‎

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@@ -21,84 +21,58 @@
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</Configuration>
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<!-- yield curve definition (in ccy swap discounting) -->
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<YieldCurves id="default">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (in ccy ois discounting) -->
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<YieldCurves id="ois">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
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<YieldCurves id="xois_eur">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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</YieldCurves>
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<!-- yield curve definition (xois discounting w.r.t. EUR collateral) -->
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<YieldCurves id="inccy_swap">
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<YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
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<YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
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<YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
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<YieldCurve name="BOND_YIELD_EUR">Yield/EUR/BOND_YIELD_EUR</YieldCurve>
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<YieldCurve name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</YieldCurve>
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</YieldCurves>
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<!-- discounting curve definition (in ccy swap discounting) -->
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<DiscountingCurves id="inccy_swap">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR6M</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD3M</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP6M</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<!-- discounting curve definition (in ccy ois discounting) -->
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<DiscountingCurves id="ois">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP1D</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF1D</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY1D</DiscountingCurve>
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</DiscountingCurves>
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<!-- discounting curve definition (xois discounting w.r.t. EUR collateral) -->
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<DiscountingCurves id="xois_eur">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-EUR</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<DiscountingCurves id="xois_usd">
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<DiscountingCurve currency="EUR">Yield/EUR/EUR-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
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<DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="CHF">Yield/CHF/CHF-IN-USD</DiscountingCurve>
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<DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
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</DiscountingCurves>
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<!-- index forwarding curve definition -->
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<IndexForwardingCurves id="default">
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<Index name="EUR-EURIBOR-1M">Yield/EUR/EUR1M</Index>
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<Index name="EUR-EURIBOR-3M">Yield/EUR/EUR3M</Index>
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<Index name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</Index>
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<Index name="EUR-EURIBOR-12M">Yield/EUR/EUR12M</Index>
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<Index name="EUR-EONIA">Yield/EUR/EUR1D</Index>
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<Index name="USD-FedFunds">Yield/USD/USD1D</Index>
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<Index name="USD-LIBOR-3M">Yield/USD/USD3M</Index>
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<Index name="USD-LIBOR-6M">Yield/USD/USD6M</Index>
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<Index name="GBP-SONIA">Yield/GBP/GBP1D</Index>
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<Index name="GBP-LIBOR-3M">Yield/GBP/GBP3M</Index>
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<Index name="CHF-TOIS">Yield/CHF/CHF1D</Index>
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<Index name="GBP-LIBOR-6M">Yield/GBP/GBP6M</Index>
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<Index name="CHF-LIBOR-3M">Yield/CHF/CHF3M</Index>
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<Index name="CHF-LIBOR-6M">Yield/CHF/CHF6M</Index>
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<Index name="JPY-LIBOR-6M">Yield/JPY/JPY6M</Index>
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<Index name="JPY-TONAR">Yield/JPY/JPY1D</Index>
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<Index name="USD-SIFMA">Yield/USD/USDBMA</Index>
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</IndexForwardingCurves>
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<SwapIndexCurves id="default">
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<SwapIndex name="EUR-CMS-1Y">
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<SwapIndex name="GBP-CMS-30Y">
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<Discounting>GBP-SONIA</Discounting>
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</SwapIndex>
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<SwapIndex name="CHF-CMS-1Y">
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<Discounting>CHF-TOIS</Discounting>
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</SwapIndex>
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<SwapIndex name="CHF-CMS-30Y">
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<Discounting>CHF-TOIS</Discounting>
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</SwapIndex>
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<SwapIndex name="JPY-CMS-1Y">
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<Discounting>JPY-TONAR</Discounting>
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</SwapIndex>
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<SwapIndex name="JPY-CMS-30Y">
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<Discounting>JPY-TONAR</Discounting>
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</SwapIndex>
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</SwapIndexCurves>
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<!-- inflation index definition -->
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<ZeroInflationIndexCurves id="default">
143-
<!--<InflationIndexCurve name="AUCPI">Inflation/AUCPI/AUCPI_ZC_Swaps</InflationIndexCurve> -->
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<ZeroInflationIndexCurve name="EUHICP">Inflation/EUHICP/EUHICP_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="FRHICP">Inflation/FRHICP/FRHICP_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="UKRPI">Inflation/UKRPI/UKRPI_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="USCPI">Inflation/USCPI/USCPI_ZC_Swaps</ZeroInflationIndexCurve>
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<ZeroInflationIndexCurve name="ZACPI">Inflation/ZACPI/ZACPI_ZC_Swaps</ZeroInflationIndexCurve>
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</ZeroInflationIndexCurves>
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<YYInflationIndexCurves id="default">
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<YYInflationIndexCurve name="EUHICPXT">Inflation/EUHICPXT/EUHICPXT_YY_Swaps</YYInflationIndexCurve>
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</YYInflationIndexCurves>
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<!-- fx spot definition -->
155109
<FxSpots id="default">
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<FxSpot pair="EURUSD">FX/EUR/USD</FxSpot>
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<FxSpot pair="EURGBP">FX/EUR/GBP</FxSpot>
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<FxSpot pair="EURCHF">FX/EUR/CHF</FxSpot>
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<FxSpot pair="EURJPY">FX/EUR/JPY</FxSpot>
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</FxSpots>
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<!-- fx volatility definition -->
162114
<FxVolatilities id="default">
163115
<FxVolatility pair="EURUSD">FXVolatility/EUR/USD/EURUSD</FxVolatility>
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<FxVolatility pair="EURGBP">FXVolatility/EUR/GBP/EURGBP</FxVolatility>
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<FxVolatility pair="EURCHF">FXVolatility/EUR/CHF/EURCHF</FxVolatility>
166-
<FxVolatility pair="EURJPY">FXVolatility/EUR/JPY/EURJPY</FxVolatility>
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<FxVolatility pair="GBPUSD">FXVolatility/GBP/USD/GBPUSD</FxVolatility>
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</FxVolatilities>
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<!-- swaption volatility definition -->
170119
<SwaptionVolatilities id="default">
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<SwaptionVolatility currency="EUR">SwaptionVolatility/EUR/EUR_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="USD">SwaptionVolatility/USD/USD_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="GBP">SwaptionVolatility/GBP/GBP_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="CHF">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
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<SwaptionVolatility currency="JPY">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
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</SwaptionVolatilities>
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<!-- cap volatility definition -->
178125
<CapFloorVolatilities id="default">
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<CapFloorVolatility currency="EUR">CapFloorVolatility/EUR/EUR_CF_N</CapFloorVolatility>
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<CapFloorVolatility currency="USD">CapFloorVolatility/USD/USD_CF_N</CapFloorVolatility>
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<CapFloorVolatility currency="GBP">CapFloorVolatility/GBP/GBP_CF_N</CapFloorVolatility>
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</CapFloorVolatilities>
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<!-- default curves definition -->
184128
<DefaultCurves id="default">
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<DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
186129
<DefaultCurve name="CPTY_A">Default/USD/CPTY_A_SR_USD</DefaultCurve>
187-
<DefaultCurve name="CPTY_B">Default/USD/CPTY_A_SR_USD</DefaultCurve>
188-
<DefaultCurve name="CPTY_C">Default/EUR/CPTY_C_SR_EUR</DefaultCurve>
189-
<DefaultCurve name="BOND_YIELD_EUR_OVER_OIS">Default/EUR/BOND_YIELD_EUR_OVER_OIS</DefaultCurve>
130+
<DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
190131
</DefaultCurves>
191132
<!-- inflation volatility curves definition -->
192133
<YYInflationCapFloorVolatilities id="default">
193-
<YYInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_YY_CF_N</YYInflationCapFloorVolatility>
194134
</YYInflationCapFloorVolatilities>
195135
<ZeroInflationCapFloorVolatilities id="default">
196-
<ZeroInflationCapFloorVolatility name="UKRPI">InflationCapFloorVolatility/UKRPI/UKRPI_ZC_CF</ZeroInflationCapFloorVolatility>
197-
<ZeroInflationCapFloorVolatility name="EUHICPXT">InflationCapFloorVolatility/EUHICPXT/EUHICPXT_ZC_CF</ZeroInflationCapFloorVolatility>
198-
<ZeroInflationCapFloorVolatility name="USCPI">InflationCapFloorVolatility/USCPI/USCPI_ZC_CF</ZeroInflationCapFloorVolatility>
199136
</ZeroInflationCapFloorVolatilities>
200137
<EquityCurves id="default">
201-
<EquityCurve name="SP5">Equity/USD/SP5</EquityCurve>
202-
<EquityCurve name="Lufthansa">Equity/EUR/Lufthansa</EquityCurve>
203138
</EquityCurves>
204139
<EquityVolatilities id="default">
205-
<EquityVolatility name="SP5">EquityVolatility/USD/SP5</EquityVolatility>
206-
<EquityVolatility name="Lufthansa">EquityVolatility/EUR/Lufthansa</EquityVolatility>
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</EquityVolatilities>
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<Securities id="collateral_eur">
209-
<Security name="SECURITY_1">Security/SECURITY_1</Security>
210-
</Securities>
142+
</Securities>
211143
<Securities id="default">
212-
<Security name="SECURITY_1">Security/SECURITY_1</Security>
213-
</Securities>
144+
</Securities>
214145
<CommodityCurves id="default">
215-
<CommodityCurve name="COMDTY_GOLD_USD">Commodity/USD/GOLD_USD</CommodityCurve>
216-
<CommodityCurve name="COMDTY_WTI_USD">Commodity/USD/WTI_USD</CommodityCurve>
217146
</CommodityCurves>
218147
<CommodityVolatilities id="default">
219-
<CommodityVolatility name="COMDTY_GOLD_USD">CommodityVolatility/USD/GOLD_USD_VOLS</CommodityVolatility>
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<CommodityVolatility name="COMDTY_WTI_USD">CommodityVolatility/USD/WTI_USD_VOLS</CommodityVolatility>
221148
</CommodityVolatilities>
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</TodaysMarket>

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