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QPR-12302 update curveConfigs
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Lines changed: 56 additions & 56 deletions

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

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -351,8 +351,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Conventions>
354-
<ProjectionCurveLong>USD3M</ProjectionCurveLong>
355-
<ProjectionCurveShort>USD1M</ProjectionCurveShort>
354+
<ProjectionCurvePay>USD3M</ProjectionCurvePay>
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<ProjectionCurveReceive>USD1M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1059,8 +1059,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y</Quote>
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</Quotes>
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<Conventions>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Conventions>
1062-
<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
1063-
<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
1062+
<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
1063+
<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1363,8 +1363,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1366-
<ProjectionCurveLong>USD6M</ProjectionCurveLong>
1367-
<ProjectionCurveShort>USD3M</ProjectionCurveShort>
1366+
<ProjectionCurvePay>USD6M</ProjectionCurvePay>
1367+
<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1543,8 +1543,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y</Quote>
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</Quotes>
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<Conventions>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1546-
<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
1547-
<ProjectionCurveShort/>
1546+
<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
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<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -2515,7 +2515,7 @@
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<CurveId>BOND_YIELD_EUR</CurveId>
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<CurveDescription>Bond yield curve EUR</CurveDescription>
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<Currency>EUR</Currency>
2518-
<DiscountCurve></DiscountCurve>
2518+
<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_1/Input/curveconfig.xml‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -3,7 +3,7 @@
33
<FXVolatilities>
44
<FXVolatility>
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<CurveId>EURGBP</CurveId>
6-
<CurveDescription />
6+
<CurveDescription/>
77
<Dimension>ATM</Dimension>
88
<Expiries>1Y</Expiries>
99
<FXSpotID>FX/EUR/GBP</FXSpotID>
@@ -75,7 +75,7 @@
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<CurveId>EUR1D</CurveId>
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<CurveDescription>EUR discount curve bootstrapped from EONIA swap rates</CurveDescription>
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<Currency>EUR</Currency>
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<DiscountCurve />
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<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>
@@ -92,9 +92,9 @@
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</YieldCurve>
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<YieldCurve>
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<CurveId>EUR6M</CurveId>
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<CurveDescription />
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<CurveDescription/>
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<Currency>EUR</Currency>
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<DiscountCurve />
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<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>
@@ -110,9 +110,9 @@
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</YieldCurve>
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<YieldCurve>
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<CurveId>GBP1D</CurveId>
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<CurveDescription />
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<CurveDescription/>
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<Currency>GBP</Currency>
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<DiscountCurve />
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<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>
@@ -125,9 +125,9 @@
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</YieldCurve>
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<YieldCurve>
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<CurveId>GBP6M</CurveId>
128-
<CurveDescription />
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<CurveDescription/>
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<Currency>GBP</Currency>
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<DiscountCurve />
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<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>
@@ -184,4 +184,4 @@
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</YieldCurve>
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</YieldCurves>
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187-
</CurveConfiguration>
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</CurveConfiguration>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_2/Input/curveconfig.xml‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -390,8 +390,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Conventions>
393-
<ProjectionCurveLong>USD3M</ProjectionCurveLong>
394-
<ProjectionCurveShort>USD1M</ProjectionCurveShort>
393+
<ProjectionCurvePay>USD3M</ProjectionCurvePay>
394+
<ProjectionCurveReceive>USD1M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1098,8 +1098,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y</Quote>
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</Quotes>
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<Conventions>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Conventions>
1101-
<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
1102-
<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
1101+
<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
1102+
<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1402,8 +1402,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1405-
<ProjectionCurveLong>USD6M</ProjectionCurveLong>
1406-
<ProjectionCurveShort>USD3M</ProjectionCurveShort>
1405+
<ProjectionCurvePay>USD6M</ProjectionCurvePay>
1406+
<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1582,8 +1582,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y</Quote>
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</Quotes>
15841584
<Conventions>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1585-
<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
1586-
<ProjectionCurveShort/>
1585+
<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
1586+
<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -2554,7 +2554,7 @@
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<CurveId>BOND_YIELD_EUR</CurveId>
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<CurveDescription>Bond yield curve EUR</CurveDescription>
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<Currency>EUR</Currency>
2557-
<DiscountCurve></DiscountCurve>
2557+
<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_3/Input/bak/curveconfig.xml‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -390,8 +390,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Conventions>
393-
<ProjectionCurveLong>USD3M</ProjectionCurveLong>
394-
<ProjectionCurveShort>USD1M</ProjectionCurveShort>
393+
<ProjectionCurvePay>USD3M</ProjectionCurvePay>
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<ProjectionCurveReceive>USD1M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1098,8 +1098,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y</Quote>
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</Quotes>
11001100
<Conventions>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Conventions>
1101-
<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
1102-
<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
1101+
<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
1102+
<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1402,8 +1402,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1405-
<ProjectionCurveLong>USD6M</ProjectionCurveLong>
1406-
<ProjectionCurveShort>USD3M</ProjectionCurveShort>
1405+
<ProjectionCurvePay>USD6M</ProjectionCurvePay>
1406+
<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1582,8 +1582,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y</Quote>
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</Quotes>
15841584
<Conventions>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1585-
<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
1586-
<ProjectionCurveShort/>
1585+
<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
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<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -2554,7 +2554,7 @@
25542554
<CurveId>BOND_YIELD_EUR</CurveId>
25552555
<CurveDescription>Bond yield curve EUR</CurveDescription>
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<Currency>EUR</Currency>
2557-
<DiscountCurve></DiscountCurve>
2557+
<DiscountCurve/>
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<Segments>
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<Direct>
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<Type>Zero</Type>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_3/Input/curveconfig.xml‎

Lines changed: 9 additions & 9 deletions
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@@ -413,8 +413,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Conventions>
416-
<ProjectionCurveLong>USD3M</ProjectionCurveLong>
417-
<ProjectionCurveShort>USD1M</ProjectionCurveShort>
416+
<ProjectionCurvePay>USD3M</ProjectionCurvePay>
417+
<ProjectionCurveReceive>USD1M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1121,8 +1121,8 @@
11211121
<Quote>BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y</Quote>
11221122
</Quotes>
11231123
<Conventions>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Conventions>
1124-
<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
1125-
<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
1124+
<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
1125+
<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
11261126
</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1425,8 +1425,8 @@
14251425
<Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1428-
<ProjectionCurveLong>USD6M</ProjectionCurveLong>
1429-
<ProjectionCurveShort>USD3M</ProjectionCurveShort>
1428+
<ProjectionCurvePay>USD6M</ProjectionCurvePay>
1429+
<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
14301430
</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1605,8 +1605,8 @@
16051605
<Quote>BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y</Quote>
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</Quotes>
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<Conventions>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1608-
<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
1609-
<ProjectionCurveShort/>
1608+
<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
1609+
<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -2577,7 +2577,7 @@
25772577
<CurveId>BOND_YIELD_EUR</CurveId>
25782578
<CurveDescription>Bond yield curve EUR</CurveDescription>
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<Currency>EUR</Currency>
2580-
<DiscountCurve></DiscountCurve>
2580+
<DiscountCurve/>
25812581
<Segments>
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<Direct>
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<Type>Zero</Type>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_4/Input/curveconfig.xml‎

Lines changed: 9 additions & 9 deletions
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@@ -390,8 +390,8 @@
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<Quote>BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y</Quote>
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</Quotes>
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<Conventions>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Conventions>
393-
<ProjectionCurveLong>USD3M</ProjectionCurveLong>
394-
<ProjectionCurveShort>USD1M</ProjectionCurveShort>
393+
<ProjectionCurvePay>USD3M</ProjectionCurvePay>
394+
<ProjectionCurveReceive>USD1M</ProjectionCurveReceive>
395395
</TenorBasis>
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</Segments>
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</YieldCurve>
@@ -1098,8 +1098,8 @@
10981098
<Quote>BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y</Quote>
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</Quotes>
11001100
<Conventions>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Conventions>
1101-
<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
1102-
<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
1101+
<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
1102+
<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
11031103
</TenorBasis>
11041104
</Segments>
11051105
</YieldCurve>
@@ -1402,8 +1402,8 @@
14021402
<Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y</Quote>
14031403
</Quotes>
14041404
<Conventions>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1405-
<ProjectionCurveLong>USD6M</ProjectionCurveLong>
1406-
<ProjectionCurveShort>USD3M</ProjectionCurveShort>
1405+
<ProjectionCurvePay>USD6M</ProjectionCurvePay>
1406+
<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
14071407
</TenorBasis>
14081408
</Segments>
14091409
</YieldCurve>
@@ -1582,8 +1582,8 @@
15821582
<Quote>BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y</Quote>
15831583
</Quotes>
15841584
<Conventions>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Conventions>
1585-
<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
1586-
<ProjectionCurveShort/>
1585+
<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
1586+
<ProjectionCurveReceive/>
15871587
</TenorBasis>
15881588
</Segments>
15891589
</YieldCurve>
@@ -2554,7 +2554,7 @@
25542554
<CurveId>BOND_YIELD_EUR</CurveId>
25552555
<CurveDescription>Bond yield curve EUR</CurveDescription>
25562556
<Currency>EUR</Currency>
2557-
<DiscountCurve></DiscountCurve>
2557+
<DiscountCurve/>
25582558
<Segments>
25592559
<Direct>
25602560
<Type>Zero</Type>

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_5/Input/curveconfig.xml‎

Lines changed: 2 additions & 2 deletions
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@@ -231,8 +231,8 @@
231231
<Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/30Y</Quote>
232232
</Quotes>
233233
<Conventions>EURIBOR-3M-6M-BASIS</Conventions>
234-
<ProjectionCurveLong>EUR-EURIBOR-6M</ProjectionCurveLong>
235-
<ProjectionCurveShort>EUR-EURIBOR-3M</ProjectionCurveShort>
234+
<ProjectionCurvePay>EUR-EURIBOR-6M</ProjectionCurvePay>
235+
<ProjectionCurveReceive>EUR-EURIBOR-3M</ProjectionCurveReceive>
236236
</TenorBasis>
237237
</Segments>
238238
<InterpolationVariable>Discount</InterpolationVariable>

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