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Merge branch 'QPR-12302_TBS' into 'master'
Resolve QPR-12302 "Tbs" Closes QPR-12302 See merge request qs/oreswig!54
2 parents 2e7fd3f + 11f53ad commit 21003cc

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‎Docs/ore-swig.tex‎

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@@ -184,7 +184,6 @@ \subsection*{QuantExt Interfaces}
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\subitem DiscountingFxForward
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\subitem Payment
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\subitem PaymentDiscountingEngine
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\subitem OvernightIndexedBasisSwap
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\subitem Deposit
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\subitem DepositEngine
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\subitem DiscountingSwapEngineMultiCurve
@@ -195,7 +194,6 @@ \subsection*{QuantExt Interfaces}
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\subitem SubPeriodsSwapHelper
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\subitem SubPeriodsCoupon1
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\subitem OICCBSHelper
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\subitem OIBSHelper
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\subitem BasisTwoSwapHelper
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\subitem ImmFraRateHelper
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\subitem CrossCcyFixFloatSwapHelper

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

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</TenorBasisTwoSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-6M</LongIndex>
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<ShortIndex>USD-LIBOR-3M</ShortIndex>
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<ShortPayTenor>6M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-6M</PayIndex>
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<ReceiveIndex>USD-LIBOR-3M</ReceiveIndex>
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<ReceiveFrequency>6M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-3M</LongIndex>
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<ShortIndex>USD-LIBOR-1M</ShortIndex>
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<ShortPayTenor>3M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-3M</PayIndex>
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<ReceiveIndex>USD-LIBOR-1M</ReceiveIndex>
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<ReceiveFrequency>3M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>GBP-LIBOR-6M</LongIndex>
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<ShortIndex>GBP-LIBOR-3M</ShortIndex>
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<PayIndex>GBP-LIBOR-6M</PayIndex>
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<ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>CHF-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>CHF-LIBOR-6M</LongIndex>
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<ShortIndex>CHF-LIBOR-3M</ShortIndex>
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<PayIndex>CHF-LIBOR-6M</PayIndex>
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<ReceiveIndex>CHF-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>JPY-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>JPY-LIBOR-6M</LongIndex>
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<ShortIndex>JPY-LIBOR-3M</ShortIndex>
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<PayIndex>JPY-LIBOR-6M</PayIndex>
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<ReceiveIndex>JPY-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>EUR-OIS-1M-BASIS-CONVENTIONS</Id>
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<LongIndex>EUR-EURIBOR-1M</LongIndex>
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<ShortIndex>EUR-EONIA</ShortIndex>
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<ShortPayTenor>1Y</ShortPayTenor>
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<PayIndex>EUR-EURIBOR-1M</PayIndex>
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<ReceiveIndex>EUR-EONIA</ReceiveIndex>
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<ReceiveFrequency>1Y</ReceiveFrequency>
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</TenorBasisSwap>
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<BMABasisSwap>
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<Id>USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS</Id>

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

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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>
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<ProjectionCurveLong>USD3M</ProjectionCurveLong>
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<ProjectionCurveShort>USD1M</ProjectionCurveShort>
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<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>
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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>
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<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
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<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
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<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
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<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<ProjectionCurveLong>USD6M</ProjectionCurveLong>
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<ProjectionCurveShort>USD3M</ProjectionCurveShort>
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<ProjectionCurvePay>USD6M</ProjectionCurvePay>
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<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
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<ProjectionCurveShort/>
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<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
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<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<DiscountCurve></DiscountCurve>
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<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/conventions.xml‎

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</TenorBasisTwoSwap>
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<TenorBasisSwap>
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<Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>GBP-LIBOR-6M</LongIndex>
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<ShortIndex>GBP-LIBOR-3M</ShortIndex>
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<PayIndex>GBP-LIBOR-6M</PayIndex>
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<ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<!-- FX Forwards -->

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

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<FXVolatilities>
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<FXVolatility>
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<CurveId>EURGBP</CurveId>
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<CurveDescription />
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<CurveDescription/>
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<Dimension>ATM</Dimension>
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<Expiries>1Y</Expiries>
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<FXSpotID>FX/EUR/GBP</FXSpotID>
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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>
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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>
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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>
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</YieldCurve>
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<YieldCurve>
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<CurveId>GBP6M</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>
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</YieldCurve>
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</YieldCurves>
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</CurveConfiguration>
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</CurveConfiguration>

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

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</TenorBasisTwoSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-6M</LongIndex>
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<ShortIndex>USD-LIBOR-3M</ShortIndex>
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<ShortPayTenor>6M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-6M</PayIndex>
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<ReceiveIndex>USD-LIBOR-3M</ReceiveIndex>
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<ReceiveFrequency>6M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-3M</LongIndex>
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<ShortIndex>USD-LIBOR-1M</ShortIndex>
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<ShortPayTenor>3M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-3M</PayIndex>
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<ReceiveIndex>USD-LIBOR-1M</ReceiveIndex>
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<ReceiveFrequency>3M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>GBP-LIBOR-6M</LongIndex>
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<ShortIndex>GBP-LIBOR-3M</ShortIndex>
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<PayIndex>GBP-LIBOR-6M</PayIndex>
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<ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>CHF-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>CHF-LIBOR-6M</LongIndex>
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<ShortIndex>CHF-LIBOR-3M</ShortIndex>
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<PayIndex>CHF-LIBOR-6M</PayIndex>
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<ReceiveIndex>CHF-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>JPY-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>JPY-LIBOR-6M</LongIndex>
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<ShortIndex>JPY-LIBOR-3M</ShortIndex>
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<PayIndex>JPY-LIBOR-6M</PayIndex>
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<ReceiveIndex>JPY-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>EUR-OIS-1M-BASIS-CONVENTIONS</Id>
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<LongIndex>EUR-EURIBOR-1M</LongIndex>
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<ShortIndex>EUR-EONIA</ShortIndex>
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<ShortPayTenor>1Y</ShortPayTenor>
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<PayIndex>EUR-EURIBOR-1M</PayIndex>
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<ReceiveIndex>EUR-EONIA</ReceiveIndex>
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<ReceiveFrequency>1Y</ReceiveFrequency>
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</TenorBasisSwap>
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<BMABasisSwap>
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<Id>USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS</Id>

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

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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>
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<ProjectionCurveLong>USD3M</ProjectionCurveLong>
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<ProjectionCurveShort>USD1M</ProjectionCurveShort>
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<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>
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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>
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<ProjectionCurveLong>EUR12M</ProjectionCurveLong>
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<ProjectionCurveShort>EUR6M</ProjectionCurveShort>
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<ProjectionCurvePay>EUR12M</ProjectionCurvePay>
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<ProjectionCurveReceive>EUR6M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<ProjectionCurveLong>USD6M</ProjectionCurveLong>
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<ProjectionCurveShort>USD3M</ProjectionCurveShort>
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<ProjectionCurvePay>USD6M</ProjectionCurvePay>
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<ProjectionCurveReceive>USD3M</ProjectionCurveReceive>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<ProjectionCurveLong>GBP6M</ProjectionCurveLong>
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<ProjectionCurveShort/>
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<ProjectionCurvePay>GBP6M</ProjectionCurvePay>
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<ProjectionCurveReceive/>
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</TenorBasis>
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</Segments>
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</YieldCurve>
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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>
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<DiscountCurve></DiscountCurve>
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<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/conventions.xml‎

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</TenorBasisTwoSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-6M</LongIndex>
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<ShortIndex>USD-LIBOR-3M</ShortIndex>
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<ShortPayTenor>6M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-6M</PayIndex>
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<ReceiveIndex>USD-LIBOR-3M</ReceiveIndex>
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<ReceiveFrequency>6M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>USD-LIBOR-1M-3M-BASIS-CONVENTIONS</Id>
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<LongIndex>USD-LIBOR-3M</LongIndex>
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<ShortIndex>USD-LIBOR-1M</ShortIndex>
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<ShortPayTenor>3M</ShortPayTenor>
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<SpreadOnShort>true</SpreadOnShort>
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<PayIndex>USD-LIBOR-3M</PayIndex>
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<ReceiveIndex>USD-LIBOR-1M</ReceiveIndex>
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<ReceiveFrequency>3M</ReceiveFrequency>
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<SpreadOnRec>true</SpreadOnRec>
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<IncludeSpread>false</IncludeSpread>
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<SubPeriodsCouponType>Compounding</SubPeriodsCouponType>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>GBP-LIBOR-6M</LongIndex>
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<ShortIndex>GBP-LIBOR-3M</ShortIndex>
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<PayIndex>GBP-LIBOR-6M</PayIndex>
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<ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>CHF-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>CHF-LIBOR-6M</LongIndex>
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<ShortIndex>CHF-LIBOR-3M</ShortIndex>
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<PayIndex>CHF-LIBOR-6M</PayIndex>
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<ReceiveIndex>CHF-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>JPY-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
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<LongIndex>JPY-LIBOR-6M</LongIndex>
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<ShortIndex>JPY-LIBOR-3M</ShortIndex>
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<PayIndex>JPY-LIBOR-6M</PayIndex>
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<ReceiveIndex>JPY-LIBOR-3M</ReceiveIndex>
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</TenorBasisSwap>
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<TenorBasisSwap>
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<Id>EUR-OIS-1M-BASIS-CONVENTIONS</Id>
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<LongIndex>EUR-EURIBOR-1M</LongIndex>
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<ShortIndex>EUR-EONIA</ShortIndex>
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<ShortPayTenor>1Y</ShortPayTenor>
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<PayIndex>EUR-EURIBOR-1M</PayIndex>
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<ReceiveIndex>EUR-EONIA</ReceiveIndex>
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<ReceiveFrequency>1Y</ReceiveFrequency>
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</TenorBasisSwap>
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<BMABasisSwap>
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<Id>USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS</Id>

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