Skip to content

Commit 4532aab

Browse files
mgronckimgroncki
committed
Merge branch 'add_notebooks_from_alexis' into 'master'
add noteboooks from alexis See merge request qs/oreswig!68
2 parents 1c26407 + 535577e commit 4532aab

24 files changed

Lines changed: 4001 additions & 0 deletions

‎Docker/Dockerfile-ORESWIG-App‎

Lines changed: 2 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -43,6 +43,8 @@ RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/No
4343
RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/Notebooks/Example_3
4444
RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/Notebooks/Example_4
4545
RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/Notebooks/Example_5
46+
RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/Notebooks/Example_6
47+
RUN cp oreswig/example_scripts/Notebooks/utilities.py oreswig/example_scripts/Notebooks/Example_7
4648
COPY ore/Examples /oreswig/Examples
4749
COPY ore/Tools /oreswig/Tools
4850
# Set env variable to run the ore examples with the python interface instead of the executable

‎OREAnalytics-SWIG/Python/Examples/Notebooks/Example_6/Input/conventions.xml‎

Lines changed: 254 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,254 @@
1+
<?xml version="1.0" encoding="utf-8"?>
2+
<Conventions>
3+
<Zero>
4+
<Id>EUR-ZERO-CONVENTIONS</Id>
5+
<TenorBased>false</TenorBased>
6+
<DayCounter>A360</DayCounter>
7+
<CompoundingFrequency>Daily</CompoundingFrequency>
8+
</Zero>
9+
<Zero>
10+
<Id>EUR-ZERO-CONVENTIONS-TENOR-BASED</Id>
11+
<TenorBased>true</TenorBased>
12+
<DayCounter>A360</DayCounter>
13+
<Compounding>Simple</Compounding>
14+
<TenorCalendar>TARGET</TenorCalendar>
15+
<SpotLag>2</SpotLag>
16+
<SpotCalendar>TARGET</SpotCalendar>
17+
<EOM>false</EOM>
18+
</Zero>
19+
<Zero>
20+
<Id>GBP-ZERO-CONVENTIONS-TENOR-BASED</Id>
21+
<TenorBased>true</TenorBased>
22+
<DayCounter>A365</DayCounter>
23+
<Compounding>Continuous</Compounding>
24+
<CompoundingFrequency>Daily</CompoundingFrequency>
25+
<TenorCalendar>TARGET</TenorCalendar>
26+
<SpotLag>0</SpotLag>
27+
<SpotCalendar>TARGET</SpotCalendar>
28+
<RollConvention>Following</RollConvention>
29+
<EOM>false</EOM>
30+
</Zero>
31+
32+
<!-- CDS -->
33+
<CDS>
34+
<Id>CDS-STANDARD-CONVENTIONS</Id>
35+
<SettlementDays>0</SettlementDays>
36+
<Calendar>WeekendsOnly</Calendar>
37+
<Frequency>Quarterly</Frequency>
38+
<PaymentConvention>ModifiedFollowing</PaymentConvention>
39+
<Rule>TwentiethIMM</Rule>
40+
<DayCounter>A360</DayCounter>
41+
<SettlesAccrual>true</SettlesAccrual>
42+
<PaysAtDefaultTime>true</PaysAtDefaultTime>
43+
</CDS>
44+
45+
<!-- Deposits -->
46+
<Deposit>
47+
<Id>EUR-EURIBOR-CONVENTIONS</Id>
48+
<IndexBased>true</IndexBased>
49+
<Index>EUR-EURIBOR</Index>
50+
</Deposit>
51+
<Deposit>
52+
<Id>EUR-DEPOSIT</Id>
53+
<IndexBased>true</IndexBased>
54+
<Index>EUR-EURIBOR</Index>
55+
</Deposit>
56+
<Deposit>
57+
<Id>GBP-DEPOSIT</Id>
58+
<IndexBased>true</IndexBased>
59+
<Index>GBP-LIBOR</Index>
60+
</Deposit>
61+
<Deposit>
62+
<Id>USD-FED-FUNDS-CONVENTIONS</Id>
63+
<IndexBased>true</IndexBased>
64+
<Index>USD-FedFunds</Index>
65+
</Deposit>
66+
67+
<!-- Money Market Futures -->
68+
<Future>
69+
<Id>EURIBOR-3M-FUTURES-CONVENTIONS</Id>
70+
<Index>EUR-EURIBOR-3M</Index>
71+
</Future>
72+
73+
<!-- Forward Rate Agreements -->
74+
<FRA>
75+
<Id>EUR-12M-FRA-CONVENTIONS</Id>
76+
<Index>EUR-EURIBOR-12M</Index>
77+
</FRA>
78+
<FRA>
79+
<Id>EUR-6M-FRA-CONVENTIONS</Id>
80+
<Index>EUR-EURIBOR-6M</Index>
81+
</FRA>
82+
<FRA>
83+
<Id>EUR-3M-FRA-CONVENTIONS</Id>
84+
<Index>EUR-EURIBOR-3M</Index>
85+
</FRA>
86+
<FRA>
87+
<Id>GBP-3M-FRA</Id>
88+
<Index>GBP-LIBOR-3M</Index>
89+
</FRA>
90+
<FRA>
91+
<Id>GBP-6M-FRA</Id>
92+
<Index>GBP-LIBOR-6M</Index>
93+
</FRA>
94+
95+
<!-- Swap Index -->
96+
<SwapIndex>
97+
<Id>EUR-CMS-1Y</Id>
98+
<Conventions>EUR-6M-SWAP-CONVENTIONS</Conventions>
99+
</SwapIndex>
100+
<SwapIndex>
101+
<Id>EUR-CMS-30Y</Id>
102+
<Conventions>EUR-6M-SWAP-CONVENTIONS</Conventions>
103+
</SwapIndex>
104+
<SwapIndex>
105+
<Id>GBP-CMS-1Y</Id>
106+
<Conventions>GBP-3M-SWAP-CONVENTIONS</Conventions>
107+
</SwapIndex>
108+
<SwapIndex>
109+
<Id>GBP-CMS-30Y</Id>
110+
<Conventions>GBP-6M-SWAP-CONVENTIONS</Conventions>
111+
</SwapIndex>
112+
113+
<!-- Swap -->
114+
<Swap>
115+
<Id>EUR-6M-SWAP-CONVENTIONS</Id>
116+
<FixedCalendar>TARGET</FixedCalendar>
117+
<FixedFrequency>Annual</FixedFrequency>
118+
<FixedConvention>MF</FixedConvention>
119+
<FixedDayCounter>A365</FixedDayCounter>
120+
<Index>EUR-EURIBOR-6M</Index>
121+
</Swap>
122+
<Swap>
123+
<Id>EUR-1M-SWAP-CONVENTIONS</Id>
124+
<FixedCalendar>TARGET</FixedCalendar>
125+
<FixedFrequency>Annual</FixedFrequency>
126+
<FixedConvention>MF</FixedConvention>
127+
<FixedDayCounter>30/360</FixedDayCounter>
128+
<Index>EUR-EURIBOR-1M</Index>
129+
</Swap>
130+
<Swap>
131+
<Id>EUR-3M-SWAP-CONVENTIONS</Id>
132+
<FixedCalendar>TARGET</FixedCalendar>
133+
<FixedFrequency>Annual</FixedFrequency>
134+
<FixedConvention>MF</FixedConvention>
135+
<FixedDayCounter>30/360</FixedDayCounter>
136+
<Index>EUR-EURIBOR-3M</Index>
137+
</Swap>
138+
<Swap>
139+
<Id>EUR-12M-SWAP-CONVENTIONS</Id>
140+
<FixedCalendar>TARGET</FixedCalendar>
141+
<FixedFrequency>Annual</FixedFrequency>
142+
<FixedConvention>MF</FixedConvention>
143+
<FixedDayCounter>30/360</FixedDayCounter>
144+
<Index>EUR-EURIBOR-12M</Index>
145+
</Swap>
146+
<Swap>
147+
<Id>GBP-6M-SWAP-CONVENTIONS</Id>
148+
<FixedCalendar>UK</FixedCalendar>
149+
<FixedFrequency>Semiannual</FixedFrequency>
150+
<FixedConvention>MF</FixedConvention>
151+
<FixedDayCounter>A365</FixedDayCounter>
152+
<Index>GBP-LIBOR-6M</Index>
153+
</Swap>
154+
<Swap>
155+
<Id>GBP-3M-SWAP-CONVENTIONS</Id>
156+
<FixedCalendar>UK</FixedCalendar>
157+
<FixedFrequency>Semiannual</FixedFrequency>
158+
<FixedConvention>MF</FixedConvention>
159+
<FixedDayCounter>A365</FixedDayCounter>
160+
<Index>GBP-LIBOR-3M</Index>
161+
</Swap>
162+
163+
<!-- Overnight Index linked Swap Legs -->
164+
<OIS>
165+
<Id>EUR-OIS-CONVENTIONS</Id>
166+
<SpotLag>0</SpotLag>
167+
<Index>EUR-EONIA</Index>
168+
<FixedDayCounter>A365</FixedDayCounter>
169+
<PaymentLag>0</PaymentLag>
170+
<EOM>false</EOM>
171+
<FixedFrequency>Annual</FixedFrequency>
172+
<FixedConvention>Following</FixedConvention>
173+
<FixedPaymentConvention>Following</FixedPaymentConvention>
174+
<Rule>Backward</Rule>
175+
</OIS>
176+
<OIS>
177+
<Id>GBP-OIS-CONVENTIONS</Id>
178+
<SpotLag>0</SpotLag>
179+
<Index>GBP-SONIA</Index>
180+
<FixedDayCounter>A365</FixedDayCounter>
181+
<PaymentLag>0</PaymentLag>
182+
<EOM>false</EOM>
183+
<FixedFrequency>Annual</FixedFrequency>
184+
<FixedConvention>Following</FixedConvention>
185+
<FixedPaymentConvention>Following</FixedPaymentConvention>
186+
<Rule>Backward</Rule>
187+
</OIS>
188+
<OIS>
189+
<Id>USD-OIS-CONVENTIONS</Id>
190+
<SpotLag>2</SpotLag>
191+
<Index>USD-FedFunds</Index>
192+
<FixedDayCounter>A360</FixedDayCounter>
193+
<PaymentLag>2</PaymentLag>
194+
<EOM>false</EOM>
195+
<FixedFrequency>Annual</FixedFrequency>
196+
<FixedConvention>Following</FixedConvention>
197+
<FixedPaymentConvention>Following</FixedPaymentConvention>
198+
<Rule>Backward</Rule>
199+
</OIS>
200+
201+
<!-- Tenor Basis Swaps -->
202+
<TenorBasisTwoSwap>
203+
<Id>EURIBOR-3M-6M-BASIS-CONVENTIONS</Id>
204+
<Calendar>TARGET</Calendar>
205+
<LongFixedFrequency>Annual</LongFixedFrequency>
206+
<LongFixedConvention>MF</LongFixedConvention>
207+
<LongFixedDayCounter>30/360</LongFixedDayCounter>
208+
<LongIndex>EUR-EURIBOR-6M</LongIndex>
209+
<ShortFixedFrequency>Annual</ShortFixedFrequency>
210+
<ShortFixedConvention>MF</ShortFixedConvention>
211+
<ShortFixedDayCounter>30/360</ShortFixedDayCounter>
212+
<ShortIndex>EUR-EURIBOR-3M</ShortIndex>
213+
<LongMinusShort>true</LongMinusShort>
214+
</TenorBasisTwoSwap>
215+
<TenorBasisTwoSwap>
216+
<Id>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Id>
217+
<Calendar>TARGET</Calendar>
218+
<LongFixedFrequency>Annual</LongFixedFrequency>
219+
<LongFixedConvention>MF</LongFixedConvention>
220+
<LongFixedDayCounter>30/360</LongFixedDayCounter>
221+
<LongIndex>EUR-EURIBOR-12M</LongIndex>
222+
<ShortFixedFrequency>Annual</ShortFixedFrequency>
223+
<ShortFixedConvention>MF</ShortFixedConvention>
224+
<ShortFixedDayCounter>30/360</ShortFixedDayCounter>
225+
<ShortIndex>EUR-EURIBOR-6M</ShortIndex>
226+
<LongMinusShort>true</LongMinusShort>
227+
</TenorBasisTwoSwap>
228+
<TenorBasisSwap>
229+
<Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
230+
<LongIndex>GBP-LIBOR-6M</LongIndex>
231+
<ShortIndex>GBP-LIBOR-3M</ShortIndex>
232+
</TenorBasisSwap>
233+
234+
<!-- FX Forwards -->
235+
<FX>
236+
<Id>EUR-GBP-FX-CONVENTIONS</Id>
237+
<SpotDays>2</SpotDays>
238+
<SourceCurrency>EUR</SourceCurrency>
239+
<TargetCurrency>GBP</TargetCurrency>
240+
<PointsFactor>10000</PointsFactor>
241+
<AdvanceCalendar>TARGET,UK</AdvanceCalendar>
242+
<SpotRelative>true</SpotRelative>
243+
</FX>
244+
245+
<!-- Cross Currency Basis Swaps -->
246+
<CrossCurrencyBasis>
247+
<Id>EUR-GBP-XCCY-BASIS-CONVENTIONS</Id>
248+
<SettlementDays>2</SettlementDays>
249+
<SettlementCalendar>UK,TARGET</SettlementCalendar>
250+
<RollConvention>MF</RollConvention>
251+
<FlatIndex>EUR-EURIBOR-3M</FlatIndex>
252+
<SpreadIndex>GBP-LIBOR-3M</SpreadIndex>
253+
</CrossCurrencyBasis>
254+
</Conventions>

0 commit comments

Comments
 (0)