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QPR-12302 conventions example update
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‎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/Notebooks/Example_1/Input/conventions.xml‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -227,8 +227,8 @@
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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_2/Input/conventions.xml‎

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Original file line numberDiff line numberDiff line change
@@ -1027,42 +1027,42 @@
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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_3/Input/bak/conventions.xml‎

Lines changed: 17 additions & 17 deletions
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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_3/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_4/Input/conventions.xml‎

Lines changed: 17 additions & 17 deletions
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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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