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Copy pathore.xml
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87 lines (87 loc) · 4.18 KB
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<?xml version="1.0"?>
<ORE>
<Setup>
<Parameter name="asofDate">2016-02-05</Parameter>
<Parameter name="inputPath">Input</Parameter>
<Parameter name="outputPath">Output</Parameter>
<Parameter name="logFile">log.txt</Parameter>
<Parameter name="logMask">31</Parameter>
<Parameter name="marketDataFile">../../Input/market_20160205_flat.txt</Parameter>
<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
<Parameter name="implyTodaysFixings">Y</Parameter>
<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
<Parameter name="portfolioFile">portfolio_swap.xml</Parameter>
<Parameter name="observationModel">None</Parameter>
<Parameter name="continueOnError">false</Parameter>
<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
</Setup>
<Markets>
<Parameter name="lgmcalibration">libor</Parameter>
<Parameter name="fxcalibration">libor</Parameter>
<Parameter name="eqcalibration">libor</Parameter>
<Parameter name="pricing">libor</Parameter>
<Parameter name="simulation">libor</Parameter>
</Markets>
<Analytics>
<Analytic type="npv">
<Parameter name="active">Y</Parameter>
<Parameter name="baseCurrency">EUR</Parameter>
<Parameter name="outputFileName">npv.csv</Parameter>
<Parameter name="additionalResults">Y</Parameter>
</Analytic>
<Analytic type="cashflow">
<Parameter name="active">Y</Parameter>
<Parameter name="outputFileName">flows.csv</Parameter>
</Analytic>
<Analytic type="curves">
<Parameter name="active">Y</Parameter>
<Parameter name="configuration">default</Parameter>
<Parameter name="grid">240,1M</Parameter>
<Parameter name="outputFileName">curves.csv</Parameter>
<Parameter name="outputTodaysMarketCalibration">Y</Parameter>
</Analytic>
<Analytic type="simulation">
<Parameter name="active">Y</Parameter>
<Parameter name="simulationConfigFile">simulation.xml</Parameter>
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
<Parameter name="baseCurrency">EUR</Parameter>
<Parameter name="observationModel">Disable</Parameter>
<!-- Parameter name="scenariodump">scenariodump.csv</Parameter> -->
<Parameter name="cubeFile">cube.csv.gz</Parameter>
<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
</Analytic>
<Analytic type="xva">
<Parameter name="active">Y</Parameter>
<Parameter name="useXvaRunner">N</Parameter>
<Parameter name="csaFile">netting.xml</Parameter>
<Parameter name="cubeFile">cube.csv.gz</Parameter>
<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
<Parameter name="baseCurrency">EUR</Parameter>
<Parameter name="exposureProfiles">Y</Parameter>
<Parameter name="exposureProfilesByTrade">Y</Parameter>
<Parameter name="quantile">0.95</Parameter>
<Parameter name="calculationType">Symmetric</Parameter>
<Parameter name="allocationMethod">None</Parameter>
<Parameter name="marginalAllocationLimit">1.0</Parameter>
<Parameter name="exerciseNextBreak">N</Parameter>
<Parameter name="cva">Y</Parameter>
<Parameter name="dva">Y</Parameter>
<Parameter name="dvaName">BANK</Parameter>
<Parameter name="fva">Y</Parameter>
<Parameter name="fvaBorrowingCurve">BANK_EUR_BORROW</Parameter>
<Parameter name="fvaLendingCurve">BANK_EUR_LEND</Parameter>
<Parameter name="colva">N</Parameter>
<Parameter name="collateralFloor">N</Parameter>
<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
</Analytic>
<Analytic type="initialMargin">
<Parameter name="active">N</Parameter>
<Parameter name="method"/>
</Analytic>
</Analytics>
</ORE>