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<?xml version="1.0"?>
<Simulation>
<!--
This section determines the scenario generation
given the model defined below.
-->
<Parameters>
<Discretization>Exact</Discretization>
<Grid>81,3M</Grid>
<!--<Grid>242,1M</Grid>-->
<Calendar>EUR,USD,GBP,CHF</Calendar>
<Sequence>SobolBrownianBridge</Sequence>
<Scenario>Simple</Scenario>
<Seed>42</Seed>
<Samples>1000</Samples>
<Ordering>Steps</Ordering>
<DirectionIntegers>JoeKuoD7</DirectionIntegers>
</Parameters>
<!--
This section determines the simulation model composition
and the calibration of all components.
-->
<CrossAssetModel>
<DomesticCcy>EUR</DomesticCcy>
<Currencies>
<Currency>EUR</Currency>
<Currency>USD</Currency>
<Currency>GBP</Currency>
<Currency>CHF</Currency>
<Currency>JPY</Currency>
</Currencies>
<BootstrapTolerance>0.0001</BootstrapTolerance>
<InterestRateModels>
<LGM ccy="default">
<CalibrationType>Bootstrap</CalibrationType>
<!-- Bootstrap, BestFit -->
<Volatility>
<Calibrate>Y</Calibrate>
<VolatilityType>Hagan</VolatilityType>
<!-- Hagan, HullWhite -->
<ParamType>Piecewise</ParamType>
<!-- Constant, Piecewise -->
<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<!-- <TimeGrid/> -->
<InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
<!-- <InitialValue>0.01</InitialValue>-->
</Volatility>
<Reversion>
<Calibrate>N</Calibrate>
<ReversionType>HullWhite</ReversionType>
<!-- Hagan, HullWhite -->
<ParamType>Constant</ParamType>
<!-- Constant, Piecewise -->
<TimeGrid/>
<InitialValue>0.03</InitialValue>
</Reversion>
<CalibrationSwaptions>
<Expiries> 1Y, 2Y, 4Y, 6Y, 8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
<Terms> 19Y, 18Y, 16Y, 14Y, 12Y, 10Y, 8Y, 6Y, 4Y, 2Y, 1Y</Terms>
<Strikes/>
</CalibrationSwaptions>
<ParameterTransformation>
<ShiftHorizon>0.0</ShiftHorizon>
<Scaling>1.0</Scaling>
</ParameterTransformation>
</LGM>
<LGM ccy="EUR">
<CalibrationType>Bootstrap</CalibrationType>
<Volatility>
<Calibrate>Y</Calibrate>
<VolatilityType>Hagan</VolatilityType>
<ParamType>Piecewise</ParamType>
<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
</Volatility>
<Reversion>
<Calibrate>N</Calibrate>
<ReversionType>HullWhite</ReversionType>
<ParamType>Constant</ParamType>
<TimeGrid/>
<InitialValue>0.03</InitialValue>
</Reversion>
<CalibrationSwaptions>
<Expiries> 1Y, 2Y, 4Y, 6Y, 8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
<Terms> 19Y, 18Y, 16Y, 14Y, 12Y, 10Y, 8Y, 6Y, 4Y, 2Y, 1Y</Terms>
<Strikes/>
</CalibrationSwaptions>
<ParameterTransformation>
<ShiftHorizon>0.0</ShiftHorizon>
<Scaling>1.0</Scaling>
</ParameterTransformation>
</LGM>
<LGM ccy="CHF">
<CalibrationType>Bootstrap</CalibrationType>
<Volatility>
<Calibrate>Y</Calibrate>
<VolatilityType>Hagan</VolatilityType>
<ParamType>Piecewise</ParamType>
<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
</Volatility>
<Reversion>
<Calibrate>N</Calibrate>
<ReversionType>HullWhite</ReversionType>
<ParamType>Constant</ParamType>
<TimeGrid/>
<InitialValue>0.03</InitialValue>
</Reversion>
<CalibrationSwaptions>
<Expiries> 1Y, 2Y, 4Y, 6Y, 8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
<Terms> 19Y, 18Y, 16Y, 14Y, 12Y, 10Y, 8Y, 6Y, 4Y, 2Y, 1Y</Terms>
<Strikes/>
</CalibrationSwaptions>
<ParameterTransformation>
<ShiftHorizon>0.0</ShiftHorizon>
<Scaling>1.0</Scaling>
</ParameterTransformation>
</LGM>
</InterestRateModels>
<ForeignExchangeModels>
<CrossCcyLGM foreignCcy="default">
<DomesticCcy>EUR</DomesticCcy>
<CalibrationType>Bootstrap</CalibrationType>
<Sigma>
<Calibrate>Y</Calibrate>
<ParamType>Piecewise</ParamType>
<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
</Sigma>
<CalibrationOptions>
<Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
<Strikes/>
<!-- ATMF, +25D, -25D, 1.2345 -->
</CalibrationOptions>
</CrossCcyLGM>
<CrossCcyLGM foreignCcy="USD">
<DomesticCcy>EUR</DomesticCcy>
<CalibrationType>Bootstrap</CalibrationType>
<Sigma>
<Calibrate>Y</Calibrate>
<ParamType>Piecewise</ParamType>
<TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
</Sigma>
<CalibrationOptions>
<Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
<Strikes/>
<!-- ATMF, +25D, -25D, 1.2345 -->
</CalibrationOptions>
</CrossCcyLGM>
<CrossCcyLGM foreignCcy="GBP">
<DomesticCcy>EUR</DomesticCcy>
<CalibrationType>Bootstrap</CalibrationType>
<Sigma>
<Calibrate>Y</Calibrate>
<ParamType>Piecewise</ParamType>
<TimeGrid> 1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
<InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
</Sigma>
<CalibrationOptions>
<Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
<Strikes/>
</CalibrationOptions>
</CrossCcyLGM>
</ForeignExchangeModels>
<InstantaneousCorrelations>
<Correlation factor1="IR:EUR" factor2="IR:USD">0.3</Correlation>
<Correlation factor1="IR:EUR" factor2="IR:GBP">0.3</Correlation>
<Correlation factor1="IR:USD" factor2="IR:GBP">0.3</Correlation>
<Correlation factor1="IR:EUR" factor2="FX:USDEUR">0</Correlation>
<Correlation factor1="IR:EUR" factor2="FX:GBPEUR">0</Correlation>
<Correlation factor1="IR:GBP" factor2="FX:USDEUR">0</Correlation>
<Correlation factor1="IR:GBP" factor2="FX:GBPEUR">0</Correlation>
<Correlation factor1="IR:USD" factor2="FX:USDEUR">0</Correlation>
<Correlation factor1="IR:USD" factor2="FX:GBPEUR">0</Correlation>
<Correlation factor1="FX:USDEUR" factor2="FX:GBPEUR">0</Correlation>
<!-- ... -->
</InstantaneousCorrelations>
</CrossAssetModel>
<!--
This setion determines the composition of the market used for
pricing under future market scenarios,
1) the structure/composition of the actively simulated market (IR, FX)
2) the method applied to evolve volatility structures even if not
simulated (roll or push)
-->
<Market>
<BaseCurrency>EUR</BaseCurrency>
<Currencies>
<Currency>EUR</Currency>
<Currency>USD</Currency>
<Currency>GBP</Currency>
<Currency>CHF</Currency>
<Currency>JPY</Currency>
</Currencies>
<YieldCurves>
<Configuration>
<Tenors>3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</Tenors>
<Interpolation>LogLinear</Interpolation>
<!-- Alternative: LinearZero -->
<Extrapolation>Y</Extrapolation>
</Configuration>
</YieldCurves>
<Indices>
<Index>EUR-EURIBOR-6M</Index>
<Index>EUR-EURIBOR-3M</Index>
<Index>EUR-EONIA</Index>
<Index>USD-LIBOR-3M</Index>
<Index>GBP-LIBOR-6M</Index>
<Index>GBP-LIBOR-3M</Index>
<Index>CHF-LIBOR-6M</Index>
<Index>JPY-LIBOR-6M</Index>
</Indices>
<SwapIndices>
<SwapIndex>
<Name>EUR-CMS-1Y</Name>
<DiscountingIndex>EUR-EONIA</DiscountingIndex>
</SwapIndex>
<SwapIndex>
<Name>EUR-CMS-30Y</Name>
<DiscountingIndex>EUR-EONIA</DiscountingIndex>
</SwapIndex>
</SwapIndices>
<DefaultCurves>
<Names/>
<Tenors>6M,1Y,2Y</Tenors>
</DefaultCurves>
<!-- Even if we do not simulate them - option pricing needs vol
surfaces, so we need to specify here how we propagate the
vol structure and what its composition will be -->
<SwaptionVolatilities>
<Simulate>false</Simulate>
<!-- Alternative: ConstantVariance -->
<ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
<Currencies>
<Currency>EUR</Currency>
<Currency>USD</Currency>
<Currency>GBP</Currency>
<Currency>CHF</Currency>
<Currency>JPY</Currency>
</Currencies>
<Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
<Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
</SwaptionVolatilities>
<FxVolatilities>
<Simulate>false</Simulate>
<!-- Alternative: ConstantVariance -->
<ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
<CurrencyPairs>
<CurrencyPair>USDEUR</CurrencyPair>
<CurrencyPair>GBPEUR</CurrencyPair>
<CurrencyPair>JPYEUR</CurrencyPair>
</CurrencyPairs>
<Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
</FxVolatilities>
<!-- Additional data that is recorded during simulation for later
use in the post processor -->
<AggregationScenarioDataCurrencies>
<Currency>EUR</Currency>
<Currency>USD</Currency>
</AggregationScenarioDataCurrencies>
<AggregationScenarioDataIndices>
<Index>EUR-EURIBOR-3M</Index>
<Index>EUR-EONIA</Index>
<Index>USD-LIBOR-3M</Index>
</AggregationScenarioDataIndices>
</Market>
</Simulation>