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initial commit for VarInput.py #1

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45487c4
initial commit for VarInput.py
rkapl123 Jun 19, 2024
7d87c3c
added option to configure files externally
rkapl123 Jun 20, 2024
ae4d873
fixed reading of histmarketdata.txt (header None)
rkapl123 Aug 4, 2024
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1,721 changes: 1,721 additions & 0 deletions VarInput/Input/conventions.xml
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1,775 changes: 1,775 additions & 0 deletions VarInput/Input/curveconfig.xml
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213 changes: 213 additions & 0 deletions VarInput/Input/pricingengine.xml
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<PricingEngines>
<Product type="BermudanSwaption">
<Model>LGM</Model>
<ModelParameters>
<Parameter name="Calibration">Bootstrap</Parameter>
<Parameter name="CalibrationStrategy">CoterminalATM</Parameter>
<Parameter name="Reversion">0.03</Parameter>
<Parameter name="ReversionType">HullWhite</Parameter>
<Parameter name="Tolerance">0.0001</Parameter>
<Parameter name="Volatility">0.01</Parameter>
<Parameter name="VolatilityType">Hagan</Parameter>
</ModelParameters>
<Engine>Grid</Engine>
<EngineParameters>
<Parameter name="nx">10</Parameter>
<Parameter name="ny">10</Parameter>
<Parameter name="sx">3.0</Parameter>
<Parameter name="sy">3.0</Parameter>
</EngineParameters>
</Product>
<Product type="Bond">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingRiskyBondEngine</Engine>
<EngineParameters>
<Parameter name="TimestepPeriod">6M</Parameter>
</EngineParameters>
</Product>
<Product type="CapFloor">
<Model>IborCapModel</Model>
<ModelParameters/>
<Engine>IborCapEngine</Engine>
<EngineParameters/>
</Product>
<Product type="CapFlooredIborLeg">
<Model>BlackOrBachelier</Model>
<ModelParameters/>
<Engine>BlackIborCouponPricer</Engine>
<EngineParameters>
<Parameter name="Correlation">1.0</Parameter>
<Parameter name="TimingAdjustment">Black76</Parameter>
</EngineParameters>
</Product>
<Product type="CMS">
<Model>LinearTSR</Model>
<ModelParameters/>
<Engine>LinearTSRPricer</Engine>
<EngineParameters>
<Parameter name="BsStdDev">3.0</Parameter>
<Parameter name="LowerRateBoundLogNormal">0.0001</Parameter>
<Parameter name="LowerRateBoundNormal">-2.0000</Parameter>
<Parameter name="MeanReversion">0.0</Parameter>
<Parameter name="Policy">RateBound</Parameter>
<Parameter name="PriceThreshold">0.0000001</Parameter>
<Parameter name="UpperRateBoundLogNormal">2.0000</Parameter>
<Parameter name="UpperRateBoundNormal">2.0000</Parameter>
<Parameter name="VegaRatio">0.01</Parameter>
</EngineParameters>
</Product>
<Product type="CMS_DEACTIVATED">
<Model>Hagan</Model>
<ModelParameters/>
<Engine>Numerical</Engine>
<EngineParameters>
<Parameter name="LowerLimit">1.0</Parameter>
<Parameter name="MeanReversion">0.0</Parameter>
<Parameter name="Precision">0.000001</Parameter>
<Parameter name="UpperLimit">0.0</Parameter>
<Parameter name="YieldCurveModel">Standard</Parameter>
</EngineParameters>
</Product>
<Product type="CMSSpread">
<Model>BrigoMercurio</Model>
<ModelParameters>
<Parameter name="Correlation_CHF">0.7</Parameter>
<Parameter name="Correlation_EUR">0.8</Parameter>
<Parameter name="Correlation_GBP">0.72</Parameter>
<Parameter name="Correlation_USD">0.75</Parameter>
</ModelParameters>
<Engine>Analytic</Engine>
<EngineParameters>
<Parameter name="IntegrationPoints">16</Parameter>
</EngineParameters>
</Product>
<Product type="CMSSpread3">
<Model>ZeroVol</Model>
<ModelParameters>
<Parameter name="Correlation_CHF">0.7</Parameter>
<Parameter name="Correlation_EUR">0.8</Parameter>
<Parameter name="Correlation_GBP">0.72</Parameter>
<Parameter name="Correlation_USD">0.75</Parameter>
</ModelParameters>
<Engine>Analytic</Engine>
<EngineParameters>
<Parameter name="IntegrationPoints">16</Parameter>
</EngineParameters>
</Product>
<Product type="CommodityForward">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingCommodityForwardEngine</Engine>
<EngineParameters/>
</Product>
<Product type="CommodityOption">
<Model>BlackScholes</Model>
<ModelParameters/>
<Engine>AnalyticEuropeanEngine</Engine>
<EngineParameters/>
</Product>
<Product type="CreditDefaultSwap">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>MidPointCdsEngine</Engine>
<EngineParameters/>
</Product>
<Product type="CrossCurrencySwap">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingCrossCurrencySwapEngine</Engine>
<EngineParameters/>
</Product>
<Product type="EquityForward">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingEquityForwardEngine</Engine>
<EngineParameters/>
</Product>
<Product type="EquityOption">
<Model>BlackScholesMerton</Model>
<ModelParameters/>
<Engine>AnalyticEuropeanEngine</Engine>
<EngineParameters/>
</Product>
<Product type="EuropeanSwaption">
<Model>BlackBachelier</Model>
<ModelParameters/>
<Engine>BlackBachelierSwaptionEngine</Engine>
<EngineParameters/>
</Product>
<Product type="FxForward">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingFxForwardEngine</Engine>
<EngineParameters/>
</Product>
<Product type="FxOption">
<Model>GarmanKohlhagen</Model>
<ModelParameters/>
<Engine>AnalyticEuropeanEngine</Engine>
<EngineParameters/>
</Product>
<Product type="Swap">
<Model>DiscountedCashflows</Model>
<ModelParameters/>
<Engine>DiscountingSwapEngineOptimised</Engine>
<EngineParameters/>
</Product>
<Product type="VarianceSwap">
<Model>BlackScholesMerton</Model>
<ModelParameters/>
<Engine>ReplicatingVarianceSwapEngine</Engine>
<EngineParameters>
<Parameter name="MoneynessStep">0.05</Parameter>
<Parameter name="NumberOfCalls">8</Parameter>
<Parameter name="NumberOfPuts">11</Parameter>
</EngineParameters>
</Product>
<Product type="YYCapFloor">
<Model>YYCapModel</Model>
<ModelParameters/>
<Engine>YYCapEngine</Engine>
<EngineParameters/>
</Product>
<Product type="FormulaBasedCoupon">
<Model>BrigoMercurio</Model>
<ModelParameters>
<Parameter name="FXSource">ECB</Parameter>
</ModelParameters>
<Engine>MC</Engine>
<EngineParameters>
<Parameter name="Samples">1000</Parameter>
<Parameter name="Seed">42</Parameter>
<Parameter name="Sobol">Y</Parameter>
<Parameter name="SalvageCorrelationMatrix">Y</Parameter>
</EngineParameters>
</Product>
<Product type="ScriptedTrade">
<Model>Generic</Model>
<ModelParameters>
<Parameter name="Model">BlackScholes</Parameter>
<Parameter name="Model_SingleUnderlyingIrOption">GaussianCam</Parameter>
<Parameter name="BaseCcy">USD</Parameter>
<Parameter name="EnforceBaseCcy">false</Parameter>
<Parameter name="GridCoarsening">3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y)</Parameter>
<Parameter name="IrReversion_EUR">0.01</Parameter>
<Parameter name="IrReversion_GBP">0.01</Parameter>
<Parameter name="FullDynamicFx">false</Parameter>
<Parameter name="FullDynamicIr">false</Parameter>
<Parameter name="FullDynamicFx_SingleUnderlyingIrOption">true</Parameter>
<Parameter name="FullDynamicIr_SingleUnderlyingIrOption">true</Parameter>
</ModelParameters>
<Engine>Generic</Engine>
<EngineParameters>
<Parameter name="Engine">MC</Parameter>
<Parameter name="Samples">10000</Parameter>
<Parameter name="Samples_SingleUnderlyingIrOption">10000</Parameter>
<Parameter name="RegressionOrder">6</Parameter>
<Parameter name="TimeStepsPerYear">24</Parameter>
<Parameter name="Interactive">false</Parameter>
<Parameter name="BootstrapTolerance">1.0</Parameter>
</EngineParameters>
</Product>
</PricingEngines>
125 changes: 125 additions & 0 deletions VarInput/Input/sensitivity.xml
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<SensitivityAnalysis>
<!-- Discount curve shifts -->
<DiscountCurves>
<DiscountCurve ccy="EUR">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</DiscountCurve>
<DiscountCurve ccy="USD">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</DiscountCurve>
<DiscountCurve ccy="GBP">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</DiscountCurve>
<DiscountCurve ccy="CHF">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</DiscountCurve>
<DiscountCurve ccy="EUR">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</DiscountCurve>
</DiscountCurves>
<!-- Index curve shifts -->
<IndexCurves>
<IndexCurve index="EUR-EURIBOR-6M">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</IndexCurve>
<IndexCurve index="EUR-EURIBOR-3M">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</IndexCurve>
<IndexCurve index="EUR-EONIA">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</IndexCurve>
<IndexCurve index="USD-LIBOR-3M">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</IndexCurve>
<IndexCurve index="CHF-LIBOR-6M">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
</IndexCurve>
</IndexCurves>
<!-- FX spot shifts -->
<FxSpots>
<FxSpot ccypair="USDEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
</FxSpot>
<FxSpot ccypair="GBPEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
</FxSpot>
<FxSpot ccypair="CHFEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
</FxSpot>
<FxSpot ccypair="JPYEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
</FxSpot>
</FxSpots>
<!-- FX ATM vol shifts -->
<FxVolatilities>
<FxVolatility ccypair="USDEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
<ShiftStrikes/>
</FxVolatility>
<FxVolatility ccypair="GBPEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
<ShiftStrikes/>
</FxVolatility>
<FxVolatility ccypair="JPYEUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
<ShiftStrikes/>
</FxVolatility>
</FxVolatilities>
<!-- Swaption ATM vol shifts -->
<SwaptionVolatilities>
<SwaptionVolatility ccy="EUR">
<ShiftType>Relative</ShiftType>
<ShiftSize>0.01</ShiftSize>
<ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
<ShiftTerms>1Y,5Y,10Y</ShiftTerms>
<ShiftStrikes/>
</SwaptionVolatility>
</SwaptionVolatilities>
<!-- Cap/Floor (Optionlet or Flat) vol surface shifts -->
<CapFloorVolatilities>
<CapFloorVolatility ccy="EUR">
<ShiftType>Absolute</ShiftType>
<ShiftSize>0.0001</ShiftSize>
<ShiftExpiries>1Y,2Y,3Y,5Y,7Y,10Y</ShiftExpiries>
<ShiftStrikes>0.01,0.02,0.03,0.04,0.05</ShiftStrikes>
<Index>EUR-EURIBOR-6M</Index>
</CapFloorVolatility>
</CapFloorVolatilities>
<CDSVolatilities></CDSVolatilities>
<!-- Cross Gamma filter: Pairs of factor sub-strings -->
<CrossGammaFilter>
<Pair>DiscountCurve/EUR,DiscountCurve/EUR</Pair>
<Pair>IndexCurve/EUR,IndexCurve/EUR</Pair>
<Pair>DiscountCurve/EUR,IndexCurve/EUR</Pair>
</CrossGammaFilter>
</SensitivityAnalysis>
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