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Fully annotated reference manual - version 1.8.12
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Static Public Member Functions | List of all members
ParSensitivityAnalysisTest Class Reference

Sensitivity analysis tests. More...

#include <test/parsensitivityanalysis.hpp>

+ Collaboration diagram for ParSensitivityAnalysisTest:

Static Public Member Functions

static void test1dZeroShifts ()
 Test that shifting all shift curve tenor points by DELTA yields DELTA shifts at all tenor points of the an. More...
 
static void test2dZeroShifts ()
 Test that shifting all 2-d shift tenor points by DELTA yields DELTA shifts at all 2-d grid points of the. More...
 
static void testPortfolioZeroSensitivity ()
 Test that the portfolio shows the expected sensitivity (regression test) More...
 
static void testParConversionNoneObs ()
 Test par conversion of sensitivities ("None" observation mode) More...
 
static void testParConversionDisableObs ()
 Test par conversion of sensitivities ("Disable" observation mode) More...
 
static void testParConversionDeferObs ()
 Test par conversion of sensitivities ("Defer" observation mode) More...
 
static void testParConversionUnregisterObs ()
 Test par conversion of sensitivities ("Unregister" observation mode) More...
 
static boost::unit_test_framework::test_suite * suite ()
 

Detailed Description

Sensitivity analysis tests.

Definition at line 34 of file parsensitivityanalysis.hpp.

Member Function Documentation

◆ test1dZeroShifts()

void test1dZeroShifts ( )
static

Test that shifting all shift curve tenor points by DELTA yields DELTA shifts at all tenor points of the an.

Definition at line 1365 of file parsensitivityanalysis.cpp.

1365 {
1366 BOOST_TEST_MESSAGE("Testing 1d shifts");
1367
1368 SavedSettings backup;
1369 ObservationMode::Mode backupMode = ObservationMode::instance().mode();
1370 ObservationMode::instance().setMode(ObservationMode::Mode::None);
1371
1372 Date today = Date(14, April, 2016);
1373 Settings::instance().evaluationDate() = today;
1374
1375 BOOST_TEST_MESSAGE("Today is " << today);
1376
1377 // build model
1378 string baseCcy = "EUR";
1379 vector<string> ccys;
1380 ccys.push_back(baseCcy);
1381 ccys.push_back("GBP");
1382
1383 // Init market
1384 QuantLib::ext::shared_ptr<Market> initMarket = QuantLib::ext::make_shared<TestMarket>(today);
1385
1386 // build scenario sim market parameters
1387 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarketParameters> simMarketData = setupSimMarketData2();
1388
1389 // build scenario sim market
1390 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarket> simMarket =
1391 QuantLib::ext::make_shared<analytics::ScenarioSimMarket>(initMarket, simMarketData);
1392
1393 // sensitivity config
1394 QuantLib::ext::shared_ptr<SensitivityScenarioData> sensiData = setupSensitivityScenarioData2();
1395
1396 // build scenario factory
1397 QuantLib::ext::shared_ptr<Scenario> baseScenario = simMarket->baseScenario();
1398 QuantLib::ext::shared_ptr<ScenarioFactory> scenarioFactory =
1399 QuantLib::ext::make_shared<ore::analytics::DeltaScenarioFactory>(baseScenario);
1400
1401 // build scenario generator
1402 QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
1403 QuantLib::ext::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
1404 scenarioFactory, false);
1405
1406 // cache initial zero rates
1407 vector<Period> tenors = simMarketData->yieldCurveTenors("");
1408 vector<Real> initialZeros(tenors.size());
1409 vector<Real> times(tenors.size());
1410 string ccy = simMarketData->ccys()[0];
1411 Handle<YieldTermStructure> ts = initMarket->discountCurve(ccy);
1412 DayCounter dc = ts->dayCounter();
1413 for (Size j = 0; j < tenors.size(); ++j) {
1414 Date d = today + simMarketData->yieldCurveTenors("")[j];
1415 initialZeros[j] = ts->zeroRate(d, dc, Continuous);
1416 times[j] = dc.yearFraction(today, d);
1417 }
1418
1419 // apply zero shifts for tenors on the shift curve
1420 // collect shifted data at tenors of the underlying curve
1421 // aggregate "observed" shifts
1422 // compare to expected total shifts
1423 vector<Period> shiftTenors = sensiData->discountCurveShiftData()["EUR"]->shiftTenors;
1424 vector<Time> shiftTimes(shiftTenors.size());
1425 for (Size i = 0; i < shiftTenors.size(); ++i)
1426 shiftTimes[i] = dc.yearFraction(today, today + shiftTenors[i]);
1427
1428 vector<Real> shiftedZeros(tenors.size());
1429 vector<Real> diffAbsolute(tenors.size(), 0.0);
1430 vector<Real> diffRelative(tenors.size(), 0.0);
1431 Real shiftSize = 0.01;
1432 ShiftType shiftTypeAbsolute = ShiftType::Absolute;
1433 ShiftType shiftTypeRelative = ShiftType::Relative;
1434 for (Size i = 0; i < shiftTenors.size(); ++i) {
1435 scenarioGenerator->applyShift(i, shiftSize, true, shiftTypeAbsolute, shiftTimes, initialZeros, times,
1436 shiftedZeros, true);
1437 for (Size j = 0; j < tenors.size(); ++j)
1438 diffAbsolute[j] += shiftedZeros[j] - initialZeros[j];
1439 scenarioGenerator->applyShift(i, shiftSize, true, shiftTypeRelative, shiftTimes, initialZeros, times,
1440 shiftedZeros, true);
1441 for (Size j = 0; j < tenors.size(); ++j)
1442 diffRelative[j] += shiftedZeros[j] / initialZeros[j] - 1.0;
1443 }
1444
1445 Real tolerance = 1.0e-10;
1446 for (Size j = 0; j < tenors.size(); ++j) {
1447 // BOOST_TEST_MESSAGE("1d shift: checking sensitivity to curve tenor point " << j << ": " << diff[j]);
1448 BOOST_CHECK_MESSAGE(fabs(diffAbsolute[j] - shiftSize) < tolerance,
1449 "inconsistency in absolute 1d shifts at curve tenor point " << j);
1450 BOOST_CHECK_MESSAGE(fabs(diffRelative[j] - shiftSize) < tolerance,
1451 "inconsistency in relative 1d shifts at curve tenor point " << j);
1452 }
1453 ObservationMode::instance().setMode(backupMode);
1454 IndexManager::instance().clearHistories();
1455}
setupSensitivityScenarioData2
QuantLib::ext::shared_ptr< SensitivityScenarioData > setupSensitivityScenarioData2()
Definition: parsensitivityanalysis.cpp:225
setupSimMarketData2
QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > setupSimMarketData2()
Definition: parsensitivityanalysis.cpp:70
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◆ test2dZeroShifts()

void test2dZeroShifts ( )
static

Test that shifting all 2-d shift tenor points by DELTA yields DELTA shifts at all 2-d grid points of the.

Definition at line 1457 of file parsensitivityanalysis.cpp.

1457 {
1458 BOOST_TEST_MESSAGE("Testing 2d shifts");
1459
1460 SavedSettings backup;
1461
1462 ObservationMode::Mode backupMode = ObservationMode::instance().mode();
1463 ObservationMode::instance().setMode(ObservationMode::Mode::None);
1464
1465 Date today = Date(14, April, 2016);
1466 Settings::instance().evaluationDate() = today;
1467
1468 BOOST_TEST_MESSAGE("Today is " << today);
1469
1470 // build model
1471 string baseCcy = "EUR";
1472 vector<string> ccys;
1473 ccys.push_back(baseCcy);
1474 ccys.push_back("GBP");
1475
1476 // Init market
1477 QuantLib::ext::shared_ptr<Market> initMarket = QuantLib::ext::make_shared<TestMarket>(today);
1478
1479 // build scenario sim market parameters
1480 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarketParameters> simMarketData = setupSimMarketData2();
1481
1482 // build scenario sim market
1483 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarket> simMarket =
1484 QuantLib::ext::make_shared<analytics::ScenarioSimMarket>(initMarket, simMarketData);
1485
1486 // sensitivity config
1487 QuantLib::ext::shared_ptr<SensitivityScenarioData> sensiData = setupSensitivityScenarioData2();
1488
1489 // build scenario factory
1490 QuantLib::ext::shared_ptr<Scenario> baseScenario = simMarket->baseScenario();
1491 QuantLib::ext::shared_ptr<ScenarioFactory> scenarioFactory =
1492 QuantLib::ext::make_shared<ore::analytics::DeltaScenarioFactory>(baseScenario);
1493
1494 // build scenario generator
1495 QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
1496 QuantLib::ext::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
1497 scenarioFactory, false);
1498
1499 // cache initial zero rates
1500 vector<Period> expiries = simMarketData->swapVolExpiries("");
1501 vector<Period> terms = simMarketData->swapVolTerms("");
1502 vector<vector<Real>> initialData(expiries.size(), vector<Real>(terms.size(), 0.0));
1503 vector<Real> expiryTimes(expiries.size());
1504 vector<Real> termTimes(terms.size());
1505 string ccy = simMarketData->ccys()[0];
1506 Handle<SwaptionVolatilityStructure> ts = initMarket->swaptionVol(ccy);
1507 DayCounter dc = ts->dayCounter();
1508 for (Size i = 0; i < expiries.size(); ++i)
1509 expiryTimes[i] = dc.yearFraction(today, today + expiries[i]);
1510 for (Size j = 0; j < terms.size(); ++j)
1511 termTimes[j] = dc.yearFraction(today, today + terms[j]);
1512 for (Size i = 0; i < expiries.size(); ++i) {
1513 for (Size j = 0; j < terms.size(); ++j)
1514 initialData[i][j] = ts->volatility(expiries[i], terms[j], Null<Real>()); // ATM
1515 }
1516
1517 // apply shifts for tenors on the 2d shift grid
1518 // collect shifted data at tenors of the underlying 2d grid (different from the grid above)
1519 // aggregate "observed" shifts
1520 // compare to expected total shifts
1521 vector<Period> expiryShiftTenors = sensiData->swaptionVolShiftData()["EUR"].shiftExpiries;
1522 vector<Period> termShiftTenors = sensiData->swaptionVolShiftData()["EUR"].shiftTerms;
1523 vector<Real> shiftExpiryTimes(expiryShiftTenors.size());
1524 vector<Real> shiftTermTimes(termShiftTenors.size());
1525 for (Size i = 0; i < expiryShiftTenors.size(); ++i)
1526 shiftExpiryTimes[i] = dc.yearFraction(today, today + expiryShiftTenors[i]);
1527 for (Size j = 0; j < termShiftTenors.size(); ++j)
1528 shiftTermTimes[j] = dc.yearFraction(today, today + termShiftTenors[j]);
1529
1530 vector<vector<Real>> shiftedData(expiries.size(), vector<Real>(terms.size(), 0.0));
1531 vector<vector<Real>> diffAbsolute(expiries.size(), vector<Real>(terms.size(), 0.0));
1532 vector<vector<Real>> diffRelative(expiries.size(), vector<Real>(terms.size(), 0.0));
1533 Real shiftSize = 0.01; // arbitrary
1534 ShiftType shiftTypeAbsolute = ShiftType::Absolute;
1535 ShiftType shiftTypeRelative = ShiftType::Relative;
1536 for (Size i = 0; i < expiryShiftTenors.size(); ++i) {
1537 for (Size j = 0; j < termShiftTenors.size(); ++j) {
1538 scenarioGenerator->applyShift(i, j, shiftSize, true, shiftTypeAbsolute, shiftExpiryTimes, shiftTermTimes,
1539 expiryTimes, termTimes, initialData, shiftedData, true);
1540 for (Size k = 0; k < expiries.size(); ++k) {
1541 for (Size l = 0; l < terms.size(); ++l)
1542 diffAbsolute[k][l] += shiftedData[k][l] - initialData[k][l];
1543 }
1544 scenarioGenerator->applyShift(i, j, shiftSize, true, shiftTypeRelative, shiftExpiryTimes, shiftTermTimes,
1545 expiryTimes, termTimes, initialData, shiftedData, true);
1546 for (Size k = 0; k < expiries.size(); ++k) {
1547 for (Size l = 0; l < terms.size(); ++l)
1548 diffRelative[k][l] += shiftedData[k][l] / initialData[k][l] - 1.0;
1549 }
1550 }
1551 }
1552
1553 Real tolerance = 1.0e-10;
1554 for (Size k = 0; k < expiries.size(); ++k) {
1555 for (Size l = 0; l < terms.size(); ++l) {
1556 // BOOST_TEST_MESSAGE("2d shift: checking sensitivity to underlying grid point (" << k << ", " << l << "): "
1557 // << diff[k][l]);
1558 BOOST_CHECK_MESSAGE(fabs(diffAbsolute[k][l] - shiftSize) < tolerance,
1559 "inconsistency in absolute 2d shifts at grid point (" << k << ", " << l
1560 << "): " << diffAbsolute[k][l]);
1561 BOOST_CHECK_MESSAGE(fabs(diffRelative[k][l] - shiftSize) < tolerance,
1562 "inconsistency in relative 2d shifts at grid point (" << k << ", " << l
1563 << "): " << diffRelative[k][l]);
1564 }
1565 }
1566 ObservationMode::instance().setMode(backupMode);
1567 IndexManager::instance().clearHistories();
1568}
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◆ testPortfolioZeroSensitivity()

void testPortfolioZeroSensitivity ( )
static

Test that the portfolio shows the expected sensitivity (regression test)

Definition at line 537 of file parsensitivityanalysis.cpp.

537 {
538 BOOST_TEST_MESSAGE("Testing Portfolio sensitivity");
539
540 SavedSettings backup;
541 ObservationMode::Mode backupMode = ObservationMode::instance().mode();
542 ObservationMode::instance().setMode(ObservationMode::Mode::None);
543
544 Date today = Date(14, April, 2016); // Settings::instance().evaluationDate();
545 Settings::instance().evaluationDate() = today;
546
547 BOOST_TEST_MESSAGE("Today is " << today);
548
549 // Init market
550 QuantLib::ext::shared_ptr<Market> initMarket = QuantLib::ext::make_shared<TestMarket>(today);
551
552 // build scenario sim market parameters
553 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarketParameters> simMarketData = setupSimMarketData5();
554
555 // sensitivity config
556 QuantLib::ext::shared_ptr<SensitivityScenarioData> sensiData = setupSensitivityScenarioData5(false);
557 // build scenario sim market
558 QuantLib::ext::shared_ptr<analytics::ScenarioSimMarket> simMarket =
559 QuantLib::ext::make_shared<analytics::ScenarioSimMarket>(initMarket, simMarketData);
560
561 // build scenario factory
562 QuantLib::ext::shared_ptr<Scenario> baseScenario = simMarket->baseScenario();
563 QuantLib::ext::shared_ptr<ScenarioFactory> scenarioFactory =
564 QuantLib::ext::make_shared<ore::analytics::DeltaScenarioFactory>(baseScenario);
565
566 // build scenario generator
567 QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator =
568 QuantLib::ext::make_shared<SensitivityScenarioGenerator>(sensiData, baseScenario, simMarketData, simMarket,
569 scenarioFactory, false);
570 simMarket->scenarioGenerator() = scenarioGenerator;
571
572 // build porfolio
573 QuantLib::ext::shared_ptr<EngineData> data = QuantLib::ext::make_shared<EngineData>();
574 data->model("Swap") = "DiscountedCashflows";
575 data->engine("Swap") = "DiscountingSwapEngine";
576 data->model("CrossCurrencySwap") = "DiscountedCashflows";
577 data->engine("CrossCurrencySwap") = "DiscountingCrossCurrencySwapEngine";
578 data->model("EuropeanSwaption") = "BlackBachelier";
579 data->engine("EuropeanSwaption") = "BlackBachelierSwaptionEngine";
580 data->model("FxForward") = "DiscountedCashflows";
581 data->engine("FxForward") = "DiscountingFxForwardEngine";
582 data->model("FxOption") = "GarmanKohlhagen";
583 data->engine("FxOption") = "AnalyticEuropeanEngine";
584 data->model("CapFloor") = "IborCapModel";
585 data->engine("CapFloor") = "IborCapEngine";
586 data->model("CapFlooredIborLeg") = "BlackOrBachelier";
587 data->engine("CapFlooredIborLeg") = "BlackIborCouponPricer";
588 data->model("YYCapFloor") = "YYCapModel";
589 data->engine("YYCapFloor") = "YYCapEngine";
590 data->model("IndexCreditDefaultSwapOption") = "Black";
591 data->engine("IndexCreditDefaultSwapOption") = "BlackIndexCdsOptionEngine";
592 map<string, string> engineParamMap1;
593 engineParamMap1["Curve"] = "Underlying";
594 data->engineParameters("IndexCreditDefaultSwapOption") = engineParamMap1;
595
596 data->model("IndexCreditDefaultSwap") = "DiscountedCashflows";
597 data->engine("IndexCreditDefaultSwap") = "MidPointIndexCdsEngine";
598 map<string, string> engineParamMap2;
599 engineParamMap2["Curve"] = "Underlying";
600 data->engineParameters("IndexCreditDefaultSwap") = engineParamMap2;
601 data->model("Bond") = "DiscountedCashflows";
602 data->engine("Bond") = "DiscountingRiskyBondEngine";
603 data->engineParameters("Bond")["TimestepPeriod"] = "6M";
604 data->model("EquityOption") = "BlackScholesMerton";
605 data->engine("EquityOption") = "AnalyticEuropeanEngine";
606 QuantLib::ext::shared_ptr<EngineFactory> factory = QuantLib::ext::make_shared<EngineFactory>(data, simMarket);
607
608 // QuantLib::ext::shared_ptr<Portfolio> portfolio = buildSwapPortfolio(portfolioSize, factory);
609 QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
610 portfolio->add(buildSwap("1_Swap_EUR", "EUR", true, 10000000.0, 0, 10, 0.03, 0.00, "1Y",
611 "30/360", "6M", "A360", "EUR-EURIBOR-6M"));
612 portfolio->add(buildSwap("2_Swap_USD", "USD", true, 10000000.0, 0, 15, 0.02, 0.00, "6M",
613 "30/360", "3M", "A360", "USD-LIBOR-3M"));
614 portfolio->add(buildSwap("3_Swap_GBP", "GBP", true, 10000000.0, 0, 20, 0.04, 0.00, "6M",
615 "30/360", "3M", "A360", "GBP-LIBOR-6M"));
616 portfolio->add(buildSwap("4_Swap_JPY", "JPY", true, 1000000000.0, 0, 5, 0.01, 0.00, "6M",
617 "30/360", "3M", "A360", "JPY-LIBOR-6M"));
618 portfolio->add(buildEuropeanSwaption("5_Swaption_EUR", "Long", "EUR", true, 1000000.0, 10, 10,
619 0.02, 0.00, "1Y", "30/360", "6M", "A360", "EUR-EURIBOR-6M",
620 "Physical"));
621 portfolio->add(buildEuropeanSwaption("6_Swaption_EUR", "Long", "EUR", true, 1000000.0, 2, 5,
622 0.02, 0.00, "1Y", "30/360", "6M", "A360", "EUR-EURIBOR-6M",
623 "Physical"));
624 portfolio->add(buildFxOption("7_FxOption_EUR_USD", "Long", "Call", 3, "EUR", 10000000.0, "USD",
625 11000000.0));
626 portfolio->add(buildFxOption("8_FxOption_EUR_GBP", "Long", "Call", 7, "EUR", 10000000.0, "GBP",
627 11000000.0));
628 portfolio->add(buildCap("9_Cap_EUR", "EUR", "Long", 0.05, 1000000.0, 0, 10, "6M", "A360",
629 "EUR-EURIBOR-6M"));
630 portfolio->add(buildFloor("10_Floor_USD", "USD", "Long", 0.01, 1000000.0, 0, 10, "3M", "A360",
631 "USD-LIBOR-3M"));
632
633 // vector<string> names(1, "dc");
634 // vector<string> ccys(1, "EUR");
635 // vector<Real> notionals(1, 1000000.0);
636 // QuantLib::ext::shared_ptr<CdsConvention> cdsConv =
637 // QuantLib::ext::dynamic_pointer_cast<CdsConvention>(InstrumentConventions::instance().conventions()->get("CDS-STANDARD-CONVENTIONS"));
638 // portfolio->add(buildIndexCdsOption(
639 // "11_CDSOption_EUR", "dc", names, "Long", "EUR", ccys, true, notionals, 1000000.0, 1, 4, 0.4, 0.1,
640 // ore::data::to_string(Period(cdsConv->frequency())), ore::data::to_string(cdsConv->dayCounter()),
641 // "Physical"));
642 portfolio->add(
643 buildEquityOption("12_EquityOption_SP5", "Long", "Call", 2, "SP5", "USD", 2147.56, 1000));
644 portfolio->add(buildEquityOption("13_EquityOption_Lufthansa", "Long", "Call", 2, "Lufthansa",
645 "EUR", 12.75, 775));
646
647 portfolio->add(buildYYInflationCapFloor("14_YoYInflationCap_UKRPI", "GBP", 100000.0, true, true,
648 0.02, 0, 10, "1Y", "ACT/ACT", "UKRP1", "2M", 2));
649 portfolio->build(factory);
650
651 BOOST_TEST_MESSAGE("Portfolio size after build: " << portfolio->size());
652 // build the scenario valuation engine
653 QuantLib::ext::shared_ptr<DateGrid> dg = QuantLib::ext::make_shared<DateGrid>(
654 "1,0W"); // TODO - extend the DateGrid interface so that it can actually take a vector of dates as input
655 vector<QuantLib::ext::shared_ptr<ValuationCalculator>> calculators;
656 calculators.push_back(QuantLib::ext::make_shared<NPVCalculator>(simMarketData->baseCcy()));
657 ValuationEngine engine(today, dg, simMarket);
658 // run scenarios and fill the cube
659 boost::timer::cpu_timer t;
660 QuantLib::ext::shared_ptr<NPVCube> cube = QuantLib::ext::make_shared<DoublePrecisionInMemoryCube>(
661 today, portfolio->ids(), vector<Date>(1, today), scenarioGenerator->samples());
662 engine.buildCube(portfolio, cube, calculators);
663 double elapsed = t.elapsed().wall * 1e-9;
664
665 struct Results {
666 string id;
667 string label;
668 Real npv;
669 Real sensi;
670 };
671
672 std::vector<Results> cachedResults = {
673 {"1_Swap_EUR", "Up:DiscountCurve/EUR/0/6M", -928826, -2.51631},
674 {"1_Swap_EUR", "Up:DiscountCurve/EUR/1/1Y", -928826, 14.6846},
675 {"1_Swap_EUR", "Up:DiscountCurve/EUR/2/2Y", -928826, 19.0081},
676 {"1_Swap_EUR", "Up:DiscountCurve/EUR/3/3Y", -928826, 46.1186},
677 {"1_Swap_EUR", "Up:DiscountCurve/EUR/4/5Y", -928826, 85.1033},
678 {"1_Swap_EUR", "Up:DiscountCurve/EUR/5/7Y", -928826, 149.43},
679 {"1_Swap_EUR", "Up:DiscountCurve/EUR/6/10Y", -928826, 205.064},
680 {"1_Swap_EUR", "Down:DiscountCurve/EUR/0/6M", -928826, 2.51644},
681 {"1_Swap_EUR", "Down:DiscountCurve/EUR/1/1Y", -928826, -14.6863},
682 {"1_Swap_EUR", "Down:DiscountCurve/EUR/2/2Y", -928826, -19.0137},
683 {"1_Swap_EUR", "Down:DiscountCurve/EUR/3/3Y", -928826, -46.1338},
684 {"1_Swap_EUR", "Down:DiscountCurve/EUR/4/5Y", -928826, -85.1406},
685 {"1_Swap_EUR", "Down:DiscountCurve/EUR/5/7Y", -928826, -149.515},
686 {"1_Swap_EUR", "Down:DiscountCurve/EUR/6/10Y", -928826, -205.239},
687 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/0/6M", -928826, -495.013},
688 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/1/1Y", -928826, 14.7304},
689 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/2/2Y", -928826, 38.7816},
690 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/3/3Y", -928826, 94.186},
691 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/4/5Y", -928826, 173.125},
692 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/5/7Y", -928826, 304.648},
693 {"1_Swap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", -928826, 8479.55},
694 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/0/6M", -928826, 495.037},
695 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/1/1Y", -928826, -14.5864},
696 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/2/2Y", -928826, -38.4045},
697 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/3/3Y", -928826, -93.532},
698 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/4/5Y", -928826, -171.969},
699 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/5/7Y", -928826, -302.864},
700 {"1_Swap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", -928826, -8478.14},
701 {"2_Swap_USD", "Up:DiscountCurve/USD/0/6M", 980404, -1.04797},
702 {"2_Swap_USD", "Up:DiscountCurve/USD/1/1Y", 980404, -6.06931},
703 {"2_Swap_USD", "Up:DiscountCurve/USD/2/2Y", 980404, -15.8605},
704 {"2_Swap_USD", "Up:DiscountCurve/USD/3/3Y", 980404, -38.0708},
705 {"2_Swap_USD", "Up:DiscountCurve/USD/4/5Y", 980404, -68.7288},
706 {"2_Swap_USD", "Up:DiscountCurve/USD/5/7Y", 980404, -118.405},
707 {"2_Swap_USD", "Up:DiscountCurve/USD/6/10Y", 980404, -244.946},
708 {"2_Swap_USD", "Up:DiscountCurve/USD/7/15Y", 980404, -202.226},
709 {"2_Swap_USD", "Up:DiscountCurve/USD/8/20Y", 980404, 0.0148314},
710 {"2_Swap_USD", "Down:DiscountCurve/USD/0/6M", 980404, 1.04797},
711 {"2_Swap_USD", "Down:DiscountCurve/USD/1/1Y", 980404, 6.06959},
712 {"2_Swap_USD", "Down:DiscountCurve/USD/2/2Y", 980404, 15.8623},
713 {"2_Swap_USD", "Down:DiscountCurve/USD/3/3Y", 980404, 38.0784},
714 {"2_Swap_USD", "Down:DiscountCurve/USD/4/5Y", 980404, 68.7502},
715 {"2_Swap_USD", "Down:DiscountCurve/USD/5/7Y", 980404, 118.458},
716 {"2_Swap_USD", "Down:DiscountCurve/USD/6/10Y", 980404, 245.108},
717 {"2_Swap_USD", "Down:DiscountCurve/USD/7/15Y", 980404, 202.42},
718 {"2_Swap_USD", "Down:DiscountCurve/USD/8/20Y", 980404, -0.0148314},
719 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/0/6M", 980404, -201.015},
720 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/1/1Y", 980404, 18.134},
721 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/2/2Y", 980404, 47.3066},
722 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/3/3Y", 980404, 113.4},
723 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/4/5Y", 980404, 205.068},
724 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/5/7Y", 980404, 352.859},
725 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/6/10Y", 980404, 730.076},
726 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/7/15Y", 980404, 8626.78},
727 {"2_Swap_USD", "Up:IndexCurve/USD-LIBOR-3M/8/20Y", 980404, 5.86437},
728 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/0/6M", 980404, 201.03},
729 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/1/1Y", 980404, -18.0746},
730 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/2/2Y", 980404, -47.1526},
731 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/3/3Y", 980404, -113.136},
732 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/4/5Y", 980404, -204.611},
733 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/5/7Y", 980404, -352.166},
734 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/6/10Y", 980404, -729.248},
735 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/7/15Y", 980404, -8626.13},
736 {"2_Swap_USD", "Down:IndexCurve/USD-LIBOR-3M/8/20Y", 980404, -5.86436},
737 {"2_Swap_USD", "Up:FXSpot/EURUSD/0/spot", 980404, -9706.97},
738 {"2_Swap_USD", "Down:FXSpot/EURUSD/0/spot", 980404, 9903.07},
739 {"3_Swap_GBP", "Up:DiscountCurve/GBP/0/6M", 69795.3, 2.12392},
740 {"3_Swap_GBP", "Up:DiscountCurve/GBP/1/1Y", 69795.3, -0.646097},
741 {"3_Swap_GBP", "Up:DiscountCurve/GBP/2/2Y", 69795.3, -1.75066},
742 {"3_Swap_GBP", "Up:DiscountCurve/GBP/3/3Y", 69795.3, -4.24827},
743 {"3_Swap_GBP", "Up:DiscountCurve/GBP/4/5Y", 69795.3, -7.2252},
744 {"3_Swap_GBP", "Up:DiscountCurve/GBP/5/7Y", 69795.3, -12.5287},
745 {"3_Swap_GBP", "Up:DiscountCurve/GBP/6/10Y", 69795.3, -24.7828},
746 {"3_Swap_GBP", "Up:DiscountCurve/GBP/7/15Y", 69795.3, -39.2456},
747 {"3_Swap_GBP", "Up:DiscountCurve/GBP/8/20Y", 69795.3, 31.2081},
748 {"3_Swap_GBP", "Down:DiscountCurve/GBP/0/6M", 69795.3, -2.12413},
749 {"3_Swap_GBP", "Down:DiscountCurve/GBP/1/1Y", 69795.3, 0.645698},
750 {"3_Swap_GBP", "Down:DiscountCurve/GBP/2/2Y", 69795.3, 1.74981},
751 {"3_Swap_GBP", "Down:DiscountCurve/GBP/3/3Y", 69795.3, 4.2473},
752 {"3_Swap_GBP", "Down:DiscountCurve/GBP/4/5Y", 69795.3, 7.22426},
753 {"3_Swap_GBP", "Down:DiscountCurve/GBP/5/7Y", 69795.3, 12.5298},
754 {"3_Swap_GBP", "Down:DiscountCurve/GBP/6/10Y", 69795.3, 24.7939},
755 {"3_Swap_GBP", "Down:DiscountCurve/GBP/7/15Y", 69795.3, 39.2773},
756 {"3_Swap_GBP", "Down:DiscountCurve/GBP/8/20Y", 69795.3, -31.2925},
757 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/0/6M", 69795.3, -308.49},
758 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/1/1Y", 69795.3, 68.819},
759 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/2/2Y", 69795.3, 81.3735},
760 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/3/3Y", 69795.3, 239.034},
761 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/4/5Y", 69795.3, 372.209},
762 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/5/7Y", 69795.3, 654.949},
763 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/6/10Y", 69795.3, 1343.01},
764 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/7/15Y", 69795.3, 2139.68},
765 {"3_Swap_GBP", "Up:IndexCurve/GBP-LIBOR-6M/8/20Y", 69795.3, 12633.8},
766 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/0/6M", 69795.3, 308.513},
767 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/1/1Y", 69795.3, -68.7287},
768 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/2/2Y", 69795.3, -81.1438},
769 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/3/3Y", 69795.3, -238.649},
770 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/4/5Y", 69795.3, -371.553},
771 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/5/7Y", 69795.3, -653.972},
772 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/6/10Y", 69795.3, -1341.88},
773 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/7/15Y", 69795.3, -2138.11},
774 {"3_Swap_GBP", "Down:IndexCurve/GBP-LIBOR-6M/8/20Y", 69795.3, -12632.5},
775 {"3_Swap_GBP", "Up:FXSpot/EURGBP/0/spot", 69795.3, -691.043},
776 {"3_Swap_GBP", "Down:FXSpot/EURGBP/0/spot", 69795.3, 705.003},
777 {"4_Swap_JPY", "Up:DiscountCurve/JPY/0/6M", 871.03, -0.00750246},
778 {"4_Swap_JPY", "Up:DiscountCurve/JPY/1/1Y", 871.03, -0.00147994},
779 {"4_Swap_JPY", "Up:DiscountCurve/JPY/2/2Y", 871.03, -0.020079},
780 {"4_Swap_JPY", "Up:DiscountCurve/JPY/3/3Y", 871.03, -0.0667249},
781 {"4_Swap_JPY", "Up:DiscountCurve/JPY/4/5Y", 871.03, 4.75708},
782 {"4_Swap_JPY", "Down:DiscountCurve/JPY/0/6M", 871.03, 0.00747801},
783 {"4_Swap_JPY", "Down:DiscountCurve/JPY/1/1Y", 871.03, 0.00140807},
784 {"4_Swap_JPY", "Down:DiscountCurve/JPY/2/2Y", 871.03, 0.0199001},
785 {"4_Swap_JPY", "Down:DiscountCurve/JPY/3/3Y", 871.03, 0.0664106},
786 {"4_Swap_JPY", "Down:DiscountCurve/JPY/4/5Y", 871.03, -4.75978},
787 {"4_Swap_JPY", "Up:IndexCurve/JPY-LIBOR-6M/0/6M", 871.03, -193.514},
788 {"4_Swap_JPY", "Up:IndexCurve/JPY-LIBOR-6M/1/1Y", 871.03, 2.95767},
789 {"4_Swap_JPY", "Up:IndexCurve/JPY-LIBOR-6M/2/2Y", 871.03, 7.81453},
790 {"4_Swap_JPY", "Up:IndexCurve/JPY-LIBOR-6M/3/3Y", 871.03, 19.3576},
791 {"4_Swap_JPY", "Up:IndexCurve/JPY-LIBOR-6M/4/5Y", 871.03, 3832.83},
792 {"4_Swap_JPY", "Down:IndexCurve/JPY-LIBOR-6M/0/6M", 871.03, 193.528},
793 {"4_Swap_JPY", "Down:IndexCurve/JPY-LIBOR-6M/1/1Y", 871.03, -2.90067},
794 {"4_Swap_JPY", "Down:IndexCurve/JPY-LIBOR-6M/2/2Y", 871.03, -7.6631},
795 {"4_Swap_JPY", "Down:IndexCurve/JPY-LIBOR-6M/3/3Y", 871.03, -19.0907},
796 {"4_Swap_JPY", "Down:IndexCurve/JPY-LIBOR-6M/4/5Y", 871.03, -3832.59},
797 {"4_Swap_JPY", "Up:FXSpot/EURJPY/0/spot", 871.03, -8.62406},
798 {"4_Swap_JPY", "Down:FXSpot/EURJPY/0/spot", 871.03, 8.79829},
799 {"5_Swaption_EUR", "Up:DiscountCurve/EUR/6/10Y", 37524.3, -10.0118},
800 {"5_Swaption_EUR", "Up:DiscountCurve/EUR/7/15Y", 37524.3, -28.0892},
801 {"5_Swaption_EUR", "Up:DiscountCurve/EUR/8/20Y", 37524.3, -17.527},
802 {"5_Swaption_EUR", "Down:DiscountCurve/EUR/6/10Y", 37524.3, 10.0186},
803 {"5_Swaption_EUR", "Down:DiscountCurve/EUR/7/15Y", 37524.3, 28.117},
804 {"5_Swaption_EUR", "Down:DiscountCurve/EUR/8/20Y", 37524.3, 17.5502},
805 {"5_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", 37524.3, -395.215},
806 {"5_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/7/15Y", 37524.3, 56.7319},
807 {"5_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/8/20Y", 37524.3, 722.287},
808 {"5_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", 37524.3, 397.907},
809 {"5_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/7/15Y", 37524.3, -56.508},
810 {"5_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/8/20Y", 37524.3, -713.45},
811 {"5_Swaption_EUR", "Up:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 37524.3, 367.609},
812 {"5_Swaption_EUR", "Down:SwaptionVolatility/EUR/5/10Y/10Y/ATM", 37524.3, -367.608},
813 {"6_Swaption_EUR", "Up:DiscountCurve/EUR/2/2Y", 10738, -0.485552},
814 {"6_Swaption_EUR", "Up:DiscountCurve/EUR/3/3Y", 10738, -1.09018},
815 {"6_Swaption_EUR", "Up:DiscountCurve/EUR/4/5Y", 10738, -1.98726},
816 {"6_Swaption_EUR", "Up:DiscountCurve/EUR/5/7Y", 10738, -0.591243},
817 {"6_Swaption_EUR", "Up:DiscountCurve/EUR/6/10Y", 10738, 0.00670807},
818 {"6_Swaption_EUR", "Down:DiscountCurve/EUR/2/2Y", 10738, 0.485614},
819 {"6_Swaption_EUR", "Down:DiscountCurve/EUR/3/3Y", 10738, 1.09029},
820 {"6_Swaption_EUR", "Down:DiscountCurve/EUR/4/5Y", 10738, 1.9877},
821 {"6_Swaption_EUR", "Down:DiscountCurve/EUR/5/7Y", 10738, 0.591282},
822 {"6_Swaption_EUR", "Down:DiscountCurve/EUR/6/10Y", 10738, -0.00670808},
823 {"6_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/2/2Y", 10738, -97.3791},
824 {"6_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/3/3Y", 10738, 4.0232},
825 {"6_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/4/5Y", 10738, 8.90271},
826 {"6_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/5/7Y", 10738, 322.893},
827 {"6_Swaption_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", 10738, 1.23647},
828 {"6_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/2/2Y", 10738, 97.9474},
829 {"6_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/3/3Y", 10738, -3.98874},
830 {"6_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/4/5Y", 10738, -8.83916},
831 {"6_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/5/7Y", 10738, -316.846},
832 {"6_Swaption_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", 10738, -1.23638},
833 {"6_Swaption_EUR", "Up:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 10738, 102.503},
834 {"6_Swaption_EUR", "Up:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 10738, 0.187152},
835 {"6_Swaption_EUR", "Down:SwaptionVolatility/EUR/0/2Y/5Y/ATM", 10738, -102.502},
836 {"6_Swaption_EUR", "Down:SwaptionVolatility/EUR/2/5Y/5Y/ATM", 10738, -0.187152},
837 {"7_FxOption_EUR_USD", "Up:DiscountCurve/EUR/3/3Y", 1.36968e+06, -2107.81},
838 {"7_FxOption_EUR_USD", "Up:DiscountCurve/EUR/4/5Y", 1.36968e+06, -3.85768},
839 {"7_FxOption_EUR_USD", "Up:DiscountCurve/USD/3/3Y", 1.36968e+06, 1698.91},
840 {"7_FxOption_EUR_USD", "Up:DiscountCurve/USD/4/5Y", 1.36968e+06, 3.10717},
841 {"7_FxOption_EUR_USD", "Down:DiscountCurve/EUR/3/3Y", 1.36968e+06, 2109.74},
842 {"7_FxOption_EUR_USD", "Down:DiscountCurve/EUR/4/5Y", 1.36968e+06, 3.85768},
843 {"7_FxOption_EUR_USD", "Down:DiscountCurve/USD/3/3Y", 1.36968e+06, -1698.12},
844 {"7_FxOption_EUR_USD", "Down:DiscountCurve/USD/4/5Y", 1.36968e+06, -3.10717},
845 {"7_FxOption_EUR_USD", "Up:FXSpot/EURUSD/0/spot", 1.36968e+06, 56850.7},
846 {"7_FxOption_EUR_USD", "Down:FXSpot/EURUSD/0/spot", 1.36968e+06, -56537.6},
847 {"7_FxOption_EUR_USD", "Up:FXVolatility/EURUSD/0/5Y/ATM", 1.36968e+06, 672236},
848 {"7_FxOption_EUR_USD", "Down:FXVolatility/EURUSD/0/5Y/ATM", 1.36968e+06, -329688},
849 {"8_FxOption_EUR_GBP", "Up:DiscountCurve/EUR/5/7Y", 798336, -2435.22},
850 {"8_FxOption_EUR_GBP", "Up:DiscountCurve/GBP/5/7Y", 798336, 1880.89},
851 {"8_FxOption_EUR_GBP", "Down:DiscountCurve/EUR/5/7Y", 798336, 2441.08},
852 {"8_FxOption_EUR_GBP", "Down:DiscountCurve/GBP/5/7Y", 798336, -1878.05},
853 {"8_FxOption_EUR_GBP", "Up:FXSpot/EURGBP/0/spot", 798336, 27009.9},
854 {"8_FxOption_EUR_GBP", "Down:FXSpot/EURGBP/0/spot", 798336, -26700.2},
855 {"8_FxOption_EUR_GBP", "Up:FXVolatility/EURGBP/0/5Y/ATM", 798336, 1.36635e+06},
856 {"8_FxOption_EUR_GBP", "Down:FXVolatility/EURGBP/0/5Y/ATM", 798336, -798336},
857 {"9_Cap_EUR", "Up:DiscountCurve/EUR/2/2Y", 289.105, -7.28588e-07},
858 {"9_Cap_EUR", "Up:DiscountCurve/EUR/3/3Y", 289.105, -0.000381869},
859 {"9_Cap_EUR", "Up:DiscountCurve/EUR/4/5Y", 289.105, -0.00790528},
860 {"9_Cap_EUR", "Up:DiscountCurve/EUR/5/7Y", 289.105, -0.0764893},
861 {"9_Cap_EUR", "Up:DiscountCurve/EUR/6/10Y", 289.105, -0.162697},
862 {"9_Cap_EUR", "Down:DiscountCurve/EUR/2/2Y", 289.105, 7.28664e-07},
863 {"9_Cap_EUR", "Down:DiscountCurve/EUR/3/3Y", 289.105, 0.000381934},
864 {"9_Cap_EUR", "Down:DiscountCurve/EUR/4/5Y", 289.105, 0.00790776},
865 {"9_Cap_EUR", "Down:DiscountCurve/EUR/5/7Y", 289.105, 0.0765231},
866 {"9_Cap_EUR", "Down:DiscountCurve/EUR/6/10Y", 289.105, 0.162824},
867 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/1/1Y", 289.105, -1.81582e-05},
868 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/2/2Y", 289.105, -0.00670729},
869 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/3/3Y", 289.105, -0.330895},
870 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/4/5Y", 289.105, -2.03937},
871 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/5/7Y", 289.105, -6.42991},
872 {"9_Cap_EUR", "Up:IndexCurve/EUR-EURIBOR-6M/6/10Y", 289.105, 15.5182},
873 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/1/1Y", 289.105, 1.97218e-05},
874 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/2/2Y", 289.105, 0.00746096},
875 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/3/3Y", 289.105, 0.353405},
876 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/4/5Y", 289.105, 2.24481},
877 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/5/7Y", 289.105, 7.1522},
878 {"9_Cap_EUR", "Down:IndexCurve/EUR-EURIBOR-6M/6/10Y", 289.105, -14.6675},
879 {"9_Cap_EUR", "Up:OptionletVolatility/EUR/4/1Y/0.05", 289.105, 8.49293e-05},
880 {"9_Cap_EUR", "Up:OptionletVolatility/EUR/9/2Y/0.05", 289.105, 0.0150901},
881 {"9_Cap_EUR", "Up:OptionletVolatility/EUR/14/3Y/0.05", 289.105, 0.620393},
882 {"9_Cap_EUR", "Up:OptionletVolatility/EUR/19/5Y/0.05", 289.105, 17.2057},
883 {"9_Cap_EUR", "Up:OptionletVolatility/EUR/24/10Y/0.05", 289.105, 24.4267},
884 {"9_Cap_EUR", "Down:OptionletVolatility/EUR/4/1Y/0.05", 289.105, -6.97789e-05},
885 {"9_Cap_EUR", "Down:OptionletVolatility/EUR/9/2Y/0.05", 289.105, -0.0125099},
886 {"9_Cap_EUR", "Down:OptionletVolatility/EUR/14/3Y/0.05", 289.105, -0.554344},
887 {"9_Cap_EUR", "Down:OptionletVolatility/EUR/19/5Y/0.05", 289.105, -16.1212},
888 {"9_Cap_EUR", "Down:OptionletVolatility/EUR/24/10Y/0.05", 289.105, -23.0264},
889 {"10_Floor_USD", "Up:DiscountCurve/USD/0/6M", 3406.46, -7.03494e-09},
890 {"10_Floor_USD", "Up:DiscountCurve/USD/1/1Y", 3406.46, -8.41429e-05},
891 {"10_Floor_USD", "Up:DiscountCurve/USD/2/2Y", 3406.46, -0.00329744},
892 {"10_Floor_USD", "Up:DiscountCurve/USD/3/3Y", 3406.46, -0.053884},
893 {"10_Floor_USD", "Up:DiscountCurve/USD/4/5Y", 3406.46, -0.269714},
894 {"10_Floor_USD", "Up:DiscountCurve/USD/5/7Y", 3406.46, -0.989583},
895 {"10_Floor_USD", "Up:DiscountCurve/USD/6/10Y", 3406.46, -1.26544},
896 {"10_Floor_USD", "Down:DiscountCurve/USD/0/6M", 3406.46, 7.0354e-09},
897 {"10_Floor_USD", "Down:DiscountCurve/USD/1/1Y", 3406.46, 8.41464e-05},
898 {"10_Floor_USD", "Down:DiscountCurve/USD/2/2Y", 3406.46, 0.00329786},
899 {"10_Floor_USD", "Down:DiscountCurve/USD/3/3Y", 3406.46, 0.0538949},
900 {"10_Floor_USD", "Down:DiscountCurve/USD/4/5Y", 3406.46, 0.269802},
901 {"10_Floor_USD", "Down:DiscountCurve/USD/5/7Y", 3406.46, 0.990038},
902 {"10_Floor_USD", "Down:DiscountCurve/USD/6/10Y", 3406.46, 1.26635},
903 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/0/6M", 3406.46, 0.00150733},
904 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/1/1Y", 3406.46, 0.240284},
905 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/2/2Y", 3406.46, 2.17175},
906 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/3/3Y", 3406.46, 7.77249},
907 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/4/5Y", 3406.46, 12.9642},
908 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/5/7Y", 3406.46, 16.8269},
909 {"10_Floor_USD", "Up:IndexCurve/USD-LIBOR-3M/6/10Y", 3406.46, -81.4363},
910 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/0/6M", 3406.46, -0.00139804},
911 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/1/1Y", 3406.46, -0.230558},
912 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/2/2Y", 3406.46, -2.00123},
913 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/3/3Y", 3406.46, -7.14862},
914 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/4/5Y", 3406.46, -11.2003},
915 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/5/7Y", 3406.46, -13.7183},
916 {"10_Floor_USD", "Down:IndexCurve/USD-LIBOR-3M/6/10Y", 3406.46, 84.0113},
917 {"10_Floor_USD", "Up:FXSpot/EURUSD/0/spot", 3406.46, -33.7273},
918 {"10_Floor_USD", "Down:FXSpot/EURUSD/0/spot", 3406.46, 34.4087},
919 {"10_Floor_USD", "Up:OptionletVolatility/USD/0/1Y/0.01", 3406.46, 0.402913},
920 {"10_Floor_USD", "Up:OptionletVolatility/USD/5/2Y/0.01", 3406.46, 3.32861},
921 {"10_Floor_USD", "Up:OptionletVolatility/USD/10/3Y/0.01", 3406.46, 16.8798},
922 {"10_Floor_USD", "Up:OptionletVolatility/USD/15/5Y/0.01", 3406.46, 96.415},
923 {"10_Floor_USD", "Up:OptionletVolatility/USD/20/10Y/0.01", 3406.46, 92.2212},
924 {"10_Floor_USD", "Down:OptionletVolatility/USD/0/1Y/0.01", 3406.46, -0.37428},
925 {"10_Floor_USD", "Down:OptionletVolatility/USD/5/2Y/0.01", 3406.46, -3.14445},
926 {"10_Floor_USD", "Down:OptionletVolatility/USD/10/3Y/0.01", 3406.46, -16.3074},
927 {"10_Floor_USD", "Down:OptionletVolatility/USD/15/5Y/0.01", 3406.46, -94.5309},
928 {"10_Floor_USD", "Down:OptionletVolatility/USD/20/10Y/0.01", 3406.46, -90.9303},
929 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/0/6M", 56003.6, -0.0395449},
930 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/1/1Y", 56003.6, -5.57561},
931 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/2/2Y", 56003.6, 0.0377165},
932 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/3/3Y", 56003.6, 0.0799626},
933 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/4/5Y", 56003.6, 0.0998674},
934 // {"11_CDSOption_EUR", "Up:DiscountCurve/EUR/5/7Y", 56003.6, 0.00709491},
935 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/0/6M", 56003.6, -0.00227111},
936 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/1/1Y", 56003.6, 53.186},
937 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/2/2Y", 56003.6, 0.206306},
938 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/3/3Y", 56003.6, 0.396504},
939 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/4/5Y", 56003.6, 2.63},
940 // {"11_CDSOption_EUR", "Up:SurvivalProbability/dc/5/7Y", 56003.6, 0.259055},
941 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/0/6M", 56003.6, 0.0395562},
942 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/1/1Y", 56003.6, 5.57616},
943 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/2/2Y", 56003.6, -0.0377084},
944 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/3/3Y", 56003.6, -0.0799231},
945 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/4/5Y", 56003.6, -0.0926819},
946 // {"11_CDSOption_EUR", "Down:DiscountCurve/EUR/5/7Y", 56003.6, -0.00709513},
947 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/0/6M", 56003.6, 0.00227126},
948 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/1/1Y", 56003.6, -53.1913},
949 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/2/2Y", 56003.6, -0.206064},
950 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/3/3Y", 56003.6, -0.395576},
951 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/4/5Y", 56003.6, -2.58855},
952 // {"11_CDSOption_EUR", "Down:SurvivalProbability/dc/5/7Y", 56003.6, -0.258819},
953 // {"11_CDSOption_EUR", "Up:CDSVolatility/dc/1/1Y/ATM", 56003.6, 10.5781},
954 // {"11_CDSOption_EUR", "Down:CDSVolatility/dc/1/1Y/ATM", 56003.6, -10.0622},
955 { "12_EquityOption_SP5", "Up:DiscountCurve/USD/2/2Y", 278936, 158.718 },
956 { "12_EquityOption_SP5", "Up:DiscountCurve/USD/3/3Y", 278936, 1.31198 },
957 { "12_EquityOption_SP5", "Down:DiscountCurve/USD/2/2Y", 278936, -158.676 },
958 { "12_EquityOption_SP5", "Down:DiscountCurve/USD/3/3Y", 278936, -1.31197 },
959 { "12_EquityOption_SP5", "Up:FXSpot/EURUSD/0/spot", 278936, -2761.74 },
960 { "12_EquityOption_SP5", "Down:FXSpot/EURUSD/0/spot", 278936, 2817.53 },
961 { "12_EquityOption_SP5", "Up:EquitySpot/SP5/0/spot", 278936, 10869.4 },
962 { "12_EquityOption_SP5", "Down:EquitySpot/SP5/0/spot", 278936, -10681 },
963 { "12_EquityOption_SP5", "Up:EquityVolatility/SP5/5/2Y/ATM", 278936, 2388.21 },
964 { "12_EquityOption_SP5", "Down:EquityVolatility/SP5/5/2Y/ATM", 278936, -2388.67 },
965 { "13_EquityOption_Lufthansa", "Up:DiscountCurve/EUR/2/2Y", 1830.8, 0.854602 },
966 { "13_EquityOption_Lufthansa", "Up:DiscountCurve/EUR/3/3Y", 1830.8, 0.0070644 },
967 { "13_EquityOption_Lufthansa", "Down:DiscountCurve/EUR/2/2Y", 1830.8, -0.854422 },
968 { "13_EquityOption_Lufthansa", "Down:DiscountCurve/EUR/3/3Y", 1830.8, -0.00706439 },
969 { "13_EquityOption_Lufthansa", "Up:EquitySpot/Lufthansa/0/spot", 1830.8, 61.7512 },
970 { "13_EquityOption_Lufthansa", "Down:EquitySpot/Lufthansa/0/spot", 1830.8, -60.866 },
971 { "13_EquityOption_Lufthansa", "Up:EquityVolatility/Lufthansa/5/2Y/ATM", 1830.8, 15.975 },
972 { "13_EquityOption_Lufthansa", "Down:EquityVolatility/Lufthansa/5/2Y/ATM", 1830.8, -15.9808 },
973 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/1/1Y", 3495.36, -0.0190824},
974 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/2/2Y", 3495.36, -0.0518755},
975 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/3/3Y", 3495.36, -0.159743},
976 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/4/5Y", 3495.36, -0.346412},
977 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/5/7Y", 3495.36, -0.701974},
978 {"14_YoYInflationCap_UKRPI", "Up:DiscountCurve/GBP/6/10Y", 3495.36, -0.837257},
979 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/1/1Y", 3495.36, 0.0190843},
980 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/2/2Y", 3495.36, 0.0518857},
981 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/3/3Y", 3495.36, 0.159784},
982 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/4/5Y", 3495.36, 0.346541},
983 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/5/7Y", 3495.36, 0.702328},
984 {"14_YoYInflationCap_UKRPI", "Down:DiscountCurve/GBP/6/10Y", 3495.36, 0.83791},
985 {"14_YoYInflationCap_UKRPI", "Up:FXSpot/EURGBP/0/spot", 3495.36, -34.6075},
986 {"14_YoYInflationCap_UKRPI", "Down:FXSpot/EURGBP/0/spot", 3495.36, 35.3067},
987 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/0/1Y", 3495.36, 6.11718},
988 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/1/2Y", 3495.36, 5.77751},
989 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/2/3Y", 3495.36, 8.22785},
990 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/3/5Y", 3495.36, 10.2605},
991 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/4/7Y", 3495.36, 11.7006},
992 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCurve/UKRP1/5/10Y", 3495.36, 8.6242},
993 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/0/1Y", 3495.36, -5.99639},
994 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/1/2Y", 3495.36, -5.6966},
995 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/2/3Y", 3495.36, -8.15092},
996 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/3/5Y", 3495.36, -10.1917},
997 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/4/7Y", 3495.36, -11.6375},
998 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCurve/UKRP1/5/10Y", 3495.36, -8.58138},
999 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/4/1Y/0.02", 3495.36, 0.706362},
1000 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/10/2Y/0.02", 3495.36, 0.575052},
1001 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/16/3Y/0.02", 3495.36, 1.21162},
1002 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/22/5Y/0.02", 3495.36, 1.83575},
1003 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/28/7Y/0.02", 3495.36, 2.52242},
1004 {"14_YoYInflationCap_UKRPI", "Up:YoYInflationCapFloorVolatility/UKRP1/34/10Y/0.02", 3495.36, 1.8872},
1005 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/4/1Y/0.02", 3495.36, -0.706362},
1006 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/10/2Y/0.02", 3495.36, -0.575052},
1007 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/16/3Y/0.02", 3495.36, -1.21162},
1008 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/22/5Y/0.02", 3495.36, -1.83575},
1009 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/28/7Y/0.02", 3495.36, -2.52242},
1010 {"14_YoYInflationCap_UKRPI", "Down:YoYInflationCapFloorVolatility/UKRP1/34/10Y/0.02", 3495.36, -1.8872}};
1011
1012 std::map<pair<string, string>, Real> npvMap, sensiMap;
1013 for (Size i = 0; i < cachedResults.size(); ++i) {
1014 pair<string, string> p(cachedResults[i].id, cachedResults[i].label);
1015 npvMap[p] = cachedResults[i].npv;
1016 sensiMap[p] = cachedResults[i].sensi;
1017 }
1018 vector<pair<string, string>> ids;
1019 Real tiny = 1.0e-10;
1020 Real tolerance = 0.01;
1021 Size count = 0;
1022 vector<ShiftScenarioGenerator::ScenarioDescription> desc = scenarioGenerator->scenarioDescriptions();
1023 size_t currentTradeIdx = 0;
1024 for (const auto& [tradeId, _] : portfolio->trades()) {
1025 Real npv0 = cube->getT0(currentTradeIdx, 0);
1026 for (Size j = 1; j < scenarioGenerator->samples(); ++j) { // skip j = 0, this is the base scenario
1027 Real npv = cube->get(currentTradeIdx, 0, j, 0);
1028 Real sensi = npv - npv0;
1029 string label = to_string(desc[j]);
1030 if (fabs(sensi) > tiny) {
1031 count++;
1032
1033 pair<string, string> p(tradeId, label);
1034 ids.push_back(p);
1035 QL_REQUIRE(npvMap.find(p) != npvMap.end(),
1036 "pair (" << p.first << ", " << p.second << ") not found in npv map");
1037 QL_REQUIRE(sensiMap.find(p) != sensiMap.end(),
1038 "pair (" << p.first << ", " << p.second << ") not found in sensi map");
1039 BOOST_CHECK_MESSAGE(fabs(npv0 - npvMap[p]) < tolerance || fabs((npv0 - npvMap[p]) / npv0) < tolerance,
1040 "npv regression failed for pair (" << p.first << ", " << p.second << "): " << npv0
1041 << " vs " << npvMap[p]);
1042 BOOST_CHECK_MESSAGE(fabs(sensi - sensiMap[p]) < tolerance ||
1043 fabs((sensi - sensiMap[p]) / sensi) < tolerance,
1044 "sensitivity regression failed for pair ("
1045 << p.first << ", " << p.second << "): " << sensi << " vs " << sensiMap[p]);
1046 // uncomment to output code for cached results
1047 // BOOST_TEST_MESSAGE("{\"" << p.first << "\", \"" << p.second << "\", " << npv0 << ", " << sensi <<
1048 // "},");
1049 }
1050 }
1051 currentTradeIdx++;
1052 }
1053 BOOST_CHECK_MESSAGE(count == cachedResults.size(), "number of non-zero sensitivities ("
1054 << count << ") do not match regression data ("
1055 << cachedResults.size() << ")");
1056
1057 BOOST_TEST_MESSAGE("Cube generated in " << elapsed << " seconds");
1058 ObservationMode::instance().setMode(backupMode);
1059 IndexManager::instance().clearHistories();
1060}
data
data
to_string
std::string to_string(const LocationInfo &l)
testsuite::buildCap
QuantLib::ext::shared_ptr< Trade > buildCap(string id, string ccy, string longShort, Real capRate, Real notional, int start, Size term, string floatFreq, string floatDC, string index, Calendar calendar, Natural spotDays, bool spotStartLag)
Definition: testportfolio.cpp:254
testsuite::buildFxOption
QuantLib::ext::shared_ptr< Trade > buildFxOption(string id, string longShort, string putCall, Size expiry, string boughtCcy, Real boughtAmount, string soldCcy, Real soldAmount, Real premium, string premiumCcy, string premiumDate)
Definition: testportfolio.cpp:185
testsuite::buildSwap
QuantLib::ext::shared_ptr< Trade > buildSwap(string id, string ccy, bool isPayer, Real notional, int start, Size term, Real rate, Real spread, string fixedFreq, string fixedDC, string floatFreq, string floatDC, string index, Calendar calendar, Natural spotDays, bool spotStartLag)
Definition: testportfolio.cpp:48
testsuite::buildEquityOption
QuantLib::ext::shared_ptr< Trade > buildEquityOption(string id, string longShort, string putCall, Size expiry, string equityName, string currency, Real strike, Real quantity, Real premium, string premiumCcy, string premiumDate)
Definition: testportfolio.cpp:209
testsuite::buildFloor
QuantLib::ext::shared_ptr< Trade > buildFloor(string id, string ccy, string longShort, Real floorRate, Real notional, int start, Size term, string floatFreq, string floatDC, string index, Calendar calendar, Natural spotDays, bool spotStartLag)
Definition: testportfolio.cpp:261
testsuite::buildEuropeanSwaption
QuantLib::ext::shared_ptr< Trade > buildEuropeanSwaption(string id, string longShort, string ccy, bool isPayer, Real notional, int start, Size term, Real rate, Real spread, string fixedFreq, string fixedDC, string floatFreq, string floatDC, string index, string cashPhysical, Real premium, string premiumCcy, string premiumDate)
Definition: testportfolio.cpp:87
testsuite::buildYYInflationCapFloor
QuantLib::ext::shared_ptr< Trade > buildYYInflationCapFloor(string id, string ccy, Real notional, bool isCap, bool isLong, Real capFloorRate, int start, Size term, string yyFreq, string yyDC, string yyIndex, string observationLag, Size fixDays)
Definition: testportfolio.cpp:608
count
std::size_t count
setupSensitivityScenarioData5
QuantLib::ext::shared_ptr< SensitivityScenarioData > setupSensitivityScenarioData5(bool parConversion)
Definition: parsensitivityanalysis.cpp:338
setupSimMarketData5
QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > setupSimMarketData5()
Definition: parsensitivityanalysis.cpp:136
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◆ testParConversionNoneObs()

void testParConversionNoneObs ( )
static

Test par conversion of sensitivities ("None" observation mode)

Definition at line 1345 of file parsensitivityanalysis.cpp.

1345 {
1346 BOOST_TEST_MESSAGE("Testing Sensitivity Par Conversion (None observation mode)");
1347 testParConversion(ObservationMode::Mode::None);
1348}
testsuite::testParConversion
void testParConversion(ObservationMode::Mode om)
Definition: parsensitivityanalysis.cpp:1062
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◆ testParConversionDisableObs()

void testParConversionDisableObs ( )
static

Test par conversion of sensitivities ("Disable" observation mode)

Definition at line 1350 of file parsensitivityanalysis.cpp.

1350 {
1351 BOOST_TEST_MESSAGE("Testing Sensitivity Par Conversion (Disable observation mode)");
1352 testParConversion(ObservationMode::Mode::Disable);
1353}
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◆ testParConversionDeferObs()

void testParConversionDeferObs ( )
static

Test par conversion of sensitivities ("Defer" observation mode)

Definition at line 1355 of file parsensitivityanalysis.cpp.

1355 {
1356 BOOST_TEST_MESSAGE("Testing Sensitivity Par Conversion (Defer observation mode)");
1357 testParConversion(ObservationMode::Mode::Defer);
1358}
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◆ testParConversionUnregisterObs()

void testParConversionUnregisterObs ( )
static

Test par conversion of sensitivities ("Unregister" observation mode)

Definition at line 1360 of file parsensitivityanalysis.cpp.

1360 {
1361 BOOST_TEST_MESSAGE("Testing Sensitivity Par Conversion (Unregister observation mode)");
1362 testParConversion(ObservationMode::Mode::Unregister);
1363}
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◆ suite()

static boost::unit_test_framework::test_suite * suite ( )
static
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