Merge branch 'github-204' into 'master'

PR-204: Update User Guide Example AggregationScenarioDataCurrencies and AggregationScenarioDataIndices. See merge request qs/ore-github!41
OpenSourceRisk · Apr 22, 2024 · 1efe568 · 1efe568
2 parents f3947d5 + b9d9993
commit 1efe568
Showing 1 changed file with 15 additions and 8 deletions.
diff --git a/Docs/UserGuide/userguide.tex b/Docs/UserGuide/userguide.tex
@@ -4021,16 +4021,21 @@ \subsubsection{Analytics}\label{sec:analytics}
 <Analytics>
   <Analytic type="simulation">
     <Parameter name="active">Y</Parameter>
+    <Parameter name="amc">Y</Parameter>
+    <Parameter name="amcCg">Y</Parameter>
+    <Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter>
+    <Parameter name="amcTradeTypes">Swap</Parameter>
+    <Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter> -> not documented
     <Parameter name="simulationConfigFile">simulation.xml</Parameter>
     <Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
     <Parameter name="baseCurrency">EUR</Parameter>
     <Parameter name="storeFlows">Y</Parameter>
     <Parameter name="storeSurvivalProbabilities">Y</Parameter>
-    <Parameter name="cubeFile">cube_A.csv.gz</Parameter>
-    <Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
-    <Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
+    <Parameter name="salvageCorrelationMatrix">true</Parameter>
+    <Parameter name="scenariodump">scenariodump.csv</Parameter>
     <Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
-    <Parameter name="aggregationScenarioDump">scenariodump.csv</Parameter>
+    <Parameter name="storeCreditStateNPVs">8</Parameter>
+    <Parameter name="cubeFile">cube_A.csv.gz</Parameter>
   </Analytic>
 </Analytics>      
 \end{minted}
@@ -4112,6 +4117,8 @@ \subsubsection{Analytics}\label{sec:analytics}
     <Parameter name="dimOutputGridPoints">0</Parameter>
     <Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
     <Parameter name="netCubeOutputFile">netcube.csv</Parameter>
+    <Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
+    <Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
     <Parameter name="fullInitialCollateralisation">true</Parameter>
     <Parameter name="flipViewXVA">N</Parameter>
     <Parameter name="flipViewBorrowingCurvePostfix">_BORROW</Parameter>
@@ -5749,15 +5756,15 @@ \subsubsection{Market}\label{sec:sim_market}
     </Pairs>
     <Expiries>1Y,2Y</Expiries>
   </Correlations>
-  <AdditionalScenarioDataCurrencies>
+  <AggregationScenarioDataCurrencies>
     <Currency>EUR</Currency>
     <Currency>USD</Currency>
-  </AdditionalScenarioDataCurrencies>
-  <AdditionalScenarioDataIndices>
+  </AggregationScenarioDataCurrencies>
+  <AggregationScenarioDataIndices>
     <Index>EUR-EURIBOR-3M</Index>
     <Index>EUR-EONIA</Index>
     <Index>USD-LIBOR-3M</Index>
-  </AdditionalScenarioDataIndices>
+  </AggregationScenarioDataIndices>
 </Market>
 \end{minted}
 \caption{Simulation market configuration}