corex/ore.xml at main · hmxlabs/corex · GitHub

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<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">7</Parameter>
    <Parameter name="marketDataFile">market_20160205.txt</Parameter>
    <Parameter name="fixingDataFile">fixings_20160205.txt</Parameter>
    <Parameter name="implyTodaysFixings">Y</Parameter>
    <Parameter name="curveConfigFile">curveconfig.xml</Parameter>
    <Parameter name="conventionsFile">conventions.xml</Parameter>
    <Parameter name="marketConfigFile">todaysmarket.xml</Parameter>
    <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
    <Parameter name="portfolioFile">portfolio.xml</Parameter>
    <Parameter name="observationModel">None</Parameter>
    <Parameter name="continueOnError">false</Parameter>
    <Parameter name="calendarAdjustment">calendaradjustment.xml</Parameter>
    <Parameter name="currencyConfiguration">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>
    <Parameter name="sensitivity">libor</Parameter>
  </Markets>
  <Analytics>
    <Analytic type="npv">
      <Parameter name="active">Y</Parameter>
      <Parameter name="baseCurrency">EUR</Parameter>
      <Parameter name="outputFileName">npv.csv</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>
    </Analytic>
    <Analytic type="simulation">
      <Parameter name="active">Y</Parameter>
      <Parameter name="simulationConfigFile">simulation.xml</Parameter>
      <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
      <Parameter name="baseCurrency">EUR</Parameter>

      <Parameter name="cubeFile">cube.dat</Parameter>
      <Parameter name="aggregationScenarioDataFileName">scenariodata.dat</Parameter>
    </Analytic>
    <Analytic type="xva">
      <Parameter name="active">N</Parameter>
      <Parameter name="useXvaRunner">N</Parameter>
      <Parameter name="csaFile">netting.xml</Parameter>
      <Parameter name="cubeFile">cube.dat</Parameter>
      <Parameter name="scenarioFile">scenariodata.dat</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">N</Parameter>
      <Parameter name="dvaName">BANK</Parameter>
      <Parameter name="fva">N</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>
    <Analytic type="sensitivity">
      <Parameter name="active">N</Parameter>
      <Parameter name="marketConfigFile">simulation.xml</Parameter>
      <Parameter name="sensitivityConfigFile">sensitivity.xml</Parameter>
      <Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
      <Parameter name="scenarioOutputFile">scenario.csv</Parameter>
      <Parameter name="sensitivityOutputFile">sensitivity.csv</Parameter>
      <Parameter name="outputSensitivityThreshold">0.000001</Parameter>
      <Parameter name="recalibrateModels">Y</Parameter>
    </Analytic>
  </Analytics>
</ORE>