#!/usr/bin/env python
import os
import sys
sys.path.append('../')
from ore_examples_helper import OreExample
oreex = OreExample(sys.argv[1] if len(sys.argv)>1 else False)
# Case A
oreex.print_headline("Run ORE (case A (swap eur), 1st order regression)")
oreex.run("Input/ore_A1.xml")
oreex.get_times("Output/log_1.txt")
oreex.save_output_to_subdir(
"case_A_eur_swap",
["log_1.txt", "dim_evolution_1.txt", "dim_regression_1.txt"]
)
oreex.print_headline("Run ORE (case A (swap eur), 2nd order regression)")
oreex.run("Input/ore_A2.xml")
oreex.save_output_to_subdir(
"case_A_eur_swap",
["log_2.txt", "dim_evolution_2.txt", "dim_regression_2.txt"]
)
oreex.print_headline("Run ORE (case A (swap eur), 2nd order (NPV) regression)")
oreex.run("Input/ore_A3.xml")
oreex.save_output_to_subdir(
"case_A_eur_swap",
["log_3.txt", "dim_evolution_3.txt", "dim_regression_3.txt"]
)
oreex.print_headline("Plot results")
import glob
import os
import sys
sys.path.append('../')
from ore_examples_helper import OreExample
oreex = OreExample(sys.argv[1] if len(sys.argv) > 1 else False)
# whithout collateral
oreex.print_headline(
"Run ORE to produce NPV cube and exposures, without collateral")
oreex.run("Input/ore.xml")
oreex.get_times("Output/log.txt")
oreex.save_output_to_subdir(
"collateral_none", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
# threshhold=mta=0
oreex.print_headline(
"Run ORE to postprocess the NPV cube, with collateral (threshold=mta=0)")
oreex.run("Input/ore_mpor.xml")
oreex.save_output_to_subdir(
"collateral_mpor", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))) +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "colva*"))))
oreex.print_headline("Plot results")
oreex.setup_plot("nocollateral_epe")
oreex.plot(os.path.join("collateral_none", "exposure_trade_Swap_1.csv"), 2, 3,
import glob
import os
import sys
sys.path.append('../')
from ore_examples_helper import OreExample
oreex = OreExample(sys.argv[1] if len(sys.argv) > 1 else False)
# whithout collateral
oreex.print_headline(
"Run ORE to produce NPV cube and exposures, without collateral")
oreex.run("Input/ore.xml")
oreex.get_times("Output/log.txt")
oreex.save_output_to_subdir(
"collateral_none", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
# Threshhold>0
oreex.print_headline(
"Run ORE to postprocess the NPV cube, with collateral (threshold>0)")
oreex.run("Input/ore_threshold.xml")
oreex.save_output_to_subdir(
"collateral_threshold", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))) +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "colva*"))))
# mta=0
oreex.print_headline(
"Run ORE to postprocess the NPV cube, with collateral (threshold=0)")
oreex.run("Input/ore_mta.xml")
#!/usr/bin/env python
import glob
import os
import sys
sys.path.append('../')
from ore_examples_helper import OreExample
oreex = OreExample(sys.argv[1] if len(sys.argv) > 1 else False)
# LGM
oreex.print_headline("Run ORE simulation in the LGM measure")
oreex.run("Input/ore_lgm.xml")
oreex.save_output_to_subdir(
"measure_lgm", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
# FWD
oreex.print_headline("Run ORE simulation in the FWD measure")
oreex.run("Input/ore_fwd.xml")
oreex.save_output_to_subdir(
"measure_fwd", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
# BA
oreex.print_headline("Run ORE simulation in the BA measure")
oreex.run("Input/ore_ba.xml")
oreex.save_output_to_subdir(
"measure_ba", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
#!/usr/bin/env python
import glob
import os
import sys
sys.path.append('../')
from ore_examples_helper import OreExample
oreex = OreExample(sys.argv[1] if len(sys.argv) > 1 else False)
oreex.print_headline("Run ORE to produce normal xva from BANKs view")
oreex.run("Input/ore_Normal.xml")
oreex.get_times("Output/log.txt")
oreex.save_output_to_subdir(
"NormalXVA", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
oreex.print_headline("Run ORE to produce flipped xva from CPTY_As view")
oreex.run("Input/ore_FlipView.xml")
oreex.get_times("Output/log.txt")
oreex.save_output_to_subdir(
"FlippedXVA", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
oreex.print_headline(
"Run ORE to produce normal xva with reversed swap (identical to flipped xva as BANK and CPTY_A have identical Default and fva curves)"
)
oreex.run("Input/ore_ReversedNormal.xml")
oreex.get_times("Output/log.txt")
oreex.save_output_to_subdir(
"ReversedNormalXVA", ["log.txt", "xva.csv"] +
