#!/usr/bin/env python 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 NPV cube and exposures") oreex.run("Input/ore.xml") oreex.get_times("Output/log.txt") npv = open("Output/npv.csv") call = [] put = [] for line in npv.readlines(): if "CALL" in line: line_list = line.split(',') call=([[0,line_list[6]],[line_list[3], line_list[6]]]) if "PUT" in line: line_list = line.split(',') put=([[0, line_list[6]],[line_list[3],line_list[6]]]) oreex.print_headline("Plot results: Simulated exposures vs analytical option prices") oreex.setup_plot("forward") oreex.plot("exposure_trade_FXFWD_EURUSD_10Y.csv", 2, 3, 'b', "EPE") oreex.plot("exposure_trade_FXFWD_EURUSD_10Y.csv", 2, 4, 'r', "ENE") oreex.plot_line([0, call[1][0]], [call[0][1], call[1][1]], color='g', label="Call Price") oreex.plot_line([0, put[1][0]], [put[0][1], put[1][1]], color='m', label="Put Price") oreex.decorate_plot(title="Example 7 - FX Forward")
#!/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")
#!/usr/bin/env python 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 NPV cube and exposures") oreex.run("Input/ore.xml") oreex.get_times("Output/log.txt") oreex.print_headline("Run ORE again to price European Swaptions") oreex.run("Input/ore_swaption.xml") oreex.print_headline( "Plot results: Simulated exposures vs analytical swaption prices") oreex.setup_plot("swaptions") oreex.plot("exposure_trade_Swap_20y.csv", 2, 3, 'b', "Swap EPE") oreex.plot("exposure_trade_Swap_20y.csv", 2, 4, 'r', "Swap ENE") oreex.plot("swaption_npv.csv", 3, 4, 'g', "NPV Swaptions", marker='s') oreex.decorate_plot( title="Example 34 - Simulated exposures vs analytical swaption prices") oreex.save_plot_to_file()
#!/usr/bin/env python 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 NPV cube and exposures") oreex.run("Input/ore.xml") oreex.get_times("Output/log.txt") oreex.print_headline("Run ORE again to price CDS Options") oreex.run("Input/ore_cds_option.xml") # oreex.print_headline("Plot results: Simulated exposures vs analytical cds option prices") oreex.setup_plot("cds options") oreex.plot("exposure_trade_CDS.csv", 2, 3, 'b', "CDS EPE") oreex.plot("exposure_trade_CDS.csv", 2, 4, 'r', "CDS ENE") oreex.plot("cds_option_npv.csv", 3, 4, 'g', "NPV CDS Ooptions", marker='s') oreex.decorate_plot( title="Example 35 - Simulated exposures vs analytical cds option prices") oreex.save_plot_to_file()
#!/usr/bin/env python 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 for Sensitivity Analysis (simulating full volatility surfaces)") oreex.run("Input/ore_fullSurface.xml") oreex.get_times("Output/log_fullSurface.txt") oreex.print_headline( "Run ORE for Sensitivity Analysis (simulating volatility atm strikes only)" ) oreex.run("Input/ore_atmOnly.xml") oreex.get_times("Output/log_atmOnly.txt")
#!/usr/bin/env python 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 illustrate use of discount ratio curve") oreex.print_headline("Run with USD base currency") oreex.run("Input/ore_usd_base.xml") oreex.print_headline("Run with EUR base currency using GBP-IN-EUR discount modified ratio curve") oreex.run("Input/ore_eur_base.xml")
#!/usr/bin/env python 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 NPV") oreex.run("Input/ore.xml") oreex.get_times("Output/log.txt") oreex.print_headline("Plot results: Simulated exposures") oreex.setup_plot("CPI Swap") oreex.plot("exposure_trade_CPI_Swap_1.csv", 2, 3, 'b', "EPE CPI Swap") oreex.decorate_plot(title="Example 17", ylabel="Exposure") oreex.save_plot_to_file() oreex.setup_plot("YoY Swap") oreex.plot("exposure_trade_YearOnYear_Swap.csv", 2, 3, 'b', "EPE YoY Swap") oreex.decorate_plot(title="Example 17", ylabel="Exposure") oreex.save_plot_to_file() oreex.run("Input/ore_capfloor.xml") oreex.get_times("Output/log_capfloor.txt")
#!/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) # 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")
#!/usr/bin/env python import sys import os sys.path.append('../') from ore_examples_helper import OreExample oreex = OreExample(sys.argv[1] if len(sys.argv) > 1 else False) # Portfolio 1 run oreex.print_headline( "Run ORE to produce NPV cube and exposures for portfolio 1") oreex.run("Input/ore_portfolio_1.xml") oreex.get_times("Output/portfolio_1/log.txt") oreex.print_headline("Plot results for portfolio 1") oreex.setup_plot("portfolio_1") oreex.plot(os.path.join("portfolio_1", "exposure_trade_swap_01.csv"), 2, 3, 'b', "EPE Swap") oreex.plot(os.path.join("portfolio_1", "exposure_trade_collar_01.csv"), 2, 4, 'r', "ENE Collar") oreex.plot(os.path.join("portfolio_1", "exposure_nettingset_CPTY_A.csv"), 2, 4, 'g', "ENE Netting") #oreex.plot(os.path.join("portfolio_1", "exposure_nettingset_CPTY_A.csv"), 2, 3, 'g', "EPE Netting") oreex.decorate_plot(title="Example 6, Portfolio 1") oreex.save_plot_to_file(os.path.join("Output", "portfolio_1")) # Portfolio 2 run oreex.print_headline( "Run ORE to produce NPV cube and exposures for portfolio 2")
#!/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) # 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)")
#!/usr/bin/env python 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 with flat vols") oreex.run("Input/ore_flat.xml") oreex.print_headline("Run ORE with smiles") oreex.run("Input/ore_smile.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) 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"] +