#!/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") 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 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 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")