#!/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")