#!/usr/bin/env python import glob import os import sys from risk_helper import RiskEngine risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False) # whithout collateral risk_engine.print_headline( "Run RiskEngine to produce NPV cube and exposures, without collateral") risk_engine.run("Input/ore.xml") risk_engine.get_times("Output/log.txt") risk_engine.save_output_to_subdir( "collateral_none", ["log.txt", "xva.csv"] + glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*")))) # Threshhold>0 risk_engine.print_headline( "Run RiskEngine to postprocess the NPV cube, with collateral (threshold>0)" ) risk_engine.run("Input/ore_threshold.xml") risk_engine.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 risk_engine.print_headline( "Run RiskEngine to postprocess the NPV cube, with collateral (threshold=0)"
#!/usr/bin/env python import os import sys from risk_helper import RiskEngine risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False) # Case A risk_engine.print_headline( "Run RiskEngine (case A (swap eur), 1st order regression)") risk_engine.run("Input/ore_A1.xml") risk_engine.get_times("Output/log_1.txt") risk_engine.save_output_to_subdir( "case_A_eur_swap", ["log_1.txt", "dim_evolution_1.txt", "dim_regression_1.txt"]) risk_engine.print_headline( "Run RiskEngine (case A (swap eur), 2nd order regression)") risk_engine.run("Input/ore_A2.xml") risk_engine.save_output_to_subdir( "case_A_eur_swap", ["log_2.txt", "dim_evolution_2.txt", "dim_regression_2.txt"]) risk_engine.print_headline( "Run RiskEngine (case A (swap eur), zero order regression)") risk_engine.run("Input/ore_A0.xml") risk_engine.save_output_to_subdir( "case_A_eur_swap", ["log_0.txt", "dim_evolution_0.txt", "dim_regression_0.txt"]) risk_engine.print_headline("Plot results")