Tools/VarInput/Input/sensitivity.xml at ae4d8730ade5af420828573374ee6bd33ff1711a · OpenSourceRisk/Tools · GitHub

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<SensitivityAnalysis>
	<!-- Discount curve shifts -->
	<DiscountCurves>
		<DiscountCurve ccy="EUR">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</DiscountCurve>
		<DiscountCurve ccy="USD">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</DiscountCurve>
		<DiscountCurve ccy="GBP">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</DiscountCurve>
		<DiscountCurve ccy="CHF">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</DiscountCurve>
		<DiscountCurve ccy="EUR">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</DiscountCurve>
	</DiscountCurves>
	<!-- Index curve shifts -->
	<IndexCurves>
		<IndexCurve index="EUR-EURIBOR-6M">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</IndexCurve>
		<IndexCurve index="EUR-EURIBOR-3M">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</IndexCurve>
		<IndexCurve index="EUR-EONIA">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</IndexCurve>
		<IndexCurve index="USD-LIBOR-3M">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</IndexCurve>
		<IndexCurve index="CHF-LIBOR-6M">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
		</IndexCurve>
	</IndexCurves>
	<!-- FX spot shifts -->
	<FxSpots>
		<FxSpot ccypair="USDEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
		</FxSpot>
		<FxSpot ccypair="GBPEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
		</FxSpot>
		<FxSpot ccypair="CHFEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
		</FxSpot>
		<FxSpot ccypair="JPYEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
		</FxSpot>
	</FxSpots>
	<!-- FX ATM vol shifts -->
	<FxVolatilities>
		<FxVolatility ccypair="USDEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
			<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
			<ShiftStrikes/>
		</FxVolatility>
		<FxVolatility ccypair="GBPEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
			<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
			<ShiftStrikes/>
		</FxVolatility>
		<FxVolatility ccypair="JPYEUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
			<ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
			<ShiftStrikes/>
		</FxVolatility>
	</FxVolatilities>
	<!-- Swaption ATM vol shifts -->
	<SwaptionVolatilities>
		<SwaptionVolatility ccy="EUR">
			<ShiftType>Relative</ShiftType>
			<ShiftSize>0.01</ShiftSize>
			<ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
			<ShiftTerms>1Y,5Y,10Y</ShiftTerms>
			<ShiftStrikes/>
		</SwaptionVolatility>
	</SwaptionVolatilities>
	<!-- Cap/Floor (Optionlet or Flat) vol surface shifts -->
	<CapFloorVolatilities>
		<CapFloorVolatility ccy="EUR">
			<ShiftType>Absolute</ShiftType>
			<ShiftSize>0.0001</ShiftSize>
			<ShiftExpiries>1Y,2Y,3Y,5Y,7Y,10Y</ShiftExpiries>
			<ShiftStrikes>0.01,0.02,0.03,0.04,0.05</ShiftStrikes>
			<Index>EUR-EURIBOR-6M</Index>
		</CapFloorVolatility>
	</CapFloorVolatilities>
	<CDSVolatilities></CDSVolatilities>
	<!-- Cross Gamma filter: Pairs of factor sub-strings -->
	<CrossGammaFilter>
		<Pair>DiscountCurve/EUR,DiscountCurve/EUR</Pair>
		<Pair>IndexCurve/EUR,IndexCurve/EUR</Pair>
		<Pair>DiscountCurve/EUR,IndexCurve/EUR</Pair>
	</CrossGammaFilter>
</SensitivityAnalysis>