ORE output formats
Table of Contents
- 1. Summary
- 2. Detail
- 2.1. How to read a family
- 2.2. Outputs not read into rows
- 2.3. Families
- 2.3.1. additional_results_report
- 2.3.2. bacva_report
- 2.3.3. calibration_report
- 2.3.4. capital_crif
- 2.3.5. netting_set_colva_report
- 2.3.6. correlations
- 2.3.7. counterparties
- 2.3.8. credit_migration
- 2.3.9. crif
- 2.3.10. curves_report
- 2.3.11. cva_sensitivities
- 2.3.12. dim_evolution
- 2.3.13. dim_regression
- 2.3.14. dividends_report
- 2.3.15. eigenvalues
- 2.3.16. eigenvectors
- 2.3.17. netting_set_exposure_report
- 2.3.18. trade_exposure_report
- 2.3.19. fixings_report
- 2.3.20. cashflow_report
- 2.3.21. historical_pnl
- 2.3.22. im_schedule
- 2.3.23. im_schedule_trade
- 2.3.24. jacobi
- 2.3.25. jacobi_inverse
- 2.3.26. market_objects
- 2.3.27. market_data_report
- 2.3.28. mean_reversion
- 2.3.29. net_cube
- 2.3.30. netting_sets
- 2.3.31. npv_report
- 2.3.32. par_conversion_sensitivity
- 2.3.33. par_sensitivity
- 2.3.34. par_shifts
- 2.3.35. pca
- 2.3.36. pnl_report
- 2.3.37. pnl_explain_report
- 2.3.38. pricing_stats
- 2.3.39. raw_cube
- 2.3.40. simm_regulation_breakdown
- 2.3.41. risk_factors
- 2.3.42. runtimes
- 2.3.43. saccr_report
- 2.3.44. saccr_detail
- 2.3.45. sacva_report
- 2.3.46. sacva_sensitivities
- 2.3.47. sacva_sensitivity
- 2.3.48. sacva_detail
- 2.3.49. scenario
- 2.3.50. scenario_full_surface
- 2.3.51. scenario_par_rates
- 2.3.52. scenario_dump
- 2.3.53. scenario_statistics
- 2.3.54. sensitivity_report
- 2.3.55. sensitivity_atm_only
- 2.3.56. sensitivity_full_surface
- 2.3.57. sensitivity_scenario
- 2.3.58. simm_report
- 2.3.59. simm_data
- 2.3.60. smrc_report
- 2.3.61. smrc_detail
- 2.3.62. stress_scenario_par_rates
- 2.3.63. stress_scenarios
- 2.3.64. stress_test_report
- 2.3.65. stress_test_flows
- 2.3.66. swap_indices
- 2.3.67. swaption_npv
- 2.3.68. time_averaged_exposure
- 2.3.69. todays_market_calibration
- 2.3.70. todays_market_calibration_cashflows
- 2.3.71. trade_types
- 2.3.72. underlying_indices
- 2.3.73. var_report
- 2.3.74. xva_report
- 2.3.75. xva_explain_report
- 2.3.76. xva_explain_details
- 2.3.77. xva_par_sensitivity
- 2.3.78. xva_zero_sensitivity
- 2.3.79. xva_cg_cva_sensitivity_scenario
- 2.3.80. xva_cg_exposure
- 3. See also
This page is generated by projects/ores.ore/scripts/generate_output_catalogue.py from the output catalogue and output_family_docs.py; edit those and regenerate, never the page. The generator's --check fails when the page and the catalogue disagree.
1. Summary
ORE publishes no list of what its output files hold. ORE Studio's catalogue names 80 families, derived from the samples ORE ships and checked against the writers of the vendored version. Each family below states the file it is written to, the parameter that names it, the analytic that writes it, the columns that identify a row, every column with its kind, what its figures measure and their unit, and the sample that proves the readers read it. How the files are read and where the rows are stored is in ORE output processing.
2. Detail
2.1. How to read a family
- Key columns identify a row; a reader refuses a row that leaves its subject empty.
- Qualifier columns state the context of a figure and travel with it.
- Measure columns are the figures; each becomes one stored value named by its heading.
- An open family gains a measure column for each curve, factor or quantile the run asks for, so its measures here are a sample of what a run states, and none is required.
- Other names are the names a run writes the family under when its configuration names none.
- A synthetic sample is one ORE Studio wrote from the writer's columns because ORE ships none; it proves the columns, not real figures.
2.2. Outputs not read into rows
| File | Why |
|---|---|
amcBuffer.dat |
binary path data the AMC engine reads back, not a report |
cptyCube.csv.gz |
a compressed counterparty cube the engine reads back |
creditcurves.csv |
no writer reads creditcurves.outputFileName at v1.8.17.0 |
crossgamma.csv |
no writer reads sensitivity.crossGammaOutputFile at v1.8.17.0 |
cube.csv.gz |
a compressed copy of the NPV cube; rawcube states it as text |
meanReversion.csv |
a stem: the analytic writes meanReversion_<currency>.csv, the mean-reversion family |
nettingSetCube.csv.gz |
a compressed copy of the netting set cube; netcube states it as text |
parsensi.csv |
no writer reads sensitivity.parRateSensitivityOutputFile at v1.8.17.0 |
pca.csv |
a stem: the analytic writes pca_<currency>.csv, the pca family |
productclass_mapping.csv |
no writer reads sensitivity.productClassMappingOutputFile at v1.8.17.0 |
scenariodata.csv |
no writer reads simulation.aggregationScenarioDataDump at v1.8.17.0 |
scenariodata.csv.gz |
a compressed copy of the aggregation scenario data the engine reads back |
scenariodata.dat |
binary scenario data the engine reads back, not a report |
xva_sensitivity_jacobi.csv |
the xvaSensitivity analytic writes its jacobi to jacobi.csv at v1.8.17.0 |
xva_sensitivity_jacobi_inverse.csv |
the xvaSensitivity analytic writes its jacobi to jacobi_inverse.csv at v1.8.17.0 |
2.3. Families
2.3.1. additional_results_report
The extra results a pricer reports for each trade beyond its NPV: the engine and model it used, intermediate values and projected cashflows.
| Field | Value |
|---|---|
| File | additional_results.csv |
| Parameter | additionalResults.outputFileName |
| Analytics | additionalResults |
| Key | TradeId, ResultId |
| Measures | closed |
| Units | Each value states its own type: string, double or cashflows; a double is in the trade's currency unless its name says otherwise. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_3/ExpectedOutput/additional_results.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| ResultId | text | key |
| ResultType | text | qualifier |
| ResultValue | text | qualifier |
2.3.2. bacva_report
The basic approach CVA capital charge for each netting set.
| Field | Value |
|---|---|
| File | bacva.csv |
| Parameter | none; the engine names it |
| Analytics | bacva |
| Key | NettingSet |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/bacva/bacva.csv |
| Column | Kind | Role |
|---|---|---|
| Counterparty | text | qualifier |
| NettingSet | text | key |
| Analytic | text | qualifier |
| Value | decimal | measure |
2.3.3. calibration_report
The calibrated cross-asset model, as one XML document.
| Field | Value |
|---|---|
| File | calibration.csv |
| Parameter | calibration.outputFile |
| Analytics | calibration |
| Key | none: one row for each line |
| Measures | closed |
| Units | None: the document is configuration, not figures. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/calibration.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| CrossAssetModel | text | qualifier |
2.3.4. capital_crif
The capital sensitivities in CRIF form, one row for each trade, risk type and label, with the counterparty and netting set they belong to.
| Field | Value |
|---|---|
| File | capital_crif.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | TradeID, PortfolioID, TradeType |
| Measures | closed |
| Units | Amount is in AmountCurrency; AmountUSD is in US dollars. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/capital_crif.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| TradeID | text | key |
| PortfolioID | text | key |
| CounterpartyName | text | qualifier |
| CounterpartyID | text | qualifier |
| NettingSetNumber | text | qualifier |
| RiskType | text | qualifier |
| HedgingSet | text | qualifier |
| Qualifier | text | qualifier |
| Bucket | text | qualifier |
| Label1 | text | qualifier |
| Label2 | text | qualifier |
| AmountCurrency | text | qualifier |
| Amount | decimal | measure |
| AmountUSD | decimal | measure |
| ValuationDate | date | qualifier |
| EndDate | date | qualifier |
| Label3 | text | qualifier |
| Regulation | text | qualifier |
| Model | text | qualifier |
| TradeType | text | key |
2.3.5. netting_set_colva_report
The collateral valuation adjustment of one netting set along the exposure dates, with the collateral balance and floor behind it.
| Field | Value |
|---|---|
| File | colva_nettingset_*.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | NettingSet, Date, Time |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MinimalSetup/ExpectedOutput/colva_nettingset_CPTY_A.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| Date | date | key |
| Time | text | key |
| CollateralBalance | decimal | measure |
| COLVA Increment | decimal | measure |
| COLVA | decimal | measure |
| CollateralFloor Increment | decimal | measure |
| CollateralFloor | decimal | measure |
2.3.6. correlations
The correlation between two risk factors, estimated from history.
| Field | Value |
|---|---|
| File | correlation.csv |
| Parameter | correlation.outputFile |
| Analytics | correlation |
| Key | RiskFactor1, RiskFactor2 |
| Measures | closed |
| Units | A correlation between -1 and 1. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/Correlation/correlation.csv |
| Column | Kind | Role |
|---|---|---|
| RiskFactor1 | text | key |
| RiskFactor2 | text | key |
| Correlation | decimal | measure |
2.3.7. counterparties
The counterparties a portfolio's trades name, with how many trades each has.
| Field | Value |
|---|---|
| File | counterparties.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | Counterparty |
| Measures | closed |
| Units | A count of trades. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/counterparties.csv |
| Column | Kind | Role |
|---|---|---|
| Counterparty | text | key |
| Count | integer | measure |
2.3.8. credit_migration
The distribution of a credit portfolio's value under credit migration, bucket by bucket.
| Field | Value |
|---|---|
| File | credit_migration_*.csv |
| Parameter | none; the engine names it |
| Analytics | creditcurves |
| Key | none: one row for each line |
| Measures | closed |
| Units | upperBucketBound is money in the base currency; pdf and cdf are probabilities. |
| Header variants | 1 |
| Sample | external/ore/examples/CreditRisk/ExpectedOutput/CreditPortfolioModel/credit_migration_bond10_11.csv |
| Column | Kind | Role |
|---|---|---|
| upperBucketBound | decimal | measure |
| decimal | measure | |
| cdf | decimal | measure |
2.3.9. crif
The SIMM sensitivities in CRIF form, one row for each trade, risk type, qualifier, bucket and label.
| Field | Value |
|---|---|
| File | crif.csv |
| Parameter | crif.crifOutputFile |
| Analytics | crif |
| Key | TradeID, PortfolioID, TradeType |
| Measures | closed |
| Units | Amount is in AmountCurrency; AmountUSD is in US dollars. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/crif.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| TradeID | text | key |
| PortfolioID | text | key |
| ProductClass | text | qualifier |
| RiskType | text | qualifier |
| Qualifier | text | qualifier |
| Bucket | text | qualifier |
| Label1 | text | qualifier |
| Label2 | text | qualifier |
| AmountCurrency | text | qualifier |
| Amount | decimal | measure |
| AmountUSD | decimal | measure |
| IMModel | text | qualifier |
| TradeType | text | key |
| end_date | date | qualifier |
| Label3 | text | qualifier |
| CreditQuality | text | qualifier |
| LongShortInd | text | qualifier |
| CoveredBondInd | text | qualifier |
| TrancheThickness | text | qualifier |
| BB_RW | text | qualifier |
| collect_regulations | text | qualifier |
| post_regulations | text | qualifier |
2.3.10. curves_report
The discount factors of each curve the run built, one column for each curve, at each pillar date.
| Field | Value |
|---|---|
| File | curves.csv |
| Parameter | curves.outputFileName |
| Analytics | curves |
| Key | Date, Tenor |
| Measures | open: the run decides them |
| Units | A discount factor, without unit; the columns are the run's configured curves. |
| Header variants | 4 |
| Sample | external/ore/examples/CurveBuilding/ExpectedOutput/bondyieldshifted/curves.csv |
| Column | Kind | Role |
|---|---|---|
| Tenor | text | key |
| Date | date | key |
| USD | decimal | measure |
| USD.BMK.GVN.CURVE_SHIFTED | decimal | measure |
| USD-FedFunds | decimal | measure |
| USD-LIBOR-3M | decimal | measure |
| USD.CSB.DEFAULT_CURVE_SHIFTED | decimal | measure |
| GBP | decimal | measure |
| GBP-SONIA | decimal | measure |
| EUR | decimal | measure |
| BANK_EUR_BORROW | decimal | measure |
| BANK_EUR_LEND | decimal | measure |
| EUR-EONIA | decimal | measure |
| EUR-EURIBOR-6M | decimal | measure |
| GBP-LIBOR-3M | decimal | measure |
| GBP-LIBOR-6M | decimal | measure |
| BANK | decimal | measure |
| CPTY_A | decimal | measure |
| CPTY_B | decimal | measure |
2.3.11. cva_sensitivities
The CVA of each netting set and its change when one risk factor is shifted.
| Field | Value |
|---|---|
| File | cva_sensitivities.csv |
| Parameter | none; the engine names it |
| Analytics | xvaSensitivity |
| Key | NettingSet, RiskFactor |
| Measures | closed |
| Units | BaseCva and Delta are money in the base currency; ShiftSize is in the factor's own unit. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/cva_sensitivities.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| RiskFactor | text | key |
| ShiftType | text | qualifier |
| ShiftSize | decimal | measure |
| Currency | text | qualifier |
| BaseCva | decimal | measure |
| Delta | decimal | measure |
2.3.12. dim_evolution
The expected dynamic initial margin of each netting set along the exposure dates.
| Field | Value |
|---|---|
| File | dim_evolution.csv |
| Other names | dim_evolution.txt |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | NettingSet, Date, Time |
| Measures | open: the run decides them |
| Units | Money in the base currency; DaysInPeriod is a count of days. |
| Header variants | 2 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/Dim2/AmcCg/dim_evolution.csv |
| Column | Kind | Role |
|---|---|---|
| TimeStep | integer | qualifier |
| Date | date | key |
| DaysInPeriod | integer | measure |
| ZeroOrderDIM | decimal | measure |
| AverageDIM | decimal | measure |
| AverageFLOW | decimal | measure |
| SimpleDIM | decimal | measure |
| NettingSet | text | key |
| Time | text | key |
2.3.13. dim_regression
The dynamic initial margin of each simulation sample and the regressors it was estimated from.
| Field | Value |
|---|---|
| File | dim_regression.csv |
| Other names | dim_regression*.txt |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | Sample |
| Measures | open: the run decides them |
| Units | Money in the base currency; the regressor columns are the run's configured regressors. |
| Header variants | 4 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/dim/A0/dim_regression.csv |
| Column | Kind | Role |
|---|---|---|
| Sample | text | key |
| Regressor_0_EUR-EURIBOR-3M | decimal | measure |
| RegressionDIM | decimal | measure |
| LocalDIM | decimal | measure |
| ExpectedDIM | decimal | measure |
| ZeroOrderDIM | decimal | measure |
| DeltaNPV | decimal | measure |
| SimpleDIM | decimal | measure |
| Regressor_0_USD | decimal | measure |
| Regressor_1_USD-LIBOR-3M | decimal | measure |
| Regressor_1_EUR-EURIBOR-3M | decimal | measure |
| Regressor_2_USD-LIBOR-3M | decimal | measure |
| Regressor_0_NPV | decimal | measure |
2.3.14. dividends_report
The dividends the run loaded, one row for each equity and ex date.
| Field | Value |
|---|---|
| File | dividends.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | dividendExDate, equityId |
| Measures | closed |
| Units | dividendRate is the dividend per share, in the equity's currency. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_1/ExpectedOutput/dividends.csv |
| Column | Kind | Role |
|---|---|---|
| dividendExDate | date | key |
| equityId | text | key |
| dividendRate | decimal | measure |
| dividendPaymentDate | date | qualifier |
2.3.15. eigenvalues
The eigenvalues of a principal component analysis of historical moves.
| Field | Value |
|---|---|
| File | eigenvalues.csv |
| Parameter | none; the engine names it |
| Analytics | calibration |
| Key | none: one row for each line |
| Measures | closed |
| Units | An eigenvalue, without unit. |
| Header variants | 1 |
| Sample | external/ore/examples/Exposure/ExpectedOutput/hw2f_calibration/eigenvalues.csv |
| Column | Kind | Role |
|---|---|---|
| number | integer | measure |
| value | decimal | measure |
2.3.16. eigenvectors
The eigenvectors of a principal component analysis, one row for each tenor.
| Field | Value |
|---|---|
| File | eigenvectors.csv |
| Parameter | none; the engine names it |
| Analytics | calibration |
| Key | none: one row for each line |
| Measures | closed |
| Units | A loading, without unit. |
| Header variants | 1 |
| Sample | external/ore/examples/Exposure/ExpectedOutput/hw2f_calibration/eigenvectors.csv |
| Column | Kind | Role |
|---|---|---|
| tenor | integer | measure |
| eigenvector_1 | decimal | measure |
| eigenvector_2 | decimal | measure |
| eigenvector_3 | decimal | measure |
| eigenvector_4 | decimal | measure |
| eigenvector_5 | decimal | measure |
| eigenvector_6 | decimal | measure |
| eigenvector_7 | decimal | measure |
| eigenvector_8 | decimal | measure |
2.3.17. netting_set_exposure_report
The exposure profile of one netting set: expected positive and negative exposure, potential future exposure and the Basel measures, at each date.
| Field | Value |
|---|---|
| File | exposure_nettingset_*.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | NettingSet, Date, Time |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 3 |
| Sample | external/ore/examples/AmericanMonteCarlo/ExpectedOutput/amccg/exposure_nettingset_CPTY_A.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| Date | date | key |
| Time | text | key |
| EPE | decimal | measure |
| ENE | decimal | measure |
| PFE | decimal | measure |
| ExpectedCollateral | decimal | measure |
| BaselEE | decimal | measure |
| BaselEEE | decimal | measure |
| TimeWeightedBaselEPE | decimal | measure |
| TimeWeightedBaselEEPE | decimal | measure |
| Type | text | qualifier |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Scenario | text | qualifier |
2.3.18. trade_exposure_report
The exposure profile of one trade, with the share of its netting set's exposure allocated to it, at each date.
| Field | Value |
|---|---|
| File | exposure_trade_*.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | TradeId, Date, Time |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 3 |
| Sample | external/ore/examples/AmericanMonteCarlo/ExpectedOutput/amc/exposure_trade_AverageOIS_USD.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Date | date | key |
| Time | text | key |
| EPE | integer | measure |
| ENE | integer | measure |
| AllocatedEPE | integer | measure |
| AllocatedENE | integer | measure |
| PFE | integer | measure |
| BaselEE | integer | measure |
| BaselEEE | integer | measure |
| TimeWeightedBaselEPE | decimal | measure |
| TimeWeightedBaselEEPE | decimal | measure |
| Type | text | qualifier |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Scenario | text | qualifier |
2.3.19. fixings_report
The index fixings the run loaded, one row for each index and date.
| Field | Value |
|---|---|
| File | fixings.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | fixingDate, fixingId |
| Measures | closed |
| Units | A fixing, in the index's own unit: a rate, a price or a level. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_10/ExpectedOutput/fixings.csv |
| Column | Kind | Role |
|---|---|---|
| fixingDate | date | key |
| fixingId | text | key |
| fixingValue | decimal | measure |
2.3.20. cashflow_report
The cashflows of each trade, one row for each payment of each leg, with its dates, rates and present value.
| Field | Value |
|---|---|
| File | flows.csv |
| Other names | cashflow.csv |
| Parameter | cashflow.outputFileName |
| Analytics | cashflow |
| Key | TradeId, LegNo, CashflowNo |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Coupon is a rate; Accrual is a year fraction; DiscountFactor has no unit. |
| Header variants | 2 |
| Sample | external/ore/examples/MinimalSetup/ExpectedOutput/flows.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Type | text | qualifier |
| CashflowNo | text | key |
| LegNo | text | key |
| PayDate | date | qualifier |
| FlowType | text | qualifier |
| Amount | decimal | measure |
| Currency | text | qualifier |
| Coupon | decimal | measure |
| Accrual | decimal | measure |
| AccrualStartDate | date | qualifier |
| AccrualEndDate | date | qualifier |
| AccruedAmount | decimal | measure |
| fixingDate | date | qualifier |
| fixingValue | decimal | measure |
| Notional | decimal | measure |
| DiscountFactor | decimal | measure |
| PresentValue | decimal | measure |
| FXRate(Local-Base) | decimal | measure |
| PresentValue(Base) | decimal | measure |
| BaseCurrency | text | qualifier |
| FloorStrike | text | qualifier |
| CapStrike | text | qualifier |
| FloorVolatility | text | qualifier |
| CapVolatility | text | qualifier |
| EffectiveFloorVolatility | text | qualifier |
| EffectiveCapVolatility | text | qualifier |
2.3.21. historical_pnl
The historical profit and loss of a portfolio between two dates, one row for each historical scenario.
| Field | Value |
|---|---|
| File | historical_PnL.csv |
| Parameter | none; the engine names it |
| Analytics | historicalSimulationVar |
| Key | Portfolio, PLDate1, PLDate2 |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/HistSimVar/historical_PnL.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| RiskClass | text | qualifier |
| RiskType | text | qualifier |
| PLDate1 | date | key |
| PLDate2 | date | key |
| PLAmount | decimal | measure |
2.3.22. im_schedule
The initial margin of each portfolio under the regulatory schedule approach, with the replacement costs and net-to-gross ratio.
| Field | Value |
|---|---|
| File | im_schedule.csv |
| Parameter | none; the engine names it |
| Analytics | imschedule |
| Key | Portfolio |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. NetToGrossRatio has no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/IM_SCHEDULE/im_schedule.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| ProductClass | text | qualifier |
| GrossIM | decimal | measure |
| GrossCurrentRC | decimal | measure |
| NetCurrentRC | decimal | measure |
| NetToGrossRatio | decimal | measure |
| Side | text | qualifier |
| Regulation | text | qualifier |
| ScheduleIM | decimal | measure |
| Currency | text | qualifier |
2.3.23. im_schedule_trade
The schedule initial margin of each trade, with the notional and value it is computed from.
| Field | Value |
|---|---|
| File | im_schedule_trade.csv |
| Parameter | none; the engine names it |
| Analytics | imschedule |
| Key | TradeId, Portfolio |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Maturity is a year fraction; Multiplier has no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/IM_SCHEDULE/im_schedule_trade.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Portfolio | text | key |
| ProductClass | text | qualifier |
| EndDate | date | qualifier |
| Maturity | decimal | measure |
| Label | text | qualifier |
| Multiplier | decimal | measure |
| Notional | decimal | measure |
| NotionalCurrency | text | qualifier |
| PV | decimal | measure |
| PVCurrency | text | qualifier |
| Notional(Base) | decimal | measure |
| PV(Base) | decimal | measure |
| BaseCurrency | text | qualifier |
| GrossIM(Base) | decimal | measure |
| CollectRegulations | text | qualifier |
| PostRegulations | text | qualifier |
2.3.24. jacobi
The conversion matrix from zero-rate to par-rate sensitivities: how much one par factor moves with one raw factor.
| Field | Value |
|---|---|
| File | jacobi.csv |
| Parameter | sensitivity.jacobiOutputFile |
| Analytics | sensitivity, zeroToParSensiConversion |
| Key | ParFactor, RawFactor |
| Measures | closed |
| Units | A sensitivity ratio, without unit. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/jacobi.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| ParFactor | text | key |
| RawFactor | text | key |
| ParSensitivity | decimal | measure |
2.3.25. jacobi_inverse
The inverse conversion matrix: how much one raw factor moves with one par factor.
| Field | Value |
|---|---|
| File | jacobi_inverse.csv |
| Parameter | sensitivity.jacobiInverseOutputFile |
| Analytics | sensitivity, zeroToParSensiConversion |
| Key | RawFactor(z), ParFactor(c) |
| Measures | closed |
| Units | A sensitivity ratio, without unit. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/jacobi_inverse.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| RawFactor(z) | text | key |
| ParFactor(c) | text | key |
| dz/dc | decimal | measure |
2.3.26. market_objects
The market objects a portfolio depends on, one row for each kind, with the objects of that kind.
| Field | Value |
|---|---|
| File | marketObjects.csv |
| Parameter | portfolioDetails.marketObjectFileName |
| Analytics | portfolioDetails |
| Key | MarketObjectType |
| Measures | closed |
| Units | None: the values are names. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/marketObjects.csv |
| Column | Kind | Role |
|---|---|---|
| MarketObjectType | text | key |
| MarketObjectName | text | qualifier |
2.3.27. market_data_report
The market quotes the run loaded, one row for each quote and date.
| Field | Value |
|---|---|
| File | marketdata.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | datumDate, datumId |
| Measures | closed |
| Units | A quote, in the quote's own unit: a rate, a price, a spread or a volatility. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_10/ExpectedOutput/marketdata.csv |
| Column | Kind | Role |
|---|---|---|
| datumDate | date | key |
| datumId | text | key |
| datumValue | decimal | measure |
2.3.28. mean_reversion
The mean reversion and volatility parameters calibrated for a Hull-White model, one file for each currency.
| Field | Value |
|---|---|
| File | meanReversion_*.csv |
| Parameter | none; the engine names it |
| Analytics | calibration |
| Key | PrincipalComponent |
| Measures | closed |
| Units | A parameter of the model, without unit. |
| Header variants | 1 |
| Sample | external/ore/examples/Exposure/ExpectedOutput/hwhistoricalcalibration/meanReversion_EUR-EURIBOR-3M.csv |
| Column | Kind | Role |
|---|---|---|
| PrincipalComponent | text | key |
| v_0 | decimal | measure |
| v_1 | decimal | measure |
| kappa_0 | decimal | measure |
| kappa_1 | decimal | measure |
2.3.29. net_cube
The value of each netting set in each simulated scenario at each date: the NPV cube after netting.
| Field | Value |
|---|---|
| File | netcube.csv |
| Parameter | pfe.netCubeOutputFile |
| Analytics | pfe, xva |
| Key | NettingSet, Date, Sample |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MinimalSetup/ExpectedOutput/netcube.csv |
| Column | Kind | Role |
|---|---|---|
| Id | text | qualifier |
| NettingSet | text | key |
| DateIndex | integer | qualifier |
| Date | date | key |
| Sample | text | key |
| Depth | integer | qualifier |
| Value | decimal | measure |
2.3.30. netting_sets
The netting sets a portfolio's trades fall in, with how many trades each has.
| Field | Value |
|---|---|
| File | netting_sets.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | NettingSets |
| Measures | closed |
| Units | A count of trades. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/netting_sets.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSets | text | key |
| Count | integer | measure |
2.3.31. npv_report
The net present value and notional of each trade.
| Field | Value |
|---|---|
| File | npv.csv |
| Parameter | npv.outputFileName |
| Analytics | npv |
| Key | TradeId, NettingSet, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/AmericanMonteCarlo/ExpectedOutput/amc/npv.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| Maturity | date | qualifier |
| MaturityTime | decimal | qualifier |
| NPV | decimal | measure |
| NpvCurrency | text | qualifier |
| NPV(Base) | decimal | measure |
| BaseCurrency | text | qualifier |
| Notional | decimal | measure |
| NotionalCurrency | text | qualifier |
| Notional(Base) | decimal | measure |
| NettingSet | text | key |
| CounterParty | text | qualifier |
2.3.32. par_conversion_sensitivity
The par-rate sensitivities of each trade converted from zero-rate sensitivities.
| Field | Value |
|---|---|
| File | parconversion_sensitivity.csv |
| Parameter | zeroToParSensiConversion.outputFile |
| Analytics | zeroToParSensiConversion |
| Key | TradeId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. A (Trade) column is in the trade's currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParConversion/parconversion_sensitivity.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base NPV | decimal | measure |
| Delta | decimal | measure |
| Gamma | text | qualifier |
| Currency(Trade) | text | qualifier |
| Base NPV(Trade) | decimal | measure |
| Delta(Trade) | decimal | measure |
| Gamma(Trade) | text | qualifier |
2.3.33. par_sensitivity
The par-rate sensitivities of each trade: delta and gamma for each par factor.
| Field | Value |
|---|---|
| File | parsensitivity.csv |
| Parameter | sensitivity.parSensitivityOutputFile |
| Analytics | sensitivity |
| Key | TradeId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. A (Trade) column is in the trade's currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParSensi/OIFuture/parsensitivity.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base NPV | decimal | measure |
| Delta | decimal | measure |
| Gamma | decimal | measure |
| Currency(Trade) | text | qualifier |
| Base NPV(Trade) | decimal | measure |
| Delta(Trade) | decimal | measure |
| Gamma(Trade) | decimal | measure |
2.3.34. par_shifts
The par-rate shift a zero-rate stress scenario implies for each par instrument.
| Field | Value |
|---|---|
| File | parshifts.csv |
| Parameter | zeroToParShift.parShiftsFile |
| Analytics | zeroToParShift |
| Key | ScenarioLabel |
| Measures | closed |
| Units | A shift in the instrument's quote unit, usually a rate. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ZeroToParShift/parshifts.csv |
| Column | Kind | Role |
|---|---|---|
| ScenarioLabel | text | key |
| ParKey | text | qualifier |
| ParShift | decimal | measure |
2.3.35. pca
The principal components of historical curve moves, one file for each currency.
| Field | Value |
|---|---|
| File | pca_*.csv |
| Parameter | none; the engine names it |
| Analytics | calibration |
| Key | PrincipalComponent |
| Measures | closed |
| Units | Eigenvalues and loadings, without unit. |
| Header variants | 1 |
| Sample | external/ore/examples/Exposure/ExpectedOutput/hwhistoricalcalibration/pca_EUR-EURIBOR-3M.csv |
| Column | Kind | Role |
|---|---|---|
| PrincipalComponent | text | key |
| EigenValue | decimal | measure |
| EigenVector_0 | decimal | measure |
| EigenVector_1 | decimal | measure |
| EigenVector_2 | decimal | measure |
| EigenVector_3 | decimal | measure |
| EigenVector_4 | decimal | measure |
| EigenVector_5 | decimal | measure |
| EigenVector_6 | decimal | measure |
| EigenVector_7 | decimal | measure |
2.3.36. pnl_report
The profit and loss of each trade between two dates, split into its sources.
| Field | Value |
|---|---|
| File | pnl.csv |
| Parameter | pnl.outputFileName |
| Analytics | pnl |
| Key | TradeId, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/Pnl/pnl.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| Maturity | date | qualifier |
| MaturityTime | decimal | qualifier |
| StartDate | date | qualifier |
| EndDate | date | qualifier |
| NPV(t0_m0_p0) | decimal | measure |
| NPV(t0_m1_p0) | decimal | measure |
| NPV(t1_m0_p0) | decimal | measure |
| NPV(t1_m1_p0) | decimal | measure |
| NPV(t1_m0_p1) | decimal | measure |
| NPV(t1_m1_p1) | decimal | measure |
| Day1PnL | decimal | measure |
| TradeChangePnL | decimal | measure |
| PeriodCashFlow | decimal | measure |
| New | decimal | measure |
| Matured | decimal | measure |
| Terminated | decimal | measure |
| Amendments | decimal | measure |
| Theta | decimal | measure |
| HypotheticalCleanPnL | decimal | measure |
| CleanPnL | decimal | measure |
| DirtyPnL | decimal | measure |
| Currency | text | qualifier |
2.3.37. pnl_explain_report
The profit and loss of each trade between two dates, explained factor by factor.
| Field | Value |
|---|---|
| File | pnl_explain.csv |
| Parameter | pnlExplain.outputFileName |
| Analytics | pnlExplain |
| Key | TradeId, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/PnlExplain/pnl_explain.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| Maturity | date | qualifier |
| MaturityTime | decimal | qualifier |
| StartDate | date | qualifier |
| EndDate | date | qualifier |
| NPV(t0_m0_p0) | decimal | measure |
| NPV(t0_m1_p0) | decimal | measure |
| NPV(t1_m0_p0) | decimal | measure |
| NPV(t1_m1_p0) | decimal | measure |
| NPV(t1_m0_p1) | decimal | measure |
| NPV(t1_m1_p1) | decimal | measure |
| Day1PnL | decimal | measure |
| TradeChangePnL | decimal | measure |
| PeriodCashFlow | decimal | measure |
| New | decimal | measure |
| Matured | decimal | measure |
| Terminated | decimal | measure |
| Amendments | decimal | measure |
| Theta | decimal | measure |
| HypotheticalCleanPnL | decimal | measure |
| CleanPnL | decimal | measure |
| DirtyPnL | decimal | measure |
| Currency | text | qualifier |
| ScenarioPnl | decimal | measure |
| TotalDelta | decimal | measure |
| TotalGamma | decimal | measure |
| TotalVega | decimal | measure |
| IrDelta | decimal | measure |
| IrGamma | decimal | measure |
| IrVega | decimal | measure |
| EqDelta | decimal | measure |
| EqGamma | decimal | measure |
| EqVega | decimal | measure |
| FxDelta | decimal | measure |
| FxGamma | decimal | measure |
| FxVega | decimal | measure |
| InfDelta | decimal | measure |
| InfGamma | decimal | measure |
| InfVega | decimal | measure |
| CreditDelta | decimal | measure |
| CreditGamma | decimal | measure |
| CreditVega | decimal | measure |
| CommDelta | decimal | measure |
| CommGamma | decimal | measure |
| CommVega | decimal | measure |
2.3.38. pricing_stats
How many times each trade was priced and how long it took.
| Field | Value |
|---|---|
| File | pricingstats.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | TradeId, TradeType |
| Measures | closed |
| Units | NumberOfPricings is a count; the timings are in microseconds. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/captured/pricingstats.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| NumberOfPricings | integer | measure |
| CumulativeTiming | integer | measure |
| AverageTiming | integer | measure |
2.3.39. raw_cube
The value of each trade in each simulated scenario at each date: the NPV cube before netting.
| Field | Value |
|---|---|
| File | rawcube.csv |
| Parameter | pfe.rawCubeOutputFile |
| Analytics | pfe, xva |
| Key | NettingSet, Date, Sample |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MinimalSetup/ExpectedOutput/rawcube.csv |
| Column | Kind | Role |
|---|---|---|
| Id | text | qualifier |
| NettingSet | text | key |
| DateIndex | integer | qualifier |
| Date | date | key |
| Sample | text | key |
| Depth | integer | qualifier |
| Value | decimal | measure |
2.3.40. simm_regulation_breakdown
The SIMM initial margin of each portfolio broken down by regulation.
| Field | Value |
|---|---|
| File | regulation_breakdown_simm.csv |
| Parameter | none; the engine names it |
| Analytics | simm |
| Key | Portfolio |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/SIMM2.4_10D/regulation_breakdown_simm.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| ProductClass | text | qualifier |
| RiskClass | text | qualifier |
| MarginType | text | qualifier |
| Bucket | text | qualifier |
| SimmSide | text | qualifier |
| Regulation | text | qualifier |
| InitialMargin | decimal | measure |
| Currency | text | qualifier |
| CalculationCurrency | text | qualifier |
2.3.41. risk_factors
The risk factors a portfolio depends on, one row for each kind, with the factors of that kind.
| Field | Value |
|---|---|
| File | riskFactors.csv |
| Parameter | portfolioDetails.riskFactorFileName |
| Analytics | portfolioDetails |
| Key | RiskFactorType |
| Measures | closed |
| Units | None: the values are names. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/riskFactors.csv |
| Column | Kind | Role |
|---|---|---|
| RiskFactorType | text | key |
| RiskFactorName | text | qualifier |
2.3.42. runtimes
How long each part of the run took.
| Field | Value |
|---|---|
| File | runtimes.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | Key |
| Measures | closed |
| Units | Count is a number of calls; the others are microseconds. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_10/ExpectedOutput/runtimes.csv |
| Column | Kind | Role |
|---|---|---|
| Key | text | key |
| Total | integer | measure |
| Count | integer | measure |
| Max | integer | measure |
| Min | integer | measure |
| Average | decimal | measure |
2.3.43. saccr_report
The SA-CCR exposure at default of each netting set, with the add-on, replacement cost and margin terms behind it.
| Field | Value |
|---|---|
| File | saccr.csv |
| Parameter | none; the engine names it |
| Analytics | saccr |
| Key | NettingSet |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Multiplier and RW have no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/CreditRisk/ExpectedOutput/SA-CCR/saccr.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| AssetClass | text | qualifier |
| HedgingSet | text | qualifier |
| AddOn | decimal | measure |
| NPV | decimal | measure |
| IndependentAmountHeld | decimal | measure |
| InitialMargin | decimal | measure |
| VariationMargin | decimal | measure |
| ThresholdAmount | decimal | measure |
| MinimumTransferAmount | decimal | measure |
| RC | decimal | measure |
| Multiplier | decimal | measure |
| PFE | decimal | measure |
| EAD | decimal | measure |
| RW | decimal | measure |
| CC | decimal | measure |
2.3.44. saccr_detail
The SA-CCR terms of each trade: its hedging set, supervisory delta, maturity factor and adjusted notional.
| Field | Value |
|---|---|
| File | saccr_detail.csv |
| Other names | saccrdetail.csv |
| Parameter | none; the engine names it |
| Analytics | saccr |
| Key | TradeId, NettingSet, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. delta, MF and the supervisory factors have no unit; M, S, E and T are year fractions. |
| Header variants | 1 |
| Sample | external/ore/examples/CreditRisk/ExpectedOutput/SA-CCR/saccr_detail.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| NettingSet | text | key |
| NPV | decimal | measure |
| AssetClass | text | qualifier |
| HedgingSet | text | qualifier |
| HedgingSubset | text | qualifier |
| Bucket | integer | measure |
| Qualifier | text | qualifier |
| Currency | text | qualifier |
| delta | decimal | measure |
| d | decimal | measure |
| MF | decimal | measure |
| M | decimal | measure |
| S | decimal | measure |
| E | decimal | measure |
| T | text | qualifier |
| SD | integer | measure |
| CurrentPrice | text | qualifier |
| NumNominalFlows | text | qualifier |
| Price | text | qualifier |
| Strike | text | qualifier |
| Volatility | decimal | measure |
2.3.45. sacva_report
The standardised approach CVA capital charge of each netting set.
| Field | Value |
|---|---|
| File | sacva.csv |
| Parameter | none; the engine names it |
| Analytics | sacva |
| Key | NettingSetId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/sacva.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSetId | text | key |
| RiskType | text | qualifier |
| MarginType | text | qualifier |
| Bucket | text | qualifier |
| Analytic | text | qualifier |
| Value | decimal | measure |
2.3.46. sacva_sensitivities
The SA-CVA sensitivities of each netting set to each risk factor, before netting and before any risk weight.
| Field | Value |
|---|---|
| File | sacva_sensitivities.csv |
| Parameter | none; the engine names it |
| Analytics | sacva |
| Key | NettingSet, RiskFactor |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/sacva_sensitivities.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| RiskType | text | qualifier |
| CvaType | text | qualifier |
| MarginType | text | qualifier |
| RiskFactor | text | key |
| Bucket | text | qualifier |
| Value | decimal | measure |
2.3.47. sacva_sensitivity
The net SA-CVA sensitivities of each netting set, by risk type, CVA type and margin type.
| Field | Value |
|---|---|
| File | sacva_sensitivity.csv |
| Parameter | sacva.saCvaNetSensitivitiesFile |
| Analytics | sacva |
| Key | NettingSet, RiskFactor |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | projects/ores.ore/data/samples/synthetic/sacva_sensitivity.csv (synthetic) |
| Column | Kind | Role |
|---|---|---|
| NettingSet | text | key |
| RiskType | text | qualifier |
| CvaType | text | qualifier |
| MarginType | text | qualifier |
| RiskFactor | text | key |
| Bucket | text | qualifier |
| Value | decimal | measure |
2.3.48. sacva_detail
The SA-CVA sensitivities of each netting set with the risk weight applied to each.
| Field | Value |
|---|---|
| File | sacvadetail.csv |
| Parameter | none; the engine names it |
| Analytics | sacva |
| Key | NettingSetId, RiskFactor |
| Measures | closed |
| Units | Sensitivity is money in the base currency; RiskWeight has no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/sacvadetail.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSetId | text | key |
| RiskType | text | qualifier |
| Bucket | text | qualifier |
| MarginType | text | qualifier |
| RiskFactor | text | key |
| CvaType | text | qualifier |
| Sensitivity | decimal | measure |
| RiskWeight | decimal | measure |
2.3.49. scenario
The value of each trade under each shifted factor of a sensitivity run.
| Field | Value |
|---|---|
| File | scenario.csv |
| Parameter | scenario.scenarioOutputFile |
| Analytics | scenario, sensitivity |
| Key | TradeId, Factor |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParSensi/OIFuture/scenario.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Factor | text | key |
| Up/Down | text | qualifier |
| Base NPV | decimal | measure |
| ShiftSize_1 | decimal | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Scenario NPV | decimal | measure |
| Difference | decimal | measure |
| Base Currency | text | qualifier |
2.3.50. scenario_full_surface
The value of each trade under each shifted factor of a full volatility surface sensitivity run.
| Field | Value |
|---|---|
| File | scenario_fullSurface.csv |
| Parameter | none; the engine names it |
| Analytics | scenario |
| Key | TradeId, Factor |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SensiSmile/Surface/scenario_fullSurface.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Factor | text | key |
| Up/Down | text | qualifier |
| Base NPV | decimal | measure |
| ShiftSize_1 | decimal | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Scenario NPV | decimal | measure |
| Difference | decimal | measure |
| Base Currency | text | qualifier |
2.3.51. scenario_par_rates
The par rates of each par instrument in the base and in the shifted market.
| Field | Value |
|---|---|
| File | scenario_par_rates.csv |
| Parameter | none; the engine names it |
| Analytics | sensitivity |
| Key | none: one row for each line |
| Measures | closed |
| Units | A rate. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParSensi/OIFuture/scenario_par_rates.csv |
| Column | Kind | Role |
|---|---|---|
| ParKey | text | qualifier |
| BaseParRate | decimal | measure |
| ScenarioParRate | decimal | measure |
2.3.52. scenario_dump
The simulated market: the value of each risk factor in each scenario at each date.
| Field | Value |
|---|---|
| File | scenariodump.csv |
| Parameter | scenarioGeneration.scenariodump |
| Analytics | scenarioGeneration, simulation |
| Key | Date, Scenario |
| Measures | open: the run decides them |
| Units | A risk factor in its own unit: a discount factor, a rate, a spot or a volatility; the columns are the run's configured factors. |
| Header variants | 1 |
| Sample | external/ore/examples/ORE-Python/Notebooks/Example_4/ExpectedOutput/scenariodump.csv |
| Column | Kind | Role |
|---|---|---|
| Date | date | key |
| Scenario | text | key |
| Numeraire | decimal | measure |
| DiscountCurve/EUR/0 | decimal | measure |
| DiscountCurve/EUR/1 | decimal | measure |
| DiscountCurve/EUR/2 | decimal | measure |
| DiscountCurve/EUR/3 | decimal | measure |
| DiscountCurve/EUR/4 | decimal | measure |
| DiscountCurve/EUR/5 | decimal | measure |
| DiscountCurve/EUR/6 | decimal | measure |
| DiscountCurve/EUR/7 | decimal | measure |
2.3.53. scenario_statistics
Statistics of the simulated market across scenarios, for each risk factor at each date.
| Field | Value |
|---|---|
| File | scenariostatistics.csv |
| Parameter | none; the engine names it |
| Analytics | scenario |
| Key | Date, Scenario |
| Measures | open: the run decides them |
| Units | A risk factor in its own unit; the columns are the run's configured factors. |
| Header variants | 1 |
| Sample | external/ore/examples/AmericanMonteCarlo/ExpectedOutput/scenariostatistics/scenariostatistics.csv |
| Column | Kind | Role |
|---|---|---|
| Date | date | key |
| Scenario | text | key |
| Numeraire | decimal | measure |
| DiscountCurve/EUR/0 | decimal | measure |
| DiscountCurve/EUR/1 | decimal | measure |
| DiscountCurve/EUR/2 | decimal | measure |
| DiscountCurve/EUR/3 | decimal | measure |
| DiscountCurve/EUR/4 | decimal | measure |
| DiscountCurve/EUR/5 | decimal | measure |
| DiscountCurve/USD/0 | decimal | measure |
| DiscountCurve/USD/1 | decimal | measure |
| DiscountCurve/USD/2 | decimal | measure |
| DiscountCurve/USD/3 | decimal | measure |
| DiscountCurve/USD/4 | decimal | measure |
| DiscountCurve/USD/5 | decimal | measure |
| IndexCurve/EUR-EONIA/0 | decimal | measure |
| IndexCurve/EUR-EONIA/1 | decimal | measure |
| IndexCurve/EUR-EONIA/2 | decimal | measure |
| IndexCurve/EUR-EONIA/3 | decimal | measure |
| IndexCurve/EUR-EONIA/4 | decimal | measure |
| IndexCurve/EUR-EONIA/5 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/0 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/1 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/2 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/3 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/4 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/5 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/0 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/1 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/2 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/3 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/4 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/5 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/0 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/1 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/2 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/3 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/4 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/5 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/0 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/1 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/2 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/3 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/4 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/5 | decimal | measure |
| FXSpot/USDEUR/0 | decimal | measure |
2.3.54. sensitivity_report
The zero-rate sensitivities of each trade: delta and gamma for each factor, and cross gammas for factor pairs.
| Field | Value |
|---|---|
| File | sensitivity.csv |
| Parameter | sensitivity.sensitivityOutputFile |
| Analytics | sensitivity |
| Key | TradeId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. A (Trade) column is in the trade's currency; a shift size is in the factor's unit. |
| Header variants | 2 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/CurveAlgebra/sensitivity.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base NPV | decimal | measure |
| Delta | decimal | measure |
| Gamma | decimal | measure |
| Currency(Trade) | text | qualifier |
| Base NPV(Trade) | decimal | measure |
| Delta(Trade) | decimal | measure |
| Gamma(Trade) | decimal | measure |
| Scenario | text | qualifier |
2.3.55. sensitivity_atm_only
The sensitivities of each trade when only the at-the-money volatilities are shifted.
| Field | Value |
|---|---|
| File | sensitivity_atmOnly.csv |
| Parameter | none; the engine names it |
| Analytics | sensitivity |
| Key | TradeId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SensiSmile/Atm/sensitivity_atmOnly.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base NPV | decimal | measure |
| Delta | decimal | measure |
| Gamma | decimal | measure |
| Currency(Trade) | text | qualifier |
| Base NPV(Trade) | decimal | measure |
| Delta(Trade) | decimal | measure |
| Gamma(Trade) | decimal | measure |
2.3.56. sensitivity_full_surface
The sensitivities of each trade when the full volatility surface is shifted.
| Field | Value |
|---|---|
| File | sensitivity_fullSurface.csv |
| Parameter | none; the engine names it |
| Analytics | sensitivity |
| Key | TradeId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SensiSmile/Surface/sensitivity_fullSurface.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base NPV | decimal | measure |
| Delta | decimal | measure |
| Gamma | decimal | measure |
| Currency(Trade) | text | qualifier |
| Base NPV(Trade) | decimal | measure |
| Delta(Trade) | decimal | measure |
| Gamma(Trade) | decimal | measure |
2.3.57. sensitivity_scenario
The value of each trade under each scenario of a sensitivity run, with the factor the scenario shifts.
| Field | Value |
|---|---|
| File | sensitivity_scenario.csv |
| Parameter | none; the engine names it |
| Analytics | sensitivity |
| Key | TradeId, Scenario, Factor |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SensiStress/sensitivity_scenario.csv |
| Column | Kind | Role |
|---|---|---|
| Scenario | text | key |
| TradeId | text | key |
| Factor | text | key |
| Up/Down | text | qualifier |
| Base NPV | decimal | measure |
| ShiftSize_1 | decimal | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Scenario NPV | decimal | measure |
| Difference | decimal | measure |
| Base Currency | text | qualifier |
2.3.58. simm_report
The SIMM initial margin of each portfolio.
| Field | Value |
|---|---|
| File | simm.csv |
| Parameter | none; the engine names it |
| Analytics | simm |
| Key | Portfolio |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/SIMM2.4_10D/simm.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| ProductClass | text | qualifier |
| RiskClass | text | qualifier |
| MarginType | text | qualifier |
| Bucket | text | qualifier |
| SimmSide | text | qualifier |
| Regulation | text | qualifier |
| InitialMargin | decimal | measure |
| Currency | text | qualifier |
| CalculationCurrency | text | qualifier |
2.3.59. simm_data
The SIMM margin of each portfolio broken down by product class, risk class and bucket.
| Field | Value |
|---|---|
| File | simm_data.csv |
| Parameter | none; the engine names it |
| Analytics | simm |
| Key | Portfolio |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/InitialMargin/ExpectedOutput/SIMM2.4_10D/simm_data.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| RiskType | text | qualifier |
| ProductClass | text | qualifier |
| Bucket | integer | measure |
| Qualifier | text | qualifier |
| Label1 | text | qualifier |
| Label2 | text | qualifier |
| AmountCurrency | text | qualifier |
| Amount | decimal | measure |
| AmountUSD | decimal | measure |
| collect_regulations | text | qualifier |
| post_regulations | text | qualifier |
2.3.60. smrc_report
The standardised market risk charge of each trade type.
| Field | Value |
|---|---|
| File | smrc.csv |
| Parameter | none; the engine names it |
| Analytics | smrc |
| Key | TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. RiskWeight has no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SMRC/smrc.csv |
| Column | Kind | Role |
|---|---|---|
| TradeType | text | key |
| Asset | text | qualifier |
| RiskWeight | decimal | measure |
| SignedNotional | decimal | measure |
| SMRC | decimal | measure |
2.3.61. smrc_detail
The standardised market risk charge terms of each trade.
| Field | Value |
|---|---|
| File | smrcdetail.csv |
| Parameter | none; the engine names it |
| Analytics | smrc |
| Key | TradeId, NettingSet, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Maturity is a year fraction; RiskWeight has no unit. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/SMRC/smrcdetail.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| NettingSet | text | key |
| Asset | text | qualifier |
| MaturityDate | date | qualifier |
| Maturity | decimal | measure |
| NPV | decimal | measure |
| SignedNotional | decimal | measure |
| RiskWeight | decimal | measure |
2.3.62. stress_scenario_par_rates
The par rates of each par instrument in the base and in each stress scenario.
| Field | Value |
|---|---|
| File | stress_scenario_par_rates.csv |
| Parameter | none; the engine names it |
| Analytics | stress |
| Key | Scenario |
| Measures | closed |
| Units | A rate. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParStress/stress_scenario_par_rates.csv |
| Column | Kind | Role |
|---|---|---|
| Scenario | text | key |
| ParKey | text | qualifier |
| BaseParRate | decimal | measure |
| ScenarioParRate | decimal | measure |
2.3.63. stress_scenarios
The stressed market: the value of each risk factor in each stress scenario.
| Field | Value |
|---|---|
| File | stress_scenarios.csv |
| Parameter | scenarioGeneration.scenarioOutputFile |
| Analytics | scenarioGeneration |
| Key | Date, Scenario |
| Measures | open: the run decides them |
| Units | A risk factor in its own unit; the columns are the run's configured factors. |
| Header variants | 2 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParStress/OIFuture/stress_scenarios.csv |
| Column | Kind | Role |
|---|---|---|
| Date | date | key |
| Scenario | text | key |
| Numeraire | decimal | measure |
| DiscountCurve/USD/0 | decimal | measure |
| DiscountCurve/USD/1 | decimal | measure |
| DiscountCurve/USD/2 | decimal | measure |
| DiscountCurve/USD/3 | decimal | measure |
| DiscountCurve/USD/4 | decimal | measure |
| DiscountCurve/USD/5 | decimal | measure |
| DiscountCurve/USD/6 | decimal | measure |
| DiscountCurve/USD/7 | decimal | measure |
| DiscountCurve/USD/8 | decimal | measure |
| DiscountCurve/USD/9 | decimal | measure |
| DiscountCurve/USD/10 | decimal | measure |
| DiscountCurve/USD/11 | decimal | measure |
| DiscountCurve/USD/12 | decimal | measure |
| DiscountCurve/USD/13 | decimal | measure |
| DiscountCurve/USD/14 | decimal | measure |
| DiscountCurve/USD/15 | decimal | measure |
| DiscountCurve/USD/16 | decimal | measure |
| DiscountCurve/USD/17 | decimal | measure |
| DiscountCurve/USD/18 | decimal | measure |
| DiscountCurve/USD/19 | decimal | measure |
| DiscountCurve/USD/20 | decimal | measure |
| DiscountCurve/USD/21 | decimal | measure |
| DiscountCurve/USD/22 | decimal | measure |
| DiscountCurve/USD/23 | decimal | measure |
| DiscountCurve/USD/24 | decimal | measure |
| DiscountCurve/USD/25 | decimal | measure |
| DiscountCurve/USD/26 | decimal | measure |
| DiscountCurve/USD/27 | decimal | measure |
| IndexCurve/USD-SOFR/0 | decimal | measure |
| IndexCurve/USD-SOFR/1 | decimal | measure |
| IndexCurve/USD-SOFR/2 | decimal | measure |
| IndexCurve/USD-SOFR/3 | decimal | measure |
| IndexCurve/USD-SOFR/4 | decimal | measure |
| IndexCurve/USD-SOFR/5 | decimal | measure |
| IndexCurve/USD-SOFR/6 | decimal | measure |
| IndexCurve/USD-SOFR/7 | decimal | measure |
| IndexCurve/USD-SOFR/8 | decimal | measure |
| IndexCurve/USD-SOFR/9 | decimal | measure |
| IndexCurve/USD-SOFR/10 | decimal | measure |
| IndexCurve/USD-SOFR/11 | decimal | measure |
| IndexCurve/USD-SOFR/12 | decimal | measure |
| IndexCurve/USD-SOFR/13 | decimal | measure |
| IndexCurve/USD-SOFR/14 | decimal | measure |
| IndexCurve/USD-SOFR/15 | decimal | measure |
| IndexCurve/USD-SOFR/16 | decimal | measure |
| IndexCurve/USD-SOFR/17 | decimal | measure |
| IndexCurve/USD-SOFR/18 | decimal | measure |
| IndexCurve/USD-SOFR/19 | decimal | measure |
| IndexCurve/USD-SOFR/20 | decimal | measure |
| IndexCurve/USD-SOFR/21 | decimal | measure |
| IndexCurve/USD-SOFR/22 | decimal | measure |
| IndexCurve/USD-SOFR/23 | decimal | measure |
| IndexCurve/USD-SOFR/24 | decimal | measure |
| IndexCurve/USD-SOFR/25 | decimal | measure |
| IndexCurve/USD-SOFR/26 | decimal | measure |
| IndexCurve/USD-SOFR/27 | decimal | measure |
| DiscountCurve/EUR/0 | decimal | measure |
| DiscountCurve/EUR/1 | decimal | measure |
| DiscountCurve/EUR/2 | decimal | measure |
| DiscountCurve/EUR/3 | decimal | measure |
| DiscountCurve/EUR/4 | decimal | measure |
| DiscountCurve/EUR/5 | decimal | measure |
| DiscountCurve/EUR/6 | decimal | measure |
| DiscountCurve/EUR/7 | decimal | measure |
| DiscountCurve/EUR/8 | decimal | measure |
| DiscountCurve/EUR/9 | decimal | measure |
| DiscountCurve/EUR/10 | decimal | measure |
| DiscountCurve/EUR/11 | decimal | measure |
| DiscountCurve/EUR/12 | decimal | measure |
| DiscountCurve/EUR/13 | decimal | measure |
| DiscountCurve/EUR/14 | decimal | measure |
| DiscountCurve/EUR/15 | decimal | measure |
| DiscountCurve/GBP/0 | decimal | measure |
| DiscountCurve/GBP/1 | decimal | measure |
| DiscountCurve/GBP/2 | decimal | measure |
| DiscountCurve/GBP/3 | decimal | measure |
| DiscountCurve/GBP/4 | decimal | measure |
| DiscountCurve/GBP/5 | decimal | measure |
| DiscountCurve/GBP/6 | decimal | measure |
| DiscountCurve/GBP/7 | decimal | measure |
| DiscountCurve/GBP/8 | decimal | measure |
| DiscountCurve/GBP/9 | decimal | measure |
| DiscountCurve/GBP/10 | decimal | measure |
| DiscountCurve/GBP/11 | decimal | measure |
| DiscountCurve/GBP/12 | decimal | measure |
| DiscountCurve/GBP/13 | decimal | measure |
| DiscountCurve/GBP/14 | decimal | measure |
| DiscountCurve/GBP/15 | decimal | measure |
| IndexCurve/EUR-EONIA/0 | decimal | measure |
| IndexCurve/EUR-EONIA/1 | decimal | measure |
| IndexCurve/EUR-EONIA/2 | decimal | measure |
| IndexCurve/EUR-EONIA/3 | decimal | measure |
| IndexCurve/EUR-EONIA/4 | decimal | measure |
| IndexCurve/EUR-EONIA/5 | decimal | measure |
| IndexCurve/EUR-EONIA/6 | decimal | measure |
| IndexCurve/EUR-EONIA/7 | decimal | measure |
| IndexCurve/EUR-EONIA/8 | decimal | measure |
| IndexCurve/EUR-EONIA/9 | decimal | measure |
| IndexCurve/EUR-EONIA/10 | decimal | measure |
| IndexCurve/EUR-EONIA/11 | decimal | measure |
| IndexCurve/EUR-EONIA/12 | decimal | measure |
| IndexCurve/EUR-EONIA/13 | decimal | measure |
| IndexCurve/EUR-EONIA/14 | decimal | measure |
| IndexCurve/EUR-EONIA/15 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/0 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/1 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/2 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/3 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/4 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/5 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/6 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/7 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/8 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/9 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/10 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/11 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/12 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/13 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/14 | decimal | measure |
| IndexCurve/EUR-EURIBOR-1M/15 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/0 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/1 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/2 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/3 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/4 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/5 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/6 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/7 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/8 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/9 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/10 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/11 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/12 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/13 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/14 | decimal | measure |
| IndexCurve/EUR-EURIBOR-3M/15 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/0 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/1 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/2 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/3 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/4 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/5 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/6 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/7 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/8 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/9 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/10 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/11 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/12 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/13 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/14 | decimal | measure |
| IndexCurve/EUR-EURIBOR-6M/15 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/0 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/1 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/2 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/3 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/4 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/5 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/6 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/7 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/8 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/9 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/10 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/11 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/12 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/13 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/14 | decimal | measure |
| IndexCurve/GBP-LIBOR-3M/15 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/0 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/1 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/2 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/3 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/4 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/5 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/6 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/7 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/8 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/9 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/10 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/11 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/12 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/13 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/14 | decimal | measure |
| IndexCurve/GBP-LIBOR-6M/15 | decimal | measure |
| IndexCurve/GBP-SONIA/0 | decimal | measure |
| IndexCurve/GBP-SONIA/1 | decimal | measure |
| IndexCurve/GBP-SONIA/2 | decimal | measure |
| IndexCurve/GBP-SONIA/3 | decimal | measure |
| IndexCurve/GBP-SONIA/4 | decimal | measure |
| IndexCurve/GBP-SONIA/5 | decimal | measure |
| IndexCurve/GBP-SONIA/6 | decimal | measure |
| IndexCurve/GBP-SONIA/7 | decimal | measure |
| IndexCurve/GBP-SONIA/8 | decimal | measure |
| IndexCurve/GBP-SONIA/9 | decimal | measure |
| IndexCurve/GBP-SONIA/10 | decimal | measure |
| IndexCurve/GBP-SONIA/11 | decimal | measure |
| IndexCurve/GBP-SONIA/12 | decimal | measure |
| IndexCurve/GBP-SONIA/13 | decimal | measure |
| IndexCurve/GBP-SONIA/14 | decimal | measure |
| IndexCurve/GBP-SONIA/15 | decimal | measure |
| IndexCurve/USD-FedFunds/0 | decimal | measure |
| IndexCurve/USD-FedFunds/1 | decimal | measure |
| IndexCurve/USD-FedFunds/2 | decimal | measure |
| IndexCurve/USD-FedFunds/3 | decimal | measure |
| IndexCurve/USD-FedFunds/4 | decimal | measure |
| IndexCurve/USD-FedFunds/5 | decimal | measure |
| IndexCurve/USD-FedFunds/6 | decimal | measure |
| IndexCurve/USD-FedFunds/7 | decimal | measure |
| IndexCurve/USD-FedFunds/8 | decimal | measure |
| IndexCurve/USD-FedFunds/9 | decimal | measure |
| IndexCurve/USD-FedFunds/10 | decimal | measure |
| IndexCurve/USD-FedFunds/11 | decimal | measure |
| IndexCurve/USD-FedFunds/12 | decimal | measure |
| IndexCurve/USD-FedFunds/13 | decimal | measure |
| IndexCurve/USD-FedFunds/14 | decimal | measure |
| IndexCurve/USD-FedFunds/15 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/0 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/1 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/2 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/3 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/4 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/5 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/6 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/7 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/8 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/9 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/10 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/11 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/12 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/13 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/14 | decimal | measure |
| IndexCurve/USD-LIBOR-3M/15 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/0 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/1 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/2 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/3 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/4 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/5 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/6 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/7 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/8 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/9 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/10 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/11 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/12 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/13 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/14 | decimal | measure |
| IndexCurve/USD-LIBOR-6M/15 | decimal | measure |
| SwaptionVolatility/EUR/0 | decimal | measure |
| SwaptionVolatility/EUR/1 | decimal | measure |
| SwaptionVolatility/EUR/2 | decimal | measure |
| SwaptionVolatility/EUR/3 | decimal | measure |
| SwaptionVolatility/EUR/4 | decimal | measure |
| SwaptionVolatility/EUR/5 | decimal | measure |
| SwaptionVolatility/EUR/6 | decimal | measure |
| SwaptionVolatility/EUR/7 | decimal | measure |
| SwaptionVolatility/EUR/8 | decimal | measure |
| SwaptionVolatility/EUR/9 | decimal | measure |
| SwaptionVolatility/EUR/10 | decimal | measure |
| SwaptionVolatility/EUR/11 | decimal | measure |
| SwaptionVolatility/EUR/12 | decimal | measure |
| SwaptionVolatility/EUR/13 | decimal | measure |
| SwaptionVolatility/EUR/14 | decimal | measure |
| SwaptionVolatility/EUR/15 | decimal | measure |
| SwaptionVolatility/EUR/16 | decimal | measure |
| SwaptionVolatility/EUR/17 | decimal | measure |
| SwaptionVolatility/EUR/18 | decimal | measure |
| SwaptionVolatility/EUR/19 | decimal | measure |
| SwaptionVolatility/EUR/20 | decimal | measure |
| SwaptionVolatility/EUR/21 | decimal | measure |
| SwaptionVolatility/EUR/22 | decimal | measure |
| SwaptionVolatility/EUR/23 | decimal | measure |
| SwaptionVolatility/EUR/24 | decimal | measure |
| SwaptionVolatility/EUR/25 | decimal | measure |
| SwaptionVolatility/EUR/26 | decimal | measure |
| SwaptionVolatility/EUR/27 | decimal | measure |
| SwaptionVolatility/EUR/28 | decimal | measure |
| SwaptionVolatility/EUR/29 | decimal | measure |
| SwaptionVolatility/EUR/30 | decimal | measure |
| SwaptionVolatility/EUR/31 | decimal | measure |
| SwaptionVolatility/EUR/32 | decimal | measure |
| SwaptionVolatility/EUR/33 | decimal | measure |
| SwaptionVolatility/EUR/34 | decimal | measure |
| SwaptionVolatility/EUR/35 | decimal | measure |
| SwaptionVolatility/EUR/36 | decimal | measure |
| SwaptionVolatility/EUR/37 | decimal | measure |
| SwaptionVolatility/EUR/38 | decimal | measure |
| SwaptionVolatility/EUR/39 | decimal | measure |
| SwaptionVolatility/EUR/40 | decimal | measure |
| SwaptionVolatility/EUR/41 | decimal | measure |
| SwaptionVolatility/EUR/42 | decimal | measure |
| SwaptionVolatility/EUR/43 | decimal | measure |
| SwaptionVolatility/EUR/44 | decimal | measure |
| SwaptionVolatility/EUR/45 | decimal | measure |
| SwaptionVolatility/EUR/46 | decimal | measure |
| SwaptionVolatility/EUR/47 | decimal | measure |
| SwaptionVolatility/EUR/48 | decimal | measure |
| SwaptionVolatility/EUR/49 | decimal | measure |
| SwaptionVolatility/EUR/50 | decimal | measure |
| SwaptionVolatility/EUR/51 | decimal | measure |
| SwaptionVolatility/EUR/52 | decimal | measure |
| SwaptionVolatility/EUR/53 | decimal | measure |
| SwaptionVolatility/EUR/54 | decimal | measure |
| SwaptionVolatility/EUR/55 | decimal | measure |
| SwaptionVolatility/EUR/56 | decimal | measure |
| SwaptionVolatility/EUR/57 | decimal | measure |
| SwaptionVolatility/EUR/58 | decimal | measure |
| SwaptionVolatility/EUR/59 | decimal | measure |
| SwaptionVolatility/EUR/60 | decimal | measure |
| SwaptionVolatility/EUR/61 | decimal | measure |
| SwaptionVolatility/EUR/62 | decimal | measure |
| SwaptionVolatility/EUR/63 | decimal | measure |
| SwaptionVolatility/EUR/64 | decimal | measure |
| SwaptionVolatility/EUR/65 | decimal | measure |
| SwaptionVolatility/EUR/66 | decimal | measure |
| SwaptionVolatility/EUR/67 | decimal | measure |
| SwaptionVolatility/EUR/68 | decimal | measure |
| SwaptionVolatility/EUR/69 | decimal | measure |
| SwaptionVolatility/EUR/70 | decimal | measure |
| SwaptionVolatility/EUR/71 | decimal | measure |
| SwaptionVolatility/EUR/72 | decimal | measure |
| SwaptionVolatility/EUR/73 | decimal | measure |
| SwaptionVolatility/EUR/74 | decimal | measure |
| SwaptionVolatility/EUR/75 | decimal | measure |
| SwaptionVolatility/EUR/76 | decimal | measure |
| SwaptionVolatility/EUR/77 | decimal | measure |
| SwaptionVolatility/EUR/78 | decimal | measure |
| SwaptionVolatility/EUR/79 | decimal | measure |
| SwaptionVolatility/EUR/80 | decimal | measure |
| SwaptionVolatility/EUR/81 | decimal | measure |
| SwaptionVolatility/EUR/82 | decimal | measure |
| SwaptionVolatility/EUR/83 | decimal | measure |
| SwaptionVolatility/EUR/84 | decimal | measure |
| SwaptionVolatility/EUR/85 | decimal | measure |
| SwaptionVolatility/EUR/86 | decimal | measure |
| SwaptionVolatility/EUR/87 | decimal | measure |
| SwaptionVolatility/EUR/88 | decimal | measure |
| SwaptionVolatility/EUR/89 | decimal | measure |
| SwaptionVolatility/GBP/0 | decimal | measure |
| SwaptionVolatility/GBP/1 | decimal | measure |
| SwaptionVolatility/GBP/2 | decimal | measure |
| SwaptionVolatility/GBP/3 | decimal | measure |
| SwaptionVolatility/GBP/4 | decimal | measure |
| SwaptionVolatility/GBP/5 | decimal | measure |
| SwaptionVolatility/GBP/6 | decimal | measure |
| SwaptionVolatility/GBP/7 | decimal | measure |
| SwaptionVolatility/GBP/8 | decimal | measure |
| SwaptionVolatility/GBP/9 | decimal | measure |
| SwaptionVolatility/GBP/10 | decimal | measure |
| SwaptionVolatility/GBP/11 | decimal | measure |
| SwaptionVolatility/GBP/12 | decimal | measure |
| SwaptionVolatility/GBP/13 | decimal | measure |
| SwaptionVolatility/GBP/14 | decimal | measure |
| SwaptionVolatility/GBP/15 | decimal | measure |
| SwaptionVolatility/GBP/16 | decimal | measure |
| SwaptionVolatility/GBP/17 | decimal | measure |
| SwaptionVolatility/GBP/18 | decimal | measure |
| SwaptionVolatility/GBP/19 | decimal | measure |
| SwaptionVolatility/GBP/20 | decimal | measure |
| SwaptionVolatility/GBP/21 | decimal | measure |
| SwaptionVolatility/GBP/22 | decimal | measure |
| SwaptionVolatility/GBP/23 | decimal | measure |
| SwaptionVolatility/GBP/24 | decimal | measure |
| SwaptionVolatility/GBP/25 | decimal | measure |
| SwaptionVolatility/GBP/26 | decimal | measure |
| SwaptionVolatility/GBP/27 | decimal | measure |
| SwaptionVolatility/GBP/28 | decimal | measure |
| SwaptionVolatility/GBP/29 | decimal | measure |
| SwaptionVolatility/GBP/30 | decimal | measure |
| SwaptionVolatility/GBP/31 | decimal | measure |
| SwaptionVolatility/GBP/32 | decimal | measure |
| SwaptionVolatility/GBP/33 | decimal | measure |
| SwaptionVolatility/GBP/34 | decimal | measure |
| SwaptionVolatility/GBP/35 | decimal | measure |
| SwaptionVolatility/GBP/36 | decimal | measure |
| SwaptionVolatility/GBP/37 | decimal | measure |
| SwaptionVolatility/GBP/38 | decimal | measure |
| SwaptionVolatility/GBP/39 | decimal | measure |
| SwaptionVolatility/GBP/40 | decimal | measure |
| SwaptionVolatility/GBP/41 | decimal | measure |
| SwaptionVolatility/GBP/42 | decimal | measure |
| SwaptionVolatility/GBP/43 | decimal | measure |
| SwaptionVolatility/GBP/44 | decimal | measure |
| SwaptionVolatility/GBP/45 | decimal | measure |
| SwaptionVolatility/GBP/46 | decimal | measure |
| SwaptionVolatility/GBP/47 | decimal | measure |
| SwaptionVolatility/GBP/48 | decimal | measure |
| SwaptionVolatility/GBP/49 | decimal | measure |
| SwaptionVolatility/GBP/50 | decimal | measure |
| SwaptionVolatility/GBP/51 | decimal | measure |
| SwaptionVolatility/GBP/52 | decimal | measure |
| SwaptionVolatility/GBP/53 | decimal | measure |
| SwaptionVolatility/GBP/54 | decimal | measure |
| SwaptionVolatility/GBP/55 | decimal | measure |
| SwaptionVolatility/GBP/56 | decimal | measure |
| SwaptionVolatility/GBP/57 | decimal | measure |
| SwaptionVolatility/GBP/58 | decimal | measure |
| SwaptionVolatility/GBP/59 | decimal | measure |
| SwaptionVolatility/GBP/60 | decimal | measure |
| SwaptionVolatility/GBP/61 | decimal | measure |
| SwaptionVolatility/GBP/62 | decimal | measure |
| SwaptionVolatility/GBP/63 | decimal | measure |
| SwaptionVolatility/GBP/64 | decimal | measure |
| SwaptionVolatility/GBP/65 | decimal | measure |
| SwaptionVolatility/GBP/66 | decimal | measure |
| SwaptionVolatility/GBP/67 | decimal | measure |
| SwaptionVolatility/GBP/68 | decimal | measure |
| SwaptionVolatility/GBP/69 | decimal | measure |
| SwaptionVolatility/GBP/70 | decimal | measure |
| SwaptionVolatility/GBP/71 | decimal | measure |
| SwaptionVolatility/GBP/72 | decimal | measure |
| SwaptionVolatility/GBP/73 | decimal | measure |
| SwaptionVolatility/GBP/74 | decimal | measure |
| SwaptionVolatility/GBP/75 | decimal | measure |
| SwaptionVolatility/GBP/76 | decimal | measure |
| SwaptionVolatility/GBP/77 | decimal | measure |
| SwaptionVolatility/GBP/78 | decimal | measure |
| SwaptionVolatility/GBP/79 | decimal | measure |
| SwaptionVolatility/GBP/80 | decimal | measure |
| SwaptionVolatility/GBP/81 | decimal | measure |
| SwaptionVolatility/GBP/82 | decimal | measure |
| SwaptionVolatility/GBP/83 | decimal | measure |
| SwaptionVolatility/GBP/84 | decimal | measure |
| SwaptionVolatility/GBP/85 | decimal | measure |
| SwaptionVolatility/GBP/86 | decimal | measure |
| SwaptionVolatility/GBP/87 | decimal | measure |
| SwaptionVolatility/GBP/88 | decimal | measure |
| SwaptionVolatility/GBP/89 | decimal | measure |
| SwaptionVolatility/USD/0 | decimal | measure |
| SwaptionVolatility/USD/1 | decimal | measure |
| SwaptionVolatility/USD/2 | decimal | measure |
| SwaptionVolatility/USD/3 | decimal | measure |
| SwaptionVolatility/USD/4 | decimal | measure |
| SwaptionVolatility/USD/5 | decimal | measure |
| SwaptionVolatility/USD/6 | decimal | measure |
| SwaptionVolatility/USD/7 | decimal | measure |
| SwaptionVolatility/USD/8 | decimal | measure |
| SwaptionVolatility/USD/9 | decimal | measure |
| SwaptionVolatility/USD/10 | decimal | measure |
| SwaptionVolatility/USD/11 | decimal | measure |
| SwaptionVolatility/USD/12 | decimal | measure |
| SwaptionVolatility/USD/13 | decimal | measure |
| SwaptionVolatility/USD/14 | decimal | measure |
| SwaptionVolatility/USD/15 | decimal | measure |
| SwaptionVolatility/USD/16 | decimal | measure |
| SwaptionVolatility/USD/17 | decimal | measure |
| SwaptionVolatility/USD/18 | decimal | measure |
| SwaptionVolatility/USD/19 | decimal | measure |
| SwaptionVolatility/USD/20 | decimal | measure |
| SwaptionVolatility/USD/21 | decimal | measure |
| SwaptionVolatility/USD/22 | decimal | measure |
| SwaptionVolatility/USD/23 | decimal | measure |
| SwaptionVolatility/USD/24 | decimal | measure |
| SwaptionVolatility/USD/25 | decimal | measure |
| SwaptionVolatility/USD/26 | decimal | measure |
| SwaptionVolatility/USD/27 | decimal | measure |
| SwaptionVolatility/USD/28 | decimal | measure |
| SwaptionVolatility/USD/29 | decimal | measure |
| SwaptionVolatility/USD/30 | decimal | measure |
| SwaptionVolatility/USD/31 | decimal | measure |
| SwaptionVolatility/USD/32 | decimal | measure |
| SwaptionVolatility/USD/33 | decimal | measure |
| SwaptionVolatility/USD/34 | decimal | measure |
| SwaptionVolatility/USD/35 | decimal | measure |
| SwaptionVolatility/USD/36 | decimal | measure |
| SwaptionVolatility/USD/37 | decimal | measure |
| SwaptionVolatility/USD/38 | decimal | measure |
| SwaptionVolatility/USD/39 | decimal | measure |
| SwaptionVolatility/USD/40 | decimal | measure |
| SwaptionVolatility/USD/41 | decimal | measure |
| SwaptionVolatility/USD/42 | decimal | measure |
| SwaptionVolatility/USD/43 | decimal | measure |
| SwaptionVolatility/USD/44 | decimal | measure |
| SwaptionVolatility/USD/45 | decimal | measure |
| SwaptionVolatility/USD/46 | decimal | measure |
| SwaptionVolatility/USD/47 | decimal | measure |
| SwaptionVolatility/USD/48 | decimal | measure |
| SwaptionVolatility/USD/49 | decimal | measure |
| SwaptionVolatility/USD/50 | decimal | measure |
| SwaptionVolatility/USD/51 | decimal | measure |
| SwaptionVolatility/USD/52 | decimal | measure |
| SwaptionVolatility/USD/53 | decimal | measure |
| SwaptionVolatility/USD/54 | decimal | measure |
| SwaptionVolatility/USD/55 | decimal | measure |
| SwaptionVolatility/USD/56 | decimal | measure |
| SwaptionVolatility/USD/57 | decimal | measure |
| SwaptionVolatility/USD/58 | decimal | measure |
| SwaptionVolatility/USD/59 | decimal | measure |
| SwaptionVolatility/USD/60 | decimal | measure |
| SwaptionVolatility/USD/61 | decimal | measure |
| SwaptionVolatility/USD/62 | decimal | measure |
| SwaptionVolatility/USD/63 | decimal | measure |
| SwaptionVolatility/USD/64 | decimal | measure |
| SwaptionVolatility/USD/65 | decimal | measure |
| SwaptionVolatility/USD/66 | decimal | measure |
| SwaptionVolatility/USD/67 | decimal | measure |
| SwaptionVolatility/USD/68 | decimal | measure |
| SwaptionVolatility/USD/69 | decimal | measure |
| SwaptionVolatility/USD/70 | decimal | measure |
| SwaptionVolatility/USD/71 | decimal | measure |
| SwaptionVolatility/USD/72 | decimal | measure |
| SwaptionVolatility/USD/73 | decimal | measure |
| SwaptionVolatility/USD/74 | decimal | measure |
| SwaptionVolatility/USD/75 | decimal | measure |
| SwaptionVolatility/USD/76 | decimal | measure |
| SwaptionVolatility/USD/77 | decimal | measure |
| SwaptionVolatility/USD/78 | decimal | measure |
| SwaptionVolatility/USD/79 | decimal | measure |
| SwaptionVolatility/USD/80 | decimal | measure |
| SwaptionVolatility/USD/81 | decimal | measure |
| SwaptionVolatility/USD/82 | decimal | measure |
| SwaptionVolatility/USD/83 | decimal | measure |
| SwaptionVolatility/USD/84 | decimal | measure |
| SwaptionVolatility/USD/85 | decimal | measure |
| SwaptionVolatility/USD/86 | decimal | measure |
| SwaptionVolatility/USD/87 | decimal | measure |
| SwaptionVolatility/USD/88 | decimal | measure |
| SwaptionVolatility/USD/89 | decimal | measure |
| OptionletVolatility/EUR/0 | decimal | measure |
| OptionletVolatility/EUR/1 | decimal | measure |
| OptionletVolatility/EUR/2 | decimal | measure |
| OptionletVolatility/EUR/3 | decimal | measure |
| OptionletVolatility/EUR/4 | decimal | measure |
| OptionletVolatility/EUR/5 | decimal | measure |
| OptionletVolatility/EUR/6 | decimal | measure |
| OptionletVolatility/EUR/7 | decimal | measure |
| OptionletVolatility/EUR/8 | decimal | measure |
| OptionletVolatility/EUR/9 | decimal | measure |
| OptionletVolatility/EUR/10 | decimal | measure |
| OptionletVolatility/EUR/11 | decimal | measure |
| OptionletVolatility/EUR/12 | decimal | measure |
| OptionletVolatility/EUR/13 | decimal | measure |
| OptionletVolatility/EUR/14 | decimal | measure |
| OptionletVolatility/EUR/15 | decimal | measure |
| OptionletVolatility/EUR/16 | decimal | measure |
| OptionletVolatility/EUR/17 | decimal | measure |
| OptionletVolatility/EUR/18 | decimal | measure |
| OptionletVolatility/EUR/19 | decimal | measure |
| OptionletVolatility/EUR/20 | decimal | measure |
| OptionletVolatility/EUR/21 | decimal | measure |
| OptionletVolatility/EUR/22 | decimal | measure |
| OptionletVolatility/EUR/23 | decimal | measure |
| OptionletVolatility/EUR/24 | decimal | measure |
| OptionletVolatility/EUR/25 | decimal | measure |
| OptionletVolatility/EUR/26 | decimal | measure |
| OptionletVolatility/EUR/27 | decimal | measure |
| OptionletVolatility/EUR/28 | decimal | measure |
| OptionletVolatility/EUR/29 | decimal | measure |
| OptionletVolatility/EUR/30 | decimal | measure |
| OptionletVolatility/EUR/31 | decimal | measure |
| OptionletVolatility/EUR/32 | decimal | measure |
| OptionletVolatility/EUR/33 | decimal | measure |
| OptionletVolatility/EUR/34 | decimal | measure |
| OptionletVolatility/EUR/35 | decimal | measure |
| OptionletVolatility/EUR/36 | decimal | measure |
| OptionletVolatility/EUR/37 | decimal | measure |
| OptionletVolatility/EUR/38 | decimal | measure |
| OptionletVolatility/EUR/39 | decimal | measure |
| OptionletVolatility/EUR/40 | decimal | measure |
| OptionletVolatility/EUR/41 | decimal | measure |
| OptionletVolatility/EUR/42 | decimal | measure |
| OptionletVolatility/EUR/43 | decimal | measure |
| OptionletVolatility/EUR/44 | decimal | measure |
| OptionletVolatility/EUR/45 | decimal | measure |
| OptionletVolatility/EUR/46 | decimal | measure |
| OptionletVolatility/EUR/47 | decimal | measure |
| OptionletVolatility/EUR/48 | decimal | measure |
| OptionletVolatility/EUR/49 | decimal | measure |
| OptionletVolatility/EUR/50 | decimal | measure |
| OptionletVolatility/EUR/51 | decimal | measure |
| OptionletVolatility/EUR/52 | decimal | measure |
| OptionletVolatility/EUR/53 | decimal | measure |
| OptionletVolatility/EUR/54 | decimal | measure |
| OptionletVolatility/EUR/55 | decimal | measure |
| OptionletVolatility/EUR/56 | decimal | measure |
| OptionletVolatility/EUR/57 | decimal | measure |
| OptionletVolatility/EUR/58 | decimal | measure |
| OptionletVolatility/EUR/59 | decimal | measure |
| OptionletVolatility/EUR/60 | decimal | measure |
| OptionletVolatility/EUR/61 | decimal | measure |
| OptionletVolatility/EUR/62 | decimal | measure |
| OptionletVolatility/USD/0 | decimal | measure |
| OptionletVolatility/USD/1 | decimal | measure |
| OptionletVolatility/USD/2 | decimal | measure |
| OptionletVolatility/USD/3 | decimal | measure |
| OptionletVolatility/USD/4 | decimal | measure |
| OptionletVolatility/USD/5 | decimal | measure |
| OptionletVolatility/USD/6 | decimal | measure |
| OptionletVolatility/USD/7 | decimal | measure |
| OptionletVolatility/USD/8 | decimal | measure |
| OptionletVolatility/USD/9 | decimal | measure |
| OptionletVolatility/USD/10 | decimal | measure |
| OptionletVolatility/USD/11 | decimal | measure |
| OptionletVolatility/USD/12 | decimal | measure |
| OptionletVolatility/USD/13 | decimal | measure |
| OptionletVolatility/USD/14 | decimal | measure |
| OptionletVolatility/USD/15 | decimal | measure |
| OptionletVolatility/USD/16 | decimal | measure |
| OptionletVolatility/USD/17 | decimal | measure |
| OptionletVolatility/USD/18 | decimal | measure |
| OptionletVolatility/USD/19 | decimal | measure |
| OptionletVolatility/USD/20 | decimal | measure |
| OptionletVolatility/USD/21 | decimal | measure |
| OptionletVolatility/USD/22 | decimal | measure |
| OptionletVolatility/USD/23 | decimal | measure |
| OptionletVolatility/USD/24 | decimal | measure |
| OptionletVolatility/USD/25 | decimal | measure |
| OptionletVolatility/USD/26 | decimal | measure |
| OptionletVolatility/USD/27 | decimal | measure |
| OptionletVolatility/USD/28 | decimal | measure |
| OptionletVolatility/USD/29 | decimal | measure |
| OptionletVolatility/USD/30 | decimal | measure |
| OptionletVolatility/USD/31 | decimal | measure |
| OptionletVolatility/USD/32 | decimal | measure |
| OptionletVolatility/USD/33 | decimal | measure |
| OptionletVolatility/USD/34 | decimal | measure |
| OptionletVolatility/USD/35 | decimal | measure |
| OptionletVolatility/USD/36 | decimal | measure |
| OptionletVolatility/USD/37 | decimal | measure |
| OptionletVolatility/USD/38 | decimal | measure |
| OptionletVolatility/USD/39 | decimal | measure |
| OptionletVolatility/USD/40 | decimal | measure |
| OptionletVolatility/USD/41 | decimal | measure |
| OptionletVolatility/USD/42 | decimal | measure |
| OptionletVolatility/USD/43 | decimal | measure |
| OptionletVolatility/USD/44 | decimal | measure |
| OptionletVolatility/USD/45 | decimal | measure |
| OptionletVolatility/USD/46 | decimal | measure |
| OptionletVolatility/USD/47 | decimal | measure |
| OptionletVolatility/USD/48 | decimal | measure |
| OptionletVolatility/USD/49 | decimal | measure |
| OptionletVolatility/USD/50 | decimal | measure |
| OptionletVolatility/USD/51 | decimal | measure |
| OptionletVolatility/USD/52 | decimal | measure |
| OptionletVolatility/USD/53 | decimal | measure |
| OptionletVolatility/USD/54 | decimal | measure |
| OptionletVolatility/USD/55 | decimal | measure |
| OptionletVolatility/USD/56 | decimal | measure |
| OptionletVolatility/USD/57 | decimal | measure |
| OptionletVolatility/USD/58 | decimal | measure |
| OptionletVolatility/USD/59 | decimal | measure |
| OptionletVolatility/USD/60 | decimal | measure |
| OptionletVolatility/USD/61 | decimal | measure |
| OptionletVolatility/USD/62 | decimal | measure |
| FXSpot/GBPEUR/0 | decimal | measure |
| FXSpot/USDEUR/0 | decimal | measure |
| FXVolatility/GBPEUR/0 | decimal | measure |
| FXVolatility/GBPEUR/1 | decimal | measure |
| FXVolatility/GBPEUR/2 | decimal | measure |
| FXVolatility/GBPEUR/3 | decimal | measure |
| FXVolatility/GBPEUR/4 | decimal | measure |
| FXVolatility/GBPEUR/5 | decimal | measure |
| FXVolatility/GBPEUR/6 | decimal | measure |
| FXVolatility/GBPEUR/7 | decimal | measure |
| FXVolatility/USDEUR/0 | decimal | measure |
| FXVolatility/USDEUR/1 | decimal | measure |
| FXVolatility/USDEUR/2 | decimal | measure |
| FXVolatility/USDEUR/3 | decimal | measure |
| FXVolatility/USDEUR/4 | decimal | measure |
| FXVolatility/USDEUR/5 | decimal | measure |
| FXVolatility/USDEUR/6 | decimal | measure |
| FXVolatility/USDEUR/7 | decimal | measure |
| EquitySpot/FTSE/0 | decimal | measure |
| EquitySpot/SPX/0 | decimal | measure |
| EquityVolatility/FTSE/0 | decimal | measure |
| EquityVolatility/FTSE/1 | decimal | measure |
| EquityVolatility/FTSE/2 | decimal | measure |
| EquityVolatility/FTSE/3 | decimal | measure |
| EquityVolatility/FTSE/4 | decimal | measure |
| EquityVolatility/FTSE/5 | decimal | measure |
| EquityVolatility/FTSE/6 | decimal | measure |
| EquityVolatility/FTSE/7 | decimal | measure |
| EquityVolatility/FTSE/8 | decimal | measure |
| EquityVolatility/FTSE/9 | decimal | measure |
| EquityVolatility/FTSE/10 | decimal | measure |
| EquityVolatility/FTSE/11 | decimal | measure |
| EquityVolatility/SPX/0 | decimal | measure |
| EquityVolatility/SPX/1 | decimal | measure |
| EquityVolatility/SPX/2 | decimal | measure |
| EquityVolatility/SPX/3 | decimal | measure |
| EquityVolatility/SPX/4 | decimal | measure |
| EquityVolatility/SPX/5 | decimal | measure |
| EquityVolatility/SPX/6 | decimal | measure |
| EquityVolatility/SPX/7 | decimal | measure |
| EquityVolatility/SPX/8 | decimal | measure |
| EquityVolatility/SPX/9 | decimal | measure |
| EquityVolatility/SPX/10 | decimal | measure |
| EquityVolatility/SPX/11 | decimal | measure |
| SurvivalProbability/CPTY_1/0 | decimal | measure |
| SurvivalProbability/CPTY_1/1 | decimal | measure |
| SurvivalProbability/CPTY_1/2 | decimal | measure |
| SurvivalProbability/CPTY_1/3 | decimal | measure |
| SurvivalProbability/CPTY_1/4 | decimal | measure |
| SurvivalProbability/CPTY_1/5 | decimal | measure |
| SurvivalProbability/CPTY_1/6 | decimal | measure |
| SurvivalProbability/CPTY_1/7 | decimal | measure |
| SurvivalProbability/CPTY_1/8 | decimal | measure |
| SurvivalProbability/CPTY_1/9 | decimal | measure |
| SurvivalProbability/CPTY_1/10 | decimal | measure |
| SurvivalProbability/CPTY_2/0 | decimal | measure |
| SurvivalProbability/CPTY_2/1 | decimal | measure |
| SurvivalProbability/CPTY_2/2 | decimal | measure |
| SurvivalProbability/CPTY_2/3 | decimal | measure |
| SurvivalProbability/CPTY_2/4 | decimal | measure |
| SurvivalProbability/CPTY_2/5 | decimal | measure |
| SurvivalProbability/CPTY_2/6 | decimal | measure |
| SurvivalProbability/CPTY_2/7 | decimal | measure |
| SurvivalProbability/CPTY_2/8 | decimal | measure |
| SurvivalProbability/CPTY_2/9 | decimal | measure |
| SurvivalProbability/CPTY_2/10 | decimal | measure |
| SurvivalProbability/CPTY_3/0 | decimal | measure |
| SurvivalProbability/CPTY_3/1 | decimal | measure |
| SurvivalProbability/CPTY_3/2 | decimal | measure |
| SurvivalProbability/CPTY_3/3 | decimal | measure |
| SurvivalProbability/CPTY_3/4 | decimal | measure |
| SurvivalProbability/CPTY_3/5 | decimal | measure |
| SurvivalProbability/CPTY_3/6 | decimal | measure |
| SurvivalProbability/CPTY_3/7 | decimal | measure |
| SurvivalProbability/CPTY_3/8 | decimal | measure |
| SurvivalProbability/CPTY_3/9 | decimal | measure |
| SurvivalProbability/CPTY_3/10 | decimal | measure |
| SurvivalProbability/CPTY_A/0 | decimal | measure |
| SurvivalProbability/CPTY_A/1 | decimal | measure |
| SurvivalProbability/CPTY_A/2 | decimal | measure |
| SurvivalProbability/CPTY_A/3 | decimal | measure |
| SurvivalProbability/CPTY_A/4 | decimal | measure |
| SurvivalProbability/CPTY_A/5 | decimal | measure |
| SurvivalProbability/CPTY_A/6 | decimal | measure |
| SurvivalProbability/CPTY_A/7 | decimal | measure |
| SurvivalProbability/CPTY_A/8 | decimal | measure |
| SurvivalProbability/CPTY_A/9 | decimal | measure |
| SurvivalProbability/CPTY_A/10 | decimal | measure |
| SurvivalProbability/CPTY_B/0 | decimal | measure |
| SurvivalProbability/CPTY_B/1 | decimal | measure |
| SurvivalProbability/CPTY_B/2 | decimal | measure |
| SurvivalProbability/CPTY_B/3 | decimal | measure |
| SurvivalProbability/CPTY_B/4 | decimal | measure |
| SurvivalProbability/CPTY_B/5 | decimal | measure |
| SurvivalProbability/CPTY_B/6 | decimal | measure |
| SurvivalProbability/CPTY_B/7 | decimal | measure |
| SurvivalProbability/CPTY_B/8 | decimal | measure |
| SurvivalProbability/CPTY_B/9 | decimal | measure |
| SurvivalProbability/CPTY_B/10 | decimal | measure |
| SurvivalProbability/CPTY_C/0 | decimal | measure |
| SurvivalProbability/CPTY_C/1 | decimal | measure |
| SurvivalProbability/CPTY_C/2 | decimal | measure |
| SurvivalProbability/CPTY_C/3 | decimal | measure |
| SurvivalProbability/CPTY_C/4 | decimal | measure |
| SurvivalProbability/CPTY_C/5 | decimal | measure |
| SurvivalProbability/CPTY_C/6 | decimal | measure |
| SurvivalProbability/CPTY_C/7 | decimal | measure |
| SurvivalProbability/CPTY_C/8 | decimal | measure |
| SurvivalProbability/CPTY_C/9 | decimal | measure |
| SurvivalProbability/CPTY_C/10 | decimal | measure |
| CDSVolatility/CDXIG/0 | decimal | measure |
| CDSVolatility/CDXIG/1 | decimal | measure |
| CDSVolatility/CDXIG/2 | decimal | measure |
| BaseCorrelation/CDXIG/0 | decimal | measure |
| BaseCorrelation/CDXIG/1 | decimal | measure |
| BaseCorrelation/CDXIG/2 | decimal | measure |
| BaseCorrelation/CDXIG/3 | decimal | measure |
| BaseCorrelation/CDXIG/4 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/0 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/1 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/2 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/3 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/4 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/5 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/6 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/7 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/8 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/9 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/10 | decimal | measure |
| ZeroInflationCurve/EUHICPXT/11 | decimal | measure |
| ZeroInflationCurve/UKRPI/0 | decimal | measure |
| ZeroInflationCurve/UKRPI/1 | decimal | measure |
| ZeroInflationCurve/UKRPI/2 | decimal | measure |
| ZeroInflationCurve/UKRPI/3 | decimal | measure |
| ZeroInflationCurve/UKRPI/4 | decimal | measure |
| ZeroInflationCurve/UKRPI/5 | decimal | measure |
| ZeroInflationCurve/UKRPI/6 | decimal | measure |
| ZeroInflationCurve/UKRPI/7 | decimal | measure |
| ZeroInflationCurve/UKRPI/8 | decimal | measure |
| ZeroInflationCurve/UKRPI/9 | decimal | measure |
| ZeroInflationCurve/UKRPI/10 | decimal | measure |
| ZeroInflationCurve/UKRPI/11 | decimal | measure |
| YoYInflationCurve/EUHICPXT/0 | decimal | measure |
| YoYInflationCurve/EUHICPXT/1 | decimal | measure |
| YoYInflationCurve/EUHICPXT/2 | decimal | measure |
| YoYInflationCurve/EUHICPXT/3 | decimal | measure |
| YoYInflationCurve/EUHICPXT/4 | decimal | measure |
| YoYInflationCurve/EUHICPXT/5 | decimal | measure |
| YoYInflationCurve/EUHICPXT/6 | decimal | measure |
| YoYInflationCurve/EUHICPXT/7 | decimal | measure |
| YoYInflationCurve/EUHICPXT/8 | decimal | measure |
| YoYInflationCurve/EUHICPXT/9 | decimal | measure |
| YoYInflationCurve/EUHICPXT/10 | decimal | measure |
| YoYInflationCurve/EUHICPXT/11 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/0 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/1 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/2 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/3 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/4 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/5 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/6 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/7 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/8 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/9 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/10 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/11 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/12 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/13 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/14 | decimal | measure |
| CommodityCurve/COMDTY_WTI_USD/15 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/0 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/1 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/2 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/3 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/4 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/5 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/6 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/7 | decimal | measure |
| CommodityVolatility/COMDTY_WTI_USD/8 | decimal | measure |
| SecuritySpread/SECURITY_1/0 | decimal | measure |
| SecuritySpread/SECURITY_2/0 | decimal | measure |
| SecuritySpread/SECURITY_3/0 | decimal | measure |
2.3.64. stress_test_report
The value of each trade in each stress scenario and the change from the base, under the stress analytic's usual file name.
| Field | Value |
|---|---|
| File | stresstest.csv |
| Other names | stress.csv |
| Parameter | parStressConversion.scenarioOutputFile |
| Analytics | parStressConversion, stress, zeroToParShift |
| Key | TradeId, ScenarioLabel |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/CurveAlgebra/stresstest.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| ScenarioLabel | text | key |
| Base NPV | decimal | measure |
| Scenario NPV | decimal | measure |
| Sensitivity | decimal | measure |
2.3.65. stress_test_flows
The cashflows of each trade in each stress scenario, each figure stated for the base, the scenario and the difference.
| Field | Value |
|---|---|
| File | stresstest_flows.csv |
| Parameter | stress.scenarioCashflowOutputFile |
| Analytics | stress |
| Key | TradeId, ScenarioLabel, LegNo, CashflowNo |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Coupon is a rate; Accrual is a year fraction. |
| Header variants | 1 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/ParStress/OIFuture/stresstest_flows.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| ScenarioLabel | text | key |
| Type | text | qualifier |
| CashflowNo | text | key |
| LegNo | text | key |
| PayDate | date | qualifier |
| FlowType | text | qualifier |
| Amount_Base | decimal | measure |
| Amount_Scen | decimal | measure |
| Amount_Diff | decimal | measure |
| Currency | text | qualifier |
| Coupon_Base | decimal | measure |
| Coupon_Scen | decimal | measure |
| Coupon_Diff | decimal | measure |
| Accrual | decimal | measure |
| AccrualStartDate | date | qualifier |
| AccrualEndDate | date | qualifier |
| AccruedAmount_Base | decimal | measure |
| AccruedAmount_Scen | decimal | measure |
| AccruedAmount_Diff | decimal | measure |
| fixingDate | date | qualifier |
| fixingValue_Base | decimal | measure |
| fixingValue_Scen | decimal | measure |
| fixingValue_Diff | decimal | measure |
| Notional_Base | decimal | measure |
| Notional_Scen | decimal | measure |
| Notional_Diff | decimal | measure |
| DiscountFactor_Base | decimal | measure |
| DiscountFactor_Scen | decimal | measure |
| PresentValue_Base | decimal | measure |
| PresentValue_Scen | decimal | measure |
| PresentValue_Diff | decimal | measure |
| FXRate(Local-Base)_Base | decimal | measure |
| FXRate(Local-Base)_Scen | decimal | measure |
| PresentValue(Base)_Base | decimal | measure |
| PresentValue(Base)_Scen | decimal | measure |
| PresentValue(Base)_Diff | decimal | measure |
| BaseCurrency | text | qualifier |
| FloorStrike | text | qualifier |
| CapStrike | decimal | measure |
| FloorVolatility_Base | text | qualifier |
| FloorVolatility_Scen | text | qualifier |
| CapVolatility_Base | decimal | measure |
| CapVolatility_Scen | decimal | measure |
| EffectiveFloorVolatility_Base | text | qualifier |
| EffectiveFloorVolatility_Scen | text | qualifier |
| EffectiveCapVolatility_Base | text | qualifier |
| EffectiveCapVolatility_Scen | text | qualifier |
2.3.66. swap_indices
The swap indices a portfolio references.
| Field | Value |
|---|---|
| File | swap_indices.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | none: one row for each line |
| Measures | closed |
| Units | None: the values are names. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/swap_indices.csv |
| Column | Kind | Role |
|---|---|---|
| SwapIndices | text | qualifier |
2.3.67. swaption_npv
The net present value and notional of each swaption.
| Field | Value |
|---|---|
| File | swaption_npv.csv |
| Parameter | none; the engine names it |
| Analytics | npv |
| Key | TradeId, NettingSet, TradeType |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/MinimalSetup/ExpectedOutput/swaption_npv.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| TradeType | text | key |
| Maturity | date | qualifier |
| MaturityTime | decimal | qualifier |
| NPV | decimal | measure |
| NpvCurrency | text | qualifier |
| NPV(Base) | decimal | measure |
| BaseCurrency | text | qualifier |
| Notional | decimal | measure |
| NotionalCurrency | text | qualifier |
| Notional(Base) | decimal | measure |
| NettingSet | text | key |
| CounterParty | text | qualifier |
2.3.68. time_averaged_exposure
The time-averaged netted exposure of each netting set in each simulation sample, with and without collateral.
| Field | Value |
|---|---|
| File | timeaveragedexposure.csv |
| Parameter | xva.timeAveragedNettedExposureOutputFile |
| Analytics | xva |
| Key | NettingSetId, Sample |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_1/ExpectedOutput/timeaveragedexposure.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSetId | text | key |
| Sample | text | key |
| PosExpNoColl | decimal | measure |
| NegExpNoColl | decimal | measure |
| PosExpWithColl | decimal | measure |
| NegExpWithColl | decimal | measure |
2.3.69. todays_market_calibration
What the market the run built came out as: one value for each result of each curve, surface or model, such as a pillar's rate or time.
| Field | Value |
|---|---|
| File | todaysmarketcalibration.csv |
| Parameter | none; the engine names it |
| Analytics | todaysMarketCalibration |
| Key | MarketObjectType, MarketObjectId |
| Measures | closed |
| Units | Each value states its type, double or string; a double is in the object's own unit. |
| Header variants | 1 |
| Sample | external/ore/examples/CurveBuilding/ExpectedOutput/fixedfloatccs/todaysmarketcalibration.csv |
| Column | Kind | Role |
|---|---|---|
| MarketObjectType | text | key |
| MarketObjectId | text | key |
| ResultId | text | qualifier |
| ResultKey1 | date | qualifier |
| ResultKey2 | text | qualifier |
| ResultKey3 | text | qualifier |
| ResultType | text | qualifier |
| ResultValue | text | qualifier |
2.3.70. todays_market_calibration_cashflows
The cashflows of the instruments each curve was calibrated to, one row for each payment of each pillar's instrument.
| Field | Value |
|---|---|
| File | todaysmarketcalibration_cashflows.csv |
| Parameter | none; the engine names it |
| Analytics | todaysMarketCalibration |
| Key | PillarDate, LegNo, CashflowNo, MarketObjectType, MarketObjectId |
| Measures | closed |
| Units | Money, in the currency the row states; a (Base) column is in the run's base currency. Coupon is a rate; Accrual is a year fraction. |
| Header variants | 1 |
| Sample | external/ore/examples/CurveBuilding/ExpectedOutput/fixedfloatccs/todaysmarketcalibration_cashflows.csv |
| Column | Kind | Role |
|---|---|---|
| MarketObjectType | text | key |
| MarketObjectId | text | key |
| PillarDate | date | key |
| RateHelperType | text | qualifier |
| MdLabel | text | qualifier |
| CashflowNo | text | key |
| LegNo | text | key |
| PayDate | date | qualifier |
| FlowType | text | qualifier |
| Amount | decimal | measure |
| Currency | text | qualifier |
| Coupon | decimal | measure |
| Accrual | decimal | measure |
| AccrualStartDate | date | qualifier |
| AccrualEndDate | date | qualifier |
| AccruedAmount | decimal | measure |
| fixingDate | date | qualifier |
| fixingValue | decimal | measure |
| Notional | decimal | measure |
| DiscountFactor | decimal | measure |
| PresentValue | decimal | measure |
| FXRate(Local-Base) | decimal | measure |
| PresentValue(Base) | decimal | measure |
| BaseCurrency | text | qualifier |
2.3.71. trade_types
The trade types a portfolio holds, with how many trades of each.
| Field | Value |
|---|---|
| File | trade_types.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | TradeTypes |
| Measures | closed |
| Units | A count of trades. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/trade_types.csv |
| Column | Kind | Role |
|---|---|---|
| TradeTypes | text | key |
| Count | integer | measure |
2.3.72. underlying_indices
The underlying indices a portfolio references, one row for each asset type.
| Field | Value |
|---|---|
| File | underlying_indices.csv |
| Parameter | none; the engine names it |
| Analytics | none stated |
| Key | AssetType |
| Measures | closed |
| Units | None: the values are names. |
| Header variants | 1 |
| Sample | external/ore/examples/Legacy/Example_74/ExpectedOutput/underlying_indices.csv |
| Column | Kind | Role |
|---|---|---|
| AssetType | text | key |
| Indices | text | qualifier |
2.3.73. var_report
The value at risk and expected shortfall of each portfolio at each configured quantile.
| Field | Value |
|---|---|
| File | var.csv |
| Parameter | historicalSimulationVar.outputFile |
| Analytics | historicalSimulationVar, parametricVar |
| Key | Portfolio |
| Measures | open: the run decides them |
| Units | Money in the base currency; the columns are the run's configured quantiles. |
| Header variants | 2 |
| Sample | external/ore/examples/MarketRisk/ExpectedOutput/HistSimVar/var.csv |
| Column | Kind | Role |
|---|---|---|
| Portfolio | text | key |
| RiskClass | text | qualifier |
| RiskType | text | qualifier |
| Quantile_0.010000 | decimal | measure |
| Quantile_0.050000 | decimal | measure |
| Quantile_0.950000 | decimal | measure |
| Quantile_0.990000 | decimal | measure |
| ExpectedShortfall_0.010000 | decimal | measure |
| ExpectedShortfall_0.050000 | decimal | measure |
| ExpectedShortfall_0.950000 | decimal | measure |
| ExpectedShortfall_0.990000 | decimal | measure |
2.3.74. xva_report
The valuation adjustments of each trade and netting set: CVA, DVA, funding, collateral, margin and capital, with the Basel exposures.
| Field | Value |
|---|---|
| File | xva.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | TradeId, NettingSetId |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 2 |
| Sample | external/ore/examples/AmericanMonteCarlo/ExpectedOutput/amc/xva.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| NettingSetId | text | key |
| CVA | decimal | measure |
| DVA | decimal | measure |
| FBA | decimal | measure |
| FCA | decimal | measure |
| FBAexOwnSP | decimal | measure |
| FCAexOwnSP | decimal | measure |
| FBAexAllSP | decimal | measure |
| FCAexAllSP | decimal | measure |
| COLVA | decimal | measure |
| MVA | decimal | measure |
| OurKVACCR | decimal | measure |
| TheirKVACCR | decimal | measure |
| OurKVACVA | decimal | measure |
| TheirKVACVA | decimal | measure |
| CollateralFloor | decimal | measure |
| AllocatedCVA | decimal | measure |
| AllocatedDVA | decimal | measure |
| AllocationMethod | text | qualifier |
| BaselEPE | decimal | measure |
| BaselEEPE | decimal | measure |
| Type | text | qualifier |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
2.3.75. xva_explain_report
The change in CVA of each trade and netting set explained by each risk factor.
| Field | Value |
|---|---|
| File | xvaExplain.csv |
| Parameter | none; the engine names it |
| Analytics | xvaExplain |
| Key | TradeId, NettingSetId, RiskFactor |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/explain/xvaExplain.csv |
| Column | Kind | Role |
|---|---|---|
| RiskFactor | text | key |
| TradeId | text | key |
| NettingSetId | text | key |
| CVA_Base | decimal | measure |
| CVA | decimal | measure |
| Change | decimal | measure |
2.3.76. xva_explain_details
The valuation adjustments of each trade and netting set under each explain scenario.
| Field | Value |
|---|---|
| File | xvaExplain_details.csv |
| Parameter | none; the engine names it |
| Analytics | xvaExplain |
| Key | TradeId, NettingSetId, Scenario |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/explain/xvaExplain_details.csv |
| Column | Kind | Role |
|---|---|---|
| Scenario | text | key |
| TradeId | text | key |
| NettingSetId | text | key |
| CVA | decimal | measure |
| DVA | decimal | measure |
| FBA | decimal | measure |
| FCA | decimal | measure |
| FBAexOwnSP | decimal | measure |
| FCAexOwnSP | decimal | measure |
| FBAexAllSP | decimal | measure |
| FCAexAllSP | decimal | measure |
| COLVA | decimal | measure |
| MVA | decimal | measure |
| OurKVACCR | decimal | measure |
| TheirKVACCR | decimal | measure |
| OurKVACVA | decimal | measure |
| TheirKVACVA | decimal | measure |
| CollateralFloor | decimal | measure |
| AllocatedCVA | decimal | measure |
| AllocatedDVA | decimal | measure |
| AllocationMethod | text | qualifier |
| BaselEPE | decimal | measure |
| BaselEEPE | decimal | measure |
2.3.77. xva_par_sensitivity
The par-rate sensitivities of one valuation adjustment, one file for each adjustment.
| Field | Value |
|---|---|
| File | xva_par_sensitivity_*.csv |
| Parameter | none; the engine names it |
| Analytics | xvaSensitivity |
| Key | TradeId, NettingSetId |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/xva_par_sensitivity_cva.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSetId | text | key |
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base XVA | decimal | measure |
| Delta | decimal | measure |
| Gamma | text | qualifier |
2.3.78. xva_zero_sensitivity
The zero-rate sensitivities of one valuation adjustment, one file for each adjustment.
| Field | Value |
|---|---|
| File | xva_zero_sensitivity_*.csv |
| Parameter | none; the engine names it |
| Analytics | xvaSensitivity |
| Key | TradeId, NettingSetId |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/XvaRisk/ExpectedOutput/sacva/xva_zero_sensitivity_cva.csv |
| Column | Kind | Role |
|---|---|---|
| NettingSetId | text | key |
| TradeId | text | key |
| IsPar | text | qualifier |
| Factor_1 | text | qualifier |
| ShiftSize_1 | decimal | qualifier |
| Factor_2 | text | qualifier |
| ShiftSize_2 | decimal | qualifier |
| Currency | text | qualifier |
| Base XVA | decimal | measure |
| Delta | decimal | measure |
| Gamma | text | qualifier |
2.3.79. xva_cg_cva_sensitivity_scenario
The CVA of each trade under each shifted factor, from the computation-graph XVA engine.
| Field | Value |
|---|---|
| File | xvacg-cva-sensi-scenario.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | TradeId, Factor |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/Performance/ExpectedOutput/cvasensi/ad/xvacg-cva-sensi-scenario.csv |
| Column | Kind | Role |
|---|---|---|
| TradeId | text | key |
| Factor | text | key |
| Up/Down | text | qualifier |
| Base NPV | decimal | measure |
| ShiftSize_1 | decimal | qualifier |
| ShiftSize_2 | text | qualifier |
| Scenario NPV | decimal | measure |
| Difference | decimal | measure |
| Base Currency | text | qualifier |
2.3.80. xva_cg_exposure
The expected positive and negative exposure at each date, from the computation-graph XVA engine.
| Field | Value |
|---|---|
| File | xvacg-exposure.csv |
| Parameter | none; the engine names it |
| Analytics | xva |
| Key | Date |
| Measures | closed |
| Units | Money in the base currency. |
| Header variants | 1 |
| Sample | external/ore/examples/Performance/ExpectedOutput/cvasensi/ad/xvacg-exposure.csv |
| Column | Kind | Role |
|---|---|---|
| Date | date | key |
| EPE | decimal | measure |
| ENE | decimal | measure |
3. See also
- ORE output processing — how the files are read, and why their shape follows the configuration.
- Report post-processing — which store takes which shape.
- Journey: read what a run produced — the reader's view of the same files.
- External knowledge