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#6168
rkapl
Participant

Maybe I should add that all foreign currency (non EUR) curves are set up as “collateral in EUR” curves, i.e. the foreign Ccy cashflows are discounted using the EUR1D (EONIA Swap) curve + the Basis swap spread:

` <YieldCurve>
<CurveId>CHF-IN-EUR</CurveId>
<CurveDescription>CHF collateralized in EUR discount curve</CurveDescription>
<Currency>CHF</Currency>
<DiscountCurve/>
<Segments>
<CrossCurrency>
<Type>Cross Currency Basis Swap</Type>
<Quotes>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/1Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/2Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/3Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/4Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/5Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/7Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/10Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/15Y</Quote>
<Quote>CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/20Y</Quote>
</Quotes>
<Conventions>EUR-CHF-XCCY-BASIS-CONVENTIONS</Conventions>
<DiscountCurve>EUR1D</DiscountCurve>
<SpotRate>FX/RATE/EUR/CHF</SpotRate>
<ProjectionCurveDomestic>CHF3M</ProjectionCurveDomestic>
<ProjectionCurveForeign>EUR3M</ProjectionCurveForeign>
</CrossCurrency>
</Segments>
<InterpolationVariable>Discount</InterpolationVariable>
<InterpolationMethod>LogLinear</InterpolationMethod>
<YieldCurveDayCounter>A365</YieldCurveDayCounter>
<Tolerance>0.000000000001</Tolerance>
</YieldCurve>

Could it be that this leads to These strange simulation results?

-regards,
Roland