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#6293
Peter Caspers
Keymaster

Hi Roland,

some quick answers that will hopefully get you a step forward:

a) for xva simulation you should use <Simulate>false</Simulate> for the swaption volatilities, since the cross asset scenario generator does not generate scenarios for the swaption volatilities.

b) this message Failed to price trade CMS_Swap : BlackVanillaOptionPricer: zero-shift lognormal volatility required means that you try to use a “Hagan” Model for CMS, which only work for unshifted lognormal volatilities; if you switch to “LinearTSR”, all volatility variants should work

c) did not find object EUR of type swaption curve under configuration collateral_eur => do you have the EUR swaption vols included in the simulation market configuration (under Market / SwaptionVolatilities)?

d) did not find object EUR-EURIBOR-3M of type ibor index under configuration default => likewise, do you have the index in simulation.xml (under Market / Indices)?

Best Regards
Peter