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FO_2.json
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FO_2.json
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{
"Currencies": {
"EUR" : {
"Model" : "HullWhite",
"HWMeanReversionCurve": {
"T": 50,
"MaxTime": 50,
"step": 0.2,
"flat_rate": 0.039
},
"ProjectionSpread.3M": {
"T": 50,
"MaxTime": 50,
"step": 0.2,
"flat_rate": 0.0148
},
"ProjectionSpread.6M": {
"T": 50,
"MaxTime": 50,
"step": 0.2,
"flat_rate": 0.0248
},
"ProjectionSpread.12M": {
"T": 50,
"MaxTime": 50,
"step": 0.2,
"flat_rate": 0.028
},
"alpha": 0.04,
"r0": 0.08,
"sigma": 0.001
}
},
"CompanySurvivalCurve": {
"T": 14000,
"MaxTime": 14000,
"step": 100,
"flat_rate": 0.01,
"rate": 0.01
},
"CounterPartySurvivalCurve": {
"T": 14000,
"MaxTime": 14000,
"step": 100,
"flat_rate": 0.011,
"rate": 0.011
},
"ModelAndPricingTimes": {
"T": 14300,
"MaxTime": 14300,
"ModelTimeStep": 80,
"step": 80,
"PricingFreq": 3
},
"Portfolio": {
"NumRandomTrades": 100,
"NumPeriods": 20
},
"csa": {
"mta_h": 0.1,
"mta_l": 0.1,
"th": 0.9,
"tl": -0.9,
"c_t": 0
},
"t0": 0,
"MCPaths": 65536,
"UseMCPathBoundForPrimal" : true,
"MCPathsBoundForPrimal" : 1024,
"Forward Only" : true,
"Primal Is Requred" : true,
"Adept" : false,
"Primal and Bumps Are Required" : false,
"Selective bumps" : true
}