SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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irmst_market_risk_factors_def_1.sas
1/*The only purpose of this macro existance is to
2allow the cusomization of a MIP pre-execution program larger than
332000 characters*/
4
5%macro irmst_market_risk_factors_def_1;
6
7 /*region Swap zero curves*/
8 Declare riskfactors=(usd1mlib num ir currency = usd maturity = 1 month category = IR label = 'usd 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
9 usd3mlib num ir currency = usd maturity = 3 month category = IR label = 'usd 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
10 usd6mlib num ir currency = usd maturity = 6 month category = IR label = 'usd 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
11 usd1ylib num ir currency = usd maturity = 1 year category = IR label = 'usd 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
12 usd2ylib num ir currency = usd maturity = 2 year category = IR label = 'usd 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
13 usd3ylib num ir currency = usd maturity = 3 year category = IR label = 'usd 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
14 usd5ylib num ir currency = usd maturity = 5 year category = IR label = 'usd 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
15 usd10ylib num ir currency = usd maturity = 10 year category = IR label = 'usd 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
16 usd15ylib num ir currency = usd maturity = 15 year category = IR label = 'usd 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
17 usd20ylib num ir currency = usd maturity = 20 year category = IR label = 'usd 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
18 usd30ylib num ir currency = usd maturity = 30 year category = IR label = 'usd 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
19 );
20
21 array usdLiboryldc ir currency=usd category=IR group='Libor Zero Curve'
22 label="Libor Zero curve: usd Currency"
23 elements=( usd1mlib usd3mlib usd6mlib usd1ylib usd2ylib usd3ylib usd5ylib usd10ylib usd15ylib usd20ylib usd30ylib)
24 refmap=(zero_curve='usdLiboryldc');
25
26
27 Declare riskfactors=(cad1mlib num ir currency = cad maturity = 1 month category = IR label = 'cad 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
28 cad3mlib num ir currency = cad maturity = 3 month category = IR label = 'cad 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
29 cad6mlib num ir currency = cad maturity = 6 month category = IR label = 'cad 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
30 cad1ylib num ir currency = cad maturity = 1 year category = IR label = 'cad 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
31 cad2ylib num ir currency = cad maturity = 2 year category = IR label = 'cad 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
32 cad3ylib num ir currency = cad maturity = 3 year category = IR label = 'cad 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
33 cad5ylib num ir currency = cad maturity = 5 year category = IR label = 'cad 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
34 cad10ylib num ir currency = cad maturity = 10 year category = IR label = 'cad 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
35 cad15ylib num ir currency = cad maturity = 15 year category = IR label = 'cad 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
36 cad20ylib num ir currency = cad maturity = 20 year category = IR label = 'cad 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
37 cad30ylib num ir currency = cad maturity = 30 year category = IR label = 'cad 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
38 );
39
40 array cadLiboryldc ir currency=cad category=IR group='Libor Zero Curve'
41 label="Libor Zero curve: cad Currency"
42 elements=( cad1mlib cad3mlib cad6mlib cad1ylib cad2ylib cad3ylib cad5ylib cad10ylib cad15ylib cad20ylib cad30ylib)
43 refmap=(zero_curve='cadLiboryldc');
44
45
46 Declare riskfactors=(jpy1mlib num ir currency = jpy maturity = 1 month category = IR label = 'jpy 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
47 jpy3mlib num ir currency = jpy maturity = 3 month category = IR label = 'jpy 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
48 jpy6mlib num ir currency = jpy maturity = 6 month category = IR label = 'jpy 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
49 jpy1ylib num ir currency = jpy maturity = 1 year category = IR label = 'jpy 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
50 jpy2ylib num ir currency = jpy maturity = 2 year category = IR label = 'jpy 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
51 jpy3ylib num ir currency = jpy maturity = 3 year category = IR label = 'jpy 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
52 jpy5ylib num ir currency = jpy maturity = 5 year category = IR label = 'jpy 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
53 jpy10ylib num ir currency = jpy maturity = 10 year category = IR label = 'jpy 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
54 jpy15ylib num ir currency = jpy maturity = 15 year category = IR label = 'jpy 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
55 jpy20ylib num ir currency = jpy maturity = 20 year category = IR label = 'jpy 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
56 jpy30ylib num ir currency = jpy maturity = 30 year category = IR label = 'jpy 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
57 );
58
59 array jpyLiboryldc ir currency=jpy category=IR group='Libor Zero Curve'
60 label="Libor Zero curve: jpy Currency"
61 elements=( jpy1mlib jpy3mlib jpy6mlib jpy1ylib jpy2ylib jpy3ylib jpy5ylib jpy10ylib jpy15ylib jpy20ylib jpy30ylib)
62 refmap=(zero_curve='jpyLiboryldc');
63
64 Declare riskfactors=(eur1mlib num ir currency = eur maturity = 1 month category = IR label = 'eur 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
65 eur3mlib num ir currency = eur maturity = 3 month category = IR label = 'eur 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
66 eur6mlib num ir currency = eur maturity = 6 month category = IR label = 'eur 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
67 eur1ylib num ir currency = eur maturity = 1 year category = IR label = 'eur 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
68 eur2ylib num ir currency = eur maturity = 2 year category = IR label = 'eur 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
69 eur3ylib num ir currency = eur maturity = 3 year category = IR label = 'eur 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
70 eur5ylib num ir currency = eur maturity = 5 year category = IR label = 'eur 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
71 eur10ylib num ir currency = eur maturity = 10 year category = IR label = 'eur 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
72 eur15ylib num ir currency = eur maturity = 15 year category = IR label = 'eur 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
73 eur20ylib num ir currency = eur maturity = 20 year category = IR label = 'eur 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
74 eur30ylib num ir currency = eur maturity = 30 year category = IR label = 'eur 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
75 );
76
77 array eurLiboryldc ir currency=eur category=IR group='Libor Zero Curve'
78 label="Libor Zero curve: eur Currency"
79 elements=( eur1mlib eur3mlib eur6mlib eur1ylib eur2ylib eur3ylib eur5ylib eur10ylib eur15ylib eur20ylib eur30ylib)
80 refmap=(zero_curve='eurLiboryldc');
81
82
83 Declare riskfactors=(brl1mlib num ir currency = brl maturity = 1 month category = IR label = 'brl 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
84 brl3mlib num ir currency = brl maturity = 3 month category = IR label = 'brl 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
85 brl6mlib num ir currency = brl maturity = 6 month category = IR label = 'brl 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
86 brl1ylib num ir currency = brl maturity = 1 year category = IR label = 'brl 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
87 brl2ylib num ir currency = brl maturity = 2 year category = IR label = 'brl 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
88 brl3ylib num ir currency = brl maturity = 3 year category = IR label = 'brl 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
89 brl5ylib num ir currency = brl maturity = 5 year category = IR label = 'brl 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
90 brl10ylib num ir currency = brl maturity = 10 year category = IR label = 'brl 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
91 brl15ylib num ir currency = brl maturity = 15 year category = IR label = 'brl 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
92 brl20ylib num ir currency = brl maturity = 20 year category = IR label = 'brl 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
93 brl30ylib num ir currency = brl maturity = 30 year category = IR label = 'brl 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
94 );
95
96 array brlLiboryldc ir currency=brl category=IR group='Libor Zero Curve'
97 label="Libor Zero curve: brl Currency"
98 elements=( brl1mlib brl3mlib brl6mlib brl1ylib brl2ylib brl3ylib brl5ylib brl10ylib brl15ylib brl20ylib brl30ylib)
99 refmap=(zero_curve='brlLiboryldc');
100
101 Declare riskfactors=(cnh1mlib num ir currency = cnh maturity = 1 month category = IR label = 'cnh 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
102 cnh3mlib num ir currency = cnh maturity = 3 month category = IR label = 'cnh 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
103 cnh6mlib num ir currency = cnh maturity = 6 month category = IR label = 'cnh 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
104 cnh1ylib num ir currency = cnh maturity = 1 year category = IR label = 'cnh 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
105 cnh2ylib num ir currency = cnh maturity = 2 year category = IR label = 'cnh 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
106 cnh3ylib num ir currency = cnh maturity = 3 year category = IR label = 'cnh 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
107 cnh5ylib num ir currency = cnh maturity = 5 year category = IR label = 'cnh 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
108 cnh10ylib num ir currency = cnh maturity = 10 year category = IR label = 'cnh 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
109 cnh15ylib num ir currency = cnh maturity = 15 year category = IR label = 'cnh 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
110 cnh20ylib num ir currency = cnh maturity = 20 year category = IR label = 'cnh 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
111 cnh30ylib num ir currency = cnh maturity = 30 year category = IR label = 'cnh 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
112 );
113
114 array cnhLiboryldc ir currency=cnh category=IR group='Libor Zero Curve'
115 label="Libor Zero curve: cnh Currency"
116 elements=( cnh1mlib cnh3mlib cnh6mlib cnh1ylib cnh2ylib cnh3ylib cnh5ylib cnh10ylib cnh15ylib cnh20ylib cnh30ylib)
117 refmap=(zero_curve='cnhLiboryldc');
118
119 Declare riskfactors=(krw1mlib num ir currency = krw maturity = 1 month category = IR label = 'krw 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
120 krw3mlib num ir currency = krw maturity = 3 month category = IR label = 'krw 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
121 krw6mlib num ir currency = krw maturity = 6 month category = IR label = 'krw 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
122 krw1ylib num ir currency = krw maturity = 1 year category = IR label = 'krw 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
123 krw2ylib num ir currency = krw maturity = 2 year category = IR label = 'krw 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
124 krw3ylib num ir currency = krw maturity = 3 year category = IR label = 'krw 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
125 krw5ylib num ir currency = krw maturity = 5 year category = IR label = 'krw 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
126 krw10ylib num ir currency = krw maturity = 10 year category = IR label = 'krw 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
127 krw15ylib num ir currency = krw maturity = 15 year category = IR label = 'krw 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
128 krw20ylib num ir currency = krw maturity = 20 year category = IR label = 'krw 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
129 krw30ylib num ir currency = krw maturity = 30 year category = IR label = 'krw 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
130 );
131
132 array krwLiboryldc ir currency=krw category=IR group='Libor Zero Curve'
133 label="Libor Zero curve: krw Currency"
134 elements=( krw1mlib krw3mlib krw6mlib krw1ylib krw2ylib krw3ylib krw5ylib krw10ylib krw15ylib krw20ylib krw30ylib)
135 refmap=(zero_curve='krwLiboryldc');
136
137
138 Declare riskfactors=(twd1mlib num ir currency = twd maturity = 1 month category = IR label = 'twd 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
139 twd3mlib num ir currency = twd maturity = 3 month category = IR label = 'twd 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
140 twd6mlib num ir currency = twd maturity = 6 month category = IR label = 'twd 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
141 twd1ylib num ir currency = twd maturity = 1 year category = IR label = 'twd 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
142 twd2ylib num ir currency = twd maturity = 2 year category = IR label = 'twd 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
143 twd3ylib num ir currency = twd maturity = 3 year category = IR label = 'twd 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
144 twd5ylib num ir currency = twd maturity = 5 year category = IR label = 'twd 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
145 twd10ylib num ir currency = twd maturity = 10 year category = IR label = 'twd 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
146 twd15ylib num ir currency = twd maturity = 15 year category = IR label = 'twd 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
147 twd20ylib num ir currency = twd maturity = 20 year category = IR label = 'twd 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
148 twd30ylib num ir currency = twd maturity = 30 year category = IR label = 'twd 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
149 );
150
151 array twdLiboryldc ir currency=twd category=IR group='Libor Zero Curve'
152 label="Libor Zero curve: twd Currency"
153 elements=( twd1mlib twd3mlib twd6mlib twd1ylib twd2ylib twd3ylib twd5ylib twd10ylib twd15ylib twd20ylib twd30ylib)
154 refmap=(zero_curve='twdLiboryldc');
155
156
157 /*endregion*/
158
159 /*region issuer credit spread curve */
160
161
162 declare riskfactors=(Cspread6m num ir currency=krw category=CreditSpread maturity=6 month label='Sample 6 month Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
163 Cspread1y num ir currency=krw category=CreditSpread maturity=1 year label='Sample 1 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
164 Cspread3y num ir currency=krw category=CreditSpread maturity=6 year label='Sample 3 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
165 Cspread5y num ir currency=krw category=CreditSpread maturity=12 year label='Sample 5 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
166 Cspread10y num ir currency=krw category=CreditSpread maturity=12 year label='Sample 10 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio
167
168 );
169
170 array CspreadCurve ir currency=krw category=CreditSpread group='Issuer Credit Spread Curve'
171 label='Bond Issuer Credit Spread curve: AA'
172 elements=(cspread6m cspread1y cspread3y cspread5y cspread10y)
173 refmap=(spread_curve='CspreadCurve');
174
175 /*endregion*/
176
177 /*region FX rates */
178
179
180 declare riskfactors =(USD_CAD num fx_spot fromcur = usd tocur = cad category = FX label = 'USD/CAD exchange rate' group='FX Spot Rates' mlevel=ratio,
181 USD_JPY num fx_spot fromcur = usd tocur = jpy category = FX label = 'USD/JPY exchange rate' group='FX Spot Rates' mlevel=ratio,
182 USD_EUR num fx_spot fromcur = usd tocur = eur category = FX label = 'USD/EUR exchange rate' group='FX Spot Rates' mlevel=ratio,
183 USD_BRL num fx_spot fromcur = usd tocur = brl category = FX label = 'USD/BRL exchange rate' group='FX Spot Rates' mlevel=ratio,
184 USD_CNH num fx_spot fromcur = usd tocur = cnh category = FX label = 'USD/CNH exchange rate' group='FX Spot Rates' mlevel=ratio,
185 USD_KRW num fx_spot fromcur = usd tocur = krw category = FX label = 'USD/KRW exchange rate' group='FX Spot Rates' mlevel=ratio,
186 USD_TWD num fx_spot fromcur = usd tocur = twd category = FX label = 'USD/TWD exchange rate' group='FX Spot Rates' mlevel=ratio,
187 USD_AUD num fx_spot fromcur = usd tocur = aud category = FX label = 'USD/AUD exchange rate' group='FX Spot Rates' mlevel=ratio,
188 USD_HKD num fx_spot fromcur = usd tocur = hkd category = FX label = 'USD/HKD exchange rate' group='FX Spot Rates' mlevel=ratio,
189 EUR_USD num fx_spot fromcur = eur tocur = usd category = FX label = 'EUR/USD exchange rate' group='FX Spot Rates' mlevel=ratio
190
191
192
193 );
194
195 /*endregion*/
196
197
198 /*region Equity */
199
200
201 Declare riskfactors=(equity_440_hk num var category=EQ label='Dah Sing Financial Holdings' group='Equity prices' mlevel=interval refmap=(riskfactor='equity_price_1'),
202 equity_173_hk num var category=EQ label='K Wah International Holdings' group='Equity Prices' mlevel=interval refmap=(riskfactor='equity_price_2')
203 );
204
205
206 /*endregion*/
207
208
209 /*region Bond prices */
210
211
212 Declare riskfactors=(bond_quote_cme6a num var category=IR label='Bond quote CME 6A' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cme6a'),
213 bond_quote_cme6j num var category=IR label='Bond quote CME 6J' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cme6j'),
214 bond_quote_lifeer num var category=IR label='Bond quote LIFE ER' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_lifeer'),
215 bond_quote_cmeeduo num var category=IR label='Bond quote CME DUO' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cmeeduo')
216
217
218 );
219
220 /*endregion*/
221
222
223 /*region CAP vol curve */
224
225 Declare riskfactors=(vol_cap1m num ir currency = usd maturity = 1 month category = IR label = 'Cap vol 1-Month usd' group='Caplet Vol Curve Elements' mlevel=ratio,
226 vol_cap3m num ir currency = usd maturity = 3 month category = IR label = 'Cap vol 3-Month usd' group='Caplet Vol Curve Elements' mlevel=ratio,
227 vol_cap6m num ir currency = usd maturity = 6 month category = IR label = 'Cap vol 6-Month usd' group='Caplet Vol Curve Elements' mlevel=ratio,
228 vol_cap1y num ir currency = usd maturity = 1 year category = IR label = 'Cap vol 1-Year usd' group='Caplet Vol Curve Elements' mlevel=ratio
229 );
230
231 array vol_cap_curve ir currency=usd category=VOL group='CAP Volatility Curve'
232 label="Caplet Vol curve: USD Currency"
233 elements=( vol_cap1m vol_cap3m vol_cap6m vol_cap1y )
234 refmap=(zero_curve='vol_cap_curve');
235
236
237
238 /*endregion*/
239
240
241 /*region FX Vol surfaces */
242
243 declare riskfactor=(
244 usd_eur6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label = 'usdeur 6m m0.8 impvol' group='FX Vol Surface Elements',
245 usd_eur12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label = 'usdeur 1y m0.8 impvol' group='FX Vol Surface Elements',
246 usd_eur6mm1 num var maturity=6 months coordinates=(moneyness=1) label = 'usdeur 6m m1 impvol' group='FX Vol Surface Elements',
247 usd_eur12mm1 num var maturity=1 year coordinates=(moneyness=1) label = 'usdeur 1y m1 impvol' group='FX Vol Surface Elements',
248 usd_eur6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label = 'usdeur 6m m1.2 impvol' group='FX Vol Surface Elements',
249 usd_eur12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label = 'usdeur 1y m1.2 impvol' group='FX Vol Surface Elements'
250 );
251
252
253 array vol_surf_usd_eur surface group='FX Volatility Surface' label='FX Vol Surface usd_eur' elements=(usd_eur6mm08 usd_eur12mm08
254 usd_eur6mm1 usd_eur12mm1
255 usd_eur6mm12 usd_eur12mm12
256 )
257
258
259 extrapolate=const /* use this option so that boundaries do not have to be specified */
260 ;
261
262
263 declare riskfactor=(
264 brl_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='brlusd 6m m0.8 impvol' group='FX Vol Surface Elements',
265 brl_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='brlusd 1y m0.8 impvol' group='FX Vol Surface Elements',
266 brl_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='brlusd 6m m1 impvol' group='FX Vol Surface Elements',
267 brl_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='brlusd 1y m1 impvol' group='FX Vol Surface Elements',
268 brl_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='brlusd 6m m1.2 impvol' group='FX Vol Surface Elements',
269 brl_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='brlusd 1y m1.2 impvol' group='FX Vol Surface Elements'
270 );
271
272
273 array vol_surf_brl_usd surface group='FX Volatility Surface' label='FX Vol Surface brl_usd' elements=(brl_usd6mm08 brl_usd12mm08
274 brl_usd6mm1 brl_usd12mm1
275 brl_usd6mm12 brl_usd12mm12
276 )
277
278
279 extrapolate=const /* use this option so that boundaries do not have to be specified */
280 ;
281
282 declare riskfactor=(
283 jpy_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='jpyusd 6m m0.8 impvol' group='FX Vol Surface Elements',
284 jpy_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='jpyusd 1y m0.8 impvol' group='FX Vol Surface Elements',
285 jpy_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='jpyusd 6m m1 impvol' group='FX Vol Surface Elements',
286 jpy_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='jpyusd 1y m1 impvol' group='FX Vol Surface Elements',
287 jpy_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='jpyusd 6m m1.2 impvol' group='FX Vol Surface Elements',
288 jpy_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='jpyusd 1y m1.2 impvol' group='FX Vol Surface Elements'
289 );
290
291
292 array vol_surf_jpy_usd surface group='FX Volatility Surface' label='FX Vol Surface jpy_usd' elements=(jpy_usd6mm08 jpy_usd12mm08
293 jpy_usd6mm1 jpy_usd12mm1
294 jpy_usd6mm12 jpy_usd12mm12
295 )
296
297
298 extrapolate=const /* use this option so that boundaries do not have to be specified */
299 ;
300
301
302 declare riskfactor=(
303 cnh_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='cnhusd 6m m0.8 impvol' group='FX Vol Surface Elements',
304 cnh_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='cnhusd 1y m0.8 impvol' group='FX Vol Surface Elements',
305 cnh_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='cnhusd 6m m1 impvol' group='FX Vol Surface Elements',
306 cnh_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='cnhusd 1y m1 impvol' group='FX Vol Surface Elements',
307 cnh_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='cnhusd 6m m1.2 impvol' group='FX Vol Surface Elements',
308 cnh_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='cnhusd 1y m1.2 impvol' group='FX Vol Surface Elements'
309 );
310
311
312 array vol_surf_cnh_usd surface group='FX Volatility Surface' label='FX Vol Surface cnh_usd' elements=(cnh_usd6mm08 cnh_usd12mm08
313 cnh_usd6mm1 cnh_usd12mm1
314 cnh_usd6mm12 cnh_usd12mm12
315 )
316
317
318 extrapolate=const /* use this option so that boundaries do not have to be specified */
319 ;
320
321 /*endregion*/
322
323
324
325%mend;