SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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market_risk_factors1.sas
1
2/*region Swap zero curves*/
3Declare riskfactors=(usd1mlib num ir currency = usd maturity = 1 month category = IR label = 'usd 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
4 usd3mlib num ir currency = usd maturity = 3 month category = IR label = 'usd 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
5 usd6mlib num ir currency = usd maturity = 6 month category = IR label = 'usd 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
6 usd1ylib num ir currency = usd maturity = 1 year category = IR label = 'usd 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
7 usd2ylib num ir currency = usd maturity = 2 year category = IR label = 'usd 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
8 usd3ylib num ir currency = usd maturity = 3 year category = IR label = 'usd 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
9 usd5ylib num ir currency = usd maturity = 5 year category = IR label = 'usd 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
10 usd10ylib num ir currency = usd maturity = 10 year category = IR label = 'usd 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
11 usd15ylib num ir currency = usd maturity = 15 year category = IR label = 'usd 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
12 usd20ylib num ir currency = usd maturity = 20 year category = IR label = 'usd 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
13 usd30ylib num ir currency = usd maturity = 30 year category = IR label = 'usd 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
14);
15
16array usdLiboryldc ir currency=usd category=IR group='Libor Zero Curve'
17 label="Libor Zero curve: usd Currency"
18 elements=( usd1mlib usd3mlib usd6mlib usd1ylib usd2ylib usd3ylib usd5ylib usd10ylib usd15ylib usd20ylib usd30ylib)
19 refmap=(zero_curve='usdLiboryldc');
20
21
22Declare riskfactors=(cad1mlib num ir currency = cad maturity = 1 month category = IR label = 'cad 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
23 cad3mlib num ir currency = cad maturity = 3 month category = IR label = 'cad 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
24 cad6mlib num ir currency = cad maturity = 6 month category = IR label = 'cad 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
25 cad1ylib num ir currency = cad maturity = 1 year category = IR label = 'cad 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
26 cad2ylib num ir currency = cad maturity = 2 year category = IR label = 'cad 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
27 cad3ylib num ir currency = cad maturity = 3 year category = IR label = 'cad 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
28 cad5ylib num ir currency = cad maturity = 5 year category = IR label = 'cad 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
29 cad10ylib num ir currency = cad maturity = 10 year category = IR label = 'cad 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
30 cad15ylib num ir currency = cad maturity = 15 year category = IR label = 'cad 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
31 cad20ylib num ir currency = cad maturity = 20 year category = IR label = 'cad 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
32 cad30ylib num ir currency = cad maturity = 30 year category = IR label = 'cad 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
33);
34
35array cadLiboryldc ir currency=cad category=IR group='Libor Zero Curve'
36 label="Libor Zero curve: cad Currency"
37 elements=( cad1mlib cad3mlib cad6mlib cad1ylib cad2ylib cad3ylib cad5ylib cad10ylib cad15ylib cad20ylib cad30ylib)
38 refmap=(zero_curve='cadLiboryldc');
39
40
41Declare riskfactors=(jpy1mlib num ir currency = jpy maturity = 1 month category = IR label = 'jpy 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
42 jpy3mlib num ir currency = jpy maturity = 3 month category = IR label = 'jpy 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
43 jpy6mlib num ir currency = jpy maturity = 6 month category = IR label = 'jpy 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
44 jpy1ylib num ir currency = jpy maturity = 1 year category = IR label = 'jpy 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
45 jpy2ylib num ir currency = jpy maturity = 2 year category = IR label = 'jpy 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
46 jpy3ylib num ir currency = jpy maturity = 3 year category = IR label = 'jpy 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
47 jpy5ylib num ir currency = jpy maturity = 5 year category = IR label = 'jpy 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
48 jpy10ylib num ir currency = jpy maturity = 10 year category = IR label = 'jpy 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
49 jpy15ylib num ir currency = jpy maturity = 15 year category = IR label = 'jpy 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
50 jpy20ylib num ir currency = jpy maturity = 20 year category = IR label = 'jpy 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
51 jpy30ylib num ir currency = jpy maturity = 30 year category = IR label = 'jpy 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
52);
53
54array jpyLiboryldc ir currency=jpy category=IR group='Libor Zero Curve'
55 label="Libor Zero curve: jpy Currency"
56 elements=( jpy1mlib jpy3mlib jpy6mlib jpy1ylib jpy2ylib jpy3ylib jpy5ylib jpy10ylib jpy15ylib jpy20ylib jpy30ylib)
57 refmap=(zero_curve='jpyLiboryldc');
58
59Declare riskfactors=(eur1mlib num ir currency = eur maturity = 1 month category = IR label = 'eur 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
60 eur3mlib num ir currency = eur maturity = 3 month category = IR label = 'eur 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
61 eur6mlib num ir currency = eur maturity = 6 month category = IR label = 'eur 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
62 eur1ylib num ir currency = eur maturity = 1 year category = IR label = 'eur 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
63 eur2ylib num ir currency = eur maturity = 2 year category = IR label = 'eur 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
64 eur3ylib num ir currency = eur maturity = 3 year category = IR label = 'eur 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
65 eur5ylib num ir currency = eur maturity = 5 year category = IR label = 'eur 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
66 eur10ylib num ir currency = eur maturity = 10 year category = IR label = 'eur 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
67 eur15ylib num ir currency = eur maturity = 15 year category = IR label = 'eur 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
68 eur20ylib num ir currency = eur maturity = 20 year category = IR label = 'eur 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
69 eur30ylib num ir currency = eur maturity = 30 year category = IR label = 'eur 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
70);
71
72array eurLiboryldc ir currency=eur category=IR group='Libor Zero Curve'
73 label="Libor Zero curve: eur Currency"
74 elements=( eur1mlib eur3mlib eur6mlib eur1ylib eur2ylib eur3ylib eur5ylib eur10ylib eur15ylib eur20ylib eur30ylib)
75 refmap=(zero_curve='eurLiboryldc');
76
77
78Declare riskfactors=(brl1mlib num ir currency = brl maturity = 1 month category = IR label = 'brl 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
79 brl3mlib num ir currency = brl maturity = 3 month category = IR label = 'brl 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
80 brl6mlib num ir currency = brl maturity = 6 month category = IR label = 'brl 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
81 brl1ylib num ir currency = brl maturity = 1 year category = IR label = 'brl 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
82 brl2ylib num ir currency = brl maturity = 2 year category = IR label = 'brl 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
83 brl3ylib num ir currency = brl maturity = 3 year category = IR label = 'brl 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
84 brl5ylib num ir currency = brl maturity = 5 year category = IR label = 'brl 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
85 brl10ylib num ir currency = brl maturity = 10 year category = IR label = 'brl 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
86 brl15ylib num ir currency = brl maturity = 15 year category = IR label = 'brl 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
87 brl20ylib num ir currency = brl maturity = 20 year category = IR label = 'brl 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
88 brl30ylib num ir currency = brl maturity = 30 year category = IR label = 'brl 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
89);
90
91array brlLiboryldc ir currency=brl category=IR group='Libor Zero Curve'
92 label="Libor Zero curve: brl Currency"
93 elements=( brl1mlib brl3mlib brl6mlib brl1ylib brl2ylib brl3ylib brl5ylib brl10ylib brl15ylib brl20ylib brl30ylib)
94 refmap=(zero_curve='brlLiboryldc');
95
96Declare riskfactors=(cnh1mlib num ir currency = cnh maturity = 1 month category = IR label = 'cnh 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
97 cnh3mlib num ir currency = cnh maturity = 3 month category = IR label = 'cnh 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
98 cnh6mlib num ir currency = cnh maturity = 6 month category = IR label = 'cnh 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
99 cnh1ylib num ir currency = cnh maturity = 1 year category = IR label = 'cnh 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
100 cnh2ylib num ir currency = cnh maturity = 2 year category = IR label = 'cnh 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
101 cnh3ylib num ir currency = cnh maturity = 3 year category = IR label = 'cnh 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
102 cnh5ylib num ir currency = cnh maturity = 5 year category = IR label = 'cnh 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
103 cnh10ylib num ir currency = cnh maturity = 10 year category = IR label = 'cnh 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
104 cnh15ylib num ir currency = cnh maturity = 15 year category = IR label = 'cnh 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
105 cnh20ylib num ir currency = cnh maturity = 20 year category = IR label = 'cnh 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
106 cnh30ylib num ir currency = cnh maturity = 30 year category = IR label = 'cnh 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
107);
108
109array cnhLiboryldc ir currency=cnh category=IR group='Libor Zero Curve'
110 label="Libor Zero curve: cnh Currency"
111 elements=( cnh1mlib cnh3mlib cnh6mlib cnh1ylib cnh2ylib cnh3ylib cnh5ylib cnh10ylib cnh15ylib cnh20ylib cnh30ylib)
112 refmap=(zero_curve='cnhLiboryldc');
113
114Declare riskfactors=(krw1mlib num ir currency = krw maturity = 1 month category = IR label = 'krw 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
115 krw3mlib num ir currency = krw maturity = 3 month category = IR label = 'krw 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
116 krw6mlib num ir currency = krw maturity = 6 month category = IR label = 'krw 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
117 krw1ylib num ir currency = krw maturity = 1 year category = IR label = 'krw 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
118 krw2ylib num ir currency = krw maturity = 2 year category = IR label = 'krw 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
119 krw3ylib num ir currency = krw maturity = 3 year category = IR label = 'krw 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
120 krw5ylib num ir currency = krw maturity = 5 year category = IR label = 'krw 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
121 krw10ylib num ir currency = krw maturity = 10 year category = IR label = 'krw 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
122 krw15ylib num ir currency = krw maturity = 15 year category = IR label = 'krw 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
123 krw20ylib num ir currency = krw maturity = 20 year category = IR label = 'krw 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
124 krw30ylib num ir currency = krw maturity = 30 year category = IR label = 'krw 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
125);
126
127array krwLiboryldc ir currency=krw category=IR group='Libor Zero Curve'
128 label="Libor Zero curve: krw Currency"
129 elements=( krw1mlib krw3mlib krw6mlib krw1ylib krw2ylib krw3ylib krw5ylib krw10ylib krw15ylib krw20ylib krw30ylib)
130 refmap=(zero_curve='krwLiboryldc');
131
132
133Declare riskfactors=(twd1mlib num ir currency = twd maturity = 1 month category = IR label = 'twd 1-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
134 twd3mlib num ir currency = twd maturity = 3 month category = IR label = 'twd 3-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
135 twd6mlib num ir currency = twd maturity = 6 month category = IR label = 'twd 6-Month Libor Rate' group='Zero Curve Elements' mlevel=interval,
136 twd1ylib num ir currency = twd maturity = 1 year category = IR label = 'twd 1-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
137 twd2ylib num ir currency = twd maturity = 2 year category = IR label = 'twd 2-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
138 twd3ylib num ir currency = twd maturity = 3 year category = IR label = 'twd 3-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
139 twd5ylib num ir currency = twd maturity = 5 year category = IR label = 'twd 5-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
140 twd10ylib num ir currency = twd maturity = 10 year category = IR label = 'twd 10-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
141 twd15ylib num ir currency = twd maturity = 15 year category = IR label = 'twd 15-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
142 twd20ylib num ir currency = twd maturity = 20 year category = IR label = 'twd 20-Year Libor Rate' group='Zero Curve Elements' mlevel=interval,
143 twd30ylib num ir currency = twd maturity = 30 year category = IR label = 'twd 30-Year Libor Rate' group='Zero Curve Elements' mlevel=interval
144);
145
146array twdLiboryldc ir currency=twd category=IR group='Libor Zero Curve'
147 label="Libor Zero curve: twd Currency"
148 elements=( twd1mlib twd3mlib twd6mlib twd1ylib twd2ylib twd3ylib twd5ylib twd10ylib twd15ylib twd20ylib twd30ylib)
149 refmap=(zero_curve='twdLiboryldc');
150
151
152/*endregion*/
153
154/*region issuer credit spread curve */
155
156
157declare riskfactors=(Cspread6m num ir currency=krw category=CreditSpread maturity=6 month label='Sample 6 month Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
158 Cspread1y num ir currency=krw category=CreditSpread maturity=1 year label='Sample 1 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
159 Cspread3y num ir currency=krw category=CreditSpread maturity=6 year label='Sample 3 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
160 Cspread5y num ir currency=krw category=CreditSpread maturity=12 year label='Sample 5 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio,
161 Cspread10y num ir currency=krw category=CreditSpread maturity=12 year label='Sample 10 Year Credit Spread:AA' group='Issuer Credit Spreads' mlevel=ratio
162
163);
164
165array CspreadCurve ir currency=krw category=CreditSpread group='Issuer Credit Spread Curve'
166 label='Bond Issuer Credit Spread curve: AA'
167 elements=(cspread6m cspread1y cspread3y cspread5y cspread10y)
168 refmap=(spread_curve='CspreadCurve');
169
170/*endregion*/
171
172/*region FX rates */
173
174
175declare riskfactors =(USD_CAD num fx_spot fromcur = usd tocur = cad category = FX label = 'USD/CAD exchange rate' group='FX Spot Rates' mlevel=ratio,
176 USD_JPY num fx_spot fromcur = usd tocur = jpy category = FX label = 'USD/JPY exchange rate' group='FX Spot Rates' mlevel=ratio,
177 USD_EUR num fx_spot fromcur = usd tocur = eur category = FX label = 'USD/EUR exchange rate' group='FX Spot Rates' mlevel=ratio,
178 USD_BRL num fx_spot fromcur = usd tocur = brl category = FX label = 'USD/BRL exchange rate' group='FX Spot Rates' mlevel=ratio,
179 USD_CNH num fx_spot fromcur = usd tocur = cnh category = FX label = 'USD/CNH exchange rate' group='FX Spot Rates' mlevel=ratio,
180 USD_KRW num fx_spot fromcur = usd tocur = krw category = FX label = 'USD/KRW exchange rate' group='FX Spot Rates' mlevel=ratio,
181 USD_TWD num fx_spot fromcur = usd tocur = twd category = FX label = 'USD/TWD exchange rate' group='FX Spot Rates' mlevel=ratio,
182 USD_AUD num fx_spot fromcur = usd tocur = aud category = FX label = 'USD/AUD exchange rate' group='FX Spot Rates' mlevel=ratio,
183 USD_HKD num fx_spot fromcur = usd tocur = hkd category = FX label = 'USD/HKD exchange rate' group='FX Spot Rates' mlevel=ratio,
184 EUR_USD num fx_spot fromcur = eur tocur = usd category = FX label = 'EUR/USD exchange rate' group='FX Spot Rates' mlevel=ratio
185
186
187
188);
189
190/*endregion*/
191
192
193/*region Equity */
194
195
196Declare riskfactors=(equity_440_hk num var category=EQ label='Dah Sing Financial Holdings' group='Equity prices' mlevel=interval refmap=(riskfactor='equity_price_1'),
197 equity_173_hk num var category=EQ label='K Wah International Holdings' group='Equity Prices' mlevel=interval refmap=(riskfactor='equity_price_2')
198);
199
200
201/*endregion*/
202
203
204/*region Bond prices */
205
206
207Declare riskfactors=(bond_quote_cme6a num var category=IR label='Bond quote CME 6A' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cme6a'),
208 bond_quote_cme6j num var category=IR label='Bond quote CME 6J' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cme6j'),
209 bond_quote_lifeer num var category=IR label='Bond quote LIFE ER' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_lifeer'),
210 bond_quote_cmeeduo num var category=IR label='Bond quote CME DUO' group='Bond prices' mlevel=interval refmap=(riskfactor='bond_quote_cmeeduo')
211
212
213);
214
215/*endregion*/
216
217
218/*region CAP vol curve */
219
220Declare 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,
221 vol_cap3m num ir currency = usd maturity = 3 month category = IR label = 'Cap vol 3-Month usd' group='Caplet Vol Curve Elements' mlevel=ratio,
222 vol_cap6m num ir currency = usd maturity = 6 month category = IR label = 'Cap vol 6-Month usd' group='Caplet Vol Curve Elements' mlevel=ratio,
223 vol_cap1y num ir currency = usd maturity = 1 year category = IR label = 'Cap vol 1-Year usd' group='Caplet Vol Curve Elements' mlevel=ratio
224);
225
226array vol_cap_curve ir currency=usd category=VOL group='CAP Volatility Curve'
227 label="Caplet Vol curve: USD Currency"
228 elements=( vol_cap1m vol_cap3m vol_cap6m vol_cap1y )
229 refmap=(zero_curve='vol_cap_curve');
230
231
232
233/*endregion*/
234
235
236/*region FX Vol surfaces */
237
238declare riskfactor=(
239 usd_eur6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label = 'usdeur 6m m0.8 impvol' group='FX Vol Surface Elements',
240 usd_eur12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label = 'usdeur 1y m0.8 impvol' group='FX Vol Surface Elements',
241 usd_eur6mm1 num var maturity=6 months coordinates=(moneyness=1) label = 'usdeur 6m m1 impvol' group='FX Vol Surface Elements',
242 usd_eur12mm1 num var maturity=1 year coordinates=(moneyness=1) label = 'usdeur 1y m1 impvol' group='FX Vol Surface Elements',
243 usd_eur6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label = 'usdeur 6m m1.2 impvol' group='FX Vol Surface Elements',
244 usd_eur12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label = 'usdeur 1y m1.2 impvol' group='FX Vol Surface Elements'
245 );
246
247
248array vol_surf_usd_eur surface group='FX Volatility Surface' label='FX Vol Surface usd_eur' elements=(usd_eur6mm08 usd_eur12mm08
249 usd_eur6mm1 usd_eur12mm1
250 usd_eur6mm12 usd_eur12mm12
251 )
252
253
254extrapolate=const /* use this option so that boundaries do not have to be specified */
255;
256
257
258declare riskfactor=(
259 brl_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='brlusd 6m m0.8 impvol' group='FX Vol Surface Elements',
260 brl_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='brlusd 1y m0.8 impvol' group='FX Vol Surface Elements',
261 brl_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='brlusd 6m m1 impvol' group='FX Vol Surface Elements',
262 brl_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='brlusd 1y m1 impvol' group='FX Vol Surface Elements',
263 brl_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='brlusd 6m m1.2 impvol' group='FX Vol Surface Elements',
264 brl_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='brlusd 1y m1.2 impvol' group='FX Vol Surface Elements'
265 );
266
267
268array vol_surf_brl_usd surface group='FX Volatility Surface' label='FX Vol Surface brl_usd' elements=(brl_usd6mm08 brl_usd12mm08
269 brl_usd6mm1 brl_usd12mm1
270 brl_usd6mm12 brl_usd12mm12
271 )
272
273
274extrapolate=const /* use this option so that boundaries do not have to be specified */
275;
276
277declare riskfactor=(
278 jpy_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='jpyusd 6m m0.8 impvol' group='FX Vol Surface Elements',
279 jpy_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='jpyusd 1y m0.8 impvol' group='FX Vol Surface Elements',
280 jpy_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='jpyusd 6m m1 impvol' group='FX Vol Surface Elements',
281 jpy_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='jpyusd 1y m1 impvol' group='FX Vol Surface Elements',
282 jpy_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='jpyusd 6m m1.2 impvol' group='FX Vol Surface Elements',
283 jpy_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='jpyusd 1y m1.2 impvol' group='FX Vol Surface Elements'
284 );
285
286
287array vol_surf_jpy_usd surface group='FX Volatility Surface' label='FX Vol Surface jpy_usd' elements=(jpy_usd6mm08 jpy_usd12mm08
288 jpy_usd6mm1 jpy_usd12mm1
289 jpy_usd6mm12 jpy_usd12mm12
290 )
291
292
293extrapolate=const /* use this option so that boundaries do not have to be specified */
294;
295
296
297declare riskfactor=(
298 cnh_usd6mm08 num var maturity=6 months coordinates=(moneyness=0.8) label='cnhusd 6m m0.8 impvol' group='FX Vol Surface Elements',
299 cnh_usd12mm08 num var maturity=1 year coordinates=(moneyness=0.8) label='cnhusd 1y m0.8 impvol' group='FX Vol Surface Elements',
300 cnh_usd6mm1 num var maturity=6 months coordinates=(moneyness=1) label='cnhusd 6m m1 impvol' group='FX Vol Surface Elements',
301 cnh_usd12mm1 num var maturity=1 year coordinates=(moneyness=1) label='cnhusd 1y m1 impvol' group='FX Vol Surface Elements',
302 cnh_usd6mm12 num var maturity=6 months coordinates=(moneyness=1.2) label='cnhusd 6m m1.2 impvol' group='FX Vol Surface Elements',
303 cnh_usd12mm12 num var maturity=1 year coordinates=(moneyness=1.2) label='cnhusd 1y m1.2 impvol' group='FX Vol Surface Elements'
304 );
305
306
307array vol_surf_cnh_usd surface group='FX Volatility Surface' label='FX Vol Surface cnh_usd' elements=(cnh_usd6mm08 cnh_usd12mm08
308 cnh_usd6mm1 cnh_usd12mm1
309 cnh_usd6mm12 cnh_usd12mm12
310 )
311
312
313extrapolate=const /* use this option so that boundaries do not have to be specified */
314;
315
316/*endregion*/
317
318
319
320