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DerivativeCatalog.xml
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DerivativeCatalog.xml
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<?xml version="1.0" encoding="UTF-8"?>
<DerivativeCatalog>
<!-- EXAMPLES OF VALID PAYOFF -->
<Payoff type="PlainVanillaCall">
<!-- Example 1: a simple call payoff-->
<dealID>1</dealID>
<strike>5</strike>
<model distribution="Uniform">
<location>5</location>
<scale>2</scale>
</model>
</Payoff>
<Payoff type="DigitalCall">
<!-- Example 2: another type of call with different parameters-->
<dealID>2</dealID>
<strike>7</strike>
<model distribution="LogNormal">
<location>5</location>
<scale>2</scale>
</model>
</Payoff>
<Payoff type="PlainVanillaPut">
<!-- Example 3: a put payoff with same parameters as the Example 1-->
<dealID>3</dealID>
<strike>5</strike>
<model distribution="Gamma">
<location>5</location>
<scale>2</scale>
</model>
</Payoff>
<Payoff type="BarrierCall">
<!-- Example 4: a more complicated payoff-->
<dealID>4</dealID>
<strike>5</strike>
<barrier>7</barrier>
<model distribution="LogNormal">
<location>5</location>
<scale>2</scale>
</model>
</Payoff>
<Payoff type="AsianCall">
<!-- Example 5: a payoff too complicated for us-->
<dealID>5</dealID>
<strike>5</strike>
<fixings>
<t1>0.5</t1>
<t1>1</t1>
<t1>1.5</t1>
<t1>2</t1>
</fixings>
<model distribution="Heston">
<location>6</location>
<scale>2</scale>
<rho>-0.75</rho>
<meanrev>0.3</meanrev>
</model>
</Payoff>
<!-- EXAMPLES OF INVALID PAYOFF -->
<Payoff type="PlainVanilla">
<!-- Example 6: strike is missing-->
<dealID>7</dealID>
<model distribution="LogNormal">
<location>5</location>
<scale>2</scale>
</model>
</Payoff>
<Payoff type="PlainVanillaPut">
<!-- Example 7: invalid model type-->
<dealID>8</dealID>
<strike>7</strike>
<model distribution="Exponential">
<lambda>5</lambda>
</model>
</Payoff>
<Payoff type="BarrierCall">
<!-- Example 8: one of the parameter of the model is missing-->
<dealID>9</dealID>
<strike>5</strike>
<barrier>7</barrier>
<model distribution="LogNormal">
<location>5</location>
</model>
</Payoff>
<!-- SOME PRICING SETTINGS -->
<PricingSettings>
<!-- 9: Pricing settings for numerical evaluation-->
<x0>0.01</x0>
<xMAX>100</xMAX>
<xStep>0.5</xStep>
</PricingSettings>
<!-- SINCE 10 IS A NICE NUMBER I ADD SOME SPAM -->
<Counterparty>
<CompanyName>Lehman Brothers</CompanyName>
<Manager>
<name>Jordan Belfort</name>
</Manager>
</Counterparty>
</DerivativeCatalog>