<?xml version="1.0"?>
<TodaysMarket>
  <Configuration id="default">
    <DiscountingCurvesId>xois_eur</DiscountingCurvesId>
    <IndexForwardingCurvesId>default</IndexForwardingCurvesId>
  </Configuration>
  <Configuration id="collateral_inccy">
    <DiscountingCurvesId>ois</DiscountingCurvesId>
    <IndexForwardingCurvesId>default</IndexForwardingCurvesId>
  </Configuration>
  <Configuration id="xois_eur">
    <DiscountingCurvesId>xois_eur</DiscountingCurvesId>
    <IndexForwardingCurvesId>default</IndexForwardingCurvesId>
  </Configuration>
  <Configuration id="libor">
    <DiscountingCurvesId>inccy_swap</DiscountingCurvesId>
    <IndexForwardingCurvesId>default</IndexForwardingCurvesId>
  </Configuration>
  <!-- yield curve definition (in ccy swap discounting) -->
  <YieldCurves id="default">
    <YieldCurve name="BANK_EUR_LEND">Yield/EUR/BANK_EUR_LEND</YieldCurve>
    <YieldCurve name="BANK_EUR_BORROW">Yield/EUR/BANK_EUR_BORROW</YieldCurve>
    <YieldCurve name="BENCHMARK_EUR">Yield/EUR/BENCHMARK_EUR</YieldCurve>
  </YieldCurves>
  <!-- discounting curve definition (in ccy swap discounting) -->
  <DiscountingCurves id="inccy_swap">
    <DiscountingCurve currency="EUR">Yield/EUR/EUR6M</DiscountingCurve>
    <DiscountingCurve currency="USD">Yield/USD/USD3M</DiscountingCurve>
    <DiscountingCurve currency="GBP">Yield/GBP/GBP6M</DiscountingCurve>
    <DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
  </DiscountingCurves>
  <!-- discounting curve definition (in ccy ois discounting) -->
  <DiscountingCurves id="ois">
    <DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
    <DiscountingCurve currency="USD">Yield/USD/USD1D</DiscountingCurve>
    <DiscountingCurve currency="GBP">Yield/GBP/GBP1D</DiscountingCurve>
    <DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
  </DiscountingCurves>
  <!-- discounting curve definition (xois discounting w.r.t. EUR collateral) -->
  <DiscountingCurves id="xois_eur">
    <DiscountingCurve currency="EUR">Yield/EUR/EUR1D</DiscountingCurve>
    <DiscountingCurve currency="USD">Yield/USD/USD-IN-EUR</DiscountingCurve>
    <DiscountingCurve currency="GBP">Yield/GBP/GBP-IN-EUR</DiscountingCurve>
    <DiscountingCurve currency="CHF">Yield/CHF/CHF6M</DiscountingCurve>
    <DiscountingCurve currency="JPY">Yield/JPY/JPY6M</DiscountingCurve>
  </DiscountingCurves>
  <!-- index forwarding curve definition -->
  <IndexForwardingCurves id="default">
    <Index name="EUR-EURIBOR-1M">Yield/EUR/EUR1M</Index>
    <Index name="EUR-EURIBOR-3M">Yield/EUR/EUR3M</Index>
    <Index name="EUR-EURIBOR-6M">Yield/EUR/EUR6M</Index>
    <Index name="EUR-EURIBOR-12M">Yield/EUR/EUR12M</Index>
    <Index name="EUR-EONIA">Yield/EUR/EUR1D</Index>
    <Index name="USD-FedFunds">Yield/USD/USD1D</Index>
    <Index name="USD-LIBOR-3M">Yield/USD/USD3M</Index>
    <Index name="USD-LIBOR-6M">Yield/USD/USD6M</Index>
    <Index name="GBP-SONIA">Yield/GBP/GBP1D</Index>
    <Index name="GBP-LIBOR-3M">Yield/GBP/GBP3M</Index>
    <Index name="CHF-TOIS">Yield/CHF/CHF1D</Index>
    <Index name="GBP-LIBOR-6M">Yield/GBP/GBP6M</Index>
    <Index name="CHF-LIBOR-3M">Yield/CHF/CHF3M</Index>
    <Index name="CHF-LIBOR-6M">Yield/CHF/CHF6M</Index>
    <Index name="JPY-LIBOR-6M">Yield/JPY/JPY6M</Index>
    <Index name="JPY-TONAR">Yield/JPY/JPY1D</Index>
  </IndexForwardingCurves>
  <SwapIndexCurves id="default">
    <SwapIndex name="EUR-CMS-1Y">
      <Discounting>EUR-EONIA</Discounting>
    </SwapIndex>
    <SwapIndex name="EUR-CMS-30Y">
      <Discounting>EUR-EONIA</Discounting>
    </SwapIndex>
    <SwapIndex name="USD-CMS-1Y">
      <Discounting>USD-FedFunds</Discounting>
    </SwapIndex>
    <SwapIndex name="USD-CMS-30Y">
      <Discounting>USD-FedFunds</Discounting>
    </SwapIndex>
    <SwapIndex name="GBP-CMS-1Y">
      <Discounting>GBP-SONIA</Discounting>
    </SwapIndex>
    <SwapIndex name="GBP-CMS-30Y">
      <Discounting>GBP-SONIA</Discounting>
    </SwapIndex>
    <SwapIndex name="CHF-CMS-1Y">
      <Discounting>CHF-TOIS</Discounting>
    </SwapIndex>
    <SwapIndex name="CHF-CMS-30Y">
      <Discounting>CHF-TOIS</Discounting>
    </SwapIndex>
    <SwapIndex name="JPY-CMS-1Y">
      <Discounting>JPY-TONAR</Discounting>
    </SwapIndex>
    <SwapIndex name="JPY-CMS-30Y">
      <Discounting>JPY-TONAR</Discounting>
    </SwapIndex>
  </SwapIndexCurves>
  <!-- fx spot definition -->
  <FxSpots id="default">
    <FxSpot pair="EURUSD">FX/EUR/USD</FxSpot>
    <FxSpot pair="EURGBP">FX/EUR/GBP</FxSpot>
    <FxSpot pair="EURCHF">FX/EUR/CHF</FxSpot>
    <FxSpot pair="EURJPY">FX/EUR/JPY</FxSpot>
  </FxSpots>
  <!-- fx volatility definition -->
  <FxVolatilities id="default">
    <FxVolatility pair="EURUSD">FXVolatility/EUR/USD/EURUSD</FxVolatility>
    <FxVolatility pair="EURGBP">FXVolatility/EUR/GBP/EURGBP</FxVolatility>
    <FxVolatility pair="EURCHF">FXVolatility/EUR/CHF/EURCHF</FxVolatility>
    <FxVolatility pair="EURJPY">FXVolatility/EUR/JPY/EURJPY</FxVolatility>
  </FxVolatilities>
  <!-- swaption volatility definition -->
  <SwaptionVolatilities id="default">
    <SwaptionVolatility currency="EUR">SwaptionVolatility/EUR/EUR_SW_N</SwaptionVolatility>
    <SwaptionVolatility currency="USD">SwaptionVolatility/USD/USD_SW_N</SwaptionVolatility>
    <SwaptionVolatility currency="GBP">SwaptionVolatility/GBP/GBP_SW_N</SwaptionVolatility>
    <SwaptionVolatility currency="CHF">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
    <SwaptionVolatility currency="JPY">SwaptionVolatility/CHF/CHF_SW_N</SwaptionVolatility>
  </SwaptionVolatilities>
  <!-- cap volatility definition -->
  <CapFloorVolatilities id="default">
    <CapFloorVolatility currency="EUR">CapFloorVolatility/EUR/EUR_CF_N</CapFloorVolatility>
    <CapFloorVolatility currency="USD">CapFloorVolatility/USD/USD_CF_N</CapFloorVolatility>
    <CapFloorVolatility currency="GBP">CapFloorVolatility/GBP/GBP_CF_N</CapFloorVolatility>
  </CapFloorVolatilities>
  <!-- default curves definition -->
  <DefaultCurves id="default">
    <DefaultCurve name="BANK">Default/USD/BANK_SR_USD</DefaultCurve>
    <!-- <DefaultCurve name="CPTY_A">Default/USD/CPTY_A_SR_USD</DefaultCurve> -->
    <!-- <DefaultCurve name="CPTY_B">Default/USD/CPTY_A_SR_USD</DefaultCurve> -->
    <!-- <DefaultCurve name="CPTY_C">Default/USD/CPTY_A_SR_USD</DefaultCurve> -->
    <DefaultCurve name="CPTY_A">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
    <DefaultCurve name="CPTY_B">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
    <DefaultCurve name="CPTY_C">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
    <DefaultCurve name="CPTY_D">Default/EUR/CPTY_A_SR_EUR</DefaultCurve>
    <!-- Rating dependent curves -->
    <DefaultCurve name="CPTY_C_AAA">Default/USD/CPTY_C_SR_EUR_AAA</DefaultCurve>
    <DefaultCurve name="CPTY_C_AA">Default/USD/CPTY_C_SR_EUR_AA</DefaultCurve>
    <DefaultCurve name="CPTY_C_A">Default/USD/CPTY_C_SR_EUR_A</DefaultCurve>
    <DefaultCurve name="CPTY_C_BBB">Default/USD/CPTY_C_SR_EUR_BBB</DefaultCurve>
    <DefaultCurve name="CPTY_C_BB">Default/USD/CPTY_C_SR_EUR_BB</DefaultCurve>
    <DefaultCurve name="CPTY_C_B">Default/USD/CPTY_C_SR_EUR_B</DefaultCurve>
    <DefaultCurve name="CPTY_C_C">Default/USD/CPTY_C_SR_EUR_C</DefaultCurve>
    <!-- Generic Rating curves implied from transition matrix data -->
    <DefaultCurve name="BOND_AAA">Default/EUR/BOND_AAA</DefaultCurve>
    <DefaultCurve name="BOND_AA">Default/EUR/BOND_AA</DefaultCurve>
    <DefaultCurve name="BOND_A">Default/EUR/BOND_A</DefaultCurve>
    <DefaultCurve name="BOND_BBB">Default/EUR/BOND_BBB</DefaultCurve>
    <DefaultCurve name="BOND_BB">Default/EUR/BOND_BB</DefaultCurve>
    <DefaultCurve name="BOND_B">Default/EUR/BOND_B</DefaultCurve>
    <DefaultCurve name="BOND_C">Default/EUR/BOND_C</DefaultCurve>
    <!-- -->
  </DefaultCurves>
  <Securities id="default">
    <Security name="SECURITY_1">Security/SECURITY_1</Security>
  </Securities>
</TodaysMarket>
