<?xml version="1.0" encoding="UTF-8"?>
<ORE>
  <Setup>
	<Parameter name="asofDate">2022-09-28</Parameter>
    <Parameter name="inputPath">Input</Parameter>
    <Parameter name="outputPath">Output/hwhistoricalcalibration</Parameter>
    <Parameter name="logFile">log.txt</Parameter>
	<Parameter name="logMask">255</Parameter>
    <Parameter name="continueOnError">true</Parameter>
	<Parameter name="baseCurrency">USD</Parameter>
    <Parameter name="calendarAdjustment"/>
  </Setup>
  <Analytics>
    <Analytic type="calibration">
      <Parameter name="active">Y</Parameter>
	  <Parameter name="model">HW</Parameter>
	  <Parameter name="mode">historical</Parameter>
	  <Parameter name="foreignCurrencies">EUR,GBP</Parameter>
	  <Parameter name="pcaCalibration">Y</Parameter>
	  <Parameter name="curveTenors">1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</Parameter>
      <Parameter name="scenarioInputFile">scenario.csv</Parameter>
	  <Parameter name="startDate">2019-09-29</Parameter>
	  <Parameter name="endDate">2022-09-27</Parameter>
	  <Parameter name="useForwardOrZeroRate">zero</Parameter>
	  <Parameter name="lambda">1</Parameter>
	  <Parameter name="varianceRetained">0.90</Parameter>
	  <Parameter name="pcaOutputFileName">pca.csv</Parameter>
	  <!--Parameter name="pcaInputFileName">pca_USD.csv,pca_EUR.csv,pca_GBP.csv</Parameter>-->
	  <Parameter name="meanReversionCalibration">Y</Parameter>
	  <Parameter name="basisFunctionNumber">2</Parameter>
	  <Parameter name="kappaUpperBound">5.0</Parameter>
	  <Parameter name="haltonMaxGuess">500</Parameter>
	  <Parameter name="meanReversionOutputFileName">meanReversion.csv</Parameter>
    </Analytic>
  </Analytics>
</ORE>
