<?xml version="1.0"?>
<Simulation>
  <Parameters>
    <Grid>92,3M</Grid>
    <Calendar>EUR,USD</Calendar>
    <Sequence>SobolBrownianBridge</Sequence>
    <Scenario>Simple</Scenario>
    <Seed>42</Seed>
    <Samples>1000</Samples>
  </Parameters>
  <CrossAssetModel>
    <DomesticCcy>EUR</DomesticCcy>
    <Discretization>Euler</Discretization>
    <Measure>BA</Measure>
    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
    </Currencies>
    <BootstrapTolerance>0.0001</BootstrapTolerance>
    <InterestRateModels>
      <HWModel ccy="default">
        <CalibrationType>None</CalibrationType>
        <Volatility>
          <Calibrate>N</Calibrate>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>
            <Sigma>
              <Row>0.002474873734151,0,0,0</Row>
              <Row>0,0,0.000706612189017,-0.00298902380928</Row>
            </Sigma>
          </InitialValue>
        </Volatility>
        <Reversion>
          <Calibrate>N</Calibrate>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>
            <Kappa>-0.000000048673,-0.24532070948,-0.056427887126,0.510590372873</Kappa>
          </InitialValue>
        </Reversion>
      </HWModel>
    </InterestRateModels>
    <ForeignExchangeModels>
      <CrossCcyLGM foreignCcy="default">
        <DomesticCcy>EUR</DomesticCcy>
        <CalibrationType>None</CalibrationType>
        <Sigma>
          <Calibrate>N</Calibrate>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>0.1</InitialValue>
        </Sigma>
     </CrossCcyLGM>
    </ForeignExchangeModels>
    <InstantaneousCorrelations>
      <Correlation factor1="IR:EUR" factor2="IR:USD" index1="0" index2="0">0.3</Correlation>
      <Correlation factor1="IR:EUR" factor2="IR:USD" index1="0" index2="1">0.5</Correlation>
      <Correlation factor1="IR:EUR" factor2="IR:USD" index1="1" index2="0">0.2</Correlation>
      <Correlation factor1="IR:EUR" factor2="IR:USD" index1="1" index2="1">0.4</Correlation>
      <Correlation factor1="IR:EUR" factor2="FX:USDEUR" index1="0" index2="0">0.15</Correlation>
      <Correlation factor1="IR:EUR" factor2="FX:USDEUR" index1="1" index2="0">0.25</Correlation>
      <Correlation factor1="IR:USD" factor2="FX:USDEUR" index1="0" index2="0">0.17</Correlation>
      <Correlation factor1="IR:USD" factor2="FX:USDEUR" index1="1" index2="0">0.23</Correlation>
    </InstantaneousCorrelations>
  </CrossAssetModel>
  <Market>
    <BaseCurrency>EUR</BaseCurrency>
    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
    </Currencies>
    <YieldCurves>
      <Configuration>
        <Tenors>3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <Extrapolation>Y</Extrapolation>
      </Configuration>
    </YieldCurves>
    <Indices>
      <Index>EUR-EURIBOR-6M</Index>
      <Index>EUR-EURIBOR-3M</Index>
      <Index>EUR-EONIA</Index>
      <Index>USD-LIBOR-3M</Index>
    </Indices>
    <SwapIndices>
      <SwapIndex>
        <Name>EUR-CMS-1Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
      <SwapIndex>
        <Name>EUR-CMS-30Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
    </SwapIndices>
    <DefaultCurves>
      <Names/>
      <Tenors>6M,1Y,2Y</Tenors>
    </DefaultCurves>
    <SwaptionVolatilities>
      <Simulate>false</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <Currencies>
        <Currency>EUR</Currency>
        <Currency>USD</Currency>
      </Currencies>
      <Expiries>6M,1Y,2Y,3Y,5Y,10Y,12Y,15Y,20Y</Expiries>
      <Terms>1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,30Y</Terms>
    </SwaptionVolatilities>
    <FxVolatilities>
      <Simulate>false</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <CurrencyPairs>
        <CurrencyPair>USDEUR</CurrencyPair>
      </CurrencyPairs>
      <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
    </FxVolatilities>
    <AggregationScenarioDataCurrencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
    </AggregationScenarioDataCurrencies>
    <AggregationScenarioDataIndices>
      <Index>EUR-EURIBOR-3M</Index>
      <Index>EUR-EONIA</Index>
      <Index>USD-LIBOR-3M</Index>
    </AggregationScenarioDataIndices>
  </Market>
</Simulation>
