<?xml version="1.0"?>
<Simulation>
  <Parameters>
    <Discretization>Exact</Discretization>
    <Grid>81,3M</Grid>
    <Calendar>EUR</Calendar>
    <Sequence>SobolBrownianBridge</Sequence>
    <Scenario>Simple</Scenario>
    <Seed>42</Seed>
    <Samples>1000</Samples>
    <Ordering>Steps</Ordering>
    <DirectionIntegers>JoeKuoD7</DirectionIntegers>
  </Parameters>
  <CrossAssetModel>
    <DomesticCcy>EUR</DomesticCcy>
    <Currencies>
      <Currency>EUR</Currency>
    </Currencies>
    <Discretization>Euler</Discretization>
    <Measure>BA</Measure>
    <BootstrapTolerance>0.0001</BootstrapTolerance>
    <InterestRateModels>
      <HWModel ccy="default">
        <CalibrationType>StatisticalWithRiskNeutralVolatility</CalibrationType>
        <Reversion>
          <Calibrate>N</Calibrate>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>
            <Kappa>-0.000000048673,-0.24532070948,-0.056427887126,0.510590372873</Kappa>
          </InitialValue>
        </Reversion>
        <PCALoadings>
          <Loadings>0.353553391,0.0</Loadings>
          <Loadings>0.235537396,-0.99634127</Loadings>
        </PCALoadings>
        <PCASigma0>
          <Calibrate>Y</Calibrate>
          <ParamType>Piecewise</ParamType>
          <TimeGrid/>
          <InitialValue>0.01</InitialValue>
        </PCASigma0>
        <PCASigmaRatios>1.0, 0.428571429</PCASigmaRatios>
        <CalibrationSwaptions>
          <Expiries> 1Y,  2Y,  4Y,  6Y,  8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
          <Terms>   19Y, 18Y, 16Y, 14Y, 12Y, 10Y,  8Y,  6Y,  4Y,  2Y,  1Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
      </HWModel>
    </InterestRateModels>
    <ForeignExchangeModels/>
  </CrossAssetModel>
  <Market>
    <BaseCurrency>EUR</BaseCurrency>
    <Currencies>
      <Currency>EUR</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>
    </Indices>
    <SwapIndices>
      <SwapIndex>
        <Name>EUR-CMS-1Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
      <SwapIndex>
        <Name>EUR-CMS-2Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
      <SwapIndex>
        <Name>EUR-CMS-10Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
      <SwapIndex>
        <Name>EUR-CMS-30Y</Name>
        <DiscountingIndex>EUR-EONIA</DiscountingIndex>
      </SwapIndex>
    </SwapIndices>
    <AggregationScenarioDataCurrencies>
      <Currency>EUR</Currency>
    </AggregationScenarioDataCurrencies>
    <AggregationScenarioDataIndices>
      <Index>EUR-EURIBOR-3M</Index>
      <Index>EUR-EONIA</Index>
    </AggregationScenarioDataIndices>
  </Market>
</Simulation>
