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ExposureWithCollateral

Impact of Variation Margin and CSA details, Impact of Initial Margin.

Official readme: readme.md

input

• collateralbalances.xml
• netting.xml
• netting_dim.xml
• netting_iah_0.xml
• netting_iah_1.xml
• netting_mpor.xml
• netting_mta.xml
• netting_threshold.xml
• ore.xml
• ore_closeout.xml
• ore_closeout_ddv.xml
• ore_closeout_dim.xml
• ore_closeout_mpor.xml
• ore_firstmpor.xml
• ore_iah_0.xml
• ore_iah_1.xml
• ore_mpor.xml
• ore_mta.xml
• ore_threshold.xml
• ore_threshold_break.xml
• ore_threshold_dim.xml
• portfolio.xml
• pricingengine_dg.xml — engines for 3 product types: EuropeanSwaption, FxOption, Swap
• simulation.xml
• simulation_closeout.xml
• simulation_closeout_dim.xml
• simulation_iah.xml

input/firstmpor

• collateralbalances.xml
• conventions.xml
• curveconfig.xml
• fixings.csv
• marketdata.csv
• netting.xml
• ore.xml
• portfolio.xml
• pricingengine.xml — engines for 30 product types: BermudanSwaption, Bond, CMS, CMSSpread, CMS_DEACTIVATED, CPICapFloor, CapFloor, CapFlooredIborLeg, CapFlooredYYLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CpiCapFloor, CreditDefaultSwap, CreditDefaultSwapOption, CrossCurrencySwap, EquityForward, EquityOption, EquityOptionAmerican, EuropeanSwaption, ForwardBond, FxForward, FxOption, FxOptionAmerican, Swap, YYCapFloor
• pricingengine_amc.xml — engines for 7 product types: BermudanSwaption, CMS, CapFlooredIborLeg, CrossCurrencySwap, FxOption, MultiLegOption, Swap
• simulation_xva.xml
• todaysmarket.xml