<SensitivityAnalysis>

  <!-- Discount curve shifts -->
  <DiscountCurves>

    <DiscountCurve ccy="EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </DiscountCurve>
    
    <DiscountCurve ccy="USD">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </DiscountCurve>
    
  </DiscountCurves>
  
  <!-- Index curve shifts -->
  <IndexCurves>
  
    <IndexCurve index="EUR-EURIBOR-6M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </IndexCurve>
    
    <IndexCurve index="EUR-EURIBOR-3M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </IndexCurve>
    
    <IndexCurve index="EUR-EONIA">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </IndexCurve>
    
    <IndexCurve index="USD-LIBOR-3M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </IndexCurve>
    
    <IndexCurve index="USD-LIBOR-6M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </IndexCurve>
    
  </IndexCurves>

  <!-- Yield curve shifts -->
  <YieldCurves>
    <YieldCurve name="BENCHMARK_EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </YieldCurve>
  </YieldCurves>
  
  <!-- FX spot shifts -->
  <FxSpots>
    <FxSpot ccypair="USDEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
    </FxSpot>
  </FxSpots>
  
  <!-- FX ATM vol shifts -->
  <FxVolatilities>
    <FxVolatility ccypair="USDEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
      <ShiftStrikes/>
    </FxVolatility>
  </FxVolatilities>
  
  <!-- Swaption ATM vol shifts -->
  <SwaptionVolatilities>
    <SwaptionVolatility ccy="EUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
      <ShiftStrikes>0.0</ShiftStrikes>
      <ShiftTerms>1Y,5Y,10Y</ShiftTerms>
    </SwaptionVolatility>
  </SwaptionVolatilities>
  
  <!-- Cap/Floor (Optionlet or Flat) vol surface shifts -->
  <CapFloorVolatilities>
    <CapFloorVolatility ccy="EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftExpiries>1Y,2Y,3Y,5Y,7Y,10Y</ShiftExpiries>
      <ShiftStrikes>0.01,0.02,0.03,0.04,0.05</ShiftStrikes>
      <Index>EUR-EURIBOR-6M</Index>
    </CapFloorVolatility>
    <CapFloorVolatility ccy="USD">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftExpiries>1Y,2Y,3Y,5Y,7Y,10Y</ShiftExpiries>
      <ShiftStrikes>0.01,0.02,0.03,0.04,0.05</ShiftStrikes>
      <Index>USD-LIBOR-3M</Index>
    </CapFloorVolatility>
  </CapFloorVolatilities>
  
  <CDSVolatilities>
  </CDSVolatilities>
  
  <!-- Credit Curve shifts -->
  <CreditCurves>
    <CreditCurve name="CPTY_C">
        <Currency>EUR</Currency>
        <ShiftType>Absolute</ShiftType>
        <ShiftSize>0.0001</ShiftSize>
        <ShiftTenors>6M,1Y,2Y</ShiftTenors>
    </CreditCurve>
  </CreditCurves>
  
  <!-- Equity spot shifts -->
  <EquitySpots>
    <EquitySpot equity="SP5">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
    </EquitySpot>
    <EquitySpot equity="Lufthansa">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
    </EquitySpot>
  </EquitySpots>
  
  <!-- Equity ATM vol shifts -->
  <EquityVolatilities>
    <EquityVolatility equity="SP5">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>6M,1Y,2Y,3Y,5Y</ShiftExpiries>
      <ShiftStrikes/>
    </EquityVolatility>
    <EquityVolatility equity="Lufthansa">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>6M,1Y,2Y,3Y,5Y</ShiftExpiries>
      <ShiftStrikes/>
    </EquityVolatility>
  </EquityVolatilities>
  
  <BaseCorrelations></BaseCorrelations>  
  
  <!-- Cross Gamma filter: Pairs of factor sub-strings -->
  <CrossGammaFilter>
    <Pair>DiscountCurve/EUR,DiscountCurve/EUR</Pair>
    <Pair>IndexCurve/EUR,IndexCurve/EUR</Pair>
    <Pair>DiscountCurve/EUR,IndexCurve/EUR</Pair>
  </CrossGammaFilter>
  
  
</SensitivityAnalysis>
