<?xml version="1.0"?>
<Simulation>

  <Market>

    <BaseCurrency>EUR</BaseCurrency>

    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
    </Currencies>

    <YieldCurves>
      <Configuration>
        <!--<Tenors>3M,6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,30Y,40Y,50Y</Tenors>-->
        <Tenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <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>
      <Index>USD-LIBOR-6M</Index>
      <Index>USD-FedFunds</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>
    <Name>CPTY_C</Name>
      </Names>
      <Tenors>6M,1Y,2Y</Tenors>
      <SimulateSurvivalProbabilities>true</SimulateSurvivalProbabilities>
    </DefaultCurves>
        
    <Equities>
      <Names>
        <Name>SP5</Name>
        <Name>Lufthansa</Name>
      </Names>
      <DividendTenors>6M,1Y,2Y</DividendTenors>
    </Equities>   
    <!-- Even if we do not simulate them - option pricing needs vol
	   surfaces, so we need to specify here how we propagate the
	   vol structure and what its composition will be -->
    <SwaptionVolatilities>
      <Simulate>true</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <!-- Alternative: ConstantVariance -->
      <Currencies>
        <Currency>EUR</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>
      <SimulateATMOnly>false</SimulateATMOnly>
      <StrikeSpreads ccy="EUR">-0.02,-0.01,0.0,0.01,0.02</StrikeSpreads>
    </SwaptionVolatilities>
    
    <CapFloorVolatilities>
      <Simulate>true</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <Currencies>
        <Currency>EUR</Currency>
        <Currency>USD</Currency>
      </Currencies>
      <Expiries>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</Expiries>
      <Strikes>0.00,0.01,0.02,0.03,0.04,0.05,0.06</Strikes>
    </CapFloorVolatilities>

    <FxVolatilities>
      <Simulate>true</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <!-- Alternative: ConstantVariance -->
      <CurrencyPairs>
        <CurrencyPair>USDEUR</CurrencyPair>
        <!--<CurrencyPair>GBPUSD</CurrencyPair>-->
      </CurrencyPairs>
      <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
      <Surface>
        <Moneyness>0.5,0.6,0.7,0.8,0.9,0.95,1.0,1.05,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,2.0,2.5,3.0</Moneyness>
      </Surface>
    </FxVolatilities>
 	
	<EquityVolatilities>
      <Simulate>true</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <!-- Alternative: ConstantVariance -->
      <Names>
        <Name>SP5</Name>
        <Name>Lufthansa</Name>
      </Names>
      <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
      <SimulateATMOnly>false</SimulateATMOnly>
      <Surface>
          <Moneyness>0.5,0.6,0.7,0.8,0.9,0.95,1.0,1.05,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,2.0,2.5,3.0</Moneyness>
      </Surface>
    </EquityVolatilities>     
	
    <BenchmarkCurves>
      <BenchmarkCurve>
        <Currency>EUR</Currency>
        <Name>BENCHMARK_EUR</Name>
      </BenchmarkCurve>
    </BenchmarkCurves>

    <Securities>
      <Simulate>false</Simulate>
      <Names>
        <Name>SECURITY_1</Name>
      </Names>
    </Securities>
  
    <!-- Additional data that is recorded during simulation for later
	   use in the post processor -->
    <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>
