<?xml version="1.0"?>
<SensitivityAnalysis>
  <!-- Discount curve shifts -->
  <DiscountCurves>
    <DiscountCurve ccy="EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </DiscountCurve>
    <DiscountCurve ccy="USD">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </DiscountCurve>
    <DiscountCurve ccy="GBP">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </DiscountCurve>
  </DiscountCurves>
  <!-- Index curve shifts -->
  <IndexCurves>
    <IndexCurve index="EUR-EURIBOR-6M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="EUR-EURIBOR-3M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="EUR-EURIBOR-1M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="EUR-EONIA">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="USD-LIBOR-3M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="USD-LIBOR-6M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="USD-FedFunds">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="GBP-LIBOR-3M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="GBP-LIBOR-6M">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
    <IndexCurve index="GBP-SONIA">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>2W,1M,3M,6M,9M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </IndexCurve>
  </IndexCurves>
  <!-- Yield curve shifts -->
  <YieldCurves>
    <!--
    <YieldCurve name="BENCHMARK_EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="IR_FD">0.001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y</ShiftTenors>
    </YieldCurve>
    -->
  </YieldCurves>
  <FxSpots>
    <FxSpot ccypair="USDEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
    </FxSpot>
    <FxSpot ccypair="GBPEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
    </FxSpot>
  </FxSpots>
  <FxVolatilities>
    <FxVolatility ccypair="USDEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
      <ShiftStrikes/>
    </FxVolatility>
    <FxVolatility ccypair="GBPEUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftExpiries>1Y,2Y,3Y,5Y</ShiftExpiries>
      <ShiftStrikes/>
    </FxVolatility>
  </FxVolatilities>
  <SwaptionVolatilities>
    <SwaptionVolatility ccy="EUR">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftSize key="IR_FD">0.01</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftScheme key="IR_FD">Central</ShiftScheme>
      <ShiftExpiries>1Y,5Y,7Y,10Y</ShiftExpiries>
      <ShiftStrikes/>
      <ShiftTerms>1Y,5Y,10Y</ShiftTerms>
    </SwaptionVolatility>
  </SwaptionVolatilities>
  <CapFloorVolatilities>
    <CapFloorVolatility ccy="EUR">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <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>
      <ShiftScheme>Forward</ShiftScheme>
      <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>
    <CDSVolatility name="CDXIG">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>3M,6M,1Y</ShiftExpiries>
    </CDSVolatility>
  </CDSVolatilities>
  <CreditCurves>
    <CreditCurve name="CPTY_1">
      <Currency>USD</Currency>
      <ShiftType>Absolute</ShiftType>
      <ShiftType key="CR_Semianalytical">Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftSize key="CR_Semianalytical">0.001</ShiftSize>
      <ShiftScheme key="CR_Semianalytical">Central</ShiftScheme>
      <ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</ShiftTenors>
    </CreditCurve>
    <CreditCurve name="CPTY_2">
      <Currency>USD</Currency>
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</ShiftTenors>
    </CreditCurve>
    <CreditCurve name="CPTY_3">
      <Currency>USD</Currency>
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y</ShiftTenors>
    </CreditCurve>
  </CreditCurves>
  <EquitySpots>
    <EquitySpot equity="FTSE">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
    </EquitySpot>
    <EquitySpot equity="SPX">
      <ShiftType>Relative</ShiftType>
      <ShiftSize>0.01</ShiftSize>
    </EquitySpot>
  </EquitySpots>
  <EquityVolatilities>
    <EquityVolatility equity="FTSE">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</ShiftExpiries>
      <ShiftStrikes/>
    </EquityVolatility>
    <EquityVolatility equity="SPX">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftExpiries>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</ShiftExpiries>
      <ShiftStrikes/>
    </EquityVolatility>
  </EquityVolatilities>
  <ZeroInflationIndexCurves>
    <ZeroInflationIndexCurve index="EUHICPXT">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftTenors>6M,1Y,2Y,3Y,5Y,7Y,10Y,15Y,20Y,30Y</ShiftTenors>
    </ZeroInflationIndexCurve>
    <ZeroInflationIndexCurve index="UKRPI">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </ZeroInflationIndexCurve>
  </ZeroInflationIndexCurves>
  <YYInflationIndexCurves>
    <YYInflationIndexCurve index="EUHICPXT">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
      <ShiftTenors>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y</ShiftTenors>
    </YYInflationIndexCurve>
  </YYInflationIndexCurves>
  <DividendYieldCurves>
    <DividendYieldCurve equity="FTSE">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</ShiftTenors>
    </DividendYieldCurve>
    <DividendYieldCurve equity="SPX">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftTenors>2W,1M,3M,6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y</ShiftTenors>
    </DividendYieldCurve>
  </DividendYieldCurves>
  <!--BaseCorrelations>
    <BaseCorrelation indexName="CDXIG">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.01</ShiftSize>
      <ShiftLossLevels>0.03, 0.06, 0.10, 0.20, 1.0</ShiftLossLevels>
      <ShiftTerms>1D</ShiftTerms>
    </BaseCorrelation>
  </BaseCorrelations-->
  <SecuritySpreads>
    <SecuritySpread security="SECURITY_1">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
      <ShiftScheme>Forward</ShiftScheme>
    </SecuritySpread>
    <SecuritySpread security="SECURITY_2">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
    </SecuritySpread>
    <SecuritySpread security="SECURITY_3">
      <ShiftType>Absolute</ShiftType>
      <ShiftSize>0.0001</ShiftSize>
    </SecuritySpread>
  </SecuritySpreads>
  <CrossGammaFilter>
    <Pair>DiscountCurve/EUR,DiscountCurve/EUR</Pair>
    <Pair>IndexCurve/EUR,IndexCurve/EUR</Pair>
    <Pair>DiscountCurve/EUR,IndexCurve/EUR</Pair>
  </CrossGammaFilter>
</SensitivityAnalysis>
