<?xml version="1.0"?>
<Simulation>
  <Parameters>
    <Discretization>Exact</Discretization>
    <Grid>42,3M</Grid>
    <Calendar>EUR,USD,GBP,CHF</Calendar>
    <Sequence>SobolBrownianBridge</Sequence>
    <Scenario>Simple</Scenario>
    <Seed>42</Seed>
    <Samples>1000</Samples>
  </Parameters>
  <CrossAssetModel>
    <DomesticCcy>EUR</DomesticCcy>
    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
      <Currency>GBP</Currency>
      <Currency>CHF</Currency>
      <Currency>JPY</Currency>
    </Currencies>
    <BootstrapTolerance>0.0001</BootstrapTolerance>
    <InterestRateModels>
      <LGM ccy="default">
        <CalibrationType>Bootstrap</CalibrationType>
        <!-- Bootstrap, BestFit -->
        <Volatility>
          <Calibrate>Y</Calibrate>
          <VolatilityType>Hagan</VolatilityType>
          <!-- Hagan, HullWhite -->
          <ParamType>Piecewise</ParamType>
          <!-- Constant, Piecewise -->
          <TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <!-- <TimeGrid/> -->
          <InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
          <!-- <InitialValue>0.01</InitialValue>-->
        </Volatility>
        <Reversion>
          <Calibrate>N</Calibrate>
          <ReversionType>HullWhite</ReversionType>
          <!-- Hagan, HullWhite -->
          <ParamType>Constant</ParamType>
          <!-- Constant, Piecewise -->
          <TimeGrid/>
          <InitialValue>0.03</InitialValue>
        </Reversion>
        <CalibrationSwaptions>
          <Expiries>1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,14Y,16Y,18Y,19Y</Expiries>
          <Terms>19Y,18Y,17Y,16Y,15Y,14Y,13Y,12Y,11Y,10Y,8Y,6Y,4Y,2Y,1Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
        <ParameterTransformation>
          <ShiftHorizon>0.0</ShiftHorizon>
          <Scaling>1.0</Scaling>
        </ParameterTransformation>
      </LGM>
      <LGM ccy="EUR">
        <CalibrationType>Bootstrap</CalibrationType>
        <Volatility>
          <Calibrate>Y</Calibrate>
          <VolatilityType>Hagan</VolatilityType>
          <ParamType>Piecewise</ParamType>
          <TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
        </Volatility>
        <Reversion>
          <Calibrate>N</Calibrate>
          <ReversionType>HullWhite</ReversionType>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>0.03</InitialValue>
        </Reversion>
        <CalibrationSwaptions>
          <Expiries>1Y,2Y,3Y,4Y,5Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y</Expiries>
          <Terms>29Y,28Y,27Y,26Y,25Y,23Y,22Y,21Y,10Y,18Y,15Y,10Y,5Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
        <ParameterTransformation>
          <ShiftHorizon>0.0</ShiftHorizon>
          <Scaling>1.0</Scaling>
        </ParameterTransformation>
      </LGM>
      <LGM ccy="CHF">
        <CalibrationType>Bootstrap</CalibrationType>
        <Volatility>
          <Calibrate>Y</Calibrate>
          <VolatilityType>Hagan</VolatilityType>
          <ParamType>Piecewise</ParamType>
          <TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <InitialValue>0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01</InitialValue>
        </Volatility>
        <Reversion>
          <Calibrate>N</Calibrate>
          <ReversionType>HullWhite</ReversionType>
          <ParamType>Constant</ParamType>
          <TimeGrid/>
          <InitialValue>0.03</InitialValue>
        </Reversion>
        <CalibrationSwaptions>
          <Expiries>5Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 30Y</Expiries>
          <Terms>   5Y, 5Y, 5Y, 5Y,  5Y,  5Y,  5Y,  5Y,  5Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
        <ParameterTransformation>
          <ShiftHorizon>0.0</ShiftHorizon>
          <Scaling>1.0</Scaling>
        </ParameterTransformation>
      </LGM>
    </InterestRateModels>
    <ForeignExchangeModels>
      <CrossCcyLGM foreignCcy="default">
        <DomesticCcy>EUR</DomesticCcy>
        <CalibrationType>Bootstrap</CalibrationType>
        <Sigma>
          <Calibrate>Y</Calibrate>
          <ParamType>Piecewise</ParamType>
          <TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
        </Sigma>
        <CalibrationOptions>
          <Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
          <Strikes/>
          <!-- ATMF, +25D, -25D, 1.2345 -->
        </CalibrationOptions>
      </CrossCcyLGM>
      <CrossCcyLGM foreignCcy="USD">
        <DomesticCcy>EUR</DomesticCcy>
        <CalibrationType>Bootstrap</CalibrationType>
        <Sigma>
          <Calibrate>Y</Calibrate>
          <ParamType>Piecewise</ParamType>
          <TimeGrid>1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1</InitialValue>
        </Sigma>
        <CalibrationOptions>
          <Expiries>1W, 1M, 2M, 3M, 6M, 9M, 1Y, 18M, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y</Expiries>
          <Strikes/>
          <!-- ATMF, +25D, -25D, 1.2345 -->
        </CalibrationOptions>
      </CrossCcyLGM>
      <CrossCcyLGM foreignCcy="GBP">
        <DomesticCcy>EUR</DomesticCcy>
        <CalibrationType>Bootstrap</CalibrationType>
        <Sigma>
          <Calibrate>Y</Calibrate>
          <ParamType>Piecewise</ParamType>
          <TimeGrid>    1.0, 2.0, 3.0, 4.0, 5.0, 7.0, 10.0</TimeGrid>
          <InitialValue>0.1, 0.1, 0.1, 0.1, 0.1, 0.1,  0.1, 0.1</InitialValue>
        </Sigma>
        <CalibrationOptions>
          <Expiries>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
          <Strikes/>
        </CalibrationOptions>
      </CrossCcyLGM>
    </ForeignExchangeModels>
    <InstantaneousCorrelations>
      <Correlation factor1="IR:EUR" factor2="IR:USD">0.3</Correlation>
      <Correlation factor1="IR:EUR" factor2="IR:GBP">0.3</Correlation>
      <Correlation factor1="IR:USD" factor2="IR:GBP">0.3</Correlation>
      <Correlation factor1="IR:EUR" factor2="FX:USDEUR">0</Correlation>
      <Correlation factor1="IR:EUR" factor2="FX:GBPEUR">0</Correlation>
      <Correlation factor1="IR:GBP" factor2="FX:USDEUR">0</Correlation>
      <Correlation factor1="IR:GBP" factor2="FX:GBPEUR">0</Correlation>
      <Correlation factor1="IR:USD" factor2="FX:USDEUR">0</Correlation>
      <Correlation factor1="IR:USD" factor2="FX:GBPEUR">0</Correlation>
      <Correlation factor1="FX:USDEUR" factor2="FX:GBPEUR">0</Correlation>
      <!-- ... -->
    </InstantaneousCorrelations>
  </CrossAssetModel>
  <!--
	This files determines the composition of the market used for
	pricing under future market scenarios,
	1) the structure/composition of the actively simulated market (IR, FX)
	2) the method applied to evolve volatility structures even if not
	simulated (roll or push)
    -->
  <Market>
    <BaseCurrency>EUR</BaseCurrency>
    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</Currency>
      <Currency>GBP</Currency>
      <Currency>CHF</Currency>
      <Currency>JPY</Currency>
    </Currencies>
    <YieldCurves>
      <Configuration>
        <Tenors>3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,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>GBP-LIBOR-6M</Index>
      <Index>GBP-LIBOR-3M</Index>
      <Index>CHF-LIBOR-6M</Index>
      <Index>JPY-LIBOR-6M</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/>
      <Tenors>6M,1Y,2Y</Tenors>
    </DefaultCurves>
    <!-- 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>false</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <!-- Alternative: ConstantVariance -->
      <Currencies>
        <Currency>EUR</Currency>
        <Currency>USD</Currency>
        <Currency>GBP</Currency>
        <Currency>CHF</Currency>
        <Currency>JPY</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>
    </SwaptionVolatilities>
    <FxVolatilities>
      <!--	<ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>-->
      <Simulate>false</Simulate>
      <ReactionToTimeDecay>ConstantVariance</ReactionToTimeDecay>
      <CurrencyPairs>
        <CurrencyPair>EURUSD</CurrencyPair>
        <CurrencyPair>EURGBP</CurrencyPair>
        <CurrencyPair>EURJPY</CurrencyPair>
      </CurrencyPairs>
      <Expiries>6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y</Expiries>
    </FxVolatilities>
    <!-- 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>
