<?xml version="1.0"?>
<Simulation>
  <Parameters>
    <Grid>528,2W</Grid>
    <Calendar>EUR,USD,GBP,CHF</Calendar>
    <Sequence>MersenneTwister</Sequence>
    <Scenario>Simple</Scenario>
    <Seed>42</Seed>
    <Samples>8192</Samples>
    <DayCounter>A365F</DayCounter>
  </Parameters>
  <CrossAssetModel>
    <Discretization>Euler</Discretization>
    <DomesticCcy>EUR</DomesticCcy>
    <Currencies>
      <Currency>EUR</Currency>
    </Currencies>
    <BootstrapTolerance>0.0001</BootstrapTolerance>
    <InterestRateModels>
      <LGM ccy="default">
        <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>0.0</InitialValue>
        </Reversion>
        <CalibrationSwaptions>
          <Expiries> 1Y,  2Y,  3Y, 4Y,  5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 11Y, 12Y, 13Y, 14Y, 15Y, 16Y, 17Y, 18Y, 19Y</Expiries>
          <Terms>   19Y, 18Y, 17Y, 16Y, 15Y, 14Y, 13Y, 12Y, 11y, 10Y, 9Y, 8Y, 7Y, 6Y, 5Y, 4Y, 3Y, 2Y, 1Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
        <ParameterTransformation>
          <ShiftHorizon>20.0</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/>
        </CalibrationOptions>
      </CrossCcyLGM>
    </ForeignExchangeModels>
    <InstantaneousCorrelations/>
  </CrossAssetModel>
  <Market>
    <BaseCurrency>EUR</BaseCurrency>
    <Currencies>
      <Currency>EUR</Currency>
    </Currencies>
    <YieldCurves>
      <Configuration>
        <Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <Extrapolation>Y</Extrapolation>
      </Configuration>
    </YieldCurves>
    <DefaultCurves>
      <Names>
        <Name>BANK</Name>
      </Names>
      <Tenors>2W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 15Y, 20Y, 30Y</Tenors>
      <SimulateSurvivalProbabilities>true</SimulateSurvivalProbabilities>
    </DefaultCurves>
    <Indices>
      <Index>EUR-EURIBOR-6M</Index>
      <Index>EUR-EURIBOR-3M</Index>
      <Index>EUR-EONIA</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>
    <SwaptionVolatilities>
      <Simulate>true</Simulate>
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <Currencies>
        <Currency>EUR</Currency>
      </Currencies>
      <Expiries>1Y,  2Y,  3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y</Expiries>
      <Terms>1Y,  2Y,  3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y</Terms>
      <SimulateATMOnly>true</SimulateATMOnly>
      <SmileDynamics key="">StickyStrike</SmileDynamics>
    </SwaptionVolatilities>
    <AggregationScenarioDataCurrencies>
      <Currency>EUR</Currency>
    </AggregationScenarioDataCurrencies>
    <AggregationScenarioDataIndices>
      <Index>EUR-EURIBOR-3M</Index>
      <Index>EUR-EONIA</Index>
    </AggregationScenarioDataIndices>
  </Market>
</Simulation>
