<?xml version="1.0"?>
<Simulation>
  <!--
      This section determines the scenario generation
      given the model defined below.
  -->
  <Parameters>
    <Discretization>Exact</Discretization>
    <Grid>88,3M</Grid>
    <Calendar>EUR,USD</Calendar>
    <Sequence>SobolBrownianBridge</Sequence>
    <Scenario>Simple</Scenario>
    <Seed>42</Seed>
    <Samples>100</Samples>
    <CloseOutLag>2W</CloseOutLag>
    <MporMode>StickyDate</MporMode>
    <DayCounter>A365F</DayCounter>
  </Parameters>
  <!--
      This section determines the simulation model composition
      and the calibration of all components.
  -->
  <CrossAssetModel>
    <DomesticCcy>EUR</DomesticCcy>
    <Currencies>
      <Currency>EUR</Currency>
      <Currency>USD</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,  4Y,  6Y,  8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
          <Terms>   19Y, 18Y, 16Y, 14Y, 12Y, 10Y,  8Y,  6Y,  4Y,  2Y,  1Y</Terms>
          <Strikes/>
        </CalibrationSwaptions>
        <ParameterTransformation>
          <ShiftHorizon>20.0</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,  4Y,  6Y,  8Y, 10Y, 12Y, 14Y, 16Y, 18Y, 19Y</Expiries>
          <Terms>   19Y, 18Y, 16Y, 14Y, 12Y, 10Y,  8Y,  6Y,  4Y,  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/>
          <!-- 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>1Y, 2Y, 3Y, 4Y, 5Y, 10Y</Expiries>
          <Strikes/>
          <!-- ATMF, +25D, -25D, 1.2345 -->
        </CalibrationOptions>
      </CrossCcyLGM>
    </ForeignExchangeModels>
    <InstantaneousCorrelations>
      <Correlation factor1="IR:EUR" factor2="IR:USD">0</Correlation>
      <Correlation factor1="IR:EUR" factor2="FX:USDEUR">0</Correlation>
      <Correlation factor1="IR:USD" factor2="FX:USDEUR">0</Correlation>
      <!-- ... -->
    </InstantaneousCorrelations>
  </CrossAssetModel>
  <!--
	This setion 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>
    </Currencies>
    <YieldCurves>
      <Configuration>
        <Tenors>1W, 1M, 2M, 3M, 4M, 5M, 6M, 7M, 8M, 10M, 1Y, 15M, 18M, 21M, 2Y, 3Y,4Y,5Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,30Y</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-FedFunds</Index>
      <Index>USD-LIBOR-3M</Index>
      <Index>USD-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>
      <SwapIndex>
        <Name>USD-CMS-1Y</Name>
        <DiscountingIndex>USD-FedFunds</DiscountingIndex>
      </SwapIndex>
      <SwapIndex>
        <Name>USD-CMS-30Y</Name>
        <DiscountingIndex>USD-FedFunds</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>
      <!-- Alternative: ConstantVariance -->
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <Currencies>
        <Currency>EUR</Currency>
        <Currency>USD</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>
      <Simulate>false</Simulate>
      <!-- Alternative: ConstantVariance -->
      <ReactionToTimeDecay>ForwardVariance</ReactionToTimeDecay>
      <CurrencyPairs>
        <CurrencyPair>USDEUR</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>
