<?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,7Y,10Y,12Y,15Y,20Y</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='EUR'>
        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='EUR-EONIA'>
        <Tenors>3D, 11D, 18D, 25D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 248D, 278D, 308D, 339D, 370D, 459D, 551D, 643D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4022D, 4387D, 5484D, 7311D, 9138D, 10962D</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='EUR-EURIBOR-6M'>
        <Tenors>186D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 3657D, 4387D, 5484D, 7311D, 9138D, 25574D, 18267D</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='EUR-EURIBOR-3M'>
        <Tenors>5D, 33D, 66D, 94D, 125D, 157D, 186D, 217D, 249D, 278D, 370D, 459D, 735D, 1102D, 1466D, 1831D, 2196D, 2561D, 2926D, 3293D, 3657D, 4387D, 5484D, 7311D, 9138D, 14614D, 18267D</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='USD'>
        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</Tenors>
        <Interpolation>LogLinear</Interpolation>
        <!-- Alternative: LinearZero -->
        <Extrapolation>Y</Extrapolation>
      </Configuration>
      <Configuration curve='USD-FedFunds'>
        <Tenors>90D, 182D, 276D, 367D, 735D, 1102D, 1466D, 1831D, 2561D, 3657D, 7311D, 10962D, 14614D, 18267D</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>
    <BenchmarkCurves>
      <BenchmarkCurve>
        <Name>BANK_EUR_LEND</Name>
        <Currency>EUR</Currency>
      </BenchmarkCurve>
      <BenchmarkCurve>
        <Name>BANK_EUR_BORROW</Name>
        <Currency>EUR</Currency>
      </BenchmarkCurve>
    </BenchmarkCurves>
    <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>
        <Name>CPTY_A</Name>
        <Name>BANK</Name>
      </Names>
      <Tenors>1Y, 2Y, 3Y, 5Y, 10Y</Tenors>
      <SimulateSurvivalProbabilities>true</SimulateSurvivalProbabilities>
      <SimulateRecoveryRates>true</SimulateRecoveryRates>
      <Calendars>
        <Calendar name="">TARGET</Calendar>
      </Calendars>
      <Extrapolation>FlatZero</Extrapolation>
    </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>
