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Exposure section Latest Release

Open rjabrazko opened this issue 6 months ago • 3 comments

Hi All,

in the latest release v1.8.13, I am trying to reproduce first two examples in Exposure section 4.7 (Old example 1 and example 2 in previous versions), but the outputs are quite different compared to the expected results mpl_exposure_swapfltat (Interest Rate Swap Exposure, Flat Market)

Image

mpl_exposure_swap (Interest Rate Swap Exposure, Realistic Market)

Image

Is it something related to parametrization only: ore.xml, portfolio.xml or simulation.xml?

Thanks

Reda

rjabrazko avatar Jun 05 '25 08:06 rjabrazko

Hi Reda, ouch, this is a glitch in the plot routine (in ore_example_helpers.py, it is missing the first Swaption value and offsets the entire series). We will fix this with a few other issues and push to GitHub in the next days. Best wishes, Roland

rolandlichters avatar Jun 11 '25 15:06 rolandlichters

Thank you very much Roland, please let us know when the new push will be available Best Regards Reda

rjabrazko avatar Jun 13 '25 09:06 rjabrazko

will be fixed in the upcoming 1.8.13.1 release

pcaspers avatar Jun 19 '25 08:06 pcaspers