CORDA-1346 - split the simm valuation demo to reduce the size of the contract jar - backport (#3099)

* CORDA-1346 split the simm valuation demo to reduce the size of the contract jar (#3078)

* CORDA-1346 fix backport

.idea/compiler.xml

@@ -18,6 +18,9 @@
       <module name="client_test" target="1.8" />
       <module name="confidential-identities_main" target="1.8" />
       <module name="confidential-identities_test" target="1.8" />
+      <module name="contracts-states_integrationTest" target="1.8" />
+      <module name="contracts-states_main" target="1.8" />
+      <module name="contracts-states_test" target="1.8" />
       <module name="corda-core_integrationTest" target="1.8" />
       <module name="corda-core_smokeTest" target="1.8" />
       <module name="corda-finance_integrationTest" target="1.8" />
@@ -59,6 +62,9 @@
       <module name="finance_integrationTest" target="1.8" />
       <module name="finance_main" target="1.8" />
       <module name="finance_test" target="1.8" />
+      <module name="flows_integrationTest" target="1.8" />
+      <module name="flows_main" target="1.8" />
+      <module name="flows_test" target="1.8" />
       <module name="gradle-plugins-cordapp_main" target="1.8" />
       <module name="gradle-plugins-cordapp_test" target="1.8" />
       <module name="graphs_main" target="1.8" />

samples/simm-valuation-demo/build.gradle

@@ -6,10 +6,8 @@ apply plugin: 'java'
 apply plugin: 'kotlin'
 apply plugin: 'idea'
 apply plugin: 'net.corda.plugins.quasar-utils'
-apply plugin: 'net.corda.plugins.publish-utils'
 apply plugin: 'net.corda.plugins.cordapp'
 apply plugin: 'net.corda.plugins.cordformation'
-apply plugin: 'maven-publish'
 
 sourceSets {
     integrationTest {
@@ -31,6 +29,8 @@ dependencies {
 
     // The SIMM demo CorDapp depends upon Cash CorDapp features
     cordapp project(':finance')
+    cordapp project(':samples:simm-valuation-demo:contracts-states')
+    cordapp project(':samples:simm-valuation-demo:flows')
 
     // Corda integration dependencies
     cordaCompile project(path: ":node:capsule", configuration: 'runtimeArtifacts')
@@ -61,16 +61,22 @@ dependencies {
 }
 
 task deployNodes(type: net.corda.plugins.Cordform, dependsOn: ['jar']) {
-    ext.rpcUsers = [['username': "default", 'password': "default", 'permissions': [ 'ALL' ]]]
+    ext.rpcUsers = [['username': "default", 'password': "default", 'permissions': ['ALL']]]
 
     directory "./build/nodes"
     node {
         name "O=Notary Service,L=Zurich,C=CH"
-        notary = [validating : true]
+        notary = [validating: true]
         p2pPort 10002
-        cordapps = ["$project.group:finance:$corda_release_version"]
+        cordapps = [project(':finance'),
+                    project(':samples:simm-valuation-demo:contracts-states'),
+                    project(':samples:simm-valuation-demo:flows')].collect { "${it.group}:${it.name}:${it.version}" }
+        rpcSettings {
+            address "localhost:10014"
+            adminAddress "localhost:10015"
+        }
         extraConfig = [
-            jvmArgs : [ "-Xmx1g"]
+                jvmArgs: ["-Xmx1g"]
         ]
     }
     node {
@@ -81,10 +87,12 @@ task deployNodes(type: net.corda.plugins.Cordform, dependsOn: ['jar']) {
             address("localhost:10016")
             adminAddress("localhost:10017")
         }
-        cordapps = ["$project.group:finance:$corda_release_version"]
+        cordapps = [project(':finance'),
+                    project(':samples:simm-valuation-demo:contracts-states'),
+                    project(':samples:simm-valuation-demo:flows')].collect { "${it.group}:${it.name}:${it.version}" }
         rpcUsers = ext.rpcUsers
         extraConfig = [
-                jvmArgs : [ "-Xmx1g"]
+                jvmArgs: ["-Xmx1g"]
         ]
     }
     node {
@@ -95,10 +103,12 @@ task deployNodes(type: net.corda.plugins.Cordform, dependsOn: ['jar']) {
             address("localhost:10026")
             adminAddress("localhost:10027")
         }
-        cordapps = ["$project.group:finance:$corda_release_version"]
+        cordapps = [project(':finance'),
+                    project(':samples:simm-valuation-demo:contracts-states'),
+                    project(':samples:simm-valuation-demo:flows')].collect { "${it.group}:${it.name}:${it.version}" }
         rpcUsers = ext.rpcUsers
         extraConfig = [
-                jvmArgs : [ "-Xmx1g"]
+                jvmArgs: ["-Xmx1g"]
         ]
     }
     node {
@@ -109,10 +119,12 @@ task deployNodes(type: net.corda.plugins.Cordform, dependsOn: ['jar']) {
             address("localhost:10036")
             adminAddress("localhost:10037")
         }
-        cordapps = ["$project.group:finance:$corda_release_version"]
+        cordapps = [project(':finance'),
+                    project(':samples:simm-valuation-demo:contracts-states'),
+                    project(':samples:simm-valuation-demo:flows')].collect { "${it.group}:${it.name}:${it.version}" }
         rpcUsers = ext.rpcUsers
         extraConfig = [
-                jvmArgs : [ "-Xmx1g"]
+                jvmArgs: ["-Xmx1g"]
         ]
     }
 }
@@ -121,23 +133,3 @@ task integrationTest(type: Test, dependsOn: []) {
     testClassesDirs = sourceSets.integrationTest.output.classesDirs
     classpath = sourceSets.integrationTest.runtimeClasspath
 }
-
-publishing {
-    publications {
-        simmvaluationdemo(MavenPublication) {
-            from components.java
-            artifactId 'simmvaluationdemo'
-
-            artifact sourceJar
-            artifact javadocJar
-        }
-    }
-}
-
-jar {
-    manifest {
-        attributes(
-                'Automatic-Module-Name': 'net.corda.samples.demos.simmvaluation'
-        )
-    }
-}

samples/simm-valuation-demo/contracts-states/build.gradle

@@ -0,0 +1,23 @@
+buildscript {
+    ext.strata_version = '1.1.2'
+}
+
+apply plugin: 'net.corda.plugins.cordapp'
+apply plugin: 'net.corda.plugins.cordformation'
+
+dependencies {
+
+    // The SIMM demo CorDapp depends upon Cash CorDapp features
+    cordapp project(':finance')
+
+    // Corda integration dependencies
+    cordaCompile project(path: ":node:capsule", configuration: 'runtimeArtifacts')
+    cordaCompile project(':core')
+
+
+    // Cordapp dependencies
+    // Specify your cordapp's dependencies below, including dependent cordapps
+    compile "com.opengamma.strata:strata-product:${strata_version}"
+    compile "com.opengamma.strata:strata-market:${strata_version}"
+
+}

samples/simm-valuation-demo/contracts-states/src/main/kotlin/net/corda/vega/analytics/InitialMarginTriple.kt

@@ -0,0 +1,10 @@
+package net.corda.vega.analytics
+
+/**
+ *
+ */
+data class InitialMarginTriple(val first: Double, val second: Double, val third: Double) {
+    companion object {
+        fun zero() = InitialMarginTriple(0.0, 0.0, 0.0)
+    }
+}

samples/simm-valuation-demo/flows/build.gradle

@@ -0,0 +1,32 @@
+buildscript {
+    ext.strata_version = '1.1.2'
+}
+
+apply plugin: 'net.corda.plugins.quasar-utils'
+apply plugin: 'net.corda.plugins.cordapp'
+apply plugin: 'net.corda.plugins.cordformation'
+
+dependencies {
+
+    // The SIMM demo CorDapp depends upon Cash CorDapp features
+    cordapp project(':finance')
+    cordapp project(':samples:simm-valuation-demo:contracts-states')
+
+    // Corda integration dependencies
+    cordaCompile project(path: ":node:capsule", configuration: 'runtimeArtifacts')
+    cordaCompile project(':core')
+
+    // Cordapp dependencies
+    // Specify your cordapp's dependencies below, including dependent cordapps
+    compile "com.opengamma.strata:strata-basics:${strata_version}"
+    compile "com.opengamma.strata:strata-product:${strata_version}"
+    compile "com.opengamma.strata:strata-data:${strata_version}"
+    compile "com.opengamma.strata:strata-calc:${strata_version}"
+    compile "com.opengamma.strata:strata-pricer:${strata_version}"
+    compile "com.opengamma.strata:strata-report:${strata_version}"
+    compile "com.opengamma.strata:strata-market:${strata_version}"
+    compile "com.opengamma.strata:strata-collect:${strata_version}"
+    compile "com.opengamma.strata:strata-loader:${strata_version}"
+    compile "com.opengamma.strata:strata-math:${strata_version}"
+
+}

samples/simm-valuation-demo/flows/src/main/kotlin/net/corda/vega/analytics/AnalyticsEngine.kt

@@ -20,14 +20,6 @@ import net.corda.core.utilities.contextLogger
 import net.corda.vega.flows.toCordaCompatible
 import java.time.LocalDate
 
-/**
- *
- */
-data class InitialMarginTriple(val first: Double, val second: Double, val third: Double) {
-    companion object {
-        fun zero() = InitialMarginTriple(0.0, 0.0, 0.0)
-    }
-}
 
 /**
  * Base class of analytics engine for running analytics on a portfolio.

samples/simm-valuation-demo/flows/src/main/resources/data/BIMM-FX-RATES-20160606.csv

@@ -0,0 +1,8 @@
+Valuation Date,Currency Pair,Value
+,,
+2016-06-06,EUR/USD,1.1355
+2016-06-06,GBP/USD,1.4442
+2016-06-06,USD/JPY,107.56
+2016-06-06,USD/CHF,0.9826
+2016-06-06,USD/CAD,1.3756
+2016-06-06,AUD/USD,0.7189

samples/simm-valuation-demo/flows/src/main/resources/data/BIMM-MARKET-QUOTES-20160606.csv

@@ -0,0 +1,151 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2016-06-06,OG-Ticker,USD-OIS-3M,MarketValue,0.0039
+2016-06-06,OG-Ticker,USD-OIS-6M,MarketValue,0.0042
+2016-06-06,OG-Ticker,USD-OIS-1Y,MarketValue,0.0053
+2016-06-06,OG-Ticker,USD-OIS-2Y,MarketValue,0.0065
+2016-06-06,OG-Ticker,USD-OIS-3Y,MarketValue,0.0074
+2016-06-06,OG-Ticker,USD-OIS-5Y,MarketValue,0.0091
+2016-06-06,OG-Ticker,USD-OIS-10Y,MarketValue,0.0128
+2016-06-06,OG-Ticker,USD-OIS-15Y,MarketValue,0.0206
+2016-06-06,OG-Ticker,USD-OIS-20Y,MarketValue,0.0218
+2016-06-06,OG-Ticker,USD-OIS-30Y,MarketValue,0.0226
+2016-06-06,OG-Ticker,USD-Fixing-3M,MarketValue,0.006172
+2016-06-06,OG-Ticker,USD-IRS3M-6M,MarketValue,0.0059
+2016-06-06,OG-Ticker,USD-IRS3M-1Y,MarketValue,0.0072
+2016-06-06,OG-Ticker,USD-IRS3M-2Y,MarketValue,0.0099
+2016-06-06,OG-Ticker,USD-IRS3M-3Y,MarketValue,0.0122
+2016-06-06,OG-Ticker,USD-IRS3M-5Y,MarketValue,0.0155
+2016-06-06,OG-Ticker,USD-IRS3M-10Y,MarketValue,0.0208
+2016-06-06,OG-Ticker,USD-IRS3M-15Y,MarketValue,0.0233
+2016-06-06,OG-Ticker,USD-IRS3M-20Y,MarketValue,0.0245
+2016-06-06,OG-Ticker,USD-IRS3M-30Y,MarketValue,0.026
+2016-06-06,OG-Ticker,USD-Fixing-6M,MarketValue,0.007465
+2016-06-06,OG-Ticker,USD-IRS6M-1Y,MarketValue,0.0088
+2016-06-06,OG-Ticker,USD-IRS6M-2Y,MarketValue,0.0113
+2016-06-06,OG-Ticker,USD-IRS6M-3Y,MarketValue,0.0135
+2016-06-06,OG-Ticker,USD-IRS6M-5Y,MarketValue,0.0167
+2016-06-06,OG-Ticker,USD-IRS6M-10Y,MarketValue,0.022
+2016-06-06,OG-Ticker,USD-IRS6M-15Y,MarketValue,0.0245
+2016-06-06,OG-Ticker,USD-IRS6M-20Y,MarketValue,0.0257
+2016-06-06,OG-Ticker,USD-IRS6M-30Y,MarketValue,0.0272
+,,,,
+2016-06-06,OG-Ticker,EUR-OIS-3M,MarketValue,-0.0023
+2016-06-06,OG-Ticker,EUR-OIS-6M,MarketValue,-0.0025
+2016-06-06,OG-Ticker,EUR-OIS-1Y,MarketValue,-0.0027
+2016-06-06,OG-Ticker,EUR-OIS-2Y,MarketValue,-0.0028
+2016-06-06,OG-Ticker,EUR-OIS-3Y,MarketValue,-0.0024
+2016-06-06,OG-Ticker,EUR-OIS-5Y,MarketValue,-0.0001
+2016-06-06,OG-Ticker,EUR-OIS-10Y,MarketValue,0.0064
+2016-06-06,OG-Ticker,EUR-OIS-15Y,MarketValue,0.0106
+2016-06-06,OG-Ticker,EUR-OIS-20Y,MarketValue,0.0126
+2016-06-06,OG-Ticker,EUR-OIS-30Y,MarketValue,0.0133
+2016-06-06,OG-Ticker,EUR-Fixing-3M,MarketValue,-0.00128
+2016-06-06,OG-Ticker,EUR-IRS3M-6M,MarketValue,-0.0015
+2016-06-06,OG-Ticker,EUR-IRS3M-1Y,MarketValue,-0.0017
+2016-06-06,OG-Ticker,EUR-IRS3M-2Y,MarketValue,-0.0018
+2016-06-06,OG-Ticker,EUR-IRS3M-3Y,MarketValue,-0.0012
+2016-06-06,OG-Ticker,EUR-IRS3M-5Y,MarketValue,0.0011
+2016-06-06,OG-Ticker,EUR-IRS3M-10Y,MarketValue,0.0077
+2016-06-06,OG-Ticker,EUR-IRS3M-15Y,MarketValue,0.0119
+2016-06-06,OG-Ticker,EUR-IRS3M-20Y,MarketValue,0.0138
+2016-06-06,OG-Ticker,EUR-IRS3M-30Y,MarketValue,0.0144
+2016-06-06,OG-Ticker,EUR-Fixing-6M,MarketValue,-0.00038
+2016-06-06,OG-Ticker,EUR-IRS6M-1Y,MarketValue,-0.0007
+2016-06-06,OG-Ticker,EUR-IRS6M-2Y,MarketValue,-0.0007
+2016-06-06,OG-Ticker,EUR-IRS6M-3Y,MarketValue,0
+2016-06-06,OG-Ticker,EUR-IRS6M-5Y,MarketValue,0.0023
+2016-06-06,OG-Ticker,EUR-IRS6M-10Y,MarketValue,0.0087
+2016-06-06,OG-Ticker,EUR-IRS6M-15Y,MarketValue,0.0127
+2016-06-06,OG-Ticker,EUR-IRS6M-20Y,MarketValue,0.0144
+2016-06-06,OG-Ticker,EUR-IRS6M-30Y,MarketValue,0.0148
+,,,,
+2016-06-06,OG-Ticker,GBP-OIS-3M,MarketValue,0.0047
+2016-06-06,OG-Ticker,GBP-OIS-6M,MarketValue,0.0049
+2016-06-06,OG-Ticker,GBP-OIS-1Y,MarketValue,0.0054
+2016-06-06,OG-Ticker,GBP-OIS-2Y,MarketValue,0.0071
+2016-06-06,OG-Ticker,GBP-OIS-3Y,MarketValue,0.0085
+2016-06-06,OG-Ticker,GBP-OIS-5Y,MarketValue,0.011
+2016-06-06,OG-Ticker,GBP-OIS-10Y,MarketValue,0.0155
+2016-06-06,OG-Ticker,GBP-OIS-15Y,MarketValue,0.0178
+2016-06-06,OG-Ticker,GBP-OIS-20Y,MarketValue,0.0186
+2016-06-06,OG-Ticker,GBP-OIS-30Y,MarketValue,0.0186
+2016-06-06,OG-Ticker,GBP-Fixing-3M,MarketValue,0.0058575
+2016-06-06,OG-Ticker,GBP-IRS3M-6M,MarketValue,0.0061
+2016-06-06,OG-Ticker,GBP-IRS3M-1Y,MarketValue,0.0068
+2016-06-06,OG-Ticker,GBP-IRS3M-2Y,MarketValue,0.0086
+2016-06-06,OG-Ticker,GBP-IRS3M-3Y,MarketValue,0.0103
+2016-06-06,OG-Ticker,GBP-IRS3M-5Y,MarketValue,0.0129
+2016-06-06,OG-Ticker,GBP-IRS3M-10Y,MarketValue,0.0173
+2016-06-06,OG-Ticker,GBP-IRS3M-15Y,MarketValue,0.0194
+2016-06-06,OG-Ticker,GBP-IRS3M-20Y,MarketValue,0.0002
+2016-06-06,OG-Ticker,GBP-IRS3M-30Y,MarketValue,0.0198
+2016-06-06,OG-Ticker,GBP-Fixing-6M,MarketValue,0.0074438
+2016-06-06,OG-Ticker,GBP-IRS6M-1Y,MarketValue,0.0081
+2016-06-06,OG-Ticker,GBP-IRS6M-2Y,MarketValue,0.0098
+2016-06-06,OG-Ticker,GBP-IRS6M-3Y,MarketValue,0.0115
+2016-06-06,OG-Ticker,GBP-IRS6M-5Y,MarketValue,0.0142
+2016-06-06,OG-Ticker,GBP-IRS6M-10Y,MarketValue,0.0186
+2016-06-06,OG-Ticker,GBP-IRS6M-15Y,MarketValue,0.0204
+2016-06-06,OG-Ticker,GBP-IRS6M-20Y,MarketValue,0.0208
+2016-06-06,OG-Ticker,GBP-IRS6M-30Y,MarketValue,0.0204
+,,,,
+2016-06-06,OG-Ticker,JPY-OIS-3M,MarketValue,0.0007
+2016-06-06,OG-Ticker,JPY-OIS-6M,MarketValue,0.0006
+2016-06-06,OG-Ticker,JPY-OIS-1Y,MarketValue,0.0005
+2016-06-06,OG-Ticker,JPY-OIS-2Y,MarketValue,0.0004
+2016-06-06,OG-Ticker,JPY-OIS-3Y,MarketValue,0.0003
+2016-06-06,OG-Ticker,JPY-OIS-5Y,MarketValue,0.0008
+2016-06-06,OG-Ticker,JPY-OIS-10Y,MarketValue,0.0033
+2016-06-06,OG-Ticker,JPY-OIS-15Y,MarketValue,0.0066
+2016-06-06,OG-Ticker,JPY-OIS-20Y,MarketValue,0.0093
+2016-06-06,OG-Ticker,JPY-OIS-30Y,MarketValue,0.0115
+2016-06-06,OG-Ticker,JPY-Fixing-3M,MarketValue,0.0007643
+2016-06-06,OG-Ticker,JPY-IRS3M-6M,MarketValue,0.0008
+2016-06-06,OG-Ticker,JPY-IRS3M-1Y,MarketValue,0.0007
+2016-06-06,OG-Ticker,JPY-IRS3M-2Y,MarketValue,0.0006
+2016-06-06,OG-Ticker,JPY-IRS3M-3Y,MarketValue,0.0006
+2016-06-06,OG-Ticker,JPY-IRS3M-5Y,MarketValue,0.0013
+2016-06-06,OG-Ticker,JPY-IRS3M-10Y,MarketValue,0.004
+2016-06-06,OG-Ticker,JPY-IRS3M-15Y,MarketValue,0.0075
+2016-06-06,OG-Ticker,JPY-IRS3M-20Y,MarketValue,0.0101
+2016-06-06,OG-Ticker,JPY-IRS3M-30Y,MarketValue,0.0125
+2016-06-06,OG-Ticker,JPY-Fixing-6M,MarketValue,0.0011714
+2016-06-06,OG-Ticker,JPY-IRS6M-1Y,MarketValue,0.0011
+2016-06-06,OG-Ticker,JPY-IRS6M-2Y,MarketValue,0.001
+2016-06-06,OG-Ticker,JPY-IRS6M-3Y,MarketValue,0.001
+2016-06-06,OG-Ticker,JPY-IRS6M-5Y,MarketValue,0.0017
+2016-06-06,OG-Ticker,JPY-IRS6M-10Y,MarketValue,0.0045
+2016-06-06,OG-Ticker,JPY-IRS6M-15Y,MarketValue,0.0079
+2016-06-06,OG-Ticker,JPY-IRS6M-20Y,MarketValue,0.0105
+2016-06-06,OG-Ticker,JPY-IRS6M-30Y,MarketValue,0.0128
+,,,,
+2016-06-06,OG-Ticker,CHF-OIS-3M,MarketValue,-0.0062
+2016-06-06,OG-Ticker,CHF-OIS-6M,MarketValue,-0.0063
+2016-06-06,OG-Ticker,CHF-OIS-1Y,MarketValue,-0.0068
+2016-06-06,OG-Ticker,CHF-OIS-2Y,MarketValue,-0.0072
+2016-06-06,OG-Ticker,CHF-OIS-3Y,MarketValue,-0.0068
+2016-06-06,OG-Ticker,CHF-OIS-5Y,MarketValue,-0.0049
+2016-06-06,OG-Ticker,CHF-OIS-10Y,MarketValue,0.001
+2016-06-06,OG-Ticker,CHF-OIS-15Y,MarketValue,0.0045
+2016-06-06,OG-Ticker,CHF-OIS-20Y,MarketValue,0.0075
+2016-06-06,OG-Ticker,CHF-OIS-30Y,MarketValue,0.0082
+2016-06-06,OG-Ticker,CHF-Fixing-3M,MarketValue,-0.00767
+2016-06-06,OG-Ticker,CHF-IRS3M-6M,MarketValue,-0.00805
+2016-06-06,OG-Ticker,CHF-IRS3M-1Y,MarketValue,-0.0085
+2016-06-06,OG-Ticker,CHF-IRS3M-2Y,MarketValue,-0.0087
+2016-06-06,OG-Ticker,CHF-IRS3M-3Y,MarketValue,-0.0083
+2016-06-06,OG-Ticker,CHF-IRS3M-5Y,MarketValue,-0.0064
+2016-06-06,OG-Ticker,CHF-IRS3M-10Y,MarketValue,-0.0005
+2016-06-06,OG-Ticker,CHF-IRS3M-15Y,MarketValue,0.003
+2016-06-06,OG-Ticker,CHF-IRS3M-20Y,MarketValue,0.006
+2016-06-06,OG-Ticker,CHF-IRS3M-30Y,MarketValue,0.0067
+2016-06-06,OG-Ticker,CHF-Fixing-6M,MarketValue,-0.00715
+2016-06-06,OG-Ticker,CHF-IRS6M-1Y,MarketValue,-0.0076
+2016-06-06,OG-Ticker,CHF-IRS6M-2Y,MarketValue,-0.0076
+2016-06-06,OG-Ticker,CHF-IRS6M-3Y,MarketValue,-0.007
+2016-06-06,OG-Ticker,CHF-IRS6M-5Y,MarketValue,-0.0048
+2016-06-06,OG-Ticker,CHF-IRS6M-10Y,MarketValue,0.001
+2016-06-06,OG-Ticker,CHF-IRS6M-15Y,MarketValue,0.0042
+2016-06-06,OG-Ticker,CHF-IRS6M-20Y,MarketValue,0.006
+2016-06-06,OG-Ticker,CHF-IRS6M-30Y,MarketValue,0.0075

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-group.csv

@@ -0,0 +1,5 @@
+Group Name,Curve Type,Reference,Curve Name
+EUR-DSCONOIS-E3BS-E6IRS,Discount,EUR,EUR-DSCON-OIS
+EUR-DSCONOIS-E3BS-E6IRS,Forward,EUR-EONIA,EUR-DSCON-OIS
+EUR-DSCONOIS-E3BS-E6IRS,Forward,EUR-EURIBOR-3M,EUR-EURIBOR3M-BS
+EUR-DSCONOIS-E3BS-E6IRS,Forward,EUR-EURIBOR-6M,EUR-EURIBOR6M-IRS

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-nodes.csv

@@ -0,0 +1,41 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,
+EUR-DSCON-OIS,OIS-1M,OG-Ticker,EUR-OIS-1M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,1M,,,,
+EUR-DSCON-OIS,OIS-2M,OG-Ticker,EUR-OIS-2M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,2M,,,,
+EUR-DSCON-OIS,OIS-3M,OG-Ticker,EUR-OIS-3M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3M,,,,
+EUR-DSCON-OIS,OIS-6M,OG-Ticker,EUR-OIS-6M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,6M,,,,
+EUR-DSCON-OIS,OIS-1Y,OG-Ticker,EUR-OIS-1Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,1Y,,,,
+EUR-DSCON-OIS,OIS-2Y,OG-Ticker,EUR-OIS-2Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,2Y,,,,
+EUR-DSCON-OIS,OIS-3Y,OG-Ticker,EUR-OIS-3Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3Y,,,,
+EUR-DSCON-OIS,OIS-4Y,OG-Ticker,EUR-OIS-4Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,4Y,,,,
+EUR-DSCON-OIS,OIS-5Y,OG-Ticker,EUR-OIS-5Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,5Y,,,,
+EUR-DSCON-OIS,OIS-7Y,OG-Ticker,EUR-OIS-7Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,7Y,,,,
+EUR-DSCON-OIS,OIS-10Y,OG-Ticker,EUR-OIS-10Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,10Y,,,,
+EUR-DSCON-OIS,OIS-15Y,OG-Ticker,EUR-OIS-15Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,15Y,,,,
+EUR-DSCON-OIS,OIS-20Y,OG-Ticker,EUR-OIS-20Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,20Y,,,,
+EUR-DSCON-OIS,OIS-30Y,OG-Ticker,EUR-OIS-30Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,30Y,,,,
+,,,,,,,,,,,
+EUR-EURIBOR3M-BS,FIX-3M,OG-Ticker,EUR-FIX-EURIBOR3M,MarketValue,FIX,EUR-EURIBOR-3M,,,,,
+EUR-EURIBOR3M-BS,FRA-3Mx6M,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,FRA,EUR-EURIBOR-3M,3Mx6M,,,,
+EUR-EURIBOR3M-BS,BS-1Y,OG-Ticker,EUR-BS3M6M-1Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,1Y,,,,
+EUR-EURIBOR3M-BS,BS-2Y,OG-Ticker,EUR-BS3M6M-2Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,2Y,,,,
+EUR-EURIBOR3M-BS,BS-3Y,OG-Ticker,EUR-BS3M6M-3Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,3Y,,,,
+EUR-EURIBOR3M-BS,BS-4Y,OG-Ticker,EUR-BS3M6M-4Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,4Y,,,,
+EUR-EURIBOR3M-BS,BS-5Y,OG-Ticker,EUR-BS3M6M-5Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,5Y,,,,
+EUR-EURIBOR3M-BS,BS-7Y,OG-Ticker,EUR-BS3M6M-7Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,7Y,,,,
+EUR-EURIBOR3M-BS,BS-10Y,OG-Ticker,EUR-BS3M6M-10Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,10Y,,,,
+EUR-EURIBOR3M-BS,BS-15Y,OG-Ticker,EUR-BS3M6M-15Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,15Y,,,,
+EUR-EURIBOR3M-BS,BS-20Y,OG-Ticker,EUR-BS3M6M-20Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,20Y,,,,
+EUR-EURIBOR3M-BS,BS-30Y,OG-Ticker,EUR-BS3M6M-30Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,30Y,,,,
+,,,,,,,,,,,
+EUR-EURIBOR6M-IRS,FIX-6M,OG-Ticker,EUR-FIX-EURIBOR6M,MarketValue,FIX,EUR-EURIBOR-6M,,,,,
+EUR-EURIBOR6M-IRS,FRA-6Mx12M,OG-Ticker,EUR-FRA-6Mx12M,MarketValue,FRA,EUR-EURIBOR-6M,6Mx12M,,,,
+EUR-EURIBOR6M-IRS,IRS-2Y,OG-Ticker,EUR-IRS6M-2Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,2Y,,,,
+EUR-EURIBOR6M-IRS,IRS-3Y,OG-Ticker,EUR-IRS6M-3Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,3Y,,,,
+EUR-EURIBOR6M-IRS,IRS-4Y,OG-Ticker,EUR-IRS6M-4Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,4Y,,,,
+EUR-EURIBOR6M-IRS,IRS-5Y,OG-Ticker,EUR-IRS6M-5Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,5Y,,,,
+EUR-EURIBOR6M-IRS,IRS-7Y,OG-Ticker,EUR-IRS6M-7Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,7Y,,,,
+EUR-EURIBOR6M-IRS,IRS-10Y,OG-Ticker,EUR-IRS6M-10Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,10Y,,,,
+EUR-EURIBOR6M-IRS,IRS-15Y,OG-Ticker,EUR-IRS6M-15Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,15Y,,,,
+EUR-EURIBOR6M-IRS,IRS-20Y,OG-Ticker,EUR-IRS6M-20Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,20Y,,,,
+EUR-EURIBOR6M-IRS,IRS-30Y,OG-Ticker,EUR-IRS6M-30Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,30Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-settings.csv

@@ -0,0 +1,4 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+EUR-DSCON-OIS,Zero,Act/365F,Linear,Flat,Flat
+EUR-EURIBOR3M-BS,Zero,Act/365F,Linear,Flat,Flat
+EUR-EURIBOR6M-IRS,Zero,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/calibrations-ccp2.csv

@@ -0,0 +1,33 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,
+USD-Disc-CCP2,1M,OG-Ticker,USD-OIS-1M-CCP2,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,1M,,,,
+USD-Disc-CCP2,2M,OG-Ticker,USD-OIS-2M-CCP2,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,2M,,,,
+USD-Disc-CCP2,3M,OG-Ticker,USD-OIS-3M-CCP2,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,3M,,,,
+USD-Disc-CCP2,6M,OG-Ticker,USD-OIS-6M-CCP2,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,6M,,,,
+USD-Disc-CCP2,9M,OG-Ticker,USD-OIS-9M-CCP2,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,9M,,,,
+USD-Disc-CCP2,1Y,OG-Ticker,USD-OIS-1Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,1Y,,,,
+USD-Disc-CCP2,2Y,OG-Ticker,USD-OIS-2Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,2Y,,,,
+USD-Disc-CCP2,3Y,OG-Ticker,USD-OIS-3Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,3Y,,,,
+USD-Disc-CCP2,4Y,OG-Ticker,USD-OIS-4Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,4Y,,,,
+USD-Disc-CCP2,5Y,OG-Ticker,USD-OIS-5Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,5Y,,,,
+USD-Disc-CCP2,6Y,OG-Ticker,USD-OIS-6Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,6Y,,,,
+USD-Disc-CCP2,7Y,OG-Ticker,USD-OIS-7Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,7Y,,,,
+USD-Disc-CCP2,8Y,OG-Ticker,USD-OIS-8Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,8Y,,,,
+USD-Disc-CCP2,9Y,OG-Ticker,USD-OIS-9Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,9Y,,,,
+USD-Disc-CCP2,10Y,OG-Ticker,USD-OIS-10Y-CCP2,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,10Y,,,,
+,,,,,,,,,,,
+USD-3ML-CCP2,3M,OG-Ticker,USD-Fixing-3M-CCP2,MarketValue,FIX,USD-LIBOR-3M,,,,,
+USD-3ML-CCP2,6M,OG-Ticker,USD-FRA-3Mx6M-CCP2,MarketValue,FRA,USD-LIBOR-3M,3Mx6M,,,,
+USD-3ML-CCP2,9M,OG-Ticker,USD-FRA-6Mx9M-CCP2,MarketValue,FRA,USD-LIBOR-3M,6Mx9M,,,,
+USD-3ML-CCP2,1Y,OG-Ticker,USD-IRS3M-1Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,,,,
+USD-3ML-CCP2,2Y,OG-Ticker,USD-IRS3M-2Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2Y,,,,
+USD-3ML-CCP2,3Y,OG-Ticker,USD-IRS3M-3Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3Y,,,,
+USD-3ML-CCP2,4Y,OG-Ticker,USD-IRS3M-4Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,4Y,,,,
+USD-3ML-CCP2,5Y,OG-Ticker,USD-IRS3M-5Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,5Y,,,,
+USD-3ML-CCP2,7Y,OG-Ticker,USD-IRS3M-7Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,7Y,,,,
+USD-3ML-CCP2,10Y,OG-Ticker,USD-IRS3M-10Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,10Y,,,,
+USD-3ML-CCP2,12Y,OG-Ticker,USD-IRS3M-12Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,12Y,,,,
+USD-3ML-CCP2,15Y,OG-Ticker,USD-IRS3M-15Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,15Y,,,,
+USD-3ML-CCP2,20Y,OG-Ticker,USD-IRS3M-20Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,20Y,,,,
+USD-3ML-CCP2,25Y,OG-Ticker,USD-IRS3M-25Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,25Y,,,,
+USD-3ML-CCP2,30Y,OG-Ticker,USD-IRS3M-30Y-CCP2,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,30Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/calibrations-eur.csv

@@ -0,0 +1,41 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,
+EUR-DSCON-OIS,OIS-1M,OG-Ticker,EUR-OIS-1M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,1M,,,,
+EUR-DSCON-OIS,OIS-2M,OG-Ticker,EUR-OIS-2M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,2M,,,,
+EUR-DSCON-OIS,OIS-3M,OG-Ticker,EUR-OIS-3M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3M,,,,
+EUR-DSCON-OIS,OIS-6M,OG-Ticker,EUR-OIS-6M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,6M,,,,
+EUR-DSCON-OIS,OIS-1Y,OG-Ticker,EUR-OIS-1Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,1Y,,,,
+EUR-DSCON-OIS,OIS-2Y,OG-Ticker,EUR-OIS-2Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,2Y,,,,
+EUR-DSCON-OIS,OIS-3Y,OG-Ticker,EUR-OIS-3Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3Y,,,,
+EUR-DSCON-OIS,OIS-4Y,OG-Ticker,EUR-OIS-4Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,4Y,,,,
+EUR-DSCON-OIS,OIS-5Y,OG-Ticker,EUR-OIS-5Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,5Y,,,,
+EUR-DSCON-OIS,OIS-7Y,OG-Ticker,EUR-OIS-7Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,7Y,,,,
+EUR-DSCON-OIS,OIS-10Y,OG-Ticker,EUR-OIS-10Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,10Y,,,,
+EUR-DSCON-OIS,OIS-15Y,OG-Ticker,EUR-OIS-15Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,15Y,,,,
+EUR-DSCON-OIS,OIS-20Y,OG-Ticker,EUR-OIS-20Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,20Y,,,,
+EUR-DSCON-OIS,OIS-30Y,OG-Ticker,EUR-OIS-30Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,30Y,,,,
+,,,,,,,,,,,
+EUR-EURIBOR3M-BS,FIX-3M,OG-Ticker,EUR-FIX-EURIBOR3M,MarketValue,FIX,EUR-EURIBOR-3M,,,,,
+EUR-EURIBOR3M-BS,FRA-3Mx6M,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,FRA,EUR-EURIBOR-3M,3Mx6M,,,,
+EUR-EURIBOR3M-BS,BS-1Y,OG-Ticker,EUR-BS3M6M-1Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,1Y,,,,
+EUR-EURIBOR3M-BS,BS-2Y,OG-Ticker,EUR-BS3M6M-2Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,2Y,,,,
+EUR-EURIBOR3M-BS,BS-3Y,OG-Ticker,EUR-BS3M6M-3Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,3Y,,,,
+EUR-EURIBOR3M-BS,BS-4Y,OG-Ticker,EUR-BS3M6M-4Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,4Y,,,,
+EUR-EURIBOR3M-BS,BS-5Y,OG-Ticker,EUR-BS3M6M-5Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,5Y,,,,
+EUR-EURIBOR3M-BS,BS-7Y,OG-Ticker,EUR-BS3M6M-7Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,7Y,,,,
+EUR-EURIBOR3M-BS,BS-10Y,OG-Ticker,EUR-BS3M6M-10Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,10Y,,,,
+EUR-EURIBOR3M-BS,BS-15Y,OG-Ticker,EUR-BS3M6M-15Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,15Y,,,,
+EUR-EURIBOR3M-BS,BS-20Y,OG-Ticker,EUR-BS3M6M-20Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,20Y,,,,
+EUR-EURIBOR3M-BS,BS-30Y,OG-Ticker,EUR-BS3M6M-30Y,MarketValue,BS3,EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M,30Y,,,,
+,,,,,,,,,,,
+EUR-EURIBOR6M-IRS,FIX-6M,OG-Ticker,EUR-FIX-EURIBOR6M,MarketValue,FIX,EUR-EURIBOR-6M,,,,,
+EUR-EURIBOR6M-IRS,FRA-6Mx12M,OG-Ticker,EUR-FRA-6Mx12M,MarketValue,FRA,EUR-EURIBOR-6M,6Mx12M,,,,
+EUR-EURIBOR6M-IRS,IRS-2Y,OG-Ticker,EUR-IRS6M-2Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,2Y,,,,
+EUR-EURIBOR6M-IRS,IRS-3Y,OG-Ticker,EUR-IRS6M-3Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,3Y,,,,
+EUR-EURIBOR6M-IRS,IRS-4Y,OG-Ticker,EUR-IRS6M-4Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,4Y,,,,
+EUR-EURIBOR6M-IRS,IRS-5Y,OG-Ticker,EUR-IRS6M-5Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,5Y,,,,
+EUR-EURIBOR6M-IRS,IRS-7Y,OG-Ticker,EUR-IRS6M-7Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,7Y,,,,
+EUR-EURIBOR6M-IRS,IRS-10Y,OG-Ticker,EUR-IRS6M-10Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,10Y,,,,
+EUR-EURIBOR6M-IRS,IRS-15Y,OG-Ticker,EUR-IRS6M-15Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,15Y,,,,
+EUR-EURIBOR6M-IRS,IRS-20Y,OG-Ticker,EUR-IRS6M-20Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,20Y,,,,
+EUR-EURIBOR6M-IRS,IRS-30Y,OG-Ticker,EUR-IRS6M-30Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,30Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/calibrations-ffs.csv

@@ -0,0 +1,38 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,
+USD-Disc,1M,OG-Ticker,USD-OIS-1M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,1M,,,,
+USD-Disc,2M,OG-Ticker,USD-OIS-2M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,2M,,,,
+USD-Disc,3M,OG-Ticker,USD-OIS-3M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,3M,,,,
+USD-Disc,6M,OG-Ticker,USD-OIS-6M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,6M,,,,
+USD-Disc,9M,OG-Ticker,USD-OIS-9M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,9M,,,,
+USD-Disc,1Y,OG-Ticker,USD-OIS-1Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,1Y,,,,
+USD-Disc,2Y,OG-Ticker,USD-OIS-2Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,2Y,,,,
+USD-Disc,3Y,OG-Ticker,USD-OIS-3Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,3Y,,,,
+USD-Disc,4Y,OG-Ticker,USD-FFS-4Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,4Y,,,,
+USD-Disc,5Y,OG-Ticker,USD-FFS-5Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,5Y,,,,
+USD-Disc,6Y,OG-Ticker,USD-FFS-6Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,6Y,,,,
+USD-Disc,7Y,OG-Ticker,USD-FFS-7Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,7Y,,,,
+USD-Disc,8Y,OG-Ticker,USD-FFS-8Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,8Y,,,,
+USD-Disc,9Y,OG-Ticker,USD-FFS-9Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,9Y,,,,
+USD-Disc,10Y,OG-Ticker,USD-FFS-10Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,10Y,,,,
+USD-Disc,12Y,OG-Ticker,USD-FFS-12Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,12Y,,,,
+USD-Disc,15Y,OG-Ticker,USD-FFS-15Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,15Y,,,,
+USD-Disc,20Y,OG-Ticker,USD-FFS-20Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,20Y,,,,
+USD-Disc,25Y,OG-Ticker,USD-FFS-25Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,25Y,,,,
+USD-Disc,30Y,OG-Ticker,USD-FFS-30Y,MarketValue,ONI,USD-FED-FUND-AA-LIBOR-3M,30Y,,,,
+,,,,,,,,,,,
+USD-3ML,3M,OG-Ticker,USD-Fixing-3M,MarketValue,FIX,USD-LIBOR-3M,,,,,
+USD-3ML,6M,OG-Ticker,USD-FRA-3Mx6M,MarketValue,FRA,USD-LIBOR-3M,3Mx6M,,,,
+USD-3ML,9M,OG-Ticker,USD-FRA-6Mx9M,MarketValue,FRA,USD-LIBOR-3M,6Mx9M,,,,
+USD-3ML,1Y,OG-Ticker,USD-IRS3M-1Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,,,,
+USD-3ML,2Y,OG-Ticker,USD-IRS3M-2Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2Y,,,,
+USD-3ML,3Y,OG-Ticker,USD-IRS3M-3Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3Y,,,,
+USD-3ML,4Y,OG-Ticker,USD-IRS3M-4Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,4Y,,,,
+USD-3ML,5Y,OG-Ticker,USD-IRS3M-5Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,5Y,,,,
+USD-3ML,7Y,OG-Ticker,USD-IRS3M-7Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,7Y,,,,
+USD-3ML,10Y,OG-Ticker,USD-IRS3M-10Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,10Y,,,,
+USD-3ML,12Y,OG-Ticker,USD-IRS3M-12Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,12Y,,,,
+USD-3ML,15Y,OG-Ticker,USD-IRS3M-15Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,15Y,,,,
+USD-3ML,20Y,OG-Ticker,USD-IRS3M-20Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,20Y,,,,
+USD-3ML,25Y,OG-Ticker,USD-IRS3M-25Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,25Y,,,,
+USD-3ML,30Y,OG-Ticker,USD-IRS3M-30Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,30Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/calibrations-xccy.csv

@@ -0,0 +1,53 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,,,,
+USD-DSCON,1M,OG-Ticker,USD-OIS-1M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,1M,,,,
+USD-DSCON,2M,OG-Ticker,USD-OIS-2M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,2M,,,,
+USD-DSCON,3M,OG-Ticker,USD-OIS-3M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,3M,,,,
+USD-DSCON,6M,OG-Ticker,USD-OIS-6M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,6M,,,,
+USD-DSCON,9M,OG-Ticker,USD-OIS-9M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,9M,,,,
+USD-DSCON,1Y,OG-Ticker,USD-OIS-1Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,1Y,,,,
+USD-DSCON,18M,OG-Ticker,USD-OIS-18M,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,18M,,,,
+USD-DSCON,2Y,OG-Ticker,USD-OIS-2Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,2Y,,,,
+USD-DSCON,3Y,OG-Ticker,USD-OIS-3Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,3Y,,,,
+USD-DSCON,4Y,OG-Ticker,USD-OIS-4Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,4Y,,,,
+USD-DSCON,5Y,OG-Ticker,USD-OIS-5Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,5Y,,,,
+USD-DSCON,6Y,OG-Ticker,USD-OIS-6Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,6Y,,,,
+USD-DSCON,7Y,OG-Ticker,USD-OIS-7Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,7Y,,,,
+USD-DSCON,8Y,OG-Ticker,USD-OIS-8Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,8Y,,,,
+USD-DSCON,9Y,OG-Ticker,USD-OIS-9Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,9Y,,,,
+USD-DSCON,10Y,OG-Ticker,USD-OIS-10Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,10Y,,,,
+,,,,,,,,,,,
+USD-LIBOR3M,3M,OG-Ticker,USD-Fixing-3M,MarketValue,FIX,USD-LIBOR-3M,,,,,
+USD-LIBOR3M,6M,OG-Ticker,USD-FRA-3Mx6M,MarketValue,FRA,USD-LIBOR-3M,3Mx6M,,,,
+USD-LIBOR3M,9M,OG-Ticker,USD-FRA-6Mx9M,MarketValue,FRA,USD-LIBOR-3M,6Mx9M,,,,
+USD-LIBOR3M,1Y,OG-Ticker,USD-IRS3M-1Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,,,,
+USD-LIBOR3M,2Y,OG-Ticker,USD-IRS3M-2Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2Y,,,,
+USD-LIBOR3M,3Y,OG-Ticker,USD-IRS3M-3Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3Y,,,,
+USD-LIBOR3M,4Y,OG-Ticker,USD-IRS3M-4Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,4Y,,,,
+USD-LIBOR3M,5Y,OG-Ticker,USD-IRS3M-5Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,5Y,,,,
+USD-LIBOR3M,7Y,OG-Ticker,USD-IRS3M-7Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,7Y,,,,
+USD-LIBOR3M,10Y,OG-Ticker,USD-IRS3M-10Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,10Y,,,,
+,,,,,,,,,,,
+EUR-DSC,1M,OG-Ticker,EUR-USD-FX-1M,MarketValue,FXS,EUR/USD,1M,,,,
+EUR-DSC,2M,OG-Ticker,EUR-USD-FX-2M,MarketValue,FXS,EUR/USD,2M,,,,
+EUR-DSC,3M,OG-Ticker,EUR-USD-FX-3M,MarketValue,FXS,EUR/USD,3M,,,,
+EUR-DSC,6M,OG-Ticker,EUR-USD-FX-6M,MarketValue,FXS,EUR/USD,6M,,,,
+EUR-DSC,9M,OG-Ticker,EUR-USD-FX-9M,MarketValue,FXS,EUR/USD,9M,,,,
+EUR-DSC,1Y,OG-Ticker,EUR-USD-FX-1Y,MarketValue,FXS,EUR/USD,1Y,,,,
+EUR-DSC,2Y,OG-Ticker,EUR-USD-XCCY-2Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,2Y,,,,
+EUR-DSC,3Y,OG-Ticker,EUR-USD-XCCY-3Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,3Y,,,,
+EUR-DSC,4Y,OG-Ticker,EUR-USD-XCCY-4Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,4Y,,,,
+EUR-DSC,5Y,OG-Ticker,EUR-USD-XCCY-5Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,5Y,,,,
+EUR-DSC,7Y,OG-Ticker,EUR-USD-XCCY-7Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,7Y,,,,
+EUR-DSC,10Y,OG-Ticker,EUR-USD-XCCY-10Y,MarketValue,XCS,EUR-EURIBOR-3M-USD-LIBOR-3M,10Y,,,,
+,,,,,,,,,,,
+EUR-EURIBOR3M,3M,OG-Ticker,EUR-Fixing-3M,MarketValue,FIX,EUR-EURIBOR-3M,,,,,
+EUR-EURIBOR3M,6M,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,FRA,EUR-EURIBOR-3M,3Mx6M,,,,
+EUR-EURIBOR3M,9M,OG-Ticker,EUR-FRA-6Mx9M,MarketValue,FRA,EUR-EURIBOR-3M,6Mx9M,,,,
+EUR-EURIBOR3M,1Y,OG-Ticker,EUR-IRS3M-1Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,1Y,,,,
+EUR-EURIBOR3M,2Y,OG-Ticker,EUR-IRS3M-2Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,2Y,,,,
+EUR-EURIBOR3M,3Y,OG-Ticker,EUR-IRS3M-3Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,3Y,,,,
+EUR-EURIBOR3M,4Y,OG-Ticker,EUR-IRS3M-4Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,4Y,,,,
+EUR-EURIBOR3M,5Y,OG-Ticker,EUR-IRS3M-5Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,5Y,,,,
+EUR-EURIBOR3M,7Y,OG-Ticker,EUR-IRS3M-7Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,7Y,,,,
+EUR-EURIBOR3M,10Y,OG-Ticker,EUR-IRS3M-10Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,10Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/calibrations.csv

@@ -0,0 +1,40 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
+,,,,,,,,,,,
+USD-Disc,ON,OG-Ticker,USD-DEP-ON,MarketValue,DEP,USD-ShortDeposit-T0,1D,,,,
+USD-Disc,TN,OG-Ticker,USD-DEP-TN,MarketValue,DEP,USD-ShortDeposit-T1,1D,,,,
+USD-Disc,1W,OG-Ticker,USD-DEP-1W,MarketValue,DEP,USD-ShortDeposit-T2,1W,,,,
+USD-Disc,1M,OG-Ticker,USD-OIS-1M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,1M,,,,
+USD-Disc,2M,OG-Ticker,USD-OIS-2M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,2M,,,,
+USD-Disc,3M,OG-Ticker,USD-OIS-3M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,3M,,,,
+USD-Disc,6M,OG-Ticker,USD-OIS-6M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,6M,,,,
+USD-Disc,9M,OG-Ticker,USD-OIS-9M,MarketValue,OIS,USD-FIXED-TERM-FED-FUND-OIS,9M,,,,
+USD-Disc,1Y,OG-Ticker,USD-OIS-1Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,1Y,,,,
+USD-Disc,2Y,OG-Ticker,USD-OIS-2Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,2Y,,,,
+USD-Disc,3Y,OG-Ticker,USD-OIS-3Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,3Y,,,,
+USD-Disc,4Y,OG-Ticker,USD-OIS-4Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,4Y,,,,
+USD-Disc,5Y,OG-Ticker,USD-OIS-5Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,5Y,,,,
+USD-Disc,6Y,OG-Ticker,USD-OIS-6Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,6Y,,,,
+USD-Disc,7Y,OG-Ticker,USD-OIS-7Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,7Y,,,,
+USD-Disc,8Y,OG-Ticker,USD-OIS-8Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,8Y,,,,
+USD-Disc,9Y,OG-Ticker,USD-OIS-9Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,9Y,,,,
+USD-Disc,10Y,OG-Ticker,USD-OIS-10Y,MarketValue,OIS,USD-FIXED-1Y-FED-FUND-OIS,10Y,,,,
+,,,,,,,,,,,
+USD-3ML,3M,OG-Ticker,USD-Fixing-3M,MarketValue,FIX,USD-LIBOR-3M,,,,,
+USD-3ML,6M,OG-Ticker,USD-FRA-3Mx6M,MarketValue,FRA,USD-LIBOR-3M,3Mx6M,,,,
+USD-3ML,9M,OG-Ticker,USD-FRA-6Mx9M,MarketValue,FRA,USD-LIBOR-3M,6Mx9M,,,,
+USD-3ML,1Y,OG-Ticker,USD-IRS3M-1Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,,,,
+# the next node is invalid and will be dropped as it is before the 1Y swap
+USD-3ML,BAD,OG-Future,Ibor-USD-LIBOR-3M-Seq3,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,0D+3,,7D,DropThis,
+USD-3ML,15M,OG-Future,Ibor-USD-LIBOR-3M-Seq5,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,0D+5,,7D,DropThis,
+USD-3ML,18M,OG-Future,Ibor-USD-LIBOR-3M-Dec16,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Dec16,,7D,DropThis,
+USD-3ML,2Y,OG-Ticker,USD-IRS3M-2Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2Y,,,,
+USD-3ML,3Y,OG-Ticker,USD-IRS3M-3Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3Y,,,,
+USD-3ML,4Y,OG-Ticker,USD-IRS3M-4Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,4Y,,,,
+USD-3ML,5Y,OG-Ticker,USD-IRS3M-5Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,5Y,,,,
+USD-3ML,7Y,OG-Ticker,USD-IRS3M-7Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,7Y,,,,
+USD-3ML,10Y,OG-Ticker,USD-IRS3M-10Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,10Y,,,,
+USD-3ML,12Y,OG-Ticker,USD-IRS3M-12Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,12Y,,,,
+USD-3ML,15Y,OG-Ticker,USD-IRS3M-15Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,15Y,,,,
+USD-3ML,20Y,OG-Ticker,USD-IRS3M-20Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,20Y,,,,
+USD-3ML,25Y,OG-Ticker,USD-IRS3M-25Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,25Y,,,,
+USD-3ML,30Y,OG-Ticker,USD-IRS3M-30Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,30Y,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/groups-ccp2.csv

@@ -0,0 +1,4 @@
+Group Name,Curve Type,Reference,Curve Name
+USD-DSCON-LIBOR3M-CCP2,Discount,USD,USD-Disc-CCP2
+USD-DSCON-LIBOR3M-CCP2,Forward,USD-FED-FUND,USD-Disc-CCP2
+USD-DSCON-LIBOR3M-CCP2,Forward,USD-LIBOR-3M,USD-3ML-CCP2

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/groups-eur.csv

@@ -0,0 +1,5 @@
+Group Name,Curve Type,Reference,Curve Name
+EUR-DSCONOIS-EURIBOR3MBS-EURIBOR6MIRS,Discount,EUR,EUR-DSCON-OIS
+EUR-DSCONOIS-EURIBOR3MBS-EURIBOR6MIRS,Forward,EUR-EONIA,EUR-DSCON-OIS
+EUR-DSCONOIS-EURIBOR3MBS-EURIBOR6MIRS,Forward,EUR-EURIBOR-3M,EUR-EURIBOR3M-BS
+EUR-DSCONOIS-EURIBOR3MBS-EURIBOR6MIRS,Forward,EUR-EURIBOR-6M,EUR-EURIBOR6M-IRS

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/groups-xccy.csv

@@ -0,0 +1,6 @@
+Group Name,Curve Type,Reference,Curve Name
+USD-EUR-XCCY,Discount,USD,USD-DSCON
+USD-EUR-XCCY,Forward,USD-FED-FUND,USD-DSCON
+USD-EUR-XCCY,Forward,USD-LIBOR-3M,USD-LIBOR3M
+USD-EUR-XCCY,Discount,EUR,EUR-DSC
+USD-EUR-XCCY,Forward,EUR-EURIBOR-3M,EUR-EURIBOR3M

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/groups.csv

@@ -0,0 +1,4 @@
+Group Name,Curve Type,Reference,Curve Name
+USD-DSCON-LIBOR3M,Discount,USD,USD-Disc
+USD-DSCON-LIBOR3M,Forward,USD-FED-FUND,USD-Disc
+USD-DSCON-LIBOR3M,Forward,USD-LIBOR-3M,USD-3ML

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/settings-ccp2.csv

@@ -0,0 +1,3 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+USD-Disc-CCP2,Zero,Act/365F,Linear,Flat,Flat
+USD-3ML-CCP2,Zero,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/settings-eur.csv

@@ -0,0 +1,4 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+EUR-DSCON-OIS,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear
+EUR-EURIBOR3M-BS,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear
+EUR-EURIBOR6M-IRS,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/settings-fwd.csv

@@ -0,0 +1,3 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+USD-Disc,Zero,Act/365F,Linear,Flat,Flat
+USD-3ML,Forward,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/settings-xccy.csv

@@ -0,0 +1,5 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+USD-DSCON,Zero,Act/365F,Linear,Flat,Flat
+USD-LIBOR3M,Zero,Act/365F,Linear,Flat,Flat
+EUR-DSC,Zero,Act/365F,Linear,Flat,Flat
+EUR-EURIBOR3M,Zero,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/curves/settings.csv

@@ -0,0 +1,3 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+USD-Disc,Zero,Act/365F,Linear,Flat,Flat
+USD-3ML,Zero,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/fx-rates-xccy.csv

@@ -0,0 +1,3 @@
+Valuation Date,Currency Pair,Value
+,,
+2015-11-02,EUR/USD,1.1

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/quotes-20160229-eur.csv

@@ -0,0 +1,51 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2016-02-29,OG-Ticker,EUR-ON,MarketValue,-0.0019
+2016-02-29,OG-Ticker,EUR-TN,MarketValue,-0.00235
+2016-02-29,OG-Ticker,EUR-OIS-1M,MarketValue,-0.00315
+2016-02-29,OG-Ticker,EUR-OIS-2M,MarketValue,-0.0034
+2016-02-29,OG-Ticker,EUR-OIS-3M,MarketValue,-0.0036
+2016-02-29,OG-Ticker,EUR-OIS-6M,MarketValue,-0.004
+2016-02-29,OG-Ticker,EUR-OIS-9M,MarketValue,-0.0043
+2016-02-29,OG-Ticker,EUR-OIS-1Y,MarketValue,-0.0045
+2016-02-29,OG-Ticker,EUR-OIS-2Y,MarketValue,-0.0049
+2016-02-29,OG-Ticker,EUR-OIS-3Y,MarketValue,-0.0047
+2016-02-29,OG-Ticker,EUR-OIS-4Y,MarketValue,-0.0042
+2016-02-29,OG-Ticker,EUR-OIS-5Y,MarketValue,-0.0034
+2016-02-29,OG-Ticker,EUR-OIS-6Y,MarketValue,-0.0024
+2016-02-29,OG-Ticker,EUR-OIS-7Y,MarketValue,-0.0011
+2016-02-29,OG-Ticker,EUR-OIS-8Y,MarketValue,0
+2016-02-29,OG-Ticker,EUR-OIS-9Y,MarketValue,0.0011
+2016-02-29,OG-Ticker,EUR-OIS-10Y,MarketValue,0.0022
+2016-02-29,OG-Ticker,EUR-OIS-15Y,MarketValue,0.0058
+2016-02-29,OG-Ticker,EUR-OIS-20Y,MarketValue,0.0075
+2016-02-29,OG-Ticker,EUR-OIS-30Y,MarketValue,0.0082
+,,,,
+2016-02-29,OG-Ticker,EUR-FIX-EURIBOR3M,MarketValue,-0.00205
+2016-02-29,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,-0.0031
+,,,,
+2016-02-29,OG-Ticker,EUR-FIX-EURIBOR6M,MarketValue,-0.00134
+2016-02-29,OG-Ticker,EUR-FRA-3Mx9M,MarketValue,-0.00215
+2016-02-29,OG-Ticker,EUR-FRA-6Mx12M,MarketValue,-0.0023
+2016-02-29,OG-Ticker,EUR-FRA-9Mx15M,MarketValue,-0.00245
+2016-02-29,OG-Ticker,EUR-IRS6M-1Y,MarketValue,-0.0019
+2016-02-29,OG-Ticker,EUR-IRS6M-2Y,MarketValue,-0.0022
+2016-02-29,OG-Ticker,EUR-IRS6M-3Y,MarketValue,-0.0019
+2016-02-29,OG-Ticker,EUR-IRS6M-4Y,MarketValue,-0.0012
+2016-02-29,OG-Ticker,EUR-IRS6M-5Y,MarketValue,0.0003
+2016-02-29,OG-Ticker,EUR-IRS6M-7Y,MarketValue,0.0045
+2016-02-29,OG-Ticker,EUR-IRS6M-10Y,MarketValue,0.005
+2016-02-29,OG-Ticker,EUR-IRS6M-15Y,MarketValue,0.0083
+2016-02-29,OG-Ticker,EUR-IRS6M-20Y,MarketValue,0.0095
+2016-02-29,OG-Ticker,EUR-IRS6M-30Y,MarketValue,0.01
+,,,,
+2016-02-29,OG-Ticker,EUR-BS3M6M-1Y,MarketValue,0.00125
+2016-02-29,OG-Ticker,EUR-BS3M6M-2Y,MarketValue,0.00125
+2016-02-29,OG-Ticker,EUR-BS3M6M-3Y,MarketValue,0.0013
+2016-02-29,OG-Ticker,EUR-BS3M6M-4Y,MarketValue,0.0013
+2016-02-29,OG-Ticker,EUR-BS3M6M-5Y,MarketValue,0.00135
+2016-02-29,OG-Ticker,EUR-BS3M6M-7Y,MarketValue,0.00125
+2016-02-29,OG-Ticker,EUR-BS3M6M-10Y,MarketValue,0.0011
+2016-02-29,OG-Ticker,EUR-BS3M6M-15Y,MarketValue,0.0009
+2016-02-29,OG-Ticker,EUR-BS3M6M-20Y,MarketValue,0.0007
+2016-02-29,OG-Ticker,EUR-BS3M6M-30Y,MarketValue,0.0005

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/quotes-ccp2.csv

@@ -0,0 +1,32 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2015-07-21,OG-Ticker,USD-OIS-1M-CCP2,MarketValue,0.00072
+2015-07-21,OG-Ticker,USD-OIS-2M-CCP2,MarketValue,0.00082
+2015-07-21,OG-Ticker,USD-OIS-3M-CCP2,MarketValue,0.00093
+2015-07-21,OG-Ticker,USD-OIS-6M-CCP2,MarketValue,0.0009
+2015-07-21,OG-Ticker,USD-OIS-9M-CCP2,MarketValue,0.00105
+2015-07-21,OG-Ticker,USD-OIS-1Y-CCP2,MarketValue,0.001185
+2015-07-21,OG-Ticker,USD-OIS-2Y-CCP2,MarketValue,0.0031865
+2015-07-21,OG-Ticker,USD-OIS-3Y-CCP2,MarketValue,0.00704
+2015-07-21,OG-Ticker,USD-OIS-4Y-CCP2,MarketValue,0.011215
+2015-07-21,OG-Ticker,USD-OIS-5Y-CCP2,MarketValue,0.01515
+2015-07-21,OG-Ticker,USD-OIS-6Y-CCP2,MarketValue,0.018455
+2015-07-21,OG-Ticker,USD-OIS-7Y-CCP2,MarketValue,0.02111
+2015-07-21,OG-Ticker,USD-OIS-8Y-CCP2,MarketValue,0.02332
+2015-07-21,OG-Ticker,USD-OIS-9Y-CCP2,MarketValue,0.025135
+2015-07-21,OG-Ticker,USD-OIS-10Y-CCP2,MarketValue,0.026685
+2015-07-21,OG-Ticker,USD-Fixing-3M-CCP2,MarketValue,0.002366
+2015-07-21,OG-Ticker,USD-FRA-3Mx6M-CCP2,MarketValue,0.0025825
+2015-07-21,OG-Ticker,USD-FRA-6Mx9M-CCP2,MarketValue,0.0029605
+2015-07-21,OG-Ticker,USD-IRS3M-1Y-CCP2,MarketValue,0.002943
+2015-07-21,OG-Ticker,USD-IRS3M-2Y-CCP2,MarketValue,0.00505
+2015-07-21,OG-Ticker,USD-IRS3M-3Y-CCP2,MarketValue,0.0094415
+2015-07-21,OG-Ticker,USD-IRS3M-4Y-CCP2,MarketValue,0.013908
+2015-07-21,OG-Ticker,USD-IRS3M-5Y-CCP2,MarketValue,0.01745
+2015-07-21,OG-Ticker,USD-IRS3M-7Y-CCP2,MarketValue,0.024162
+2015-07-21,OG-Ticker,USD-IRS3M-10Y-CCP2,MarketValue,0.02954
+2015-07-21,OG-Ticker,USD-IRS3M-12Y-CCP2,MarketValue,0.0322
+2015-07-21,OG-Ticker,USD-IRS3M-15Y-CCP2,MarketValue,0.034505
+2015-07-21,OG-Ticker,USD-IRS3M-20Y-CCP2,MarketValue,0.036445
+2015-07-21,OG-Ticker,USD-IRS3M-25Y-CCP2,MarketValue,0.0369895
+2015-07-21,OG-Ticker,USD-IRS3M-30Y-CCP2,MarketValue,0.037675

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/quotes-eur.csv

@@ -0,0 +1,53 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2015-11-20,OG-Ticker,EUR-ON,MarketValue,-0.0019
+2015-11-20,OG-Ticker,EUR-TN,MarketValue,-0.00235
+2015-11-20,OG-Ticker,EUR-OIS-1M,MarketValue,-0.0019
+2015-11-20,OG-Ticker,EUR-OIS-2M,MarketValue,-0.00235
+2015-11-20,OG-Ticker,EUR-OIS-3M,MarketValue,-0.0025
+2015-11-20,OG-Ticker,EUR-OIS-6M,MarketValue,-0.0028
+2015-11-20,OG-Ticker,EUR-OIS-9M,MarketValue,-0.003
+2015-11-20,OG-Ticker,EUR-OIS-1Y,MarketValue,-0.0031
+2015-11-20,OG-Ticker,EUR-OIS-2Y,MarketValue,-0.0033
+2015-11-20,OG-Ticker,EUR-OIS-3Y,MarketValue,-0.0028
+2015-11-20,OG-Ticker,EUR-OIS-4Y,MarketValue,-0.0017
+2015-11-20,OG-Ticker,EUR-OIS-5Y,MarketValue,-0.0006
+2015-11-20,OG-Ticker,EUR-OIS-6Y,MarketValue,0.0007
+2015-11-20,OG-Ticker,EUR-OIS-7Y,MarketValue,0.0021
+2015-11-20,OG-Ticker,EUR-OIS-8Y,MarketValue,0.0036
+2015-11-20,OG-Ticker,EUR-OIS-9Y,MarketValue,0.0049
+2015-11-20,OG-Ticker,EUR-OIS-10Y,MarketValue,0.006
+2015-11-20,OG-Ticker,EUR-OIS-15Y,MarketValue,0.0102
+2015-11-20,OG-Ticker,EUR-OIS-20Y,MarketValue,0.0122
+2015-11-20,OG-Ticker,EUR-OIS-30Y,MarketValue,0.013
+,,,,
+2015-11-20,OG-Ticker,EUR-FIX-EURIBOR3M,MarketValue,-0.00095
+2015-11-20,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,-0.002
+2015-11-20,OG-Ticker,EUR-FRA-6Mx9M,MarketValue,-0.0023
+2015-11-20,OG-Ticker,EUR-IRS3M-6M,MarketValue,-0.002
+2015-11-20,OG-Ticker,EUR-BS3M6M-1Y,MarketValue,0.00115
+2015-11-20,OG-Ticker,EUR-BS3M6M-2Y,MarketValue,0.00103
+2015-11-20,OG-Ticker,EUR-BS3M6M-3Y,MarketValue,0.00103
+2015-11-20,OG-Ticker,EUR-BS3M6M-4Y,MarketValue,0.00106
+2015-11-20,OG-Ticker,EUR-BS3M6M-5Y,MarketValue,0.00109
+2015-11-20,OG-Ticker,EUR-BS3M6M-7Y,MarketValue,0.00106
+2015-11-20,OG-Ticker,EUR-BS3M6M-10Y,MarketValue,0.00092
+2015-11-20,OG-Ticker,EUR-BS3M6M-15Y,MarketValue,0.00072
+2015-11-20,OG-Ticker,EUR-BS3M6M-20Y,MarketValue,0.00059
+2015-11-20,OG-Ticker,EUR-BS3M6M-30Y,MarketValue,0.00043
+,,,,
+2015-11-20,OG-Ticker,EUR-FIX-EURIBOR6M,MarketValue,-0.00024
+2015-11-20,OG-Ticker,EUR-FRA-3Mx9M,MarketValue,-0.00195
+2015-11-20,OG-Ticker,EUR-FRA-6Mx12M,MarketValue,-0.0023
+2015-11-20,OG-Ticker,EUR-FRA-9Mx15M,MarketValue,-0.00245
+2015-11-20,OG-Ticker,EUR-IRS6M-1Y,MarketValue,-0.0023
+2015-11-20,OG-Ticker,EUR-IRS6M-2Y,MarketValue,-0.0011
+2015-11-20,OG-Ticker,EUR-IRS6M-3Y,MarketValue,-0.00055
+2015-11-20,OG-Ticker,EUR-IRS6M-4Y,MarketValue,0.0005
+2015-11-20,OG-Ticker,EUR-IRS6M-5Y,MarketValue,0.0018
+2015-11-20,OG-Ticker,EUR-IRS6M-7Y,MarketValue,0.0045
+2015-11-20,OG-Ticker,EUR-IRS6M-10Y,MarketValue,0.0083
+2015-11-20,OG-Ticker,EUR-IRS6M-15Y,MarketValue,0.01225
+2015-11-20,OG-Ticker,EUR-IRS6M-20Y,MarketValue,0.014
+2015-11-20,OG-Ticker,EUR-IRS6M-30Y,MarketValue,0.01455
+,,,,

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/quotes-xccy.csv

@@ -0,0 +1,53 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2015-11-02,OG-Ticker,USD-OIS-1M,MarketValue,0.0013
+2015-11-02,OG-Ticker,USD-OIS-2M,MarketValue,0.0016
+2015-11-02,OG-Ticker,USD-OIS-3M,MarketValue,0.002
+2015-11-02,OG-Ticker,USD-OIS-6M,MarketValue,0.0026
+2015-11-02,OG-Ticker,USD-OIS-9M,MarketValue,0.0033
+2015-11-02,OG-Ticker,USD-OIS-1Y,MarketValue,0.0039
+2015-11-02,OG-Ticker,USD-OIS-18M,MarketValue,0.0053
+2015-11-02,OG-Ticker,USD-OIS-2Y,MarketValue,0.0066
+2015-11-02,OG-Ticker,USD-OIS-3Y,MarketValue,0.009
+2015-11-02,OG-Ticker,USD-OIS-4Y,MarketValue,0.0111
+2015-11-02,OG-Ticker,USD-OIS-5Y,MarketValue,0.0128
+2015-11-02,OG-Ticker,USD-OIS-6Y,MarketValue,0.0143
+2015-11-02,OG-Ticker,USD-OIS-7Y,MarketValue,0.0156
+2015-11-02,OG-Ticker,USD-OIS-8Y,MarketValue,0.0167
+2015-11-02,OG-Ticker,USD-OIS-9Y,MarketValue,0.0175
+2015-11-02,OG-Ticker,USD-OIS-10Y,MarketValue,0.0183
+,,,,
+2015-11-02,OG-Ticker,USD-Fixing-3M,MarketValue,0.003341
+2015-11-02,OG-Ticker,USD-FRA-3Mx6M,MarketValue,0.0049
+2015-11-02,OG-Ticker,USD-FRA-6Mx9M,MarketValue,0.0063
+2015-11-02,OG-Ticker,USD-IRS3M-1Y,MarketValue,0.0057
+2015-11-02,OG-Ticker,USD-IRS3M-2Y,MarketValue,0.0087
+2015-11-02,OG-Ticker,USD-IRS3M-3Y,MarketValue,0.0112
+2015-11-02,OG-Ticker,USD-IRS3M-4Y,MarketValue,0.0134
+2015-11-02,OG-Ticker,USD-IRS3M-5Y,MarketValue,0.0152
+2015-11-02,OG-Ticker,USD-IRS3M-7Y,MarketValue,0.0181
+2015-11-02,OG-Ticker,USD-IRS3M-10Y,MarketValue,0.0209
+,,,,
+2015-11-02,OG-Ticker,EUR-USD-FX-1M,MarketValue,0.0004
+2015-11-02,OG-Ticker,EUR-USD-FX-2M,MarketValue,0.0012
+2015-11-02,OG-Ticker,EUR-USD-FX-3M,MarketValue,0.0019
+2015-11-02,OG-Ticker,EUR-USD-FX-6M,MarketValue,0.0043
+2015-11-02,OG-Ticker,EUR-USD-FX-9M,MarketValue,0.0074
+2015-11-02,OG-Ticker,EUR-USD-FX-1Y,MarketValue,0.0109
+2015-11-02,OG-Ticker,EUR-USD-XCCY-2Y,MarketValue,-0.0034
+2015-11-02,OG-Ticker,EUR-USD-XCCY-3Y,MarketValue,-0.0036
+2015-11-02,OG-Ticker,EUR-USD-XCCY-4Y,MarketValue,-0.0038
+2015-11-02,OG-Ticker,EUR-USD-XCCY-5Y,MarketValue,-0.0039
+2015-11-02,OG-Ticker,EUR-USD-XCCY-7Y,MarketValue,-0.004
+2015-11-02,OG-Ticker,EUR-USD-XCCY-10Y,MarketValue,-0.0039
+,,,,
+2015-11-02,OG-Ticker,EUR-Fixing-3M,MarketValue,-0.00066
+2015-11-02,OG-Ticker,EUR-FRA-3Mx6M,MarketValue,-0.001
+2015-11-02,OG-Ticker,EUR-FRA-6Mx9M,MarketValue,-0.0006
+2015-11-02,OG-Ticker,EUR-IRS3M-1Y,MarketValue,-0.0012
+2015-11-02,OG-Ticker,EUR-IRS3M-2Y,MarketValue,-0.001
+2015-11-02,OG-Ticker,EUR-IRS3M-3Y,MarketValue,-0.0004
+2015-11-02,OG-Ticker,EUR-IRS3M-4Y,MarketValue,0.0006
+2015-11-02,OG-Ticker,EUR-IRS3M-5Y,MarketValue,0.0019
+2015-11-02,OG-Ticker,EUR-IRS3M-7Y,MarketValue,0.0047
+2015-11-02,OG-Ticker,EUR-IRS3M-10Y,MarketValue,0.0085

samples/simm-valuation-demo/flows/src/main/resources/example-calibration/quotes/quotes.csv

@@ -0,0 +1,50 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+,,,,
+2015-07-21,OG-Ticker,USD-DEP-ON,MarketValue,0.00058
+2015-07-21,OG-Ticker,USD-DEP-TN,MarketValue,0.00061
+2015-07-21,OG-Ticker,USD-DEP-1W,MarketValue,0.00068
+2015-07-21,OG-Ticker,USD-OIS-1M,MarketValue,0.00072
+2015-07-21,OG-Ticker,USD-OIS-2M,MarketValue,0.00082
+2015-07-21,OG-Ticker,USD-OIS-3M,MarketValue,0.00093
+2015-07-21,OG-Ticker,USD-OIS-6M,MarketValue,0.0009
+2015-07-21,OG-Ticker,USD-OIS-9M,MarketValue,0.00105
+2015-07-21,OG-Ticker,USD-OIS-1Y,MarketValue,0.001185
+2015-07-21,OG-Ticker,USD-OIS-2Y,MarketValue,0.0031865
+2015-07-21,OG-Ticker,USD-OIS-3Y,MarketValue,0.00704
+2015-07-21,OG-Ticker,USD-OIS-4Y,MarketValue,0.011215
+2015-07-21,OG-Ticker,USD-OIS-5Y,MarketValue,0.01515
+2015-07-21,OG-Ticker,USD-OIS-6Y,MarketValue,0.018455
+2015-07-21,OG-Ticker,USD-OIS-7Y,MarketValue,0.02111
+2015-07-21,OG-Ticker,USD-OIS-8Y,MarketValue,0.02332
+2015-07-21,OG-Ticker,USD-OIS-9Y,MarketValue,0.025135
+2015-07-21,OG-Ticker,USD-OIS-10Y,MarketValue,0.026685
+2015-07-21,OG-Ticker,USD-Fixing-3M,MarketValue,0.002366
+2015-07-21,OG-Ticker,USD-FRA-3Mx6M,MarketValue,0.0025825
+2015-07-21,OG-Ticker,USD-FRA-6Mx9M,MarketValue,0.0029605
+2015-07-21,OG-Ticker,USD-IRS3M-1Y,MarketValue,0.002943
+2015-07-21,OG-Future,Ibor-USD-LIBOR-3M-Seq3,SettlementPrice,0.999799
+2015-07-21,OG-Future,Ibor-USD-LIBOR-3M-Seq5,SettlementPrice,0.999801
+2015-07-21,OG-Future,Ibor-USD-LIBOR-3M-Dec16,SettlementPrice,0.999879
+2015-07-21,OG-Ticker,USD-IRS3M-2Y,MarketValue,0.00503
+2015-07-21,OG-Ticker,USD-IRS3M-3Y,MarketValue,0.0093915
+2015-07-21,OG-Ticker,USD-IRS3M-4Y,MarketValue,0.013808
+2015-07-21,OG-Ticker,USD-IRS3M-5Y,MarketValue,0.01732
+2015-07-21,OG-Ticker,USD-IRS3M-7Y,MarketValue,0.023962
+2015-07-21,OG-Ticker,USD-IRS3M-10Y,MarketValue,0.0293
+2015-07-21,OG-Ticker,USD-IRS3M-12Y,MarketValue,0.03195
+2015-07-21,OG-Ticker,USD-IRS3M-15Y,MarketValue,0.034235
+2015-07-21,OG-Ticker,USD-IRS3M-20Y,MarketValue,0.036155
+2015-07-21,OG-Ticker,USD-IRS3M-25Y,MarketValue,0.0369685
+2015-07-21,OG-Ticker,USD-IRS3M-30Y,MarketValue,0.037345
+2015-07-21,OG-Ticker,USD-FFS-4Y,MarketValue,0.0021
+2015-07-21,OG-Ticker,USD-FFS-5Y,MarketValue,0.0021
+2015-07-21,OG-Ticker,USD-FFS-6Y,MarketValue,0.0022
+2015-07-21,OG-Ticker,USD-FFS-7Y,MarketValue,0.0022
+2015-07-21,OG-Ticker,USD-FFS-8Y,MarketValue,0.0022
+2015-07-21,OG-Ticker,USD-FFS-9Y,MarketValue,0.0022
+2015-07-21,OG-Ticker,USD-FFS-10Y,MarketValue,0.0022
+2015-07-21,OG-Ticker,USD-FFS-12Y,MarketValue,0.0023
+2015-07-21,OG-Ticker,USD-FFS-15Y,MarketValue,0.0023
+2015-07-21,OG-Ticker,USD-FFS-20Y,MarketValue,0.0023
+2015-07-21,OG-Ticker,USD-FFS-25Y,MarketValue,0.0023
+2015-07-21,OG-Ticker,USD-FFS-30Y,MarketValue,0.0023

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-01-22/cds.yieldCurves.csv

@@ -0,0 +1,21 @@
+Valuation Date,Tenor,Instrument Type,Rate,Curve Convention
+,,,,
+2014-01-22,1M,M,0.001535,USD-ISDA
+2014-01-22,2M,M,0.001954,USD-ISDA
+2014-01-22,3M,M,0.002281,USD-ISDA
+2014-01-22,6M,M,0.003217,USD-ISDA
+2014-01-22,1Y,M,0.005444,USD-ISDA
+2014-01-22,2Y,S,0.005905,USD-ISDA
+2014-01-22,3Y,S,0.009555,USD-ISDA
+2014-01-22,4Y,S,0.012775,USD-ISDA
+2014-01-22,5Y,S,0.015395,USD-ISDA
+2014-01-22,6Y,S,0.017445,USD-ISDA
+2014-01-22,7Y,S,0.019205,USD-ISDA
+2014-01-22,8Y,S,0.020660,USD-ISDA
+2014-01-22,9Y,S,0.021885,USD-ISDA
+2014-01-22,10Y,S,0.022940,USD-ISDA
+2014-01-22,12Y,S,0.024615,USD-ISDA
+2014-01-22,15Y,S,0.026300,USD-ISDA
+2014-01-22,20Y,S,0.027950,USD-ISDA
+2014-01-22,25Y,S,0.028715,USD-ISDA
+2014-01-22,30Y,S,0.029160,USD-ISDA

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-01-22/index.creditCurves.csv

@@ -0,0 +1,6 @@
+"Date","Name","Series","Version","Term","RED Code","Index ID","Maturity","On The Run","Composite Price","Composite Spread","Model Price","Model Spread","Depth","Heat"
+"22-JAN-14","INDEX0001","22","4","2Y","INDEX0001","INDEX0001S22V4-2Y","20-JUN-16","N","106.02387824012102%","4.35%","106.05602517128678%","1.948494666092002%","5","0.107559679560421"
+"22-JAN-14","INDEX0001","22","4","3Y","INDEX0001","INDEX0001S22V4-3Y","20-JUN-17","N","106.02387824012102%","4.45%","106.05602517128678%","1.948494666092002%","5","0.107559679560421"
+"22-JAN-14","INDEX0001","22","4","5Y","INDEX0001","INDEX0001S22V4-5Y","20-JUN-19","N","107.78997283251515%","4.55%","108.00736487680076%","2.821743763738686%","13","0.026781522860625"
+"22-JAN-14","INDEX0001","22","4","7Y","INDEX0001","INDEX0001S22V4-7Y","20-JUN-21","N","107.0880598591164%","4.65%","107.23864220890805%","3.559559969233898%","5","0.069719745652846"
+"22-JAN-14","INDEX0001","22","4","10Y","INDEX0001","INDEX0001S22V4-10Y","20-JUN-24","N","107.70321108431327%","4.75%","107.93149359945855%","3.810514998981244%","5","0.06524856929498"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-01-22/index.staticData.csv

@@ -0,0 +1,2 @@
+"RedCode","From Date","Convention","Recovery Rate","Index Factor"
+"INDEX0001","03-MAR-14","USD-NorthAmerican","30%","0.97"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-01-22/singleName.creditCurves.csv

@@ -0,0 +1,6 @@
+"Date","Ticker","ShortName","RedCode","Tier","Ccy","DocClause","Contributor","Spread6m","Spread1y","Spread2y","Spread3y","Spread4y","Spread5y","Spread7y","Spread10y","Spread15y","Spread20y","Spread30y","Recovery","Rating6m","Rating1y","Rating2y","Rating3y","Rating4y","Rating5y","Rating7y","Rating10y","Rating15y","Rating20y","Rating30y","CompositeCurveRating","CompositeDepth5y","Sector","Region","Country","AvRating","ImpliedRating","CompositeLevel6m","CompositeLevel1y","CompositeLevel2y","CompositeLevel3y","CompositeLevel4y","CompositeLevel5y","CompositeLevel7y","CompositeLevel10y","CompositeLevel15y","CompositeLevel20y","CompositeLevel30y","CompositeLevelRecovery"
+"22-JAN-14","C10","Company10","COMP10","SNRFOR","USD","XR14","Composite","0.11663768128390598%","0.1506540683957194%","0.2704407130903775%","0.449654668745077%","0.6109580440710835%","0.8325610621869631%","0.9922854539125926%","1.1282283693371045%","1.1470654173025787%","1.1676998244028993%","1.1730943019380986%","40%","BB","BB","B","B","CCC","CCC","CCC","CCC","NR","NR","NR","CCC","3","Consumer Goods","N.Amer","United States","BBB","BBB","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Thin","Thin","Thin","Entity Tier"
+"22-JAN-14","C02","Company02","COMP02","SNRFOR","USD","XR14","Composite","4.76%","4.76%","4.76%","4.76%","4.76%","4.76%","","","","","","40%","BB","A","A","BBB","BBB","A","A","A","BB","BB","BB","A","4","Industrials","N.Amer","United States","A","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier","Entity Tier","Entity Tier","Entity Tier"
+"22-JAN-14","C01","Company01","COMP01","SNRFOR","USD","XR14","Composite","0.28%","0.28%","0.28%","0.28%","0.28%","0.28%","","","","","","40%","BB","A","A","BBB","BBB","A","A","A","BB","BB","BB","A","4","Industrials","N.Amer","United States","A","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier","Entity Tier","Entity Tier","Entity Tier"
+"22-JAN-14","C11","Company11","COMP11","SNRFOR","EUR","MM14","Composite","0.21335180501958786%","0.23232227101073802%","0.2984275100078798%","0.35706577085480323%","0.42504012372107824%","0.49421686547561766%","0.6271314347443387%","0.7725640191307755%","0.8640223352990325%","0.8659292758352474%","0.8675950281499702%","40%","AA","AA","AA","AA","AA","AA","AA","AA","BBB","BBB","BBB","AA","7","Financials","Europe","Switzerland","AA","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier"
+"22-JAN-14","C11","Company11","COMP11","SUBLT2","EUR","MM14","Composite","0.36466791834599716%","0.4694889414039684%","0.5995431999047066%","0.7324527484240129%","0.8701426420797372%","1.0133943556474363%","1.2359816206450964%","1.3705535094753947%","1.4175238122421387%","1.429496658512536%","1.4422018910584604%","20%","A","A","A","A","A","BB","BB","BB","B","B","BB","BBB","5","Financials","Europe","Switzerland","AA","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-01-22/singleName.staticData.csv

@@ -0,0 +1,5 @@
+RedCode,Convention
+COMP10,USD-NorthAmerican
+COMP02,USD-NorthAmerican
+COMP01,USD-NorthAmerican
+COMP11,EUR-European

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-10-16/cds.yieldCurves.csv

@@ -0,0 +1,21 @@
+Valuation Date,Tenor,Instrument Type,Rate,Curve Convention
+,,,,
+2014-10-16,1M,M,0.001535,USD-ISDA
+2014-10-16,2M,M,0.001954,USD-ISDA
+2014-10-16,3M,M,0.002281,USD-ISDA
+2014-10-16,6M,M,0.003217,USD-ISDA
+2014-10-16,1Y,M,0.005444,USD-ISDA
+2014-10-16,2Y,S,0.005905,USD-ISDA
+2014-10-16,3Y,S,0.009555,USD-ISDA
+2014-10-16,4Y,S,0.012775,USD-ISDA
+2014-10-16,5Y,S,0.015395,USD-ISDA
+2014-10-16,6Y,S,0.017445,USD-ISDA
+2014-10-16,7Y,S,0.019205,USD-ISDA
+2014-10-16,8Y,S,0.020660,USD-ISDA
+2014-10-16,9Y,S,0.021885,USD-ISDA
+2014-10-16,10Y,S,0.022940,USD-ISDA
+2014-10-16,12Y,S,0.024615,USD-ISDA
+2014-10-16,15Y,S,0.026300,USD-ISDA
+2014-10-16,20Y,S,0.027950,USD-ISDA
+2014-10-16,25Y,S,0.028715,USD-ISDA
+2014-10-16,30Y,S,0.029160,USD-ISDA

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-10-16/index.creditCurves.csv

@@ -0,0 +1,6 @@
+"Date","Name","Series","Version","Term","RED Code","Index ID","Maturity","On The Run","Composite Price","Composite Spread","Model Price","Model Spread","Depth","Heat"
+"16-OCT-14","INDEX0001","22","4","2Y","INDEX0001","INDEX0001S22V4-2Y","20-JUN-16","N","106.02387824012102%","4.35%","106.05602517128678%","1.948494666092002%","5","0.107559679560421"
+"16-OCT-14","INDEX0001","22","4","3Y","INDEX0001","INDEX0001S22V4-3Y","20-JUN-17","N","106.02387824012102%","4.45%","106.05602517128678%","1.948494666092002%","5","0.107559679560421"
+"16-OCT-14","INDEX0001","22","4","5Y","INDEX0001","INDEX0001S22V4-5Y","20-JUN-19","N","107.78997283251515%","4.55%","108.00736487680076%","2.821743763738686%","13","0.026781522860625"
+"16-OCT-14","INDEX0001","22","4","7Y","INDEX0001","INDEX0001S22V4-7Y","20-JUN-21","N","107.0880598591164%","4.65%","107.23864220890805%","3.559559969233898%","5","0.069719745652846"
+"16-OCT-14","INDEX0001","22","4","10Y","INDEX0001","INDEX0001S22V4-10Y","20-JUN-24","N","107.70321108431327%","4.75%","107.93149359945855%","3.810514998981244%","5","0.06524856929498"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-10-16/index.staticData.csv

@@ -0,0 +1,2 @@
+"RedCode","From Date","Convention","Recovery Rate","Index Factor"
+"INDEX0001","03-MAR-14","USD-NorthAmerican","30%","0.97"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-10-16/singleName.creditCurves.csv

@@ -0,0 +1,6 @@
+"Date","Ticker","ShortName","RedCode","Tier","Ccy","DocClause","Contributor","Spread6m","Spread1y","Spread2y","Spread3y","Spread4y","Spread5y","Spread7y","Spread10y","Spread15y","Spread20y","Spread30y","Recovery","Rating6m","Rating1y","Rating2y","Rating3y","Rating4y","Rating5y","Rating7y","Rating10y","Rating15y","Rating20y","Rating30y","CompositeCurveRating","CompositeDepth5y","Sector","Region","Country","AvRating","ImpliedRating","CompositeLevel6m","CompositeLevel1y","CompositeLevel2y","CompositeLevel3y","CompositeLevel4y","CompositeLevel5y","CompositeLevel7y","CompositeLevel10y","CompositeLevel15y","CompositeLevel20y","CompositeLevel30y","CompositeLevelRecovery"
+"16-OCT-14","C10","Company10","COMP10","SNRFOR","USD","XR14","Composite","0.11663768128390598%","0.1506540683957194%","0.2704407130903775%","0.449654668745077%","0.6109580440710835%","0.8325610621869631%","0.9922854539125926%","1.1282283693371045%","1.1470654173025787%","1.1676998244028993%","1.1730943019380986%","40%","BB","BB","B","B","CCC","CCC","CCC","CCC","NR","NR","NR","CCC","3","Consumer Goods","N.Amer","United States","BBB","BBB","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Thin","Thin","Thin","Entity Tier"
+"16-OCT-14","C02","Company02","COMP02","SNRFOR","USD","XR14","Composite","4.76%","4.76%","4.76%","4.76%","4.76%","4.76%","","","","","","40%","BB","A","A","BBB","BBB","A","A","A","BB","BB","BB","A","4","Industrials","N.Amer","United States","A","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier","Entity Tier","Entity Tier","Entity Tier"
+"16-OCT-14","C01","Company01","COMP01","SNRFOR","USD","XR14","Composite","0.28%","0.28%","0.28%","0.28%","0.28%","0.28%","","","","","","40%","BB","A","A","BBB","BBB","A","A","A","BB","BB","BB","A","4","Industrials","N.Amer","United States","A","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier","Entity Tier","Entity Tier","Entity Tier"
+"16-OCT-14","C11","Company11","COMP11","SNRFOR","EUR","MM14","Composite","0.21335180501958786%","0.23232227101073802%","0.2984275100078798%","0.35706577085480323%","0.42504012372107824%","0.49421686547561766%","0.6271314347443387%","0.7725640191307755%","0.8640223352990325%","0.8659292758352474%","0.8675950281499702%","40%","AA","AA","AA","AA","AA","AA","AA","AA","BBB","BBB","BBB","AA","7","Financials","Europe","Switzerland","AA","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier"
+"16-OCT-14","C11","Company11","COMP11","SUBLT2","EUR","MM14","Composite","0.36466791834599716%","0.4694889414039684%","0.5995431999047066%","0.7324527484240129%","0.8701426420797372%","1.0133943556474363%","1.2359816206450964%","1.3705535094753947%","1.4175238122421387%","1.429496658512536%","1.4422018910584604%","20%","A","A","A","A","A","BB","BB","BB","B","B","BB","BBB","5","Financials","Europe","Switzerland","AA","AA","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","CcyGrp","Entity Tier"

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/credit/2014-10-16/singleName.staticData.csv

@@ -0,0 +1,5 @@
+RedCode,Convention
+COMP10,USD-NorthAmerican
+COMP02,USD-NorthAmerican
+COMP01,USD-NorthAmerican
+COMP11,EUR-European

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/curves/2009-07-31.csv

@@ -0,0 +1,16 @@
+Valuation Date,Curve Name,Date,Value,Label
+,,,,,
+2009-07-31,USD-Disc,2009-11-06,0.001763775,3M
+2009-07-31,USD-Disc,2010-02-08,0.002187884,6M
+2009-07-31,USD-Disc,2010-08-06,0.004437206,1Y
+2009-07-31,USD-Disc,2011-08-08,0.011476741,2Y
+2009-07-31,USD-Disc,2012-08-08,0.017859057,3Y
+2009-07-31,USD-Disc,2014-08-06,0.026257102,5Y
+2009-07-31,USD-Disc,2019-08-07,0.035521988,10Y
+,,,,,
+2009-07-31,USD-3ML,2009-11-04,0.007596889,3M
+2009-07-31,USD-3ML,2010-08-04,0.008091541,1Y
+2009-07-31,USD-3ML,2011-08-04,0.015244398,2Y
+2009-07-31,USD-3ML,2012-08-06,0.021598026,3Y
+2009-07-31,USD-3ML,2014-08-05,0.029984216,5Y
+2009-07-31,USD-3ML,2019-08-06,0.039245812,10Y

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/curves/2014-01-22.csv

@@ -0,0 +1,94 @@
+Valuation Date,Curve Name,Date,Value,Label
+,,,,,
+2014-01-22,USD-Disc,2014-01-23,0.001571524,0D
+2014-01-22,USD-Disc,2014-02-24,0.000934099,1M
+2014-01-22,USD-Disc,2014-03-24,0.000948444,2M
+2014-01-22,USD-Disc,2014-04-24,0.000935866,3M
+2014-01-22,USD-Disc,2014-07-24,0.001027672,6M
+2014-01-22,USD-Disc,2014-10-24,0.001280398,9M
+2014-01-22,USD-Disc,2015-01-26,0.001841773,1Y
+2014-01-22,USD-Disc,2016-01-25,0.005475661,2Y
+2014-01-22,USD-Disc,2017-01-24,0.009655095,3Y
+2014-01-22,USD-Disc,2018-01-24,0.013191876,4Y
+2014-01-22,USD-Disc,2019-01-24,0.015783922,5Y
+2014-01-22,USD-Disc,2020-01-24,0.017845475,6Y
+2014-01-22,USD-Disc,2021-01-25,0.019539006,7Y
+2014-01-22,USD-Disc,2022-01-24,0.02095814,8Y
+2014-01-22,USD-Disc,2023-01-24,0.02217629,9Y
+2014-01-22,USD-Disc,2024-01-24,0.023239034,10Y
+2014-01-22,USD-Disc,2026-01-26,0.02501226,12Y
+2014-01-22,USD-Disc,2029-01-24,0.026896017,15Y
+2014-01-22,USD-Disc,2034-01-24,0.028543824,20Y
+2014-01-22,USD-Disc,2039-01-24,0.029327868,25Y
+2014-01-22,USD-Disc,2044-01-25,0.029693673,30Y
+,,,,,
+2014-01-22,USD-3ML,2014-04-24,0.002413351,3M
+2014-01-22,USD-3ML,2014-07-24,0.002523692,6M
+2014-01-22,USD-3ML,2014-10-24,0.002696588,9M
+2014-01-22,USD-3ML,2015-01-26,0.003298585,1Y
+2014-01-22,USD-3ML,2016-01-25,0.007112496,2Y
+2014-01-22,USD-3ML,2017-01-24,0.011435289,3Y
+2014-01-22,USD-3ML,2018-01-24,0.015109223,4Y
+2014-01-22,USD-3ML,2019-01-24,0.017822649,5Y
+2014-01-22,USD-3ML,2021-01-25,0.021709401,7Y
+2014-01-22,USD-3ML,2024-01-24,0.025521059,10Y
+2014-01-22,USD-3ML,2026-01-26,0.027335798,12Y
+2014-01-22,USD-3ML,2029-01-24,0.029219998,15Y
+2014-01-22,USD-3ML,2034-01-24,0.030936921,20Y
+2014-01-22,USD-3ML,2039-01-24,0.031693336,25Y
+2014-01-22,USD-3ML,2044-01-25,0.032010599,30Y
+,,,,,
+2014-01-22,USD-6ML,2014-07-24,0.003342049,6M
+2014-01-22,USD-6ML,2014-10-24,0.003814115,9M
+2014-01-22,USD-6ML,2015-01-26,0.004217781,1Y
+2014-01-22,USD-6ML,2016-01-25,0.008029061,2Y
+2014-01-22,USD-6ML,2017-01-24,0.01235849,3Y
+2014-01-22,USD-6ML,2018-01-24,0.016019274,4Y
+2014-01-22,USD-6ML,2019-01-24,0.018731166,5Y
+2014-01-22,USD-6ML,2021-01-25,0.022623657,7Y
+2014-01-22,USD-6ML,2024-01-24,0.026432995,10Y
+2014-01-22,USD-6ML,2026-01-26,0.028264092,12Y
+2014-01-22,USD-6ML,2029-01-24,0.030176612,15Y
+2014-01-22,USD-6ML,2034-01-24,0.031856567,20Y
+2014-01-22,USD-6ML,2039-01-24,0.032613569,25Y
+2014-01-22,USD-6ML,2044-01-25,0.032950241,30Y
+,,,,,
+2014-01-22,GBP-Disc,2014-02-24,0.003619914,1M
+2014-01-22,GBP-Disc,2014-03-24,0.00388712,2M
+2014-01-22,GBP-Disc,2014-04-24,0.003951528,3M
+2014-01-22,GBP-Disc,2014-07-24,0.004603065,6M
+2014-01-22,GBP-Disc,2014-10-24,0.005434232,9M
+2014-01-22,GBP-Disc,2015-01-26,0.006434251,1Y
+2014-01-22,GBP-Disc,2016-01-25,0.009851532,2Y
+2014-01-22,GBP-Disc,2017-01-24,0.012585948,3Y
+2014-01-22,GBP-Disc,2018-01-24,0.01445751,4Y
+2014-01-22,GBP-Disc,2019-01-24,0.015792938,5Y
+2014-01-22,GBP-Disc,2020-01-24,0.016943957,6Y
+2014-01-22,GBP-Disc,2021-01-25,0.017977007,7Y
+2014-01-22,GBP-Disc,2022-01-24,0.018778199,8Y
+2014-01-22,GBP-Disc,2023-01-24,0.019473144,9Y
+2014-01-22,GBP-Disc,2024-01-24,0.020153626,10Y
+2014-01-22,GBP-Disc,2026-01-26,0.021307446,12Y
+2014-01-22,GBP-Disc,2029-01-24,0.022582553,15Y
+2014-01-22,GBP-Disc,2034-01-24,0.023968824,20Y
+2014-01-22,GBP-Disc,2039-01-24,0.024603858,25Y
+2014-01-22,GBP-Disc,2044-01-25,0.025077621,30Y
+,,,,,
+2014-01-22,GBP-3ML,2014-04-22,0.005636082,3M
+2014-01-22,GBP-3ML,2014-07-22,0.006213342,6M
+2014-01-22,GBP-3ML,2014-10-22,0.006970785,9M
+2014-01-22,GBP-3ML,2015-01-22,0.007835542,1Y
+2014-01-22,GBP-3ML,2016-01-22,0.01139746,2Y
+2014-01-22,GBP-3ML,2017-01-23,0.014381743,3Y
+2014-01-22,GBP-3ML,2018-01-22,0.016488241,4Y
+2014-01-22,GBP-3ML,2019-01-22,0.01804329,5Y
+2014-01-22,GBP-3ML,2020-01-22,0.019337967,6Y
+2014-01-22,GBP-3ML,2021-01-22,0.020453166,7Y
+2014-01-22,GBP-3ML,2022-01-24,0.021390734,8Y
+2014-01-22,GBP-3ML,2023-01-23,0.022179111,9Y
+2014-01-22,GBP-3ML,2024-01-22,0.022943567,10Y
+2014-01-22,GBP-3ML,2026-01-22,0.024280163,12Y
+2014-01-22,GBP-3ML,2029-01-22,0.025771703,15Y
+2014-01-22,GBP-3ML,2034-01-23,0.027230902,20Y
+2014-01-22,GBP-3ML,2039-01-24,0.027578227,25Y
+2014-01-22,GBP-3ML,2044-01-22,0.027644976,30Y

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/curves/groups.csv

@@ -0,0 +1,7 @@
+Group Name,Curve Type,Reference,Curve Name
+Default,Discount,USD,USD-Disc
+Default,Forward,USD-FED-FUND,USD-Disc
+Default,Forward,USD-LIBOR-3M,USD-3ML
+Default,Forward,USD-LIBOR-6M,USD-6ML
+Default,Discount,GBP,GBP-Disc
+Default,Forward,GBP-LIBOR-3M,GBP-3ML

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/curves/settings.csv

@@ -0,0 +1,6 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+USD-Disc,Zero,Act/Act ISDA,Linear,Flat,Flat
+USD-3ML,Zero,Act/Act ISDA,Linear,Flat,Flat
+USD-6ML,Zero,Act/Act ISDA,Linear,Flat,Flat
+GBP-Disc,Zero,Act/Act ISDA,Linear,Flat,Flat
+GBP-3ML,Zero,Act/Act ISDA,Linear,Flat,Flat

samples/simm-valuation-demo/flows/src/main/resources/example-marketdata/quotes/quotes.csv

@@ -0,0 +1,16 @@
+Valuation Date,Symbology,Ticker,Field Name,Value
+"",,,,,
+2014-01-22,OG-Future,Eurex-FGBL-Mar14,MarketValue,150.41
+2014-01-22,OG-Future,Eurex-FGBL-Mar14,SettlementPrice,150.43
+2014-01-22,OG-FutOpt,Eurex-OGBL-Mar14-C150,MarketValue,1.51
+2014-01-22,OG-FutOpt,Eurex-OGBL-Mar14-C150,SettlementPrice,1.5
+2014-01-22,OG-Future,CME-ED-Mar14,MarketValue,99.635
+2014-01-22,OG-Future,CME-ED-Mar14,SettlementPrice,99.620
+2014-01-22,OG-Future,Ibor-USD-LIBOR-3M-Mar15,MarketValue,99.985
+2014-01-22,OG-Future,Ibor-USD-LIBOR-3M-Mar15,SettlementPrice,99.982
+2014-01-22,OG-Future,Ibor-USD-LIBOR-3M-Jun15,MarketValue,99.957
+2014-01-22,OG-Future,Ibor-USD-LIBOR-3M-Jun15,SettlementPrice,99.959
+2014-01-22,OG-Future,CME-F1U-Mar15,MarketValue,1.0071
+2014-01-22,OG-Future,CME-F1U-Mar15,SettlementPrice,1.0072
+2014-01-22,OG-Future,CME-F1U-Jun15,MarketValue,1.0088
+2014-01-22,OG-Future,CME-F1U-Jun15,SettlementPrice,1.0087

samples/simm-valuation-demo/flows/src/main/resources/example-reports/all-cashflow-report-template.ini

@@ -0,0 +1,2 @@
+[Settings]
+reportType = cashflow

samples/simm-valuation-demo/flows/src/main/resources/example-reports/cds-report-template.ini

@@ -0,0 +1,45 @@
+[Settings]
+reportType = Trade
+
+[Start Date]
+value = Product.startDate
+
+[Maturity Date]
+value = Product.endDate
+
+[NPV]
+value = Measures.PresentValue
+
+[Par Rate]
+value = Measures.ParRate
+
+[Recovery01]
+value = Measures.Recovery01
+
+[Jump To Default]
+value = Measures.JumpToDefault
+
+[IR01ParallelPar]
+value = Measures.IR01ParallelPar
+
+[IR01ParallelZero]
+value = Measures.IR01ParallelZero
+
+[CS01ParallelPar]
+value = Measures.CS01ParallelPar
+
+[CS01ParallelHazard]
+value = Measures.CS01ParallelHazard
+
+[IR01BucketedPar]
+value = Measures.IR01BucketedPar.usd
+
+[IR01BucketedZero]
+value = Measures.IR01BucketedZero.usd
+
+[CS01BucketedPar]
+value = Measures.CS01BucketedPar.usd
+
+[CS01BucketedHazard]
+value = Measures.CS01BucketedHazard.usd
+

samples/simm-valuation-demo/flows/src/main/resources/example-reports/dsf-report-template.ini

@@ -0,0 +1,26 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[Quantity]
+value = Trade.quantity
+
+[NPV]
+value = Measures.PresentValue.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[USD Discounting PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc

samples/simm-valuation-demo/flows/src/main/resources/example-reports/fra-report-template.ini

@@ -0,0 +1,29 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[NPV]
+value = Measures.PresentValue.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[Par Rate]
+value = Measures.ParRate
+
+[Par Spread]
+value = Measures.ParSpread
+
+[USD Discounting PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc

samples/simm-valuation-demo/flows/src/main/resources/example-reports/fx-report-template.ini

@@ -0,0 +1,23 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[NPV]
+value = Measures.PresentValue.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[GBP Discounting PV01]
+value = Measures.PV01CalibratedBucketed.gbp.gbp-disc

samples/simm-valuation-demo/flows/src/main/resources/example-reports/security-report-template.ini

@@ -0,0 +1,29 @@
+[Settings]
+reportType = Trade
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[Maturity Date]
+value = Security.attributes.expiryDate
+
+[Quantity]
+value = Trade.quantity
+
+[Exchange]
+value = Security.attributes.exchange
+
+[Product]
+value = Security.attributes.productFamily
+
+[Currency]
+value = Measures.PresentValue.currency
+
+[NPV]
+value = Measures.PresentValue.amount

samples/simm-valuation-demo/flows/src/main/resources/example-reports/stir-future-report-template.ini

@@ -0,0 +1,29 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[Quantity]
+value = Trade.quantity
+
+[NPV]
+value = Measures.PresentValue.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[Par Spread]
+value = Measures.ParSpread
+
+[USD Discounting PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd

samples/simm-valuation-demo/flows/src/main/resources/example-reports/swap-report-template.ini

@@ -0,0 +1,55 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[Maturity Date]
+value = Product.endDate
+
+[Pay Ccy]
+value = Measures.LegInitialNotional.pay.currency
+
+[Pay Notional]
+value = Measures.LegInitialNotional.pay.amount
+
+[Fixed Rate]
+value = Product.legs.fixed.calculation.rate.initialValue
+# only expected to work where the swap has a fixed leg
+ignoreFailures = true
+
+[Current Par]
+value = Measures.ParRate
+ignoreFailures = true
+
+[NPV]
+value = Measures.PresentValue
+
+[NPV Pay Leg]
+value = Measures.LegPresentValue.pay.amount
+
+[NPV Receive Leg]
+value = Measures.LegPresentValue.receive.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[Accrual]
+value = Measures.AccruedInterest
+
+[USD Discounting PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc
+
+[Bucketed Gamma PV01]
+value = Measures.PV01SemiParallelGammaBucketed.usd
+# only expected to work where there is a single curve
+ignoreFailures = true

samples/simm-valuation-demo/flows/src/main/resources/example-reports/swap-report-template2.ini

@@ -0,0 +1,36 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[Maturity Date]
+value = Product.endDate
+
+[NPV]
+value = Measures.PresentValue
+
+[USD Dsc CCP1 PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc
+ignoreFailures = true
+
+[USD Dsc CCP2 PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc-ccp2
+ignoreFailures = true
+
+[USD Fwd CCP1 PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-3ml
+ignoreFailures = true
+
+[USD Fwd CCP2 PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-3ml-ccp2
+ignoreFailures = true

samples/simm-valuation-demo/flows/src/main/resources/example-reports/term-deposit-report-template.ini

@@ -0,0 +1,29 @@
+[Settings]
+reportType = Trade
+
+[Id]
+value = Trade.id.value
+
+[Description]
+value = Trade.attributes.description
+
+[Counterparty]
+value = Trade.counterparty.value
+
+[Settle Date]
+value = Trade.settlementDate
+
+[NPV]
+value = Measures.PresentValue.amount
+
+[PV01]
+value = Measures.PV01CalibratedSum
+
+[Par Rate]
+value = Measures.ParRate
+
+[Par Spread]
+value = Measures.ParSpread
+
+[USD Discounting PV01]
+value = Measures.PV01CalibratedBucketed.usd.usd-disc

samples/simm-valuation-demo/flows/src/main/resources/jolokia-access.xml

@@ -0,0 +1,30 @@
+<?xml version="1.0" encoding="utf-8"?>
+
+<restrict>
+    <http>
+        <method>post</method>
+        <method>get</method>
+    </http>
+
+    <commands>
+        <command>read</command>
+        <command>list</command>
+    </commands>
+
+    <!-- allow anyone to force a garbage collection -->
+    <allow>
+        <mbean>
+            <name>java.lang:type=Memory</name>
+            <operation>gc</operation>
+        </mbean>
+    </allow>
+
+    <!-- in case we ever end up using c3pio connection pooling, this example from the docs prevents the password being exported -->
+    <deny>
+        <mbean>
+            <name>com.mchange.v2.c3p0:type=PooledDataSource,*</name>
+            <attribute>properties</attribute>
+        </mbean>
+    </deny>
+
+</restrict>

samples/simm-valuation-demo/flows/src/main/resources/log4j2.xml

@@ -0,0 +1,60 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<Configuration status="info">
+
+    <Properties>
+        <Property name="log-path">logs</Property>
+        <Property name="log-name">node-${hostName}</Property>
+        <Property name="archive">${log-path}/archive</Property>
+    </Properties>
+
+    <ThresholdFilter level="trace"/>
+
+    <Appenders>
+        <Console name="Console-Appender" target="SYSTEM_OUT">
+            <PatternLayout pattern="[%-5level] %date{HH:mm:ss,SSSZ} [%t] %c{2}.%method - %msg%n"/>
+        </Console>
+
+        <!-- Required for printBasicInfo -->
+        <Console name="Console-Appender-Println" target="SYSTEM_OUT">
+            <PatternLayout pattern="%msg%n" />
+        </Console>
+
+        <!-- Will generate up to 10 log files for a given day. During every rollover it will delete
+             those that are older than 60 days, but keep the most recent 10 GB -->
+        <RollingFile name="RollingFile-Appender"
+                     fileName="${log-path}/${log-name}.log"
+                     filePattern="${archive}/${log-name}.%date{yyyy-MM-dd}-%i.log.gz">
+
+            <PatternLayout pattern="[%-5level] %date{ISO8601}{UTC}Z [%t] %c{2} - %msg%n"/>
+
+            <Policies>
+                <TimeBasedTriggeringPolicy/>
+                <SizeBasedTriggeringPolicy size="10MB"/>
+            </Policies>
+
+            <DefaultRolloverStrategy min="1" max="10">
+                <Delete basePath="${archive}" maxDepth="1">
+                    <IfFileName glob="${log-name}*.log.gz"/>
+                    <IfLastModified age="60d">
+                        <IfAny>
+                            <IfAccumulatedFileSize exceeds="10 GB"/>
+                        </IfAny>
+                    </IfLastModified>
+                </Delete>
+            </DefaultRolloverStrategy>
+
+        </RollingFile>
+    </Appenders>
+
+    <Loggers>
+        <Root level="trace">
+            <AppenderRef ref="Console-Appender" level="info"/>
+            <AppenderRef ref="RollingFile-Appender" level="debug"/>
+        </Root>
+        <Logger name="BasicInfo" additivity="false">
+            <AppenderRef ref="Console-Appender-Println"/>
+            <AppenderRef ref="RollingFile-Appender" />
+        </Logger>
+    </Loggers>
+
+</Configuration>

samples/simm-valuation-demo/flows/src/main/resources/settings/BIMM-groups-EUR.csv

@@ -0,0 +1,5 @@
+Group Name,Curve Type,Reference,Curve Name
+BIMM,Discount,EUR,EUR-DSCON-BIMM
+BIMM,Forward,EUR-EONIA,EUR-DSCON-BIMM
+BIMM,Forward,EUR-EURIBOR-3M,EUR-EURIBOR3M-BIMM
+BIMM,Forward,EUR-EURIBOR-6M,EUR-EURIBOR6M-BIMM

samples/simm-valuation-demo/flows/src/main/resources/settings/BIMM-nodes-EUR.csv

@@ -0,0 +1,33 @@
+Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Spread
+,,,,,,,,
+EUR-DSCON-BIMM,3M,OG-Ticker,EUR-OIS-3M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3M,
+EUR-DSCON-BIMM,6M,OG-Ticker,EUR-OIS-6M,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,6M,
+EUR-DSCON-BIMM,1Y,OG-Ticker,EUR-OIS-1Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,1Y,
+EUR-DSCON-BIMM,2Y,OG-Ticker,EUR-OIS-2Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,2Y,
+EUR-DSCON-BIMM,3Y,OG-Ticker,EUR-OIS-3Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,3Y,
+EUR-DSCON-BIMM,5Y,OG-Ticker,EUR-OIS-5Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,5Y,
+EUR-DSCON-BIMM,10Y,OG-Ticker,EUR-OIS-10Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,10Y,
+EUR-DSCON-BIMM,15Y,OG-Ticker,EUR-OIS-15Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,15Y,
+EUR-DSCON-BIMM,20Y,OG-Ticker,EUR-OIS-20Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,20Y,
+EUR-DSCON-BIMM,30Y,OG-Ticker,EUR-OIS-30Y,MarketValue,OIS,EUR-FIXED-1Y-EONIA-OIS,30Y,
+,,,,,,,,
+EUR-EURIBOR3M-BIMM,3M,OG-Ticker,EUR-Fixing-3M,MarketValue,FIX,EUR-EURIBOR-3M,,
+EUR-EURIBOR3M-BIMM,6M,OG-Ticker,EUR-IRS3M-6M,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,6M,
+EUR-EURIBOR3M-BIMM,1Y,OG-Ticker,EUR-IRS3M-1Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,1Y,
+EUR-EURIBOR3M-BIMM,2Y,OG-Ticker,EUR-IRS3M-2Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,2Y,
+EUR-EURIBOR3M-BIMM,3Y,OG-Ticker,EUR-IRS3M-3Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,3Y,
+EUR-EURIBOR3M-BIMM,5Y,OG-Ticker,EUR-IRS3M-5Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,5Y,
+EUR-EURIBOR3M-BIMM,10Y,OG-Ticker,EUR-IRS3M-10Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,10Y,
+EUR-EURIBOR3M-BIMM,15Y,OG-Ticker,EUR-IRS3M-15Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,15Y,
+EUR-EURIBOR3M-BIMM,20Y,OG-Ticker,EUR-IRS3M-20Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,20Y,
+EUR-EURIBOR3M-BIMM,30Y,OG-Ticker,EUR-IRS3M-30Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-3M,30Y,
+,,,,,,,,
+EUR-EURIBOR6M-BIMM,6M,OG-Ticker,EUR-Fixing-6M,MarketValue,FIX,EUR-EURIBOR-6M,,
+EUR-EURIBOR6M-BIMM,1Y,OG-Ticker,EUR-IRS6M-1Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,1Y,
+EUR-EURIBOR6M-BIMM,2Y,OG-Ticker,EUR-IRS6M-2Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,2Y,
+EUR-EURIBOR6M-BIMM,3Y,OG-Ticker,EUR-IRS6M-3Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,3Y,
+EUR-EURIBOR6M-BIMM,5Y,OG-Ticker,EUR-IRS6M-5Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,5Y,
+EUR-EURIBOR6M-BIMM,10Y,OG-Ticker,EUR-IRS6M-10Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,10Y,
+EUR-EURIBOR6M-BIMM,15Y,OG-Ticker,EUR-IRS6M-15Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,15Y,
+EUR-EURIBOR6M-BIMM,20Y,OG-Ticker,EUR-IRS6M-20Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,20Y,
+EUR-EURIBOR6M-BIMM,30Y,OG-Ticker,EUR-IRS6M-30Y,MarketValue,IRS,EUR-FIXED-1Y-EURIBOR-6M,30Y,

samples/simm-valuation-demo/flows/src/main/resources/settings/BIMM-settings-EUR.csv

@@ -0,0 +1,4 @@
+Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
+EUR-DSCON-BIMM,Zero,Act/365F,Linear,Flat,Flat
+EUR-EURIBOR3M-BIMM,Zero,Act/365F,Linear,Flat,Flat
+EUR-EURIBOR6M-BIMM,Zero,Act/365F,Linear,Flat,Flat

samples/simm-valuation-demo/src/main/kotlin/net/corda/vega/api/PortfolioApi.kt

@@ -226,13 +226,13 @@ class PortfolioApi(val rpc: CordaRPCOps) {
             withPortfolio(party) { state ->
                 if (state.valuation != null) {
                     val isValuer = state.valuer == ownParty
-                    val rawMtm = state.valuation.presentValues.map {
+                    val rawMtm = state.valuation!!.presentValues.map {
                         it.value.amounts.first().amount
                     }.reduce { a, b -> a + b }
-                    val notional = if (isValuer) state.valuation.notional else -state.valuation.notional
+                    val notional = if (isValuer) state.valuation!!.notional else -state.valuation!!.notional
                     val mtm = if (isValuer) rawMtm else -rawMtm
                     // TODO: Stop using localdate.now
-                    val history = AggregatedHistoryView(state.valuation.trades, notional.toDouble(), LocalDate.now(), state.valuation.margin.first, mtm)
+                    val history = AggregatedHistoryView(state.valuation!!.trades, notional.toDouble(), LocalDate.now(), state.valuation!!.margin.first, mtm)
                     Response.ok().entity(history).build()
                 } else {
                     Response.status(Response.Status.NOT_FOUND).entity("Portfolio not yet valued").build()

settings.gradle

@@ -43,5 +43,7 @@ include 'samples:irs-demo:cordapp'
 include 'samples:irs-demo:web'
 include 'samples:network-visualiser'
 include 'samples:simm-valuation-demo'
+include 'samples:simm-valuation-demo:flows'
+include 'samples:simm-valuation-demo:contracts-states'
 include 'samples:notary-demo'
 include 'samples:bank-of-corda-demo'