## Configurations

The following screenshot shows configurations for this program.

**SourceFilePath**attribute captures the source market data CSV file and

**TargetFolderPath**captures the folder, into which all market scenario files will be created. Finally,

**ScenarioConfigurationsPath**captures the folder, which contains all XML scenario configuration files. This configuration XML file should be stored in a chosen directory.

<Configurations> <!-- attributes for scenario generator settings --> <ScenarioConfigurationsPath>\\Temp\ScenarioConfigurations\</ScenarioConfigurationsPath> <SourceFilePath>\\Temp\baseMarket.csv</SourceFilePath> <TargetFolderPath>\\Temp\Scenarios\</TargetFolderPath> </Configurations>

## Market data

The following screenshot shows given base market data. Due to brevity reasons, only EUR swap curve has been used here as an example. All market data points are defined here as key-value pairs (ticker, value).

IR.EUR-EURIBOR.CASH-1BD.MID,-0.00365 IR.EUR-EURIBOR.CASH-1W.MID,-0.00373 IR.EUR-EURIBOR.CASH-1M.MID,-0.00363 IR.EUR-EURIBOR.CASH-2M.MID,-0.00336 IR.EUR-EURIBOR.CASH-3M.MID,-0.00309 IR.EUR-EURIBOR.CASH-6M.MID,-0.00237 IR.EUR-EURIBOR-6M.FRA-1M-7M.MID,-0.00231 IR.EUR-EURIBOR-6M.FRA-2M-8M.MID,-0.00227 IR.EUR-EURIBOR-6M.FRA-3M-9M.MID,-0.002255 IR.EUR-EURIBOR-6M.FRA-4M-10M.MID,-0.00218 IR.EUR-EURIBOR-6M.FRA-5M-11M.MID,-0.00214 IR.EUR-EURIBOR-6M.FRA-6M-12M.MID,-0.002075 IR.EUR-EURIBOR-6M.FRA-7M-13M.MID,-0.00198 IR.EUR-EURIBOR-6M.FRA-8M-14M.MID,-0.00186 IR.EUR-EURIBOR-6M.FRA-9M-15M.MID,-0.001775 IR.EUR-EURIBOR-6M.FRA-10M-16M.MID,-0.00169 IR.EUR-EURIBOR-6M.FRA-11M-17M.MID,-0.00159 IR.EUR-EURIBOR-6M.FRA-12M-18M.MID,-0.00141 IR.EUR-EURIBOR-6M.SWAP-2Y.MID,-0.001603 IR.EUR-EURIBOR-6M.SWAP-3Y.MID,-0.000505 IR.EUR-EURIBOR-6M.SWAP-4Y.MID,0.00067 IR.EUR-EURIBOR-6M.SWAP-5Y.MID,0.00199 IR.EUR-EURIBOR-6M.SWAP-6Y.MID,0.003315 IR.EUR-EURIBOR-6M.SWAP-7Y.MID,0.0046 IR.EUR-EURIBOR-6M.SWAP-8Y.MID,0.00584 IR.EUR-EURIBOR-6M.SWAP-9Y.MID,0.00698 IR.EUR-EURIBOR-6M.SWAP-10Y.MID,0.00798 IR.EUR-EURIBOR-6M.SWAP-11Y.MID,0.00895 IR.EUR-EURIBOR-6M.SWAP-12Y.MID,0.009775 IR.EUR-EURIBOR-6M.SWAP-15Y.MID,0.01165 IR.EUR-EURIBOR-6M.SWAP-20Y.MID,0.013245 IR.EUR-EURIBOR-6M.SWAP-25Y.MID,0.013725 IR.EUR-EURIBOR-6M.SWAP-30Y.MID,0.01378

We can clearly see, that the system used for constructing market data tickers leads to scheme, in which every market data point will have one and only one unique ticker. This will then guarantee, that we can drill down and stress individual market data points with regex expressions, if so desired. This data should be copied into CSV file (directory has been defined in previous configuration file).

## Scenario configurations

The following screenshot shows XML configurations for one market scenario. One such scenario can have several different scenario items (Say, stress these rates up, stress those rates down, apply these changes to all FX rates against EUR and set hard-coded values for all CDS curves). From these configurations, ID and description are self-explainable. Attribute

**regExpression**captures all regex expressions (scenario items), which will be searched from risk factor tickers. As soon as regex match is found, the program will use corresponding

**operationType**attribute to identify desired stress operation (addition, multiplication or hard-coded value). Finally, the amount of change which will be applied in risk factor value is defined within

**stressValue**attribute. This XML configuration should be stored (directory has been defined in program configuration file).

<!-- operation types : 0 = ADDITION, 1 = MULTIPLICATION, 2 = HARD-CODED VALUE --> <Scenario> <ID>CURVE.STRESS</ID> <description>custom stress scenario for EUR swap curve</description> <regExpression>^IR.EUR-EURIBOR.CASH,^IR.EUR-EURIBOR-6M.FRA,^IR.EUR-EURIBOR-6M.SWAP</regExpression> <operationType>1,0,2</operationType> <stressValue>1.25,0.015,0.05</stressValue> </Scenario>

Finally, the following screenshot shows resulting market data, when all configured scenario items have been applied. This is the content of output CSV file, created by this Python program.

IR.EUR-EURIBOR.CASH-1BD.MID,-0.0045625 IR.EUR-EURIBOR.CASH-1W.MID,-0.0046625 IR.EUR-EURIBOR.CASH-1M.MID,-0.0045375 IR.EUR-EURIBOR.CASH-2M.MID,-0.004200000000000001 IR.EUR-EURIBOR.CASH-3M.MID,-0.0038624999999999996 IR.EUR-EURIBOR.CASH-6M.MID,-0.0029625000000000003 IR.EUR-EURIBOR-6M.FRA-1M-7M.MID,0.01269 IR.EUR-EURIBOR-6M.FRA-2M-8M.MID,0.01273 IR.EUR-EURIBOR-6M.FRA-3M-9M.MID,0.012745 IR.EUR-EURIBOR-6M.FRA-4M-10M.MID,0.01282 IR.EUR-EURIBOR-6M.FRA-5M-11M.MID,0.01286 IR.EUR-EURIBOR-6M.FRA-6M-12M.MID,0.012924999999999999 IR.EUR-EURIBOR-6M.FRA-7M-13M.MID,0.01302 IR.EUR-EURIBOR-6M.FRA-8M-14M.MID,0.013139999999999999 IR.EUR-EURIBOR-6M.FRA-9M-15M.MID,0.013224999999999999 IR.EUR-EURIBOR-6M.FRA-10M-16M.MID,0.013309999999999999 IR.EUR-EURIBOR-6M.FRA-11M-17M.MID,0.01341 IR.EUR-EURIBOR-6M.FRA-12M-18M.MID,0.01359 IR.EUR-EURIBOR-6M.SWAP-2Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-3Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-4Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-5Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-6Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-7Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-8Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-9Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-10Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-11Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-12Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-15Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-20Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-25Y.MID,0.05 IR.EUR-EURIBOR-6M.SWAP-30Y.MID,0.05

Handy way to create and test regex expressions is to use any online tool available. As an example, the first scenario item (

**^IR.EUR-EURIBOR.CASH**) has been applied to a given base market data. The last screenshot below shows all regex matches.

Have a great start for the year 2019 and thanks a lot again for reading my blog.

-Mike