Upload Market Params: example inputs

Upload Market Params

https://app.swaggerhub.com/apis/vannarho/market-params_upload_api/1.0.0

This is the set of definitions of the market.

To keep it simple, let's assume the following case:

• Portfolio: Composite of two Equity Swaps

• Market: Pseudo market as of 25/02/2021

• Analytics requested: NPV

curveconfig.xml

The configuration of various term structures required to price a portfolio is covered in a single configuration file which determines the composition of:

• Yield curves
• Default curves
• Inflation curves
• Equity forward price curves
• Swaption volatility structures
• Cap/Floor volatility structures
• FX Option volatility structures
• CDS volatility structures
• Inflation Cap/Floor price surfaces
• Equity volatility structures
• Security spreads and recovery rates
• Base correlation curves
• Correlation termstructures

At the top level, the syntax is:

 <YieldCurve>

  <CurveId> </CurveId>

  <CurveDescription> </CurveDescription>

  <Currency> </Currency>

  <DiscountCurve> </DiscountCurve>

  <Segments> </Segments>

  <InterpolationVariable> </InterpolationVariable>

  <InterpolationMethod> </InterpolationMethod>

  <ZeroDayCounter> </ZeroDayCounter>

  <Tolerance> </Tolerance>

  <Extrapolation> </Extrapolation>

  <BootstrapConfig>

...

 </BootstrapConfig>

</YieldCurve>

For our simple example, the file looks like this:

<?xml version="1.0"?>

<CurveConfiguration>

 <FXSpots/>

 <FXVolatilities/>

 <SwaptionVolatilities/>

 <YieldVolatilities/>

 <CapFloorVolatilities/>

 <CDSVolatilities/>

 <DefaultCurves/>

 <YieldCurves>

   <YieldCurve>

     <CurveId>EUR-EONIA</CurveId>

     <CurveDescription>EUR discount curve bootstrapped from OIS swap rates</CurveDescription>

     <Currency>EUR</Currency>

     <DiscountCurve>EUR-EONIA</DiscountCurve>

     <Segments>

       <Simple>

         <Type>Deposit</Type>

         <Quotes>

           <Quote>MM/RATE/EUR/0D/1D</Quote>

         </Quotes>

         <Conventions>EUR-ON-DEPOSIT</Conventions>

       </Simple>

       <Simple>

         <Type>OIS</Type>

         <Quotes>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/1W</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/2W</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/3W</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/1M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/2M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/3M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/4M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/5M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/6M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/7M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/8M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/9M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/10M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/11M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/1Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/15M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/18M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/21M</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/2Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/3Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/4Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/5Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/6Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/7Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/8Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/9Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/10Y</Quote>

           <Quote optional="true">IR_SWAP/RATE/EUR/2D/1D/11Y</Quote>

           <Quote optional="true">IR_SWAP/RATE/EUR/2D/1D/12Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/15Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/20Y</Quote>

           <Quote optional="true">IR_SWAP/RATE/EUR/2D/1D/25Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/1D/30Y</Quote>

         </Quotes>

         <Conventions>EUR-OIS</Conventions>

       </Simple>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

   <YieldCurve>

     <CurveId>EUR-EURIBOR-3M</CurveId>

     <CurveDescription>EUR EURIBOR 3M Index Curve</CurveDescription>

     <Currency>EUR</Currency>

     <DiscountCurve>EUR-EONIA</DiscountCurve>

     <Segments>

       <Simple>

         <Type>Deposit</Type>

         <Quotes>

           <Quote>MM/RATE/EUR/2D/3M</Quote>

         </Quotes>

         <Conventions>EUR-DEPOSIT</Conventions>

       </Simple>

       <Simple>

         <Type>FRA</Type>

         <Quotes>

           <Quote>FRA/RATE/EUR/1M/3M</Quote>

           <Quote>FRA/RATE/EUR/2M/3M</Quote>

           <Quote>FRA/RATE/EUR/3M/3M</Quote>

           <Quote>FRA/RATE/EUR/4M/3M</Quote>

           <Quote>FRA/RATE/EUR/5M/3M</Quote>

           <Quote>FRA/RATE/EUR/6M/3M</Quote>

           <Quote>FRA/RATE/EUR/7M/3M</Quote>

           <Quote>FRA/RATE/EUR/8M/3M</Quote>

           <Quote>FRA/RATE/EUR/9M/3M</Quote>

           <Quote>FRA/RATE/EUR/12M/3M</Quote>

           <Quote optional="true">FRA/RATE/EUR/15M/3M</Quote>

           <Quote optional="true">FRA/RATE/EUR/18M/3M</Quote>

         </Quotes>

         <Conventions>EUR-3M-FRA</Conventions>

         <ProjectionCurve>EUR-EURIBOR-3M</ProjectionCurve>

       </Simple>

       <TenorBasis>

         <Type>Tenor Basis Two Swaps</Type>

         <Quotes>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/2Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/3Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/4Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/5Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/6Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/7Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/8Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/9Y</Quote>

           <Quote>BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/10Y</Quote>

           <Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/12Y</Quote>

           <Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/15Y</Quote>

           <Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/20Y</Quote>

           <Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/25Y</Quote>

           <Quote optional="true">BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/30Y</Quote>

         </Quotes>

         <Conventions>EURIBOR-3M-6M-BASIS</Conventions>

         <ProjectionCurveLong>EUR-EURIBOR-6M</ProjectionCurveLong>

         <ProjectionCurveShort>EUR-EURIBOR-3M</ProjectionCurveShort>

       </TenorBasis>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

   <YieldCurve>

     <CurveId>EUR-EURIBOR-6M</CurveId>

     <CurveDescription>EUR EURIBOR 6M Index Curve</CurveDescription>

     <Currency>EUR</Currency>

     <DiscountCurve>EUR-EONIA</DiscountCurve>

     <Segments>

       <Simple>

         <Type>Deposit</Type>

         <Quotes>

           <Quote>MM/RATE/EUR/2D/6M</Quote>

         </Quotes>

         <Conventions>EUR-DEPOSIT</Conventions>

       </Simple>

       <Simple>

         <Type>FRA</Type>

         <Quotes>

           <Quote>FRA/RATE/EUR/1M/6M</Quote>

           <Quote>FRA/RATE/EUR/2M/6M</Quote>

           <Quote>FRA/RATE/EUR/3M/6M</Quote>

           <Quote>FRA/RATE/EUR/4M/6M</Quote>

           <Quote>FRA/RATE/EUR/5M/6M</Quote>

           <Quote>FRA/RATE/EUR/6M/6M</Quote>

           <Quote>FRA/RATE/EUR/9M/6M</Quote>

           <Quote>FRA/RATE/EUR/12M/6M</Quote>

         </Quotes>

         <Conventions>EUR-6M-FRA</Conventions>

         <ProjectionCurve>EUR-EURIBOR-6M</ProjectionCurve>

       </Simple>

       <Simple>

         <Type>Swap</Type>

         <Quotes>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/2Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/3Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/4Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/5Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/6Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/7Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/8Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/9Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/10Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/12Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/15Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/20Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/25Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/30Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/40Y</Quote>

           <Quote>IR_SWAP/RATE/EUR/2D/6M/50Y</Quote>

         </Quotes>

         <Conventions>EUR-EURIBOR-6M-SWAP</Conventions>

         <ProjectionCurve>EUR-EURIBOR-6M</ProjectionCurve>

       </Simple>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

   <YieldCurve>

     <CurveId>USD-FedFunds</CurveId>

     <CurveDescription>USD discount curve bootstrapped from FED FUNDS swap rates</CurveDescription>

     <Currency>USD</Currency>

     <DiscountCurve>USD-FedFunds</DiscountCurve>

     <Segments>

       <Simple>

         <Type>Deposit</Type>

         <Quotes>

           <Quote>MM/RATE/USD/0D/1D</Quote>

         </Quotes>

         <Conventions>USD-ON-DEPOSIT</Conventions>

       </Simple>

       <Simple>

         <Type>OIS</Type>

         <Quotes>

           <Quote optional="true">IR_SWAP/RATE/USD/2D/1D/1W</Quote>

           <Quote optional="true">IR_SWAP/RATE/USD/2D/1D/2W</Quote>

           <Quote optional="true">IR_SWAP/RATE/USD/2D/1D/3W</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/1M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/2M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/3M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/4M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/5M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/6M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/7M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/8M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/9M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/10M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/11M</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/1D/1Y</Quote>

         </Quotes>

         <Conventions>USD-OIS</Conventions>

       </Simple>

       <AverageOIS>

         <Type>Average OIS</Type>

         <Quotes>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/2Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/2Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/3Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/3Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/4Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/4Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/5Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/5Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/7Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/7Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/10Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/15Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/15Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/20Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/20Y</RateQuote>

           </CompositeQuote>

           <CompositeQuote>

             <SpreadQuote>BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/30Y</SpreadQuote>

             <RateQuote>IR_SWAP/RATE/USD/2D/3M/30Y</RateQuote>

           </CompositeQuote>

         </Quotes>

         <Conventions>USD-AVERAGE-OIS</Conventions>

       </AverageOIS>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

   <YieldCurve>

     <CurveId>USD-IN-EUR</CurveId>

     <CurveDescription>USD collateralised in EUR discount curve</CurveDescription>

     <Currency>USD</Currency>

     <DiscountCurve/>

     <Segments>

       <CrossCurrency>

         <Type>FX Forward</Type>

         <Quotes>

           <Quote>FXFWD/RATE/EUR/USD/1W</Quote>

           <Quote>FXFWD/RATE/EUR/USD/2W</Quote>

           <Quote>FXFWD/RATE/EUR/USD/3W</Quote>

           <Quote>FXFWD/RATE/EUR/USD/1M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/2M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/3M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/4M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/5M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/6M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/7M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/8M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/9M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/10M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/11M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/1Y</Quote>

           <Quote>FXFWD/RATE/EUR/USD/15M</Quote>

           <Quote>FXFWD/RATE/EUR/USD/18M</Quote>

           <Quote optional="true">FXFWD/RATE/EUR/USD/21M</Quote>

         </Quotes>

         <Conventions>EUR-USD-FX</Conventions>

         <DiscountCurve>EUR-EONIA</DiscountCurve>

         <SpotRate>FX/RATE/EUR/USD</SpotRate>

       </CrossCurrency>

       <CrossCurrency>

         <Type>Cross Currency Basis Swap</Type>

         <Quotes>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/2Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/3Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/4Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y</Quote>

           <Quote optional="true">CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/6Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/7Y</Quote>

           <Quote optional="true">CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/8Y</Quote>

           <Quote optional="true">CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/9Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y</Quote>

           <Quote optional="true">CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/12Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/15Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/20Y</Quote>

           <Quote optional="true">CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/25Y</Quote>

           <Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/30Y</Quote>

         </Quotes>

         <Conventions>EUR-USD-XCCY-BASIS</Conventions>

         <DiscountCurve>EUR-EONIA</DiscountCurve>

         <SpotRate>FX/RATE/EUR/USD</SpotRate>

         <ProjectionCurveDomestic>USD-LIBOR-3M</ProjectionCurveDomestic>

         <ProjectionCurveForeign>EUR-EURIBOR-3M</ProjectionCurveForeign>

       </CrossCurrency>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

   <YieldCurve>

     <CurveId>USD-LIBOR-3M</CurveId>

     <CurveDescription>USD LIBOR 3M Index Curve</CurveDescription>

     <Currency>USD</Currency>

     <DiscountCurve>USD-FedFunds</DiscountCurve>

     <Segments>

       <Simple>

         <Type>Deposit</Type>

         <Quotes>

           <Quote>MM/RATE/USD/2D/3M</Quote>

         </Quotes>

         <Conventions>USD-DEPOSIT</Conventions>

       </Simple>

       <Simple>

         <Type>FRA</Type>

         <Quotes>

           <Quote>FRA/RATE/USD/1M/3M</Quote>

           <Quote>FRA/RATE/USD/2M/3M</Quote>

           <Quote>FRA/RATE/USD/3M/3M</Quote>

           <Quote>FRA/RATE/USD/4M/3M</Quote>

           <Quote>FRA/RATE/USD/5M/3M</Quote>

           <Quote>FRA/RATE/USD/6M/3M</Quote>

           <Quote>FRA/RATE/USD/7M/3M</Quote>

           <Quote>FRA/RATE/USD/8M/3M</Quote>

           <Quote>FRA/RATE/USD/9M/3M</Quote>

         </Quotes>

         <Conventions>USD-3M-FRA</Conventions>

         <ProjectionCurve>USD-LIBOR-3M</ProjectionCurve>

       </Simple>

       <Simple>

         <Type>Swap</Type>

         <Quotes>

           <Quote>IR_SWAP/RATE/USD/2D/3M/2Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/3Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/4Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/5Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/6Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/7Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/8Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/9Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/10Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/12Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/15Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/20Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/25Y</Quote>

           <Quote>IR_SWAP/RATE/USD/2D/3M/30Y</Quote>

           <Quote optional="true">IR_SWAP/RATE/USD/2D/3M/40Y</Quote>

           <Quote optional="true">IR_SWAP/RATE/USD/2D/3M/50Y</Quote>

         </Quotes>

         <Conventions>USD-LIBOR-3M-SWAP</Conventions>

         <ProjectionCurve>USD-LIBOR-3M</ProjectionCurve>

       </Simple>

     </Segments>

     <InterpolationVariable>Discount</InterpolationVariable>

     <InterpolationMethod>LogLinear</InterpolationMethod>

     <YieldCurveDayCounter>A365</YieldCurveDayCounter>

     <Tolerance>0.0000000000010000</Tolerance>

     <Extrapolation>true</Extrapolation>

     <BootstrapConfig>

       <Accuracy>0.0000000000010000</Accuracy>

       <GlobalAccuracy>0.0000000000010000</GlobalAccuracy>

       <DontThrow>false</DontThrow>

       <MaxAttempts>5</MaxAttempts>

       <MaxFactor>2</MaxFactor>

       <MinFactor>2</MinFactor>

       <DontThrowSteps>10</DontThrowSteps>

     </BootstrapConfig>

   </YieldCurve>

 </YieldCurves>

 <InflationCurves/>

 <InflationCapFloorVolatilities/>

 <EquityCurves>

   <EquityCurve>

     <CurveId>RIC:.SPX</CurveId>

     <CurveDescription>Standard and Poor's Corp</CurveDescription>

     <Currency>USD</Currency>

     <ForecastingCurve>USD-FedFunds</ForecastingCurve>

     <Type>ForwardPrice</Type>

     <SpotQuote>EQUITY/PRICE/RIC:.SPX/USD</SpotQuote>

     <Quotes>

       <Quote>EQUITY_FWD/PRICE/RIC:.SPX/USD/*</Quote>

     </Quotes>

     <DayCounter>A365</DayCounter>

     <Extrapolation>true</Extrapolation>

   </EquityCurve>

 </EquityCurves>

 <EquityVolatilities/>

 <Securities/>

 <BaseCorrelations/>

 <CommodityCurves/>

 <CommodityVolatilities/>

 <Correlations/>

</CurveConfiguration>

marketdata.txt

This is the current rates / prices for all instrument types. We expect that most firms will have existing market data contracts (e.g. with Refinitiv and/or Bloomberg). We have mappings to both RIC and BBG codes. 

Instrument Types: ZERO, DISCOUNT, MM, MM_FUTURE, FRA, IMM_FRA, IR_SWAP, BASIS_SWAP, CC_BASIS_SWAP,CDS, CDS_INDEX, FX_SPOT, FX_FWD, SWAPTION, CAPFLOOR, FX_OPTION, HAZ- ARD_RATE, RE- COVERY_RATE, ZC_INFLATIONSWAP, YY_INFLATIONSWAP, ZC_INFLATIONCAPFLOOR, SEASONALITY, EQ- UITY_SPOT, EQ- UITY_FWD, EQ- UITY_DIVIDEND, EQ- UITY_OPTION, BOND, INDEX_CDS_OPTION, CPR, COMMODITY, COMMODITY_FWD, COMMODITY_OPTION

Quote Type: BASIS_SPREAD, CREDIT_SPREAD, YIELD_SPREAD, HAZARD_RATE,
RATE, RATIO, PRICE, RATE_LNVOL, RATE_NVOL, RATE_SLNVOL, BASE_CORRELATION, SHIFT

For our simple example, the file looks like this:

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-04 3830.1523

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-27 3829.1956

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-05-26 3821.2732

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-06-25 3818.3918

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-07-25 3815.4668

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-08-24 3811.396

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-11-22 3797.6182

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2022-02-20 3784.0659

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2023-02-15 3738.6997

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2024-02-10 3702.7834

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-04-26 3825.3547

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-11 3829.1533

2021-02-25 EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-18 3828.1455

2021-02-25 IR_SWAP/RATE/USD/2D/1D/2W 0.0007

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y 0.0019375

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/15Y 0.001925

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/1Y 0.0010125

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/20Y 0.001925

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/2Y 0.001125

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/30Y 0.0019375

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/3M 0.0011

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/3Y 0.001375

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/4Y 0.0016125

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/5Y 0.00175

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/6M 0.00093125

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/7Y 0.0019

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/9M 0.000925

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/10Y -0.029313

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/12Y -0.029213

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/15Y -0.029063

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/18M -0.030725

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/1Y -0.030763

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/20Y -0.028813

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/25Y -0.028688

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/2Y -0.03065

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/30Y -0.0286

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/3M -0.030575

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/3Y -0.030388

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/4Y -0.03005

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/5Y -0.02985

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/6M -0.03085

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/7Y -0.029613

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_PRIME/9M -0.03085

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/10Y 0.002088

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/12Y 0.002125

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/15Y 0.002175

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/18M 0.001138

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/1Y 0.00115

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/20Y 0.002238

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/25Y 0.002288

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/2Y 0.001175

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/30Y 0.002313

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/35Y 0.002325

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/3Y 0.001413

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/40Y 0.002325

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/45Y 0.002338

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/4Y 0.001663

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/50Y 0.00235

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/5Y 0.001813

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/6Y 0.001925

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/7Y 0.001988

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/8Y 0.002025

2021-02-25 BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/LIBOR_SOFR/9Y 0.002063

2021-02-25 EQUITY/PRICE/RIC:.SPX/USD 3829.34

2021-02-25 FRA/RATE/USD/12M/3M 0.001867

2021-02-25 FRA/RATE/USD/12M/6M 0.00243

2021-02-25 FRA/RATE/USD/15M/3M 0.002342

2021-02-25 FRA/RATE/USD/18M/3M 0.00308

2021-02-25 FRA/RATE/USD/18M/6M 0.00381

2021-02-25 FRA/RATE/USD/1M/3M 0.00154

2021-02-25 FRA/RATE/USD/1M/6M 0.001782

2021-02-25 FRA/RATE/USD/2M/3M 0.00157

2021-02-25 FRA/RATE/USD/2M/6M 0.001748

2021-02-25 FRA/RATE/USD/3M/3M 0.00158

2021-02-25 FRA/RATE/USD/3M/6M 0.001765

2021-02-25 FRA/RATE/USD/4M/3M 0.001494

2021-02-25 FRA/RATE/USD/4M/6M 0.00191

2021-02-25 FRA/RATE/USD/5M/3M 0.001507

2021-02-25 FRA/RATE/USD/5M/6M 0.00201

2021-02-25 FRA/RATE/USD/6M/3M 0.001616

2021-02-25 FRA/RATE/USD/6M/6M 0.00212

2021-02-25 FRA/RATE/USD/7M/3M 0.001775

2021-02-25 FRA/RATE/USD/8M/3M 0.00199

2021-02-25 FRA/RATE/USD/9M/3M 0.002055

2021-02-25 FRA/RATE/USD/9M/6M 0.00228

2021-02-25 IR_SWAP/RATE/USD/2D/1D/10M 0.00088

2021-02-25 IR_SWAP/RATE/USD/2D/1D/10Y 0.01366

2021-02-25 IR_SWAP/RATE/USD/2D/1D/11M 0.00089

2021-02-25 IR_SWAP/RATE/USD/2D/1D/12Y 0.01516

2021-02-25 IR_SWAP/RATE/USD/2D/1D/15M 0.0009

2021-02-25 IR_SWAP/RATE/USD/2D/1D/15Y 0.01652

2021-02-25 IR_SWAP/RATE/USD/2D/1D/18M 0.001

2021-02-25 IR_SWAP/RATE/USD/2D/1D/1M 0.00072

2021-02-25 IR_SWAP/RATE/USD/2D/1D/1Y 0.00089

2021-02-25 IR_SWAP/RATE/USD/2D/1D/20Y 0.01733

2021-02-25 IR_SWAP/RATE/USD/2D/1D/21M 0.00115

2021-02-25 IR_SWAP/RATE/USD/2D/1D/25Y 0.01762

2021-02-25 IR_SWAP/RATE/USD/2D/1D/2M 0.00076

2021-02-25 IR_SWAP/RATE/USD/2D/1D/2Y 0.00136

2021-02-25 IR_SWAP/RATE/USD/2D/1D/30Y 0.01763

2021-02-25 IR_SWAP/RATE/USD/2D/1D/3M 0.00081

2021-02-25 IR_SWAP/RATE/USD/2D/1D/3Y 0.00301

2021-02-25 IR_SWAP/RATE/USD/2D/1D/4M 0.00083

2021-02-25 IR_SWAP/RATE/USD/2D/1D/4Y 0.00512

2021-02-25 IR_SWAP/RATE/USD/2D/1D/5M 0.00084

2021-02-25 IR_SWAP/RATE/USD/2D/1D/5Y 0.0071

2021-02-25 IR_SWAP/RATE/USD/2D/1D/6M 0.00086

2021-02-25 IR_SWAP/RATE/USD/2D/1D/6Y 0.00883

2021-02-25 IR_SWAP/RATE/USD/2D/1D/7M 0.00087

2021-02-25 IR_SWAP/RATE/USD/2D/1D/7Y 0.01031

2021-02-25 IR_SWAP/RATE/USD/2D/1D/8M 0.00087

2021-02-25 IR_SWAP/RATE/USD/2D/1D/8Y 0.01159

2021-02-25 IR_SWAP/RATE/USD/2D/1D/9M 0.00088

2021-02-25 IR_SWAP/RATE/USD/2D/1D/9Y 0.01269

2021-02-25 IR_SWAP/RATE/USD/2D/3M/10Y 0.01555

2021-02-25 IR_SWAP/RATE/USD/2D/3M/12Y 0.01657

2021-02-25 IR_SWAP/RATE/USD/2D/3M/15Y 0.018159

2021-02-25 IR_SWAP/RATE/USD/2D/3M/1Y 0.00184

2021-02-25 IR_SWAP/RATE/USD/2D/3M/20Y 0.019189

2021-02-25 IR_SWAP/RATE/USD/2D/3M/25Y 0.019579

2021-02-25 IR_SWAP/RATE/USD/2D/3M/2Y 0.002486

2021-02-25 IR_SWAP/RATE/USD/2D/3M/30Y 0.019575

2021-02-25 IR_SWAP/RATE/USD/2D/3M/3Y 0.004323

2021-02-25 IR_SWAP/RATE/USD/2D/3M/40Y 0.01933

2021-02-25 IR_SWAP/RATE/USD/2D/3M/4Y 0.006657

2021-02-25 IR_SWAP/RATE/USD/2D/3M/50Y 0.0186

2021-02-25 IR_SWAP/RATE/USD/2D/3M/5Y 0.00828

2021-02-25 IR_SWAP/RATE/USD/2D/3M/6Y 0.010614

2021-02-25 IR_SWAP/RATE/USD/2D/3M/7Y 0.012198

2021-02-25 IR_SWAP/RATE/USD/2D/3M/8Y 0.01351

2021-02-25 IR_SWAP/RATE/USD/2D/3M/9Y 0.014616

2021-02-25 MM/RATE/USD/0D/1D 0.0007

2021-02-25 MM/RATE/USD/2D/3M 0.001905