Skip to content

Add Base Currency column to scenario reports #335

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
mattmenefee wants to merge 2 commits into
base: master
Choose a base branch
from
Open

Add Base Currency column to scenario reports #335

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
90c4f8f
Add Base Currency column to scenario reports
mattmenefee Mar 7, 2026
22dcc56
Remove remaining nose references, complete migration to pytest
mattmenefee Mar 7, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
8,846 changes: 4,423 additions & 4,423 deletions Examples/Legacy/Example_15/ExpectedOutput/scenario.csv
View file
Open in desktop

Large diffs are not rendered by default.

146 changes: 73 additions & 73 deletions Examples/Legacy/Example_16/ExpectedOutput/scenario.csv
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,73 +1,73 @@
#TradeId,Factor,Up/Down,Base NPV,ShiftSize_1,ShiftSize_2,Scenario NPV,Difference
EqCall_SP5,DiscountCurve/USD/2/2Y,Up,179760.02,0.000100,#N/A,179724.03,-36.00
EqCall_SP5,DiscountCurve/USD/2/2Y,Down,179760.02,0.000100,#N/A,179796.03,36.00
EqCall_SP5,EquitySpot/SP5/0/spot,Up,179760.02,21.475600,#N/A,187360.73,7600.70
EqCall_SP5,EquitySpot/SP5/0/spot,Down,179760.02,21.475600,#N/A,172315.62,-7444.40
EqFwd_SP5,DiscountCurve/USD/2/2Y,Up,38240.13,0.000100,#N/A,38232.47,-7.66
EqFwd_SP5,DiscountCurve/USD/2/2Y,Down,38240.13,0.000100,#N/A,38247.79,7.66
EqFwd_SP5,EquitySpot/SP5/0/spot,Up,38240.13,21.475600,#N/A,24308.13,-13932.00
EqFwd_SP5,EquitySpot/SP5/0/spot,Down,38240.13,21.475600,#N/A,52172.13,13932.00
EqPut_SP5,DiscountCurve/USD/2/2Y,Up,-218000.15,0.000100,#N/A,-217956.50,43.66
EqPut_SP5,DiscountCurve/USD/2/2Y,Down,-218000.15,0.000100,#N/A,-218043.82,-43.66
EqPut_SP5,EquitySpot/SP5/0/spot,Up,-218000.15,21.475600,#N/A,-211668.86,6331.30
EqPut_SP5,EquitySpot/SP5/0/spot,Down,-218000.15,21.475600,#N/A,-224487.75,-6487.60
EquitySwap_1,DiscountCurve/USD/0/6M,Up,22135599.45,0.000000,#N/A,22135513.17,-86.28
EquitySwap_1,DiscountCurve/USD/1/1Y,Up,22135599.45,0.000100,#N/A,22135441.47,-157.98
EquitySwap_1,DiscountCurve/USD/2/2Y,Up,22135599.45,0.000100,#N/A,22135163.49,-435.96
EquitySwap_1,DiscountCurve/USD/3/3Y,Up,22135599.45,0.000100,#N/A,22134534.79,-1064.66
EquitySwap_1,DiscountCurve/USD/4/5Y,Up,22135599.45,0.000100,#N/A,22133620.00,-1979.45
EquitySwap_1,DiscountCurve/USD/5/7Y,Up,22135599.45,0.000000,#N/A,22132090.55,-3508.90
EquitySwap_1,DiscountCurve/USD/6/10Y,Up,22135599.45,0.000100,#N/A,22132470.90,-3128.55
EquitySwap_1,DiscountCurve/USD/0/6M,Down,22135599.45,0.000000,#N/A,22135685.73,86.28
EquitySwap_1,DiscountCurve/USD/1/1Y,Down,22135599.45,0.000100,#N/A,22135757.44,157.99
EquitySwap_1,DiscountCurve/USD/2/2Y,Down,22135599.45,0.000100,#N/A,22136035.47,436.02
EquitySwap_1,DiscountCurve/USD/3/3Y,Down,22135599.45,0.000100,#N/A,22136664.34,1064.89
EquitySwap_1,DiscountCurve/USD/4/5Y,Down,22135599.45,0.000100,#N/A,22137579.56,1980.11
EquitySwap_1,DiscountCurve/USD/5/7Y,Down,22135599.45,0.000000,#N/A,22139110.00,3510.55
EquitySwap_1,DiscountCurve/USD/6/10Y,Down,22135599.45,0.000100,#N/A,22138730.16,3130.71
EquitySwap_1,IndexCurve/USD-LIBOR-3M/0/6M,Up,22135599.45,0.000000,#N/A,22133444.16,-2155.29
EquitySwap_1,IndexCurve/USD-LIBOR-3M/1/1Y,Up,22135599.45,0.000100,#N/A,22135699.85,100.40
EquitySwap_1,IndexCurve/USD-LIBOR-3M/2/2Y,Up,22135599.45,0.000100,#N/A,22135887.78,288.33
EquitySwap_1,IndexCurve/USD-LIBOR-3M/3/3Y,Up,22135599.45,0.000100,#N/A,22136413.87,814.42
EquitySwap_1,IndexCurve/USD-LIBOR-3M/4/5Y,Up,22135599.45,0.000100,#N/A,22137381.25,1781.80
EquitySwap_1,IndexCurve/USD-LIBOR-3M/5/7Y,Up,22135599.45,0.000000,#N/A,22139080.54,3481.09
EquitySwap_1,IndexCurve/USD-LIBOR-3M/6/10Y,Up,22135599.45,0.000100,#N/A,22209871.90,74272.45
EquitySwap_1,IndexCurve/USD-LIBOR-3M/0/6M,Down,22135599.45,0.000000,#N/A,22137754.91,2155.46
EquitySwap_1,IndexCurve/USD-LIBOR-3M/1/1Y,Down,22135599.45,0.000100,#N/A,22135499.70,-99.75
EquitySwap_1,IndexCurve/USD-LIBOR-3M/2/2Y,Down,22135599.45,0.000100,#N/A,22135312.84,-286.61
EquitySwap_1,IndexCurve/USD-LIBOR-3M/3/3Y,Down,22135599.45,0.000100,#N/A,22134787.98,-811.47
EquitySwap_1,IndexCurve/USD-LIBOR-3M/4/5Y,Down,22135599.45,0.000100,#N/A,22133822.82,-1776.63
EquitySwap_1,IndexCurve/USD-LIBOR-3M/5/7Y,Down,22135599.45,0.000000,#N/A,22132126.24,-3473.21
EquitySwap_1,IndexCurve/USD-LIBOR-3M/6/10Y,Down,22135599.45,0.000100,#N/A,22061333.18,-74266.27
EquitySwap_1,EquitySpot/SP5/0/spot,Up,22135599.45,21.475600,#N/A,21342385.76,-793213.69
EquitySwap_1,EquitySpot/SP5/0/spot,Down,22135599.45,21.475600,#N/A,22928813.14,793213.69
EquitySwap_2,DiscountCurve/USD/0/6M,Up,7745009.22,0.000000,#N/A,7744948.93,-60.29
EquitySwap_2,DiscountCurve/USD/1/1Y,Up,7745009.22,0.000100,#N/A,7744962.40,-46.82
EquitySwap_2,DiscountCurve/USD/2/2Y,Up,7745009.22,0.000100,#N/A,7744879.36,-129.86
EquitySwap_2,DiscountCurve/USD/3/3Y,Up,7745009.22,0.000100,#N/A,7744692.39,-316.83
EquitySwap_2,DiscountCurve/USD/4/5Y,Up,7745009.22,0.000100,#N/A,7744426.30,-582.91
EquitySwap_2,DiscountCurve/USD/5/7Y,Up,7745009.22,0.000000,#N/A,7744026.76,-982.45
EquitySwap_2,DiscountCurve/USD/6/10Y,Up,7745009.22,0.000100,#N/A,7744209.53,-799.69
EquitySwap_2,DiscountCurve/USD/0/6M,Down,7745009.22,0.000000,#N/A,7745069.50,60.29
EquitySwap_2,DiscountCurve/USD/1/1Y,Down,7745009.22,0.000100,#N/A,7745056.04,46.82
EquitySwap_2,DiscountCurve/USD/2/2Y,Down,7745009.22,0.000100,#N/A,7745139.09,129.87
EquitySwap_2,DiscountCurve/USD/3/3Y,Down,7745009.22,0.000100,#N/A,7745326.11,316.90
EquitySwap_2,DiscountCurve/USD/4/5Y,Down,7745009.22,0.000100,#N/A,7745592.32,583.11
EquitySwap_2,DiscountCurve/USD/5/7Y,Down,7745009.22,0.000000,#N/A,7745992.13,982.92
EquitySwap_2,DiscountCurve/USD/6/10Y,Down,7745009.22,0.000100,#N/A,7745809.45,800.23
EquitySwap_2,IndexCurve/USD-LIBOR-3M/0/6M,Up,7745009.22,0.000000,#N/A,7742853.92,-2155.29
EquitySwap_2,IndexCurve/USD-LIBOR-3M/1/1Y,Up,7745009.22,0.000100,#N/A,7745109.62,100.40
EquitySwap_2,IndexCurve/USD-LIBOR-3M/2/2Y,Up,7745009.22,0.000100,#N/A,7745297.55,288.33
EquitySwap_2,IndexCurve/USD-LIBOR-3M/3/3Y,Up,7745009.22,0.000100,#N/A,7745823.64,814.42
EquitySwap_2,IndexCurve/USD-LIBOR-3M/4/5Y,Up,7745009.22,0.000100,#N/A,7746791.01,1781.80
EquitySwap_2,IndexCurve/USD-LIBOR-3M/5/7Y,Up,7745009.22,0.000000,#N/A,7748490.31,3481.09
EquitySwap_2,IndexCurve/USD-LIBOR-3M/6/10Y,Up,7745009.22,0.000100,#N/A,7819281.67,74272.45
EquitySwap_2,IndexCurve/USD-LIBOR-3M/0/6M,Down,7745009.22,0.000000,#N/A,7747164.67,2155.46
EquitySwap_2,IndexCurve/USD-LIBOR-3M/1/1Y,Down,7745009.22,0.000100,#N/A,7744909.47,-99.75
EquitySwap_2,IndexCurve/USD-LIBOR-3M/2/2Y,Down,7745009.22,0.000100,#N/A,7744722.61,-286.61
EquitySwap_2,IndexCurve/USD-LIBOR-3M/3/3Y,Down,7745009.22,0.000100,#N/A,7744197.75,-811.47
EquitySwap_2,IndexCurve/USD-LIBOR-3M/4/5Y,Down,7745009.22,0.000100,#N/A,7743232.59,-1776.63
EquitySwap_2,IndexCurve/USD-LIBOR-3M/5/7Y,Down,7745009.22,0.000000,#N/A,7741536.00,-3473.21
EquitySwap_2,IndexCurve/USD-LIBOR-3M/6/10Y,Down,7745009.22,0.000100,#N/A,7670742.95,-74266.27
EquitySwap_2,EquitySpot/SP5/0/spot,Up,7745009.22,21.475600,#N/A,6807889.62,-937119.59
EquitySwap_2,EquitySpot/SP5/0/spot,Down,7745009.22,21.475600,#N/A,8682128.81,937119.59
#TradeId,Factor,Up/Down,Base NPV,Base Currency,ShiftSize_1,ShiftSize_2,Scenario NPV,Difference
EqCall_SP5,DiscountCurve/USD/2/2Y,Up,179760.02,EUR,0.000100,#N/A,179724.03,-36.00
EqCall_SP5,DiscountCurve/USD/2/2Y,Down,179760.02,EUR,0.000100,#N/A,179796.03,36.00
EqCall_SP5,EquitySpot/SP5/0/spot,Up,179760.02,EUR,21.475600,#N/A,187360.73,7600.70
EqCall_SP5,EquitySpot/SP5/0/spot,Down,179760.02,EUR,21.475600,#N/A,172315.62,-7444.40
EqFwd_SP5,DiscountCurve/USD/2/2Y,Up,38240.13,EUR,0.000100,#N/A,38232.47,-7.66
EqFwd_SP5,DiscountCurve/USD/2/2Y,Down,38240.13,EUR,0.000100,#N/A,38247.79,7.66
EqFwd_SP5,EquitySpot/SP5/0/spot,Up,38240.13,EUR,21.475600,#N/A,24308.13,-13932.00
EqFwd_SP5,EquitySpot/SP5/0/spot,Down,38240.13,EUR,21.475600,#N/A,52172.13,13932.00
EqPut_SP5,DiscountCurve/USD/2/2Y,Up,-218000.15,EUR,0.000100,#N/A,-217956.50,43.66
EqPut_SP5,DiscountCurve/USD/2/2Y,Down,-218000.15,EUR,0.000100,#N/A,-218043.82,-43.66
EqPut_SP5,EquitySpot/SP5/0/spot,Up,-218000.15,EUR,21.475600,#N/A,-211668.86,6331.30
EqPut_SP5,EquitySpot/SP5/0/spot,Down,-218000.15,EUR,21.475600,#N/A,-224487.75,-6487.60
EquitySwap_1,DiscountCurve/USD/0/6M,Up,22135599.45,EUR,0.000000,#N/A,22135513.17,-86.28
EquitySwap_1,DiscountCurve/USD/1/1Y,Up,22135599.45,EUR,0.000100,#N/A,22135441.47,-157.98
EquitySwap_1,DiscountCurve/USD/2/2Y,Up,22135599.45,EUR,0.000100,#N/A,22135163.49,-435.96
EquitySwap_1,DiscountCurve/USD/3/3Y,Up,22135599.45,EUR,0.000100,#N/A,22134534.79,-1064.66
EquitySwap_1,DiscountCurve/USD/4/5Y,Up,22135599.45,EUR,0.000100,#N/A,22133620.00,-1979.45
EquitySwap_1,DiscountCurve/USD/5/7Y,Up,22135599.45,EUR,0.000000,#N/A,22132090.55,-3508.90
EquitySwap_1,DiscountCurve/USD/6/10Y,Up,22135599.45,EUR,0.000100,#N/A,22132470.90,-3128.55
EquitySwap_1,DiscountCurve/USD/0/6M,Down,22135599.45,EUR,0.000000,#N/A,22135685.73,86.28
EquitySwap_1,DiscountCurve/USD/1/1Y,Down,22135599.45,EUR,0.000100,#N/A,22135757.44,157.99
EquitySwap_1,DiscountCurve/USD/2/2Y,Down,22135599.45,EUR,0.000100,#N/A,22136035.47,436.02
EquitySwap_1,DiscountCurve/USD/3/3Y,Down,22135599.45,EUR,0.000100,#N/A,22136664.34,1064.89
EquitySwap_1,DiscountCurve/USD/4/5Y,Down,22135599.45,EUR,0.000100,#N/A,22137579.56,1980.11
EquitySwap_1,DiscountCurve/USD/5/7Y,Down,22135599.45,EUR,0.000000,#N/A,22139110.00,3510.55
EquitySwap_1,DiscountCurve/USD/6/10Y,Down,22135599.45,EUR,0.000100,#N/A,22138730.16,3130.71
EquitySwap_1,IndexCurve/USD-LIBOR-3M/0/6M,Up,22135599.45,EUR,0.000000,#N/A,22133444.16,-2155.29
EquitySwap_1,IndexCurve/USD-LIBOR-3M/1/1Y,Up,22135599.45,EUR,0.000100,#N/A,22135699.85,100.40
EquitySwap_1,IndexCurve/USD-LIBOR-3M/2/2Y,Up,22135599.45,EUR,0.000100,#N/A,22135887.78,288.33
EquitySwap_1,IndexCurve/USD-LIBOR-3M/3/3Y,Up,22135599.45,EUR,0.000100,#N/A,22136413.87,814.42
EquitySwap_1,IndexCurve/USD-LIBOR-3M/4/5Y,Up,22135599.45,EUR,0.000100,#N/A,22137381.25,1781.80
EquitySwap_1,IndexCurve/USD-LIBOR-3M/5/7Y,Up,22135599.45,EUR,0.000000,#N/A,22139080.54,3481.09
EquitySwap_1,IndexCurve/USD-LIBOR-3M/6/10Y,Up,22135599.45,EUR,0.000100,#N/A,22209871.90,74272.45
EquitySwap_1,IndexCurve/USD-LIBOR-3M/0/6M,Down,22135599.45,EUR,0.000000,#N/A,22137754.91,2155.46
EquitySwap_1,IndexCurve/USD-LIBOR-3M/1/1Y,Down,22135599.45,EUR,0.000100,#N/A,22135499.70,-99.75
EquitySwap_1,IndexCurve/USD-LIBOR-3M/2/2Y,Down,22135599.45,EUR,0.000100,#N/A,22135312.84,-286.61
EquitySwap_1,IndexCurve/USD-LIBOR-3M/3/3Y,Down,22135599.45,EUR,0.000100,#N/A,22134787.98,-811.47
EquitySwap_1,IndexCurve/USD-LIBOR-3M/4/5Y,Down,22135599.45,EUR,0.000100,#N/A,22133822.82,-1776.63
EquitySwap_1,IndexCurve/USD-LIBOR-3M/5/7Y,Down,22135599.45,EUR,0.000000,#N/A,22132126.24,-3473.21
EquitySwap_1,IndexCurve/USD-LIBOR-3M/6/10Y,Down,22135599.45,EUR,0.000100,#N/A,22061333.18,-74266.27
EquitySwap_1,EquitySpot/SP5/0/spot,Up,22135599.45,EUR,21.475600,#N/A,21342385.76,-793213.69
EquitySwap_1,EquitySpot/SP5/0/spot,Down,22135599.45,EUR,21.475600,#N/A,22928813.14,793213.69
EquitySwap_2,DiscountCurve/USD/0/6M,Up,7745009.22,EUR,0.000000,#N/A,7744948.93,-60.29
EquitySwap_2,DiscountCurve/USD/1/1Y,Up,7745009.22,EUR,0.000100,#N/A,7744962.40,-46.82
EquitySwap_2,DiscountCurve/USD/2/2Y,Up,7745009.22,EUR,0.000100,#N/A,7744879.36,-129.86
EquitySwap_2,DiscountCurve/USD/3/3Y,Up,7745009.22,EUR,0.000100,#N/A,7744692.39,-316.83
EquitySwap_2,DiscountCurve/USD/4/5Y,Up,7745009.22,EUR,0.000100,#N/A,7744426.30,-582.91
EquitySwap_2,DiscountCurve/USD/5/7Y,Up,7745009.22,EUR,0.000000,#N/A,7744026.76,-982.45
EquitySwap_2,DiscountCurve/USD/6/10Y,Up,7745009.22,EUR,0.000100,#N/A,7744209.53,-799.69
EquitySwap_2,DiscountCurve/USD/0/6M,Down,7745009.22,EUR,0.000000,#N/A,7745069.50,60.29
EquitySwap_2,DiscountCurve/USD/1/1Y,Down,7745009.22,EUR,0.000100,#N/A,7745056.04,46.82
EquitySwap_2,DiscountCurve/USD/2/2Y,Down,7745009.22,EUR,0.000100,#N/A,7745139.09,129.87
EquitySwap_2,DiscountCurve/USD/3/3Y,Down,7745009.22,EUR,0.000100,#N/A,7745326.11,316.90
EquitySwap_2,DiscountCurve/USD/4/5Y,Down,7745009.22,EUR,0.000100,#N/A,7745592.32,583.11
EquitySwap_2,DiscountCurve/USD/5/7Y,Down,7745009.22,EUR,0.000000,#N/A,7745992.13,982.92
EquitySwap_2,DiscountCurve/USD/6/10Y,Down,7745009.22,EUR,0.000100,#N/A,7745809.45,800.23
EquitySwap_2,IndexCurve/USD-LIBOR-3M/0/6M,Up,7745009.22,EUR,0.000000,#N/A,7742853.92,-2155.29
EquitySwap_2,IndexCurve/USD-LIBOR-3M/1/1Y,Up,7745009.22,EUR,0.000100,#N/A,7745109.62,100.40
EquitySwap_2,IndexCurve/USD-LIBOR-3M/2/2Y,Up,7745009.22,EUR,0.000100,#N/A,7745297.55,288.33
EquitySwap_2,IndexCurve/USD-LIBOR-3M/3/3Y,Up,7745009.22,EUR,0.000100,#N/A,7745823.64,814.42
EquitySwap_2,IndexCurve/USD-LIBOR-3M/4/5Y,Up,7745009.22,EUR,0.000100,#N/A,7746791.01,1781.80
EquitySwap_2,IndexCurve/USD-LIBOR-3M/5/7Y,Up,7745009.22,EUR,0.000000,#N/A,7748490.31,3481.09
EquitySwap_2,IndexCurve/USD-LIBOR-3M/6/10Y,Up,7745009.22,EUR,0.000100,#N/A,7819281.67,74272.45
EquitySwap_2,IndexCurve/USD-LIBOR-3M/0/6M,Down,7745009.22,EUR,0.000000,#N/A,7747164.67,2155.46
EquitySwap_2,IndexCurve/USD-LIBOR-3M/1/1Y,Down,7745009.22,EUR,0.000100,#N/A,7744909.47,-99.75
EquitySwap_2,IndexCurve/USD-LIBOR-3M/2/2Y,Down,7745009.22,EUR,0.000100,#N/A,7744722.61,-286.61
EquitySwap_2,IndexCurve/USD-LIBOR-3M/3/3Y,Down,7745009.22,EUR,0.000100,#N/A,7744197.75,-811.47
EquitySwap_2,IndexCurve/USD-LIBOR-3M/4/5Y,Down,7745009.22,EUR,0.000100,#N/A,7743232.59,-1776.63
EquitySwap_2,IndexCurve/USD-LIBOR-3M/5/7Y,Down,7745009.22,EUR,0.000000,#N/A,7741536.00,-3473.21
EquitySwap_2,IndexCurve/USD-LIBOR-3M/6/10Y,Down,7745009.22,EUR,0.000100,#N/A,7670742.95,-74266.27
EquitySwap_2,EquitySpot/SP5/0/spot,Up,7745009.22,EUR,21.475600,#N/A,6807889.62,-937119.59
EquitySwap_2,EquitySpot/SP5/0/spot,Down,7745009.22,EUR,21.475600,#N/A,8682128.81,937119.59
Loading