[Quantlib-users] ORE Examples for derivatives in USD Ccy

[Miguel C. <con...@gm...>]

Hello everyone,



 I hope you are doing well. In our market risk team wish use ORE to model
the XVA for our derivatives portfolio. We run some examples and try to
customize the inputs for derivatives based on USD currency. We replace the
currency, index curves, the models and market data by USD Currency,
USD-SOFR, USD-SOFR-3M and so on.


Unfortunately, when we run the examples again ( the example 1), we get some
errors. We’d like to know if you can send us some examples based on USD
currency, SOFR or SOFR Term 3m. We’ll really appreciate if you can share us
some examples for an IRS USD Fixed – Float,  a CCS USD float – EUR fixed
for instance, and FX Forward EUR-USD. Thanks in advanced.



All the best,


Miguel A. Contreras