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

[Ben W. <ben...@ma...>]

I can't help but would also be interested in some workable examples using
ORE..



On Wed, 15 Nov 2023, 4:04 pm Miguel Contreras, <con...@gm...>
wrote:

> 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
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