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

[Peter C. <pca...@gm...>]

Hi Miguel and Ben, would you mind providing the modified example files
and the error you get after the modification? Ideally open a PR adding
your new example, then we can discuss and fix the issues on github?
Thank you
Peter

On Wed, 15 Nov 2023 at 08:58, Ben Watson <ben...@ma...> wrote:
>
> 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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