<?xml version="1.0" encoding="UTF-8"?>

<ccruncher>

  <title>sample ccruncher input file</title>
  <description>
  <![CDATA[
    set your additional information here
  ]]>
  </description>

  <defines>
    <define name="numsims" value="30000"/>
    <define name="ndf" value="5"/>
  </defines>

  <parameters>
    <parameter name="time.0" value="18/10/2009"/>
    <parameter name="time.T" value="15/07/2015"/>
    <parameter name="maxiterations" value="$numsims"/>
    <parameter name="maxseconds" value="3600"/>
    <parameter name="copula" value="t($ndf)"/>
    <parameter name="rng.seed" value="0"/>
    <parameter name="antithetic" value="true"/>
    <parameter name="blocksize" value="128"/>
  </parameters>

  <interest type="compound">
    <rate t="1D" r="3.99%"/>
    <rate t="1M" r="4.0%"/>
    <rate t="2M" r="4.1%"/>
    <rate t="3M" r="4.5%"/>
    <rate t="6M" r="4.55%"/>
    <rate t="1Y" r="4.8%"/>
    <rate t="2Y" r="4.9%"/>
    <rate t="5Y" r="5.0%"/>
    <rate t="10Y" r="5.2%"/>
  </interest>

  <!-- 
	S&amp;P simplified rating scale
  -->
  <ratings>
    <rating name="AAA" description="prime"/>
    <rating name="AA" description="high grade"/>
    <rating name="A" description="upper medium grade"/>
    <rating name="BBB" description="lower medium grade"/>
    <rating name="BB" description="non-investment grade speculative"/>
    <rating name="B" description="highly speculative"/>
    <rating name="CCC" description="extremely speculative"/>
    <rating name="D" description="in default"/>
  </ratings>

  <!-- 
	S&amp;P 1-year transition matrix adjusted for unrated bonds 
	covering the period between 01-Jan-1981 and 31-Dec-1998 
  -->
  <transitions period="12">
    <transition from="AAA" to="AAA" value="92.83%" />
    <transition from="AAA" to="AA" value="6.5%" />
    <transition from="AAA" to="A" value="0.56%" />
    <transition from="AAA" to="BBB" value="0.06%" />
    <transition from="AAA" to="BB" value="0.05%" />
    <transition from="AAA" to="B" value="0.0%" />
    <transition from="AAA" to="CCC" value="0.0%" />
    <transition from="AAA" to="D" value="0.0%" />
    <transition from="AA" to="AAA" value="0.63%" />
    <transition from="AA" to="AA" value="91.87%" />
    <transition from="AA" to="A" value="6.64%" />
    <transition from="AA" to="BBB" value="0.65%" />
    <transition from="AA" to="BB" value="0.06%" />
    <transition from="AA" to="B" value="0.11%" />
    <transition from="AA" to="CCC" value="0.04%" />
    <transition from="AA" to="D" value="0.0%" />
    <transition from="A" to="AAA" value="0.08%" />
    <transition from="A" to="AA" value="2.26%" />
    <transition from="A" to="A" value="91.65%" />
    <transition from="A" to="BBB" value="5.11%" />
    <transition from="A" to="BB" value="0.61%" />
    <transition from="A" to="B" value="0.23%" />
    <transition from="A" to="CCC" value="0.02%" />
    <transition from="A" to="D" value="0.04%" />
    <transition from="BBB" to="AAA" value="0.05%" />
    <transition from="BBB" to="AA" value="0.27%" />
    <transition from="BBB" to="A" value="5.84%" />
    <transition from="BBB" to="BBB" value="87.76%" />
    <transition from="BBB" to="BB" value="4.74%" />
    <transition from="BBB" to="B" value="0.98%" />
    <transition from="BBB" to="CCC" value="0.15%" />
    <transition from="BBB" to="D" value="0.21%" />
    <transition from="BB" to="AAA" value="0.04%" />
    <transition from="BB" to="AA" value="0.11%" />
    <transition from="BB" to="A" value="0.64%" />
    <transition from="BB" to="BBB" value="7.85%" />
    <transition from="BB" to="BB" value="81.13%" />
    <transition from="BB" to="B" value="8.27%" />
    <transition from="BB" to="CCC" value="0.89%" />
    <transition from="BB" to="D" value="1.07%" />
    <transition from="B" to="AAA" value="0.0%" />
    <transition from="B" to="AA" value="0.11%" />
    <transition from="B" to="A" value="0.3%" />
    <transition from="B" to="BBB" value="0.42%" />
    <transition from="B" to="BB" value="6.75%" />
    <transition from="B" to="B" value="83.08%" />
    <transition from="B" to="CCC" value="3.86%" />
    <transition from="B" to="D" value="5.48%" />
    <transition from="CCC" to="AAA" value="0.19%" />
    <transition from="CCC" to="AA" value="0.0%" />
    <transition from="CCC" to="A" value="0.38%" />
    <transition from="CCC" to="BBB" value="0.75%" />
    <transition from="CCC" to="BB" value="2.44%" />
    <transition from="CCC" to="B" value="12.03%" />
    <transition from="CCC" to="CCC" value="60.71%" />
    <transition from="CCC" to="D" value="23.5%" />
    <transition from="D" to="AAA" value="0.0%" />
    <transition from="D" to="AA" value="0.0%" />
    <transition from="D" to="A" value="0.0%" />
    <transition from="D" to="BBB" value="0.0%" />
    <transition from="D" to="BB" value="0.0%" />
    <transition from="D" to="B" value="0.0%" />
    <transition from="D" to="CCC" value="0.0%" />
    <transition from="D" to="D" value="100%" />
  </transitions>

  <factors>
    <factor name="S1" loading="15.1%" description="Consumer/service sector"/>
    <factor name="S2" loading="17.9%" description="Forest/building products"/>
    <factor name="S3" loading="17.5%" description="High technology"/>
    <factor name="S4" loading="12.8%" description="Utilities"/>
    <factor name="S5" loading="15.0%" description="Other sectors"/>
  </factors>

  <correlations>
    <correlation factor1="S1" factor2="S2" value="6.2%"/>
    <correlation factor1="S1" factor2="S3" value="8.6%"/>
    <correlation factor1="S1" factor2="S4" value="3.9%"/>
    <correlation factor1="S1" factor2="S5" value="9.1%"/>
    <correlation factor1="S2" factor2="S3" value="6.3%"/>
    <correlation factor1="S2" factor2="S4" value="10.2%"/>
    <correlation factor1="S2" factor2="S5" value="8.8%"/>
    <correlation factor1="S3" factor2="S4" value="7.3%"/>
    <correlation factor1="S3" factor2="S5" value="7.1%"/>
    <correlation factor1="S4" factor2="S5" value="6.4%"/>
  </correlations>

  <segmentations>
    <segmentation name="portfolio"/>
    <segmentation name="sectors">
      <segment name="S1"/>
      <segment name="S2"/>
      <segment name="S3"/>
      <segment name="S4"/>
      <segment name="S5"/>
    </segmentation>
    <segmentation name="size">
      <segment name="large"/>
      <segment name="medium"/>
      <segment name="small"/>
    </segmentation>
    <segmentation name="products">
      <segment name="bond"/>
      <segment name="loan"/>
      <segment name="lease"/>
      <segment name="mortgage"/>
      <segment name="line of credit"/>
      <segment name="bank guarantee"/>
    </segmentation>
    <segmentation name="offices">
      <segment name="0001"/>
      <segment name="0002"/>
      <segment name="0003"/>
      <segment name="0004"/>
    </segmentation>
  </segmentations>

  <portfolio>
    <obligor rating="A" factor="S1" id="000001">
      <belongs-to segmentation="sectors" segment="S1"/>
      <belongs-to segmentation="size" segment="medium"/>
      <asset id="op1" date="01/01/2005" lgd="20%">
        <belongs-to segmentation="products" segment="bond"/>
        <belongs-to segmentation="offices" segment="0001"/>
        <data>
          <values t="01/06/2005" ead="2000.0" />
          <values t="01/06/2006" ead="1900.0" />
          <values t="01/06/2007" ead="1800.0" />
          <values t="01/06/2008" ead="1700.0" />
          <values t="01/06/2009" ead="1600.0" />
          <values t="01/06/2010" ead="1500.0" />
          <values t="01/06/2011" ead="1400.0" />
          <values t="01/06/2012" ead="1300.0" />
          <values t="01/06/2013" ead="1200.0" />
          <values t="01/06/2014" ead="1100.0" />
        </data>
      </asset>
      <asset id="op2" date="01/06/2008">
        <belongs-to segmentation="offices" segment="0004"/>
        <belongs-to segmentation="products" segment="bond"/>
        <data>
          <values t="01/07/2009" ead="4400.0" lgd="25%" />
          <values t="01/07/2011" ead="3920.0" lgd="30%" />
          <values t="01/07/2013" ead="3340.0" lgd="35%" />
          <values t="01/07/2015" ead="2960.0" lgd="40%" />
          <values t="01/07/2017" ead="2480.0" lgd="45%" />
        </data>
      </asset>
    </obligor>
    <obligor rating="B" factor="S2" id="000002" lgd="20%">
      <belongs-to segmentation="size" segment="large"/>
      <asset id="op3" date="01/06/2003">
        <belongs-to segmentation="offices" segment="0003"/>
        <belongs-to segmentation="products" segment="bond"/>
        <data>
          <values t="01/01/2005" ead="1750.0" />
          <values t="01/06/2007" ead="1600.0" />
          <values t="01/01/2009" ead="1450.0" />
          <values t="01/06/2011" ead="1300.0" />
          <values t="01/01/2013" ead="1150.0" />
        </data>
      </asset>
    </obligor>
    <obligor rating="CCC" factor="S2" id="000003">
      <belongs-to segmentation="sectors" segment="S2"/>
      <belongs-to segmentation="size" segment="medium"/>
      <asset id="op4" date="01/01/1999" lgd="beta(2.5,2.7)">
        <belongs-to segmentation="offices" segment="0003"/>
        <belongs-to segmentation="products" segment="bond"/>
        <data>
          <values t="01/01/2000" ead="2400.0" />
          <values t="01/01/2001" ead="2300.0" />
          <values t="01/01/2002" ead="2200.0" />
          <values t="01/01/2003" ead="2100.0" />
          <values t="01/01/2004" ead="lognormal(6.5,1.0)" />
          <values t="01/01/2005" ead="1900.0" />
          <values t="01/01/2006" ead="exponential(1800.0)" />
          <values t="01/01/2007" ead="1700.0" />
          <values t="01/01/2008" ead="uniform(1500.0,1700.0)" />
          <values t="01/01/2009" ead="1500.0" />
          <values t="01/01/2010" ead="gamma(2800.0,0.5)" />
          <values t="01/01/2011" ead="1300.0" />
          <values t="01/01/2012" ead="normal(1200.0,100.0)" />
          <values t="01/01/2013" ead="1100.0" />
        </data>
      </asset>
    </obligor>
  </portfolio>

</ccruncher>
