BondCalc Switches
General
| Switch | Description |
|---|---|
| -debug results | Output data |
| -debug verbose_logging | General Output |
| -debug BONDCALC | General Output |
| -spdb rSTDOUT | Output data |
| -debug CFSCHEDULEPRINT | Displays Cashflow Schedule |
| -debug CORE | Prevents BondCalc from truncating file outputs |
| -debug CFCALC | Displays spot rates discounts and alphas for each cf date |
| -debug STATICSCENARIOS | Displays entries used in static_scenarios |
| -debug CARRYCALC | shows inputs into carry calculation |
| -debug SHOWALLDISCOS | shows monthly spaced discounts and spot/par/fwd rates |
| -debug FLEXPREPAY | for the flexible prepay chassis |
| -debug HISTCPNRATE | shows output on how coupons are calculated |
| -debug OPTIONCALC | shows output for option related calculations |
| -debug IRATEBASE | Check which curve is called from IRATE ORACLE |
| -debug IRATESHOCK | Curve Shocks |
| -debug DISCFUNC.SWAP_FIT_WITH_CA | Get implied vol from convexity correction |
| -debug OADMULTCALC._BQL_LOAD_MULTS OADMULTCALC.load_feature | Find out what multipliers are being applied |
| -debug OADMULTCALC._INTERPOLATE_MULTS | This is to look at the new logic that linerarly interpolates between values in group_coefficients |
| -debug CALCOAS.PV_CF | OAS adjusted cashflows |
| -debug IRATEENUM.FIND_ENUM | Enum/cashflows being called |
| -debug PARAMETERIZEDFUNCLOADER | Shows which IR model coeff is being used |
| -debug BONDFACTORY | shows the security data map being read in by BondCalc |
| -debug BONDFACTORY.CREATEBOND | Security setup info - these are all the fields available to BC. |
May print out security several times, if so, BC runs with the latest security info
| Option | Type | Description |
|---|---|---|
| -debug AICALC | Shows useful information for AI calculation such as dates, cpn, etc. | |
| -debug PYCALC | Shows alphas being used for discounting | |
| -debug BQLEvaluatorAssetBucketeer.get_data | Evaluates the BQL in your .mb file for the security you are running | |
| -debug LOADOAS.LOAD DISCFUNC.CALC_FWD | debugging for stub payments (see lib/liboas/src/LoadOAS.C:710) | |
| -debug VARIANCESWAP.COMPUTE_CASH_FLOW | shows StoRM daily returns that go into the accumulated variance, plus other useful info | |
| -debug CALCOAS.PATHVALS CORE | Shows OAVs for each simulation path | |
| -debug CALCOAD.CALCDURATIONCONVEXITY | ||
| -debug CREDURATIONCALC.CREATESHOCK | ||
IR Vol
| Option | Type | Description |
|---|---|---|
| -debug verbose_logging BONDCALC.GETAUTOVOL | Lots of good option auto vol info. Good for swaptions | |
| -debug SWAPTION.GENCF | Enum/cashflows being called | |
| -debug CAPFLRLETVOLSURFACE.REPRICE | See Vol Surface used for CAPs/floors run via caplet stripping | |
| Mortgages | ||
| -debug BRSPREPAY.MTG | Wac/wam/wala info | |
| -debug BRSPREPAY.CALCPREPVECT | dumps out all the CPR vectors | |
| -debug PPM_RATES_DEBUG=“PMMS30YR,PMMS15YR” -scenario forward | Mortgage rates from 30 eyar and 15 year model. | |
| -debug PREPMODEL.SHOULD_APPLY_SS | To see how BondCalc is decidigng what scen_type to apply for static scenarios | |
| -load_speeds -debug CFGENTREPPBASE.PRINT_LOAN_CF | To compare loan outcome between the model and 0/0 for CMBS | |
| -debug COFIMODEL | shows output for derived rates (such as cofi, mta etc) | |
| -debug BONDCALC.Intex.GET_ICMOP_VERBOSE | shows information about ABS deal from INTEX | |
| -debug SSRECORDS | shows query used to retrieve static scenarios | |
| -debug BONDCALC.Intex.RAW | visualize raw cashflows passed on by Intex | |
| -debug BONDCALC.Intex.RATES | visualize different interest rates passed by BondCalc to Intex | |
| -debug BONDCALC.Intex.INPUTS | visualize CPR/CDR etc. passed on by BondCalc for Intex | |
| -debug STATICSCENARIOS.GET_FROM_DB | visualize static scenarios read from db. Be cautious, as these static scenarios are only meant for scen_type ‘prep/dflt’ rtc | |
CMM
| Option | Type | Description |
|---|---|---|
| -debug IRATECURVE.GEN_TS_CMM | CMM curve data | |
FX
| Option | Type | Description |
|---|---|---|
| -debug IMPFWDFX | shows fwd fx curve | |
| -debug FORWARDFX | latest switch for Forward FX curve construction debugging | |
| -debug CURRSWAP | shows the interpolated fwd fx rates and basis adjustments for each cf date | |
| -debug CFGENBLK | FX information | |
| -debug DISCFUNC.GEN_DF_TS_FROM_FWD_FX | discount function | |
FX Vol
| Option | Type | Description |
|---|---|---|
| -debug OPTIONCALC.VALUE_CUR_OPT | FX option data | |
| -debug VOLSURFACE.INTERP | dumps out info about interpolation / extrapolation | |
| -debug FXVOLSURFACEWITHINTERP.FXVOLSURFACEWITHINTERP | more detailed info | |
| -debug FXVOLSURFACE.FXVOLSURFACE | shows FX vols read in from the database | |
Futures
| Option | Type | Description |
|---|---|---|
| -debug FUTURE FOPTER | KRW and AUD future info | |
| -debug FOPTER.COMPBASKETVALUES | CTD basket data | |
| -debug FOPTER.CALCAVGYLD | print the average basket bond yield for AUD Tsy Futures (~/liboas/src/Fopter.C) | |
| -debug TSYFUTURE.READTSYSECS | Print query for deliverable basket | |
Credit
| Option | Type | Description |
|---|---|---|
| -debug verbose_logging | Shows indicative data (like the reference obligation…) | |
| -debug ABSBOND.ISSUER_CDS_CU | Shows reference_entity, doc clause, tier (including the subordination level used if the tier does not map to a CDS curve) | |
| -debug CDSSPREADS.GET | Shows the full CDS curve plus the queries that were used to get the curve | |
| -debug RISKYCURVE.GET_CDS_SPREADS | Shows the full CDS curve broken down by CF date | |
| -debug RISKYREDUCED._INIT | Tells you if it is using single name convention bootstrap or basket convention bootstrap | |
| -debug CDSWAP.BRS_TIER | Tier information. Tier is taken from new_issue_info.structure | |
| -debug CDSWAPTCALC | Shows all CD Swaption valuation and greeks related information | |
Inflation
| Option | Type | Description |
|---|---|---|
| -debug SIMPLEILFACTORS | ||
| -debug CFGENBLK.GEN_CF_IBND | Cash flows as off the IBnds accrual date not the analysis date | |
| -debug ILFACTORS | Factor at settlement | |
| -debug IAMODEL | Dump out forward inflation curve projections as well as historical observations. Tons and tons of data | |
| -debug IAMODEL.PROJECT_SWAP | ||
| -retro inf_seasonality | Retro out inflation seasonality for swaps. | |
Lattice
| Option | Type | Description |
|---|---|---|
| -debug OPTLATTICE.INIT | Exercise dates on the lattice | |
| -debug IRATETREE3.PRINTCMAT | Dump out tree nodes | |
| -debug RATETREE3._CALC_PROBS | extract the transition probabilities with corresponding values of the nodes | |
| -debug RATETREE3._CALC_LEVELS | To get a mapping of levels to dates | |
| -debug SLNTREE3.DUMP_RATES | to get the corresponding short rates, cumulative probabilities, and ad prices (this will only work with build.BondCalc) | |
Carry
| Option | Type | Description |
|---|---|---|
| -debug CARRYCALC | shows inputs into carry calculation | |
| -debug BONDCALC.CALCCARRY | /u1/build/dev/lib/liboas/src/CalcCarry.C | |
| -debug EXPECTEDRETURN.CALC_ER | /u1/build/dev/lib/liboas/src/ExpectedReturn.C | |
| -debug IRATETRAJ | /u1/build/dev/lib/libcrv/src/IRateTraj.C | |
| -debug EXPECTEDRETURN.FV_TRAJ | show CFs used to compute horizon OAV | |
| -debug ed_fut | print the Xm fwd rate on futures date from constructed curve | |
| -debug FOPTER.CALCAVGYLD | print the average basket bond yield for AUD Tsy Futures (~/liboas/src/Fopter.C) | |
LSM
| Option | Type | Description |
|---|---|---|
| -debug LSMCALC.VALUE | Exercise dates + cash flow info | |
| -debug LSMCALC.VALUE_DETAILS | Lots of detail | |
VAR
| Option | Type | Description |
|---|---|---|
| -debug var_bcl | General VAR output | |
| -debug corp_global | useful for corporate securities - calculations that are done in corp_global.bcl | |
| -debug AssetExposure.AESectorBreakdown.leaf_sector | To see how a security is classified in BC breakdown | |
Equity Derivatives
| Option | Type | Description |
|---|---|---|
| -debug VARIANCESWAP.COMPUTE_CASH_FLOW | Shows StoRM daily returns that go into the accumulated variance, plus other useful info | |
Munis
| Option | Type | Description |
|---|---|---|
| -debug LIBOAS.DEMINCALC | De Minimis Calculations | |
Client Curve
| Option | Type | Description |
|---|---|---|
| -debug DISCFUNC.GEN_PX_CLIENT | Shows how bondcalc is parsing client curve. Useful for checking formatting | |
BCalcShell
| Option | Type | Description |
|---|---|---|
| cat >HELLO | ||
| dump_rates_x EDT=11/7/06 DFTYPE=LIBOR_BOOT_GBP CRVTYPE=spot SAMPLE_FREQ=monthly SAMPLES=500 COMP_FREQ=semiannually DCB=ACT360 | ||
| Ctrl-C | ||
| BCalcShell -batch < HELLO> -debug SHOW_DATES & < savefile.txt > | ||
Mortgage Servicing Rights (MSRs)
| Option | Type | Description |
|---|---|---|
| -debug MTGSERV | Displays all servicing details used | |
| -debug MTGSERV.CALCCOSTOFSERV | Displays cost of servicing details | |
| -debug MTGSERV.CALCCOSTOFSERV_ADV | Displays cost of servicer advance details | |
| -debug MTGSERV.CALCPIFLOAT | Displays P&I float details | |
| -debug MTGSERV.CALCINTLOST | Displays interest lost details | |
| -debug MTGSERV.CALCRECALVALUE | Displays recapture value details | |
| -debug MTGSERV.CALCANCIL | Displays ancillary income details | |
| -debug MTGSERV.CALCTIFLOAT | Displays T&I float details | |
| -debug MTGSERV.CALCTIEXPENSE | Displays T&I expense details | |
| -debug MTGSERV.STOREREINVRATES | Displays reinvestment rates | |
| -debug MTGSERV.ADJREINVRATES | Displays reinvestment adjustment rates | |
| -debug MTGSERV.GENCF | Displays net servicing cashflow components | |
| -debug MTGSERV.LOANFACTOR | Displays loan factor calculation | |
| -debug MTGSERV.LOADMTGSERVPARAMS | Loads servicing assumptions from database | |
Risk Soap (Capping and Flooring post processing)
| Option | Type | Description |
|---|---|---|
| -debug RISKSOAP | Returns all debug output from risksoap.bcl | |
| -debug RISKSOAP.MAIN | Indicates whether risksoap is activated or not | |
| -debug RISKSOAP.SET_DECODES | Displays decode names that will be queried from database | |
| -debug RISKSOAP.LOAD_DECODES | Dumps decodes loaded from database | |
| -debug RISKSOAP.VALUES | Displays original and override values for each soap input | |
| -debug RISKSOAP.SET_PARAMS | Displays resolved parameters - the cap/floor values for each risk field |
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