Configuration Files

All configuration structs derive serde::Deserialize, so the same shapes work from JSON files or built in code. Dates are YYYY-MM-DD, periods are 1W, 3M, 5Y, enums use their variant names.

quotes.json

Array of quotes; identifiers encode instrument, currency, index and tenor (see Market Data).

[
  { "identifier": "OIS_USD_SOFR_1Y", "bid": 0.0421, "ask": 0.0423 },
  {
    "identifier": "CapletFloorlet_USD_SOFR_3M_1Y_Absolute_0.045_Straddle_Black",
    "bid": 0.31,
    "ask": 0.33
  },
  {
    "identifier": "Swaption_CLP_ICP_1Y_2Y_Absolute_0.045_Black",
    "bid": 0.25,
    "ask": 0.27
  },
  { "identifier": "Cds_USD_CLIENT_A_5Y", "bid": 0.0095, "ask": 0.0105 }
]

Loaded with QuoteStore::from_json / serde_json; values are read at Level::Bid | Mid | Ask.

fixings.json

{
  "SOFR": [{ "date": "2025-05-12", "rate": 0.0428 }],
  "ICP": [{ "date": "2025-05-12", "rate": 0.0575 }]
}

curve_specs.json — Vec<CurveConfiguration>

[
  {
    "market_index": "SOFR",
    "currency": "USD",
    "day_counter": "Actual360",
    "interpolator": "LogLinear",
    "quotes": ["Deposit_USD_SOFR_1W", "OIS_USD_SOFR_1Y", "OIS_USD_SOFR_5Y"]
  },
  {
    "market_index": "TermSOFR3m",
    "currency": "USD",
    "quotes": ["BasisSwap_USD_SOFR_TermSOFR3m_1Y"]
  },
  {
    "market_index": { "Collateral": ["CLP", "USD"] },
    "currency": "CLP",
    "quotes": ["FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_1Y"]
  },
  {
    "market_index": { "Credit": "CLIENT_A" },
    "currency": "USD",
    "quotes": ["Cds_USD_CLIENT_A_1Y", "Cds_USD_CLIENT_A_5Y"]
  }
]

Full field list and defaults in Curve Bootstrapping.

vol_specs.json

{
  "volatility_surfaces": [
    {
      "market_index": "SOFR",
      "volatility_type": "Black",
      "smile_type": "Strike",
      "quotes": ["CapletFloorlet_USD_SOFR_3M_6M_Absolute_0.035_Straddle_Black"]
    }
  ],
  "volatility_cubes": [
    {
      "market_index": "ICP",
      "volatility_type": "Black",
      "smile_type": "Strike",
      "quotes": ["Swaption_CLP_ICP_1Y_2Y_Absolute_0.045_Black"]
    }
  ]
}

hw_calibration.json — ModelCalibrationConfiguration

{
  "source": { "Surface": { "market_index": "SOFR" } },
  "quote_ids": ["CapletFloorlet_USD_SOFR_3M_1Y_Absolute_0.045_Straddle_Black"],
  "strike": "Atm",
  "alpha": 0.1
}

simulation.json — SimulationConfiguration

{
  "market_index": "SOFR",
  "model": {
    "HullWhite": {
      "alpha": 0.1,
      "volatility": { "Constant": { "value": 0.01 } }
    }
  },
  "n_paths": 1000,
  "seed": 42,
  "horizon": "5Y",
  "frequency": "Monthly",
  "day_counter": "Actual365"
}

Model variants: HullWhite { alpha, volatility }, BrownianMotion { volatility, dividend_rate? }, Lgm { lambda, volatility }. Volatility sources: Constant { value }, Surface { market_index, key }, Cube { market_index, tenor, key }, Calibrated { ... }.

xva_config.json — XvaEngineConfig

{
  "model_configs": [
    { "market_index": "SOFR", "lambda": 0.05, "sigma": 0.01 },
    { "market_index": "TermSOFR3m", "driver": "SOFR" }
  ],
  "fx_configs": [{ "foreign_currency": "CLP", "fx_vol": 0.12, "rho": 0.0 }],
  "n_paths": 2000,
  "seed": 42,
  "frequency": "Monthly"
}

csa_terms.json — CsaTerms

{
  "collateral_index": "SOFR",
  "collateral_currency": "USD",
  "credit_spread": 0.01,
  "recovery": 0.4,
  "funding_spread": 0.0,
  "funding_index": "TermSOFR3m",
  "funding_spread_curve": {
    "dates": ["2026-11-11", "2028-11-11"],
    "spreads": [0.004, 0.005]
  },
  "credit_index": { "Credit": "CLIENT_A" }
}

Scripted products — Vec<CodedEvent>

[
  {
    "id": "fix1",
    "date": "2026-06-15",
    "code": "libor = RateIndex(SOFR, 2026-06-15, 2026-12-15)"
  },
  {
    "id": "pay1",
    "date": "2026-12-15",
    "code": "coupon pays max(libor - 0.03, 0) * 0.5"
  }
]

Grammar and validation rules in Events and Products.

MarketIndex spelling

Plain indices are bare strings ("SOFR", "ICP", "TermSOFR3m", "ESTR"); structured ones are objects: {"Collateral": ["CLP", "USD"]} (curve of CLP under USD collateral), {"Credit": "NAME"}, {"Equity": "AAPL"}.