|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------------||
| ||
| G2++ - 2-factor HJM Model - Short Rate Evolution Run ||
|-----------------------------------------------------------------------||
| ||
| L->R: ||
| Date ||
| X (%) ||
| X - Increment (%) ||
| Y (%) ||
| Y - Increment (%) ||
| Phi (%) ||
| Short Rate (%) ||
|-----------------------------------------------------------------------||
| [27-JAN-2020] = 0.20% | 0.20% || 0.32% | 0.32% || 5.00% || 5.52% ||
| [29-JAN-2020] = 0.07% | -0.13% || 0.32% | -0.00% || 5.00% || 5.39% ||
| [31-JAN-2020] = 0.18% | 0.11% || 1.00% | 0.68% || 5.00% || 6.18% ||
| [04-FEB-2020] = -0.61% | -0.79% || 1.66% | 0.67% || 5.00% || 6.05% ||
| [06-FEB-2020] = -1.30% | -0.69% || 1.44% | -0.23% || 5.00% || 5.14% ||
| [10-FEB-2020] = -1.40% | -0.10% || 1.88% | 0.44% || 5.00% || 5.48% ||
| [12-FEB-2020] = -1.49% | -0.09% || 1.64% | -0.24% || 5.00% || 5.16% ||
| [14-FEB-2020] = -1.79% | -0.31% || 1.25% | -0.39% || 5.00% || 4.46% ||
| [19-FEB-2020] = -1.82% | -0.03% || 1.64% | 0.39% || 5.00% || 4.82% ||
| [21-FEB-2020] = -1.66% | 0.16% || 2.15% | 0.51% || 5.00% || 5.49% ||
| [25-FEB-2020] = -1.67% | -0.01% || 2.25% | 0.10% || 5.00% || 5.58% ||
| [27-FEB-2020] = -1.67% | -0.00% || 2.18% | -0.07% || 5.00% || 5.51% ||
| [02-MAR-2020] = -1.20% | 0.47% || 2.10% | -0.08% || 5.00% || 5.91% ||
| [04-MAR-2020] = -0.98% | 0.22% || 1.78% | -0.32% || 5.00% || 5.80% ||
| [06-MAR-2020] = -1.36% | -0.38% || 0.94% | -0.84% || 5.00% || 4.58% ||
| [10-MAR-2020] = -0.92% | 0.44% || 1.10% | 0.16% || 5.00% || 5.18% ||
| [12-MAR-2020] = -0.70% | 0.22% || 1.82% | 0.72% || 5.00% || 6.13% ||
| [16-MAR-2020] = -0.80% | -0.11% || 1.74% | -0.08% || 5.00% || 5.94% ||
| [18-MAR-2020] = -1.30% | -0.50% || 1.81% | 0.07% || 5.00% || 5.51% ||
| [20-MAR-2020] = -1.50% | -0.20% || 1.75% | -0.05% || 5.00% || 5.26% ||
| [24-MAR-2020] = -1.87% | -0.37% || 1.85% | 0.10% || 5.01% || 4.99% ||
| [26-MAR-2020] = -2.34% | -0.47% || 1.64% | -0.22% || 5.01% || 4.30% ||
| [30-MAR-2020] = -2.90% | -0.56% || 2.17% | 0.53% || 5.01% || 4.27% ||
| [01-APR-2020] = -3.29% | -0.39% || 1.79% | -0.38% || 5.01% || 3.50% ||
| [03-APR-2020] = -3.35% | -0.05% || 1.95% | 0.16% || 5.01% || 3.61% ||
| [07-APR-2020] = -3.37% | -0.03% || 1.92% | -0.03% || 5.01% || 3.55% ||
| [09-APR-2020] = -3.32% | 0.05% || 1.81% | -0.11% || 5.01% || 3.50% ||
| [13-APR-2020] = -2.26% | 1.06% || 1.51% | -0.30% || 5.01% || 4.26% ||
| [15-APR-2020] = -2.22% | 0.04% || 0.77% | -0.74% || 5.01% || 3.56% ||
| [17-APR-2020] = -2.53% | -0.31% || 0.85% | 0.08% || 5.01% || 3.33% ||
| [21-APR-2020] = -2.02% | 0.51% || 0.51% | -0.34% || 5.01% || 3.50% ||
| [23-APR-2020] = -2.93% | -0.91% || 0.98% | 0.47% || 5.01% || 3.06% ||
| [27-APR-2020] = -2.58% | 0.35% || 0.86% | -0.12% || 5.01% || 3.29% ||
| [29-APR-2020] = -2.66% | -0.08% || 1.02% | 0.16% || 5.01% || 3.37% ||
| [01-MAY-2020] = -2.52% | 0.14% || 0.88% | -0.15% || 5.01% || 3.37% ||
| [05-MAY-2020] = -2.94% | -0.42% || 1.04% | 0.17% || 5.02% || 3.12% ||
| [07-MAY-2020] = -2.76% | 0.17% || 0.82% | -0.22% || 5.02% || 3.07% ||
| [11-MAY-2020] = -2.37% | 0.40% || 0.37% | -0.45% || 5.02% || 3.02% ||
| [13-MAY-2020] = -2.35% | 0.02% || 0.41% | 0.03% || 5.02% || 3.08% ||
| [15-MAY-2020] = -2.68% | -0.34% || 0.11% | -0.30% || 5.02% || 2.45% ||
| [19-MAY-2020] = -2.59% | 0.09% || -0.12% | -0.23% || 5.02% || 2.31% ||
| [21-MAY-2020] = -3.07% | -0.47% || -0.08% | 0.04% || 5.02% || 1.87% ||
| [26-MAY-2020] = -3.33% | -0.27% || -0.12% | -0.04% || 5.02% || 1.57% ||
|-----------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 16 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Heath-Jarrow-Morton Gaussian Run ||
| -------------------------------- ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 5.05% | 0.05% || 5.03% | 0.03% || 4.0633 | -0.05% || 5.02% | 0.02% || 5.04% | 0.04% || 98.75 | 0.00 ||
| [29-JAN-2020] = 4.85% | -0.19% || 4.99% | -0.04% || 4.0616 | -0.17% || 4.94% | -0.08% || 5.05% | 0.01% || 98.76 | 0.01 ||
| [31-JAN-2020] = 4.73% | -0.12% || 4.90% | -0.09% || 4.0608 | -0.08% || 4.72% | -0.22% || 4.92% | -0.13% || 98.80 | 0.04 ||
| [04-FEB-2020] = 4.49% | -0.24% || 4.88% | -0.02% || 4.0608 | -0.01% || 4.67% | -0.05% || 4.90% | -0.02% || 98.83 | 0.03 ||
| [06-FEB-2020] = 4.13% | -0.36% || 4.86% | -0.02% || 4.0603 | -0.05% || 4.93% | 0.25% || 5.03% | 0.12% || 98.90 | 0.07 ||
| [10-FEB-2020] = 4.23% | 0.10% || 4.90% | 0.04% || 4.0585 | -0.18% || 4.97% | 0.04% || 5.04% | 0.01% || 98.92 | 0.02 ||
| [12-FEB-2020] = 4.10% | -0.13% || 4.90% | 0.00% || 4.0573 | -0.12% || 4.63% | -0.34% || 5.09% | 0.05% || 98.95 | 0.03 ||
| [14-FEB-2020] = 4.27% | 0.17% || 4.82% | -0.08% || 4.0562 | -0.10% || 4.62% | -0.00% || 5.16% | 0.07% || 99.00 | 0.05 ||
| [19-FEB-2020] = 4.17% | -0.09% || 4.87% | 0.04% || 4.0569 | 0.07% || 4.70% | 0.08% || 5.32% | 0.16% || 99.04 | 0.04 ||
| [21-FEB-2020] = 4.15% | -0.02% || 4.87% | -0.00% || 4.0566 | -0.02% || 4.58% | -0.12% || 5.33% | 0.01% || 99.06 | 0.02 ||
| [25-FEB-2020] = 4.13% | -0.02% || 4.73% | -0.14% || 4.0550 | -0.16% || 5.14% | 0.56% || 5.30% | -0.03% || 99.07 | 0.01 ||
| [27-FEB-2020] = 3.77% | -0.36% || 4.89% | 0.16% || 4.0532 | -0.18% || 5.31% | 0.17% || 5.24% | -0.06% || 99.05 | -0.02 ||
| [02-MAR-2020] = 3.58% | -0.20% || 4.79% | -0.10% || 4.0543 | 0.12% || 5.44% | 0.13% || 5.15% | -0.08% || 99.11 | 0.06 ||
| [04-MAR-2020] = 4.19% | 0.61% || 4.81% | 0.02% || 4.0541 | -0.02% || 5.34% | -0.10% || 5.19% | 0.04% || 99.11 | -0.00 ||
| [06-MAR-2020] = 3.92% | -0.26% || 4.98% | 0.17% || 4.0552 | 0.11% || 5.36% | 0.02% || 5.19% | -0.01% || 99.14 | 0.03 ||
| [10-MAR-2020] = 4.32% | 0.40% || 5.16% | 0.19% || 4.0546 | -0.06% || 5.15% | -0.21% || 5.36% | 0.18% || 99.15 | 0.01 ||
| [12-MAR-2020] = 4.62% | 0.29% || 5.25% | 0.09% || 4.0531 | -0.15% || 5.50% | 0.34% || 5.41% | 0.05% || 99.15 | 0.00 ||
| [16-MAR-2020] = 4.59% | -0.03% || 5.12% | -0.13% || 4.0529 | -0.02% || 5.49% | -0.01% || 5.28% | -0.13% || 99.18 | 0.03 ||
| [18-MAR-2020] = 4.49% | -0.11% || 5.12% | 0.00% || 4.0545 | 0.16% || 5.36% | -0.13% || 5.30% | 0.02% || 99.25 | 0.07 ||
| [20-MAR-2020] = 4.53% | 0.05% || 5.10% | -0.02% || 4.0532 | -0.13% || 5.32% | -0.04% || 5.27% | -0.02% || 99.29 | 0.04 ||
| [24-MAR-2020] = 4.83% | 0.29% || 5.02% | -0.08% || 4.0531 | -0.01% || 5.19% | -0.13% || 5.24% | -0.04% || 99.38 | 0.09 ||
| [26-MAR-2020] = 4.94% | 0.12% || 5.01% | -0.01% || 4.0547 | 0.16% || 5.36% | 0.17% || 5.24% | 0.00% || 99.44 | 0.06 ||
| [30-MAR-2020] = 4.88% | -0.07% || 5.13% | 0.12% || 4.0541 | -0.06% || 5.39% | 0.03% || 5.21% | -0.02% || 99.47 | 0.03 ||
| [01-APR-2020] = 4.86% | -0.01% || 4.95% | -0.18% || 4.0545 | 0.04% || 5.17% | -0.23% || 5.23% | 0.02% || 99.51 | 0.04 ||
| [03-APR-2020] = 4.47% | -0.40% || 4.81% | -0.15% || 4.0536 | -0.10% || 5.37% | 0.20% || 5.26% | 0.03% || 99.55 | 0.04 ||
| [07-APR-2020] = 4.50% | 0.04% || 4.67% | -0.13% || 4.0535 | -0.01% || 5.35% | -0.01% || 5.24% | -0.02% || 99.58 | 0.03 ||
| [09-APR-2020] = 4.25% | -0.25% || 4.85% | 0.18% || 4.0518 | -0.17% || 5.35% | -0.01% || 5.16% | -0.08% || 99.59 | 0.02 ||
| [13-APR-2020] = 4.52% | 0.27% || 4.74% | -0.11% || 4.0528 | 0.10% || 5.49% | 0.14% || 5.06% | -0.10% || 99.68 | 0.08 ||
| [15-APR-2020] = 4.60% | 0.08% || 4.77% | 0.03% || 4.0523 | -0.05% || 5.46% | -0.03% || 5.28% | 0.22% || 99.70 | 0.02 ||
| [17-APR-2020] = 4.69% | 0.09% || 4.67% | -0.09% || 4.0521 | -0.02% || 5.59% | 0.13% || 5.29% | 0.01% || 99.72 | 0.03 ||
| [21-APR-2020] = 4.53% | -0.16% || 4.87% | 0.20% || 4.0531 | 0.10% || 5.53% | -0.06% || 5.30% | 0.01% || 99.78 | 0.05 ||
| [23-APR-2020] = 4.30% | -0.22% || 4.82% | -0.05% || 4.0513 | -0.18% || 5.32% | -0.21% || 5.47% | 0.17% || 99.82 | 0.05 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:13 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 432 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:13 EST 2020
| Setup Time => Mon Jan 27 00:35:13 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| 3-Factor Gaussian HJM Quantification Metric Run ||
| ----------------------------------------------- ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.92% | -0.08% || 4.96% | -0.04% || 2.0790 | -0.02% || 4.92% | -0.08% || 4.95% | -0.05% || 98.80 | 0.05 ||
| [29-JAN-2020] = 4.87% | -0.05% || 4.92% | -0.03% || 2.0788 | -0.02% || 4.87% | -0.05% || 4.92% | -0.04% || 98.85 | 0.04 ||
| [31-JAN-2020] = 4.87% | -0.00% || 4.92% | -0.00% || 2.0788 | -0.00% || 4.87% | -0.00% || 4.90% | -0.01% || 98.88 | 0.03 ||
| [04-FEB-2020] = 4.83% | -0.04% || 4.89% | -0.03% || 2.0786 | -0.01% || 4.83% | -0.04% || 4.87% | -0.03% || 98.92 | 0.04 ||
| [06-FEB-2020] = 4.84% | 0.01% || 4.91% | 0.02% || 2.0787 | 0.01% || 4.84% | 0.01% || 4.88% | 0.01% || 98.94 | 0.02 ||
| [10-FEB-2020] = 4.88% | 0.04% || 4.97% | 0.06% || 2.0790 | 0.03% || 4.88% | 0.04% || 4.94% | 0.06% || 98.94 | -0.00 ||
| [12-FEB-2020] = 5.00% | 0.12% || 5.13% | 0.16% || 2.0798 | 0.08% || 5.00% | 0.12% || 5.09% | 0.15% || 98.89 | -0.05 ||
| [14-FEB-2020] = 4.99% | -0.01% || 5.10% | -0.03% || 2.0797 | -0.02% || 4.99% | -0.01% || 5.06% | -0.03% || 98.94 | 0.04 ||
| [19-FEB-2020] = 5.04% | 0.05% || 5.17% | 0.07% || 2.0800 | 0.04% || 5.04% | 0.05% || 5.12% | 0.07% || 98.93 | -0.01 ||
| [21-FEB-2020] = 5.04% | 0.00% || 5.19% | 0.02% || 2.0801 | 0.01% || 5.04% | 0.00% || 5.13% | 0.01% || 98.95 | 0.02 ||
| [25-FEB-2020] = 5.10% | 0.05% || 5.25% | 0.06% || 2.0804 | 0.03% || 5.09% | 0.05% || 5.18% | 0.05% || 98.96 | 0.00 ||
| [27-FEB-2020] = 5.14% | 0.05% || 5.29% | 0.05% || 2.0806 | 0.02% || 5.14% | 0.05% || 5.23% | 0.04% || 98.96 | 0.01 ||
| [02-MAR-2020] = 5.17% | 0.02% || 5.31% | 0.02% || 2.0807 | 0.01% || 5.17% | 0.02% || 5.24% | 0.01% || 98.99 | 0.02 ||
| [04-MAR-2020] = 5.15% | -0.02% || 5.31% | 0.00% || 2.0807 | 0.00% || 5.15% | -0.02% || 5.23% | -0.00% || 99.02 | 0.03 ||
| [06-MAR-2020] = 5.25% | 0.10% || 5.43% | 0.12% || 2.0813 | 0.06% || 5.25% | 0.10% || 5.34% | 0.11% || 98.99 | -0.03 ||
| [10-MAR-2020] = 5.25% | -0.00% || 5.43% | 0.00% || 2.0813 | 0.00% || 5.25% | -0.00% || 5.34% | -0.00% || 99.02 | 0.03 ||
| [12-MAR-2020] = 5.20% | -0.05% || 5.37% | -0.06% || 2.0810 | -0.03% || 5.20% | -0.05% || 5.28% | -0.06% || 99.08 | 0.06 ||
| [16-MAR-2020] = 5.15% | -0.05% || 5.31% | -0.06% || 2.0807 | -0.03% || 5.15% | -0.05% || 5.22% | -0.06% || 99.14 | 0.06 ||
| [18-MAR-2020] = 5.31% | 0.17% || 5.48% | 0.17% || 2.0815 | 0.08% || 5.31% | 0.17% || 5.38% | 0.16% || 99.09 | -0.05 ||
| [20-MAR-2020] = 5.21% | -0.10% || 5.36% | -0.12% || 2.0809 | -0.06% || 5.21% | -0.10% || 5.26% | -0.12% || 99.18 | 0.09 ||
| [24-MAR-2020] = 5.28% | 0.06% || 5.43% | 0.07% || 2.0813 | 0.03% || 5.28% | 0.06% || 5.32% | 0.06% || 99.17 | -0.00 ||
| [26-MAR-2020] = 5.33% | 0.06% || 5.48% | 0.05% || 2.0815 | 0.02% || 5.33% | 0.06% || 5.36% | 0.04% || 99.18 | 0.01 ||
| [30-MAR-2020] = 5.46% | 0.12% || 5.59% | 0.12% || 2.0821 | 0.06% || 5.46% | 0.12% || 5.47% | 0.11% || 99.16 | -0.02 ||
| [01-APR-2020] = 5.40% | -0.05% || 5.54% | -0.06% || 2.0818 | -0.03% || 5.40% | -0.05% || 5.41% | -0.06% || 99.21 | 0.06 ||
| [03-APR-2020] = 5.46% | 0.05% || 5.61% | 0.07% || 2.0822 | 0.04% || 5.46% | 0.05% || 5.48% | 0.07% || 99.21 | -0.00 ||
| [07-APR-2020] = 5.34% | -0.12% || 5.49% | -0.12% || 2.0816 | -0.06% || 5.34% | -0.12% || 5.36% | -0.12% || 99.30 | 0.09 ||
| [09-APR-2020] = 5.32% | -0.02% || 5.47% | -0.03% || 2.0815 | -0.01% || 5.32% | -0.02% || 5.33% | -0.03% || 99.34 | 0.04 ||
| [13-APR-2020] = 5.35% | 0.04% || 5.51% | 0.04% || 2.0817 | 0.02% || 5.35% | 0.04% || 5.37% | 0.04% || 99.35 | 0.01 ||
| [15-APR-2020] = 5.29% | -0.06% || 5.44% | -0.07% || 2.0813 | -0.03% || 5.29% | -0.06% || 5.30% | -0.07% || 99.42 | 0.06 ||
| [17-APR-2020] = 5.24% | -0.05% || 5.40% | -0.05% || 2.0811 | -0.02% || 5.24% | -0.05% || 5.25% | -0.05% || 99.47 | 0.05 ||
| [21-APR-2020] = 5.30% | 0.06% || 5.45% | 0.06% || 2.0814 | 0.03% || 5.30% | 0.06% || 5.30% | 0.05% || 99.47 | 0.00 ||
| [23-APR-2020] = 5.24% | -0.06% || 5.40% | -0.06% || 2.0811 | -0.03% || 5.24% | -0.06% || 5.24% | -0.06% || 99.53 | 0.06 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:13 EST 2020
| Setup Time => Mon Jan 27 00:35:13 EST 2020
| Finish Time => Mon Jan 27 00:35:14 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 130 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:14 EST 2020
| Setup Time => Mon Jan 27 00:35:14 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Run ||
| --------------------------------------- ||
| ||
| Number of Prinicipal Components: 1 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.64% | -0.36% || 4.86% | -0.14% || 4.0607 | -0.30% || 4.72% | -0.28% || 5.06% | 0.06% || 98.76 | 0.01 ||
| [29-JAN-2020] = 4.86% | 0.22% || 4.73% | -0.13% || 4.0623 | 0.16% || 4.66% | -0.07% || 5.16% | 0.10% || 98.81 | 0.05 ||
| [31-JAN-2020] = 4.62% | -0.24% || 4.61% | -0.12% || 4.0617 | -0.06% || 4.90% | 0.24% || 5.21% | 0.05% || 98.83 | 0.02 ||
| [04-FEB-2020] = 4.50% | -0.12% || 4.68% | 0.07% || 4.0616 | -0.01% || 5.17% | 0.27% || 5.29% | 0.08% || 98.84 | 0.01 ||
| [06-FEB-2020] = 4.57% | 0.07% || 4.85% | 0.17% || 4.0601 | -0.15% || 5.31% | 0.14% || 5.34% | 0.05% || 98.83 | -0.02 ||
| [10-FEB-2020] = 4.85% | 0.28% || 4.79% | -0.06% || 4.0611 | 0.10% || 5.43% | 0.12% || 5.52% | 0.17% || 98.87 | 0.05 ||
| [12-FEB-2020] = 5.00% | 0.15% || 4.59% | -0.20% || 4.0638 | 0.27% || 5.49% | 0.06% || 5.54% | 0.03% || 98.90 | 0.03 ||
| [14-FEB-2020] = 4.89% | -0.11% || 4.73% | 0.14% || 4.0654 | 0.15% || 5.74% | 0.26% || 5.50% | -0.05% || 98.96 | 0.06 ||
| [19-FEB-2020] = 5.21% | 0.31% || 4.96% | 0.22% || 4.0646 | -0.08% || 5.42% | -0.32% || 5.44% | -0.05% || 99.01 | 0.05 ||
| [21-FEB-2020] = 5.18% | -0.03% || 4.85% | -0.11% || 4.0657 | 0.11% || 5.71% | 0.29% || 5.40% | -0.05% || 99.02 | 0.01 ||
| [25-FEB-2020] = 4.96% | -0.22% || 4.87% | 0.02% || 4.0664 | 0.07% || 5.58% | -0.12% || 5.33% | -0.07% || 99.05 | 0.03 ||
| [27-FEB-2020] = 4.78% | -0.18% || 4.79% | -0.08% || 4.0678 | 0.14% || 5.23% | -0.36% || 5.39% | 0.06% || 99.07 | 0.03 ||
| [02-MAR-2020] = 4.03% | -0.75% || 4.89% | 0.10% || 4.0670 | -0.08% || 5.57% | 0.34% || 5.38% | -0.01% || 99.10 | 0.03 ||
| [04-MAR-2020] = 4.47% | 0.44% || 4.93% | 0.04% || 4.0659 | -0.11% || 5.83% | 0.26% || 5.41% | 0.03% || 99.12 | 0.02 ||
| [06-MAR-2020] = 4.37% | -0.10% || 4.84% | -0.09% || 4.0649 | -0.10% || 5.87% | 0.04% || 5.49% | 0.08% || 99.12 | -0.00 ||
| [10-MAR-2020] = 4.46% | 0.09% || 5.08% | 0.24% || 4.0654 | 0.04% || 6.03% | 0.16% || 5.46% | -0.03% || 99.14 | 0.02 ||
| [12-MAR-2020] = 4.21% | -0.24% || 5.03% | -0.05% || 4.0675 | 0.21% || 7.01% | 0.98% || 5.55% | 0.09% || 99.17 | 0.03 ||
| [16-MAR-2020] = 4.14% | -0.08% || 4.92% | -0.11% || 4.0673 | -0.01% || 7.40% | 0.39% || 5.60% | 0.05% || 99.19 | 0.02 ||
| [18-MAR-2020] = 4.28% | 0.14% || 4.80% | -0.12% || 4.0673 | -0.01% || 6.73% | -0.67% || 5.77% | 0.17% || 99.21 | 0.03 ||
| [20-MAR-2020] = 3.51% | -0.77% || 4.68% | -0.12% || 4.0680 | 0.07% || 7.15% | 0.42% || 5.72% | -0.05% || 99.26 | 0.04 ||
| [24-MAR-2020] = 3.60% | 0.09% || 4.52% | -0.16% || 4.0698 | 0.18% || 6.81% | -0.34% || 5.92% | 0.20% || 99.28 | 0.03 ||
| [26-MAR-2020] = 3.61% | 0.01% || 4.39% | -0.13% || 4.0715 | 0.17% || 6.44% | -0.37% || 6.02% | 0.10% || 99.33 | 0.04 ||
| [30-MAR-2020] = 3.83% | 0.22% || 4.46% | 0.07% || 4.0725 | 0.10% || 6.42% | -0.02% || 6.34% | 0.31% || 99.35 | 0.03 ||
| [01-APR-2020] = 4.35% | 0.52% || 4.29% | -0.17% || 4.0741 | 0.16% || 6.55% | 0.14% || 6.46% | 0.12% || 99.40 | 0.05 ||
| [03-APR-2020] = 4.63% | 0.28% || 4.39% | 0.10% || 4.0735 | -0.06% || 7.09% | 0.54% || 6.50% | 0.04% || 99.45 | 0.05 ||
| [07-APR-2020] = 4.41% | -0.22% || 4.41% | 0.01% || 4.0729 | -0.06% || 7.33% | 0.24% || 6.34% | -0.16% || 99.48 | 0.03 ||
| [09-APR-2020] = 3.99% | -0.42% || 4.34% | -0.07% || 4.0745 | 0.16% || 7.09% | -0.24% || 6.25% | -0.09% || 99.52 | 0.05 ||
| [13-APR-2020] = 3.67% | -0.32% || 4.08% | -0.26% || 4.0757 | 0.12% || 7.00% | -0.09% || 6.15% | -0.10% || 99.57 | 0.05 ||
| [15-APR-2020] = 3.53% | -0.13% || 4.26% | 0.17% || 4.0783 | 0.26% || 7.21% | 0.21% || 6.45% | 0.30% || 99.61 | 0.04 ||
| [17-APR-2020] = 3.76% | 0.23% || 4.08% | -0.17% || 4.0789 | 0.07% || 7.63% | 0.42% || 6.39% | -0.06% || 99.65 | 0.04 ||
| [21-APR-2020] = 3.80% | 0.04% || 4.52% | 0.44% || 4.0782 | -0.08% || 7.62% | -0.01% || 6.24% | -0.15% || 99.69 | 0.04 ||
| [23-APR-2020] = 3.64% | -0.16% || 4.71% | 0.19% || 4.0771 | -0.10% || 7.22% | -0.39% || 6.62% | 0.38% || 99.73 | 0.04 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Run ||
| --------------------------------------- ||
| ||
| Number of Prinicipal Components: 2 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.97% | -0.03% || 5.12% | 0.12% || 4.0632 | -0.06% || 4.78% | -0.22% || 5.10% | 0.10% || 98.73 | -0.02 ||
| [29-JAN-2020] = 5.14% | 0.17% || 5.24% | 0.12% || 4.0636 | 0.04% || 4.91% | 0.12% || 5.09% | -0.02% || 98.72 | -0.00 ||
| [31-JAN-2020] = 4.99% | -0.15% || 5.44% | 0.19% || 4.0637 | 0.02% || 5.16% | 0.25% || 5.22% | 0.13% || 98.74 | 0.02 ||
| [04-FEB-2020] = 5.12% | 0.14% || 5.58% | 0.14% || 4.0655 | 0.18% || 4.95% | -0.20% || 5.27% | 0.05% || 98.73 | -0.01 ||
| [06-FEB-2020] = 5.31% | 0.18% || 5.60% | 0.02% || 4.0672 | 0.17% || 5.44% | 0.48% || 5.31% | 0.04% || 98.77 | 0.04 ||
| [10-FEB-2020] = 5.05% | -0.26% || 5.69% | 0.10% || 4.0687 | 0.15% || 5.50% | 0.06% || 5.24% | -0.07% || 98.77 | -0.00 ||
| [12-FEB-2020] = 5.32% | 0.27% || 5.88% | 0.18% || 4.0681 | -0.06% || 5.51% | 0.02% || 5.23% | -0.01% || 98.81 | 0.04 ||
| [14-FEB-2020] = 5.38% | 0.06% || 5.98% | 0.10% || 4.0673 | -0.09% || 5.65% | 0.13% || 5.16% | -0.07% || 98.82 | 0.01 ||
| [19-FEB-2020] = 5.75% | 0.37% || 5.80% | -0.18% || 4.0685 | 0.12% || 5.49% | -0.15% || 5.25% | 0.09% || 98.86 | 0.04 ||
| [21-FEB-2020] = 5.58% | -0.17% || 5.82% | 0.02% || 4.0670 | -0.15% || 5.79% | 0.30% || 5.07% | -0.18% || 98.86 | 0.00 ||
| [25-FEB-2020] = 5.59% | 0.01% || 5.86% | 0.04% || 4.0658 | -0.12% || 5.53% | -0.26% || 5.04% | -0.03% || 98.95 | 0.09 ||
| [27-FEB-2020] = 5.17% | -0.42% || 5.89% | 0.02% || 4.0654 | -0.04% || 5.43% | -0.10% || 4.86% | -0.18% || 98.96 | 0.01 ||
| [02-MAR-2020] = 5.39% | 0.22% || 5.66% | -0.23% || 4.0648 | -0.06% || 5.69% | 0.26% || 4.91% | 0.05% || 99.00 | 0.04 ||
| [04-MAR-2020] = 5.41% | 0.01% || 5.60% | -0.06% || 4.0645 | -0.02% || 5.86% | 0.17% || 4.89% | -0.01% || 99.06 | 0.06 ||
| [06-MAR-2020] = 5.47% | 0.07% || 5.57% | -0.03% || 4.0664 | 0.19% || 5.91% | 0.05% || 4.73% | -0.16% || 99.08 | 0.02 ||
| [10-MAR-2020] = 5.30% | -0.17% || 5.70% | 0.13% || 4.0657 | -0.07% || 5.83% | -0.08% || 4.71% | -0.03% || 99.11 | 0.03 ||
| [12-MAR-2020] = 5.44% | 0.14% || 5.64% | -0.06% || 4.0626 | -0.31% || 5.72% | -0.12% || 4.77% | 0.06% || 99.17 | 0.07 ||
| [16-MAR-2020] = 5.32% | -0.12% || 5.74% | 0.10% || 4.0608 | -0.18% || 5.90% | 0.19% || 4.73% | -0.05% || 99.22 | 0.05 ||
| [18-MAR-2020] = 5.45% | 0.13% || 5.69% | -0.05% || 4.0603 | -0.05% || 6.07% | 0.17% || 4.71% | -0.01% || 99.27 | 0.05 ||
| [20-MAR-2020] = 5.26% | -0.19% || 5.83% | 0.14% || 4.0601 | -0.01% || 5.46% | -0.61% || 4.66% | -0.05% || 99.30 | 0.03 ||
| [24-MAR-2020] = 5.41% | 0.14% || 5.85% | 0.02% || 4.0610 | 0.09% || 5.94% | 0.48% || 4.78% | 0.12% || 99.31 | 0.01 ||
| [26-MAR-2020] = 5.53% | 0.12% || 5.75% | -0.10% || 4.0610 | -0.00% || 5.80% | -0.14% || 4.76% | -0.02% || 99.34 | 0.03 ||
| [30-MAR-2020] = 5.69% | 0.16% || 5.65% | -0.10% || 4.0604 | -0.06% || 5.47% | -0.33% || 4.85% | 0.09% || 99.38 | 0.04 ||
| [01-APR-2020] = 5.80% | 0.11% || 5.67% | 0.02% || 4.0612 | 0.08% || 5.67% | 0.20% || 4.95% | 0.10% || 99.41 | 0.03 ||
| [03-APR-2020] = 5.83% | 0.04% || 5.72% | 0.05% || 4.0630 | 0.17% || 5.75% | 0.08% || 4.99% | 0.04% || 99.45 | 0.04 ||
| [07-APR-2020] = 5.88% | 0.04% || 5.85% | 0.12% || 4.0642 | 0.12% || 5.53% | -0.21% || 5.01% | 0.01% || 99.48 | 0.03 ||
| [09-APR-2020] = 5.66% | -0.22% || 6.00% | 0.15% || 4.0638 | -0.04% || 5.41% | -0.13% || 4.89% | -0.11% || 99.52 | 0.03 ||
| [13-APR-2020] = 5.80% | 0.15% || 5.87% | -0.12% || 4.0619 | -0.19% || 5.58% | 0.18% || 5.13% | 0.24% || 99.54 | 0.03 ||
| [15-APR-2020] = 6.07% | 0.26% || 5.72% | -0.15% || 4.0631 | 0.12% || 5.75% | 0.17% || 5.13% | 0.00% || 99.57 | 0.03 ||
| [17-APR-2020] = 6.04% | -0.03% || 5.73% | 0.00% || 4.0630 | -0.01% || 5.75% | -0.00% || 5.10% | -0.03% || 99.60 | 0.03 ||
| [21-APR-2020] = 6.07% | 0.03% || 5.57% | -0.16% || 4.0639 | 0.10% || 5.93% | 0.18% || 5.06% | -0.04% || 99.63 | 0.03 ||
| [23-APR-2020] = 6.40% | 0.33% || 5.50% | -0.07% || 4.0637 | -0.02% || 5.70% | -0.23% || 5.11% | 0.04% || 99.66 | 0.03 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Run ||
| --------------------------------------- ||
| ||
| Number of Prinicipal Components: 3 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.78% | -0.22% || 5.14% | 0.14% || 4.0653 | 0.15% || 4.86% | -0.14% || 5.02% | 0.02% || 98.80 | 0.05 ||
| [29-JAN-2020] = 4.58% | -0.20% || 5.08% | -0.06% || 4.0650 | -0.02% || 4.91% | 0.05% || 4.96% | -0.06% || 98.86 | 0.06 ||
| [31-JAN-2020] = 4.51% | -0.07% || 5.05% | -0.04% || 4.0667 | 0.16% || 5.15% | 0.23% || 4.98% | 0.02% || 98.87 | 0.01 ||
| [04-FEB-2020] = 4.77% | 0.26% || 5.12% | 0.07% || 4.0668 | 0.01% || 4.91% | -0.24% || 4.86% | -0.12% || 98.92 | 0.05 ||
| [06-FEB-2020] = 4.86% | 0.08% || 5.12% | 0.00% || 4.0675 | 0.07% || 4.91% | -0.00% || 4.90% | 0.04% || 98.97 | 0.06 ||
| [10-FEB-2020] = 4.58% | -0.28% || 5.10% | -0.02% || 4.0685 | 0.10% || 5.18% | 0.28% || 5.11% | 0.21% || 99.00 | 0.02 ||
| [12-FEB-2020] = 4.22% | -0.35% || 5.22% | 0.12% || 4.0696 | 0.11% || 5.33% | 0.15% || 4.99% | -0.12% || 99.07 | 0.07 ||
| [14-FEB-2020] = 4.37% | 0.14% || 5.06% | -0.16% || 4.0678 | -0.18% || 5.49% | 0.16% || 4.92% | -0.06% || 99.08 | 0.01 ||
| [19-FEB-2020] = 4.49% | 0.12% || 5.14% | 0.08% || 4.0672 | -0.05% || 5.59% | 0.10% || 4.84% | -0.08% || 99.10 | 0.01 ||
| [21-FEB-2020] = 4.60% | 0.11% || 5.21% | 0.06% || 4.0680 | 0.07% || 5.39% | -0.20% || 4.78% | -0.06% || 99.11 | 0.01 ||
| [25-FEB-2020] = 4.62% | 0.02% || 5.15% | -0.06% || 4.0692 | 0.12% || 5.37% | -0.02% || 4.89% | 0.11% || 99.15 | 0.05 ||
| [27-FEB-2020] = 4.52% | -0.10% || 5.20% | 0.05% || 4.0686 | -0.06% || 5.31% | -0.06% || 4.75% | -0.14% || 99.18 | 0.02 ||
| [02-MAR-2020] = 4.80% | 0.28% || 5.22% | 0.02% || 4.0705 | 0.19% || 5.33% | 0.02% || 4.83% | 0.09% || 99.19 | 0.01 ||
| [04-MAR-2020] = 4.72% | -0.09% || 5.42% | 0.20% || 4.0697 | -0.07% || 5.30% | -0.03% || 4.79% | -0.04% || 99.20 | 0.02 ||
| [06-MAR-2020] = 4.68% | -0.04% || 5.43% | 0.00% || 4.0687 | -0.10% || 5.45% | 0.15% || 4.88% | 0.09% || 99.23 | 0.03 ||
| [10-MAR-2020] = 5.02% | 0.35% || 5.49% | 0.06% || 4.0694 | 0.07% || 5.27% | -0.18% || 4.86% | -0.02% || 99.27 | 0.04 ||
| [12-MAR-2020] = 4.92% | -0.10% || 5.52% | 0.03% || 4.0686 | -0.08% || 5.44% | 0.17% || 4.84% | -0.02% || 99.28 | 0.01 ||
| [16-MAR-2020] = 4.87% | -0.05% || 5.53% | 0.01% || 4.0689 | 0.03% || 5.89% | 0.45% || 4.86% | 0.02% || 99.32 | 0.04 ||
| [18-MAR-2020] = 4.32% | -0.55% || 5.37% | -0.16% || 4.0688 | -0.01% || 5.88% | -0.01% || 4.80% | -0.06% || 99.35 | 0.03 ||
| [20-MAR-2020] = 4.25% | -0.07% || 5.29% | -0.08% || 4.0700 | 0.12% || 5.90% | 0.02% || 4.79% | -0.01% || 99.40 | 0.05 ||
| [24-MAR-2020] = 4.44% | 0.19% || 5.32% | 0.03% || 4.0702 | 0.02% || 5.96% | 0.06% || 4.78% | -0.01% || 99.44 | 0.05 ||
| [26-MAR-2020] = 4.06% | -0.38% || 5.54% | 0.22% || 4.0716 | 0.14% || 5.88% | -0.09% || 4.85% | 0.07% || 99.47 | 0.02 ||
| [30-MAR-2020] = 3.81% | -0.25% || 5.61% | 0.07% || 4.0719 | 0.03% || 6.03% | 0.16% || 4.81% | -0.04% || 99.50 | 0.03 ||
| [01-APR-2020] = 4.12% | 0.31% || 5.62% | 0.01% || 4.0713 | -0.06% || 5.83% | -0.20% || 4.87% | 0.05% || 99.53 | 0.03 ||
| [03-APR-2020] = 4.15% | 0.02% || 5.48% | -0.14% || 4.0698 | -0.15% || 5.85% | 0.02% || 4.96% | 0.09% || 99.56 | 0.03 ||
| [07-APR-2020] = 4.06% | -0.08% || 5.60% | 0.11% || 4.0687 | -0.11% || 5.67% | -0.17% || 4.87% | -0.09% || 99.59 | 0.03 ||
| [09-APR-2020] = 4.08% | 0.02% || 5.72% | 0.12% || 4.0685 | -0.02% || 5.74% | 0.07% || 4.89% | 0.02% || 99.63 | 0.03 ||
| [13-APR-2020] = 4.09% | 0.01% || 5.75% | 0.03% || 4.0683 | -0.02% || 5.38% | -0.36% || 4.95% | 0.06% || 99.65 | 0.03 ||
| [15-APR-2020] = 4.47% | 0.38% || 5.74% | -0.01% || 4.0692 | 0.09% || 5.23% | -0.15% || 4.89% | -0.05% || 99.68 | 0.03 ||
| [17-APR-2020] = 4.68% | 0.21% || 5.67% | -0.07% || 4.0683 | -0.09% || 4.92% | -0.31% || 4.77% | -0.13% || 99.71 | 0.03 ||
| [21-APR-2020] = 5.04% | 0.36% || 5.62% | -0.04% || 4.0688 | 0.05% || 4.99% | 0.06% || 4.68% | -0.09% || 99.74 | 0.03 ||
| [23-APR-2020] = 5.28% | 0.24% || 5.60% | -0.02% || 4.0685 | -0.03% || 5.03% | 0.05% || 4.63% | -0.05% || 99.76 | 0.03 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:14 EST 2020
| Setup Time => Mon Jan 27 00:35:14 EST 2020
| Finish Time => Mon Jan 27 00:35:16 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 s 80 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:16 EST 2020
| Setup Time => Mon Jan 27 00:35:16 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Quantification Metric Run ||
| ------------------------------------------------------------- ||
| ||
| Number of Prinicipal Components: 1 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.93% | -0.07% || 4.94% | -0.06% || 4.1082 | -0.02% || 4.93% | -0.07% || 4.93% | -0.07% || 98.79 | 0.04 ||
| [29-JAN-2020] = 5.03% | 0.10% || 5.05% | 0.11% || 4.1084 | 0.03% || 5.03% | 0.10% || 5.03% | 0.10% || 98.80 | 0.00 ||
| [31-JAN-2020] = 5.07% | 0.04% || 5.10% | 0.05% || 4.1086 | 0.01% || 5.07% | 0.04% || 5.08% | 0.04% || 98.81 | 0.02 ||
| [04-FEB-2020] = 5.23% | 0.15% || 5.27% | 0.17% || 4.1090 | 0.04% || 5.23% | 0.15% || 5.24% | 0.16% || 98.80 | -0.01 ||
| [06-FEB-2020] = 5.19% | -0.04% || 5.23% | -0.04% || 4.1089 | -0.01% || 5.19% | -0.04% || 5.20% | -0.04% || 98.84 | 0.04 ||
| [10-FEB-2020] = 5.19% | 0.00% || 5.24% | 0.01% || 4.1089 | 0.00% || 5.19% | 0.00% || 5.20% | 0.00% || 98.87 | 0.03 ||
| [12-FEB-2020] = 5.03% | -0.16% || 5.08% | -0.16% || 4.1085 | -0.04% || 5.03% | -0.16% || 5.03% | -0.17% || 98.94 | 0.07 ||
| [14-FEB-2020] = 5.10% | 0.07% || 5.17% | 0.09% || 4.1087 | 0.02% || 5.10% | 0.07% || 5.11% | 0.08% || 98.94 | 0.01 ||
| [19-FEB-2020] = 5.22% | 0.12% || 5.30% | 0.13% || 4.1091 | 0.03% || 5.22% | 0.12% || 5.23% | 0.12% || 98.94 | -0.00 ||
| [21-FEB-2020] = 5.21% | -0.01% || 5.30% | -0.00% || 4.1091 | -0.00% || 5.21% | -0.01% || 5.23% | -0.01% || 98.97 | 0.03 ||
| [25-FEB-2020] = 5.35% | 0.13% || 5.44% | 0.15% || 4.1094 | 0.04% || 5.35% | 0.13% || 5.36% | 0.14% || 98.96 | -0.01 ||
| [27-FEB-2020] = 5.26% | -0.08% || 5.36% | -0.08% || 4.1092 | -0.02% || 5.26% | -0.08% || 5.28% | -0.09% || 99.02 | 0.05 ||
| [02-MAR-2020] = 5.30% | 0.04% || 5.41% | 0.05% || 4.1093 | 0.01% || 5.30% | 0.04% || 5.32% | 0.04% || 99.03 | 0.02 ||
| [04-MAR-2020] = 5.25% | -0.05% || 5.36% | -0.05% || 4.1092 | -0.01% || 5.25% | -0.05% || 5.27% | -0.05% || 99.08 | 0.04 ||
| [06-MAR-2020] = 5.32% | 0.07% || 5.44% | 0.08% || 4.1094 | 0.02% || 5.32% | 0.07% || 5.34% | 0.07% || 99.09 | 0.01 ||
| [10-MAR-2020] = 5.34% | 0.03% || 5.47% | 0.03% || 4.1095 | 0.01% || 5.34% | 0.03% || 5.36% | 0.03% || 99.11 | 0.02 ||
| [12-MAR-2020] = 5.19% | -0.15% || 5.31% | -0.15% || 4.1091 | -0.04% || 5.19% | -0.15% || 5.21% | -0.16% || 99.18 | 0.07 ||
| [16-MAR-2020] = 5.18% | -0.02% || 5.30% | -0.01% || 4.1091 | -0.00% || 5.18% | -0.02% || 5.19% | -0.02% || 99.21 | 0.03 ||
| [18-MAR-2020] = 5.10% | -0.07% || 5.23% | -0.07% || 4.1089 | -0.02% || 5.10% | -0.07% || 5.11% | -0.08% || 99.26 | 0.05 ||
| [20-MAR-2020] = 5.13% | 0.02% || 5.26% | 0.03% || 4.1090 | 0.01% || 5.13% | 0.02% || 5.14% | 0.02% || 99.28 | 0.02 ||
| [24-MAR-2020] = 5.17% | 0.04% || 5.31% | 0.05% || 4.1091 | 0.01% || 5.17% | 0.04% || 5.18% | 0.04% || 99.30 | 0.02 ||
| [26-MAR-2020] = 5.10% | -0.07% || 5.24% | -0.07% || 4.1089 | -0.02% || 5.10% | -0.07% || 5.11% | -0.07% || 99.34 | 0.05 ||
| [30-MAR-2020] = 5.21% | 0.12% || 5.37% | 0.13% || 4.1092 | 0.03% || 5.21% | 0.12% || 5.23% | 0.12% || 99.34 | -0.00 ||
| [01-APR-2020] = 5.21% | 0.00% || 5.37% | 0.01% || 4.1092 | 0.00% || 5.21% | 0.00% || 5.23% | 0.00% || 99.37 | 0.03 ||
| [03-APR-2020] = 5.21% | -0.01% || 5.37% | -0.00% || 4.1092 | -0.00% || 5.21% | -0.01% || 5.22% | -0.01% || 99.40 | 0.03 ||
| [07-APR-2020] = 5.30% | 0.10% || 5.48% | 0.11% || 4.1095 | 0.03% || 5.30% | 0.10% || 5.33% | 0.10% || 99.40 | 0.00 ||
| [09-APR-2020] = 5.17% | -0.13% || 5.34% | -0.14% || 4.1092 | -0.03% || 5.17% | -0.13% || 5.19% | -0.14% || 99.46 | 0.06 ||
| [13-APR-2020] = 5.17% | -0.01% || 5.34% | -0.00% || 4.1092 | -0.00% || 5.16% | -0.01% || 5.18% | -0.01% || 99.49 | 0.03 ||
| [15-APR-2020] = 5.21% | 0.04% || 5.39% | 0.05% || 4.1093 | 0.01% || 5.21% | 0.04% || 5.22% | 0.04% || 99.51 | 0.02 ||
| [17-APR-2020] = 5.10% | -0.11% || 5.28% | -0.11% || 4.1090 | -0.03% || 5.10% | -0.11% || 5.11% | -0.11% || 99.57 | 0.06 ||
| [21-APR-2020] = 5.26% | 0.16% || 5.45% | 0.17% || 4.1094 | 0.04% || 5.26% | 0.16% || 5.28% | 0.17% || 99.55 | -0.01 ||
| [23-APR-2020] = 5.34% | 0.09% || 5.54% | 0.10% || 4.1097 | 0.02% || 5.34% | 0.09% || 5.37% | 0.09% || 99.56 | 0.01 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Quantification Metric Run ||
| ------------------------------------------------------------- ||
| ||
| Number of Prinicipal Components: 2 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.80% | -0.20% || 4.79% | -0.21% || 4.1078 | -0.05% || 4.80% | -0.20% || 4.78% | -0.22% || 98.83 | 0.08 ||
| [29-JAN-2020] = 4.65% | -0.15% || 4.62% | -0.16% || 4.1074 | -0.04% || 4.65% | -0.15% || 4.62% | -0.17% || 98.90 | 0.07 ||
| [31-JAN-2020] = 4.56% | -0.08% || 4.54% | -0.08% || 4.1072 | -0.02% || 4.56% | -0.08% || 4.53% | -0.08% || 98.94 | 0.05 ||
| [04-FEB-2020] = 4.48% | -0.08% || 4.46% | -0.08% || 4.1070 | -0.02% || 4.48% | -0.08% || 4.44% | -0.09% || 98.99 | 0.05 ||
| [06-FEB-2020] = 4.58% | 0.10% || 4.55% | 0.09% || 4.1072 | 0.02% || 4.58% | 0.10% || 4.53% | 0.09% || 98.99 | 0.00 ||
| [10-FEB-2020] = 4.56% | -0.02% || 4.54% | -0.01% || 4.1072 | -0.00% || 4.56% | -0.02% || 4.51% | -0.02% || 99.02 | 0.03 ||
| [12-FEB-2020] = 4.64% | 0.08% || 4.62% | 0.08% || 4.1074 | 0.02% || 4.64% | 0.08% || 4.58% | 0.07% || 99.03 | 0.01 ||
| [14-FEB-2020] = 4.46% | -0.18% || 4.44% | -0.18% || 4.1070 | -0.04% || 4.46% | -0.18% || 4.40% | -0.18% || 99.10 | 0.07 ||
| [19-FEB-2020] = 4.55% | 0.08% || 4.53% | 0.08% || 4.1072 | 0.02% || 4.55% | 0.08% || 4.48% | 0.08% || 99.10 | 0.00 ||
| [21-FEB-2020] = 4.56% | 0.02% || 4.55% | 0.02% || 4.1072 | 0.01% || 4.56% | 0.02% || 4.50% | 0.02% || 99.12 | 0.02 ||
| [25-FEB-2020] = 4.63% | 0.07% || 4.62% | 0.07% || 4.1074 | 0.02% || 4.63% | 0.07% || 4.56% | 0.06% || 99.13 | 0.01 ||
| [27-FEB-2020] = 4.70% | 0.07% || 4.70% | 0.09% || 4.1076 | 0.02% || 4.70% | 0.07% || 4.64% | 0.08% || 99.14 | 0.01 ||
| [02-MAR-2020] = 4.76% | 0.06% || 4.76% | 0.06% || 4.1077 | 0.01% || 4.76% | 0.06% || 4.69% | 0.05% || 99.15 | 0.01 ||
| [04-MAR-2020] = 4.59% | -0.17% || 4.57% | -0.19% || 4.1073 | -0.05% || 4.59% | -0.17% || 4.50% | -0.19% || 99.22 | 0.07 ||
| [06-MAR-2020] = 4.70% | 0.11% || 4.69% | 0.12% || 4.1076 | 0.03% || 4.70% | 0.11% || 4.61% | 0.12% || 99.22 | -0.00 ||
| [10-MAR-2020] = 4.83% | 0.13% || 4.83% | 0.14% || 4.1079 | 0.03% || 4.83% | 0.13% || 4.74% | 0.13% || 99.21 | -0.01 ||
| [12-MAR-2020] = 4.83% | -0.00% || 4.84% | 0.01% || 4.1079 | 0.00% || 4.83% | -0.00% || 4.75% | 0.01% || 99.24 | 0.02 ||
| [16-MAR-2020] = 4.79% | -0.04% || 4.79% | -0.05% || 4.1078 | -0.01% || 4.79% | -0.04% || 4.70% | -0.05% || 99.27 | 0.04 ||
| [18-MAR-2020] = 4.79% | -0.01% || 4.78% | -0.01% || 4.1078 | -0.00% || 4.79% | -0.01% || 4.68% | -0.01% || 99.30 | 0.03 ||
| [20-MAR-2020] = 4.80% | 0.01% || 4.78% | -0.01% || 4.1078 | -0.00% || 4.80% | 0.01% || 4.67% | -0.01% || 99.33 | 0.03 ||
| [24-MAR-2020] = 4.85% | 0.05% || 4.84% | 0.06% || 4.1079 | 0.02% || 4.85% | 0.05% || 4.73% | 0.05% || 99.34 | 0.01 ||
| [26-MAR-2020] = 5.00% | 0.16% || 5.02% | 0.18% || 4.1084 | 0.04% || 5.00% | 0.16% || 4.89% | 0.17% || 99.33 | -0.02 ||
| [30-MAR-2020] = 4.99% | -0.01% || 4.99% | -0.03% || 4.1083 | -0.01% || 4.99% | -0.01% || 4.86% | -0.03% || 99.36 | 0.04 ||
| [01-APR-2020] = 4.93% | -0.06% || 4.93% | -0.06% || 4.1082 | -0.01% || 4.93% | -0.06% || 4.79% | -0.06% || 99.41 | 0.04 ||
| [03-APR-2020] = 5.03% | 0.10% || 5.04% | 0.11% || 4.1084 | 0.03% || 5.03% | 0.10% || 4.90% | 0.10% || 99.41 | 0.00 ||
| [07-APR-2020] = 5.01% | -0.02% || 5.05% | 0.01% || 4.1085 | 0.00% || 5.01% | -0.02% || 4.90% | 0.01% || 99.43 | 0.02 ||
| [09-APR-2020] = 5.06% | 0.05% || 5.11% | 0.06% || 4.1086 | 0.01% || 5.06% | 0.05% || 4.96% | 0.05% || 99.44 | 0.01 ||
| [13-APR-2020] = 4.96% | -0.10% || 5.01% | -0.10% || 4.1084 | -0.03% || 4.96% | -0.10% || 4.85% | -0.11% || 99.50 | 0.05 ||
| [15-APR-2020] = 4.96% | 0.00% || 5.01% | -0.00% || 4.1084 | -0.00% || 4.96% | 0.00% || 4.84% | -0.01% || 99.53 | 0.03 ||
| [17-APR-2020] = 5.04% | 0.08% || 5.06% | 0.05% || 4.1085 | 0.01% || 5.04% | 0.08% || 4.89% | 0.05% || 99.54 | 0.02 ||
| [21-APR-2020] = 5.03% | -0.01% || 5.05% | -0.01% || 4.1085 | -0.00% || 5.03% | -0.01% || 4.88% | -0.01% || 99.57 | 0.03 ||
| [23-APR-2020] = 5.00% | -0.03% || 5.01% | -0.04% || 4.1084 | -0.01% || 5.00% | -0.03% || 4.83% | -0.04% || 99.61 | 0.04 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-------------------------------------------------------------------------------------------------------------------------------||
| ||
| Multi-Factor PCA-Based Gaussian HJM Quantification Metric Run ||
| ------------------------------------------------------------- ||
| ||
| Number of Prinicipal Components: 3 ||
| ||
| L->R: ||
| Date ||
| Instantaneous Forward Rate (%) ||
| Instantaneous Forward Rate - Change (%) ||
| LIBOR Forward Rate (%) ||
| LIBOR Forward Rate - Change (%) ||
| Shifted LIBOR Forward Rate (%) ||
| Shifted LIBOR Forward Rate - Change (%) ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Continuously Compounded Short Rate (%) ||
| Continuously Compounded Short Rate - Change (%) ||
| Price ||
| Price - Change ||
|-------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020] = 4.99% | -0.01% || 5.00% | -0.00% || 4.1083 | -0.00% || 4.99% | -0.01% || 5.00% | -0.00% || 98.78 | 0.03 ||
| [29-JAN-2020] = 4.91% | -0.08% || 4.93% | -0.07% || 4.1082 | -0.02% || 4.91% | -0.08% || 4.92% | -0.07% || 98.82 | 0.05 ||
| [31-JAN-2020] = 4.91% | -0.00% || 4.94% | 0.01% || 4.1082 | 0.00% || 4.91% | -0.00% || 4.93% | 0.00% || 98.85 | 0.03 ||
| [04-FEB-2020] = 4.90% | -0.01% || 4.95% | 0.01% || 4.1082 | 0.00% || 4.90% | -0.01% || 4.93% | 0.01% || 98.87 | 0.02 ||
| [06-FEB-2020] = 4.99% | 0.09% || 5.02% | 0.07% || 4.1084 | 0.02% || 4.99% | 0.09% || 5.00% | 0.06% || 98.88 | 0.01 ||
| [10-FEB-2020] = 4.90% | -0.09% || 4.93% | -0.09% || 4.1082 | -0.02% || 4.90% | -0.09% || 4.91% | -0.09% || 98.93 | 0.05 ||
| [12-FEB-2020] = 4.83% | -0.07% || 4.84% | -0.09% || 4.1080 | -0.02% || 4.83% | -0.07% || 4.82% | -0.09% || 98.98 | 0.05 ||
| [14-FEB-2020] = 4.84% | 0.01% || 4.84% | -0.01% || 4.1079 | -0.00% || 4.84% | 0.01% || 4.81% | -0.01% || 99.01 | 0.03 ||
| [19-FEB-2020] = 4.70% | -0.13% || 4.72% | -0.12% || 4.1076 | -0.03% || 4.70% | -0.13% || 4.69% | -0.12% || 99.07 | 0.06 ||
| [21-FEB-2020] = 4.74% | 0.04% || 4.75% | 0.03% || 4.1077 | 0.01% || 4.74% | 0.04% || 4.72% | 0.03% || 99.09 | 0.02 ||
| [25-FEB-2020] = 4.62% | -0.13% || 4.61% | -0.14% || 4.1074 | -0.03% || 4.62% | -0.13% || 4.57% | -0.14% || 99.15 | 0.06 ||
| [27-FEB-2020] = 4.61% | -0.01% || 4.60% | -0.01% || 4.1074 | -0.00% || 4.61% | -0.01% || 4.56% | -0.01% || 99.17 | 0.03 ||
| [02-MAR-2020] = 4.64% | 0.03% || 4.64% | 0.04% || 4.1075 | 0.01% || 4.64% | 0.03% || 4.60% | 0.04% || 99.19 | 0.02 ||
| [04-MAR-2020] = 4.61% | -0.03% || 4.61% | -0.03% || 4.1074 | -0.01% || 4.61% | -0.03% || 4.56% | -0.04% || 99.22 | 0.03 ||
| [06-MAR-2020] = 4.62% | 0.01% || 4.63% | 0.02% || 4.1074 | 0.01% || 4.62% | 0.01% || 4.58% | 0.02% || 99.24 | 0.02 ||
| [10-MAR-2020] = 4.63% | 0.01% || 4.64% | 0.01% || 4.1075 | 0.00% || 4.63% | 0.01% || 4.59% | 0.01% || 99.27 | 0.02 ||
| [12-MAR-2020] = 4.59% | -0.04% || 4.59% | -0.05% || 4.1073 | -0.01% || 4.59% | -0.04% || 4.53% | -0.06% || 99.31 | 0.04 ||
| [16-MAR-2020] = 4.64% | 0.05% || 4.62% | 0.03% || 4.1074 | 0.01% || 4.64% | 0.05% || 4.55% | 0.02% || 99.33 | 0.02 ||
| [18-MAR-2020] = 4.69% | 0.05% || 4.67% | 0.06% || 4.1075 | 0.01% || 4.69% | 0.05% || 4.60% | 0.05% || 99.34 | 0.01 ||
| [20-MAR-2020] = 4.75% | 0.07% || 4.73% | 0.06% || 4.1077 | 0.01% || 4.75% | 0.07% || 4.65% | 0.05% || 99.35 | 0.01 ||
| [24-MAR-2020] = 4.72% | -0.03% || 4.68% | -0.05% || 4.1075 | -0.01% || 4.72% | -0.03% || 4.60% | -0.05% || 99.39 | 0.04 ||
| [26-MAR-2020] = 4.74% | 0.03% || 4.73% | 0.05% || 4.1077 | 0.01% || 4.74% | 0.03% || 4.64% | 0.04% || 99.40 | 0.01 ||
| [30-MAR-2020] = 4.68% | -0.06% || 4.67% | -0.05% || 4.1075 | -0.01% || 4.68% | -0.06% || 4.59% | -0.06% || 99.44 | 0.04 ||
| [01-APR-2020] = 4.64% | -0.04% || 4.61% | -0.06% || 4.1074 | -0.02% || 4.64% | -0.04% || 4.52% | -0.06% || 99.48 | 0.04 ||
| [03-APR-2020] = 4.55% | -0.08% || 4.54% | -0.07% || 4.1072 | -0.02% || 4.55% | -0.08% || 4.44% | -0.08% || 99.53 | 0.04 ||
| [07-APR-2020] = 4.47% | -0.09% || 4.43% | -0.11% || 4.1069 | -0.03% || 4.47% | -0.09% || 4.33% | -0.11% || 99.58 | 0.05 ||
| [09-APR-2020] = 4.58% | 0.12% || 4.54% | 0.11% || 4.1072 | 0.03% || 4.58% | 0.12% || 4.44% | 0.11% || 99.58 | -0.00 ||
| [13-APR-2020] = 4.55% | -0.04% || 4.50% | -0.04% || 4.1071 | -0.01% || 4.55% | -0.04% || 4.39% | -0.04% || 99.61 | 0.03 ||
| [15-APR-2020] = 4.59% | 0.04% || 4.54% | 0.03% || 4.1072 | 0.01% || 4.59% | 0.04% || 4.42% | 0.03% || 99.63 | 0.02 ||
| [17-APR-2020] = 4.55% | -0.04% || 4.49% | -0.05% || 4.1071 | -0.01% || 4.55% | -0.04% || 4.36% | -0.06% || 99.67 | 0.04 ||
| [21-APR-2020] = 4.55% | -0.00% || 4.49% | 0.01% || 4.1071 | 0.00% || 4.55% | -0.00% || 4.36% | 0.00% || 99.69 | 0.02 ||
| [23-APR-2020] = 4.53% | -0.02% || 4.47% | -0.02% || 4.1070 | -0.00% || 4.53% | -0.02% || 4.34% | -0.03% || 99.72 | 0.03 ||
|-------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:16 EST 2020
| Setup Time => Mon Jan 27 00:35:16 EST 2020
| Finish Time => Mon Jan 27 00:35:19 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 s 548 ms
|-----------------------------------------------------------------|