|-----------------------------------------------------------------|
| 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 8 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------||
| ||
| Hull-White Scenario Evolution Metrics ||
| ------------------------------------- ||
| ||
| L->R: ||
| Initial Date ||
| Final Date ||
| Initial Short Rate (%) ||
| Realized Final Short Rate (%) ||
| Expected Final Short Rate (%) ||
| Zero Coupon Bond Price ||
| Final Short Rate Variance (%) ||
|--------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.66% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.85% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.46% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.69% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.89% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.46% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.70% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.97% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.46% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.50% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.44% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.92% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.59% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.95% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.65% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.76% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.18% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.07% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.12% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.51% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.51% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.85% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.58% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.39% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.37% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.53% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.64% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.21% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 8.50% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.86% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.39% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.78% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 8.36% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.69% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.33% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.02% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.97% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.50% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.62% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 5.03% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 2.38% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.92% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.60% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.93% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.51% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 7.55% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 3.93% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.00% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 4.06% | 5.02% | 102.50 | 2.12% ||
| [27-JAN-2020 -> 27-JUL-2020] => 5.00% | 6.10% | 5.02% | 102.50 | 2.12% ||
|--------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 8 ms
| Run Duration => 188 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|------------------------------------------------------||
| ||
| Hull-White Evolution Run ||
| ------------------------ ||
| ||
| L->R: ||
| Date ||
| Short Rate (%) ||
| Short Rate - Change (%) ||
| Alpha (%) ||
| Theta (%) ||
|------------------------------------------------------||
| [27-JAN-2020] = 5.13% | 0.13% | 5.0000% | 5.0000% ||
| [29-JAN-2020] = 4.19% | -0.94% | 5.0000% | 5.0014% ||
| [31-JAN-2020] = 4.08% | -0.11% | 5.0000% | 5.0027% ||
| [04-FEB-2020] = 4.79% | 0.71% | 5.0001% | 5.0054% ||
| [06-FEB-2020] = 4.31% | -0.47% | 5.0001% | 5.0067% ||
| [10-FEB-2020] = 4.12% | -0.19% | 5.0002% | 5.0092% ||
| [12-FEB-2020] = 4.27% | 0.15% | 5.0003% | 5.0105% ||
| [14-FEB-2020] = 4.41% | 0.13% | 5.0003% | 5.0117% ||
| [19-FEB-2020] = 4.75% | 0.35% | 5.0005% | 5.0148% ||
| [21-FEB-2020] = 4.89% | 0.13% | 5.0006% | 5.0160% ||
| [25-FEB-2020] = 4.89% | 0.00% | 5.0009% | 5.0184% ||
| [27-FEB-2020] = 5.06% | 0.17% | 5.0010% | 5.0195% ||
| [02-MAR-2020] = 4.82% | -0.24% | 5.0013% | 5.0218% ||
| [04-MAR-2020] = 4.64% | -0.19% | 5.0014% | 5.0229% ||
| [06-MAR-2020] = 4.78% | 0.14% | 5.0016% | 5.0240% ||
| [10-MAR-2020] = 4.50% | -0.28% | 5.0020% | 5.0262% ||
| [12-MAR-2020] = 3.63% | -0.87% | 5.0021% | 5.0273% ||
| [16-MAR-2020] = 3.87% | 0.23% | 5.0026% | 5.0294% ||
| [18-MAR-2020] = 3.54% | -0.32% | 5.0028% | 5.0305% ||
| [20-MAR-2020] = 3.29% | -0.25% | 5.0030% | 5.0315% ||
| [24-MAR-2020] = 3.27% | -0.02% | 5.0036% | 5.0335% ||
| [26-MAR-2020] = 2.93% | -0.34% | 5.0038% | 5.0345% ||
| [30-MAR-2020] = 2.56% | -0.37% | 5.0044% | 5.0365% ||
| [01-APR-2020] = 2.30% | -0.26% | 5.0047% | 5.0374% ||
| [03-APR-2020] = 2.35% | 0.05% | 5.0051% | 5.0384% ||
| [07-APR-2020] = 2.70% | 0.35% | 5.0058% | 5.0403% ||
| [09-APR-2020] = 2.63% | -0.07% | 5.0061% | 5.0412% ||
| [13-APR-2020] = 3.09% | 0.46% | 5.0069% | 5.0430% ||
| [15-APR-2020] = 3.41% | 0.32% | 5.0073% | 5.0439% ||
| [17-APR-2020] = 3.52% | 0.11% | 5.0077% | 5.0448% ||
| [21-APR-2020] = 3.25% | -0.26% | 5.0086% | 5.0465% ||
| [23-APR-2020] = 3.37% | 0.11% | 5.0090% | 5.0474% ||
| [27-APR-2020] = 3.53% | 0.16% | 5.0100% | 5.0491% ||
| [29-APR-2020] = 3.22% | -0.31% | 5.0105% | 5.0499% ||
| [01-MAY-2020] = 2.89% | -0.34% | 5.0110% | 5.0507% ||
| [05-MAY-2020] = 2.89% | 0.00% | 5.0121% | 5.0523% ||
| [07-MAY-2020] = 2.97% | 0.09% | 5.0127% | 5.0531% ||
| [11-MAY-2020] = 3.47% | 0.49% | 5.0139% | 5.0547% ||
| [13-MAY-2020] = 3.06% | -0.41% | 5.0145% | 5.0554% ||
| [15-MAY-2020] = 3.15% | 0.10% | 5.0151% | 5.0562% ||
| [19-MAY-2020] = 3.43% | 0.27% | 5.0164% | 5.0577% ||
| [21-MAY-2020] = 3.81% | 0.38% | 5.0171% | 5.0584% ||
| [26-MAY-2020] = 2.96% | -0.85% | 5.0189% | 5.0602% ||
|------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
| Run Duration => 27 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------|
| NODE [0, -1] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : -0.008584 |
| Node Alpha : 0.002603 |
| Node Short Rate : -0.005981 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [0, 0] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : 0.000000 |
| Node Alpha : 0.002603 |
| Node Short Rate : 0.002603 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [0, 1] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : 0.008584 |
| Node Alpha : 0.002603 |
| Node Short Rate : 0.011188 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, -2] |
|----------------------------------------------------------|
| Expected Terminal X : -0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : -1 |
| Probability Up : 0.179413 |
| Probability Stay : 0.666048 |
| Probability Down : 0.154539 |
| Node X Value : -0.017169 |
| Node Alpha : 0.002613 |
| Node Short Rate : -0.014556 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, -1] |
|----------------------------------------------------------|
| Expected Terminal X : -0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : -1 |
| Probability Up : 0.179413 |
| Probability Stay : 0.666048 |
| Probability Down : 0.154539 |
| Node X Value : -0.008584 |
| Node Alpha : 0.002613 |
| Node Short Rate : -0.005971 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 0] |
|----------------------------------------------------------|
| Expected Terminal X : -0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : -1 |
| Probability Up : 0.179413 |
| Probability Stay : 0.666048 |
| Probability Down : 0.154539 |
| Node X Value : 0.000000 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.002613 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, -1] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : -0.008584 |
| Node Alpha : 0.002613 |
| Node Short Rate : -0.005971 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 0] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : 0.000000 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.002613 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 1] |
|----------------------------------------------------------|
| Expected Terminal X : 0.000000 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 0 |
| Probability Up : 0.166667 |
| Probability Stay : 0.666667 |
| Probability Down : 0.166667 |
| Node X Value : 0.008584 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.011198 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 0] |
|----------------------------------------------------------|
| Expected Terminal X : 0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 1 |
| Probability Up : 0.154539 |
| Probability Stay : 0.666048 |
| Probability Down : 0.179413 |
| Node X Value : 0.000000 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.002613 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 1] |
|----------------------------------------------------------|
| Expected Terminal X : 0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 1 |
| Probability Up : 0.154539 |
| Probability Stay : 0.666048 |
| Probability Down : 0.179413 |
| Node X Value : 0.008584 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.011198 |
|----------------------------------------------------------|
|----------------------------------------------------------|
| NODE [1, 2] |
|----------------------------------------------------------|
| Expected Terminal X : 0.008371 |
| X Variance : 0.000025 |
| X Stochastic Volatility Shift : 0.008584 |
| X Tree Stochastic Displacement Index : 1 |
| Probability Up : 0.154539 |
| Probability Stay : 0.666048 |
| Probability Down : 0.179413 |
| Node X Value : 0.017169 |
| Node Alpha : 0.002613 |
| Node Short Rate : 0.019782 |
|----------------------------------------------------------|
|-----------------------------------|
| SOURCE TARGET PROBABILITY METRICS |
|-----------------------------------|
| [0,-1] => [1,-1]: 0.666600 |
| [0,-1] => [1,-2]: 0.162610 |
| [0, 0] => [1, 1]: 0.166667 |
| [0, 0] => [1, 0]: 0.666667 |
| [0, 1] => [1, 0]: 0.170790 |
| [0,-1] => [1, 0]: 0.170790 |
| [0, 0] => [1,-1]: 0.166667 |
| [0, 1] => [1, 2]: 0.162610 |
| [0, 1] => [1, 1]: 0.666600 |
|-----------------------------------|
|-----------------------------------|
| TARGET SOURCE PROBABILITY METRICS |
|-----------------------------------|
| [1, 1] => [0, 1]: 0.666600 |
| [1,-1] => [0,-1]: 0.666600 |
| [1, 0] => [0,-1]: 0.170790 |
| [1,-2] => [0,-1]: 0.162610 |
| [1,-1] => [0, 0]: 0.166667 |
| [1, 0] => [0, 1]: 0.170790 |
| [1, 0] => [0, 0]: 0.666667 |
| [1, 2] => [0, 1]: 0.162610 |
| [1, 1] => [0, 0]: 0.166667 |
|-----------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 92 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| ||
| Hull-White Trinomial Tree Upwards Evolution Metrics ||
| --------------------------------------------------- ||
| ||
| L->R: ||
| ||
| Initial Date ||
| Final Date ||
| Expected Final X ||
| X Volatility (%) ||
| X Stochastic Shift ||
| Move-Up Probability ||
| Move-Up X Node Value ||
| Move-Up Short Rate ||
| Move-Down Probability ||
| Move-Down X Node Value ||
| Move-Down Short Rate ||
| Stay Probability ||
| Stay X Node Value ||
| Stay Short Rate ||
| ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 0.0000 | 0.56% | 0.0097 || 0.1667 | 0.0097 | 5.97% || 0.1667 | -0.0097 | 4.03% || 0.6667 | 0.0000 | 5.00% ||
| [06-FEB-2020 -> 27-JUL-2020] => 0.0061 | 0.55% | 0.0096 || 0.0508 | 0.0191 | 6.92% || 0.4158 | 0.0000 | 5.00% || 0.5334 | 0.0096 | 5.96% ||
| [16-FEB-2020 -> 27-JUL-2020] => 0.0123 | 0.54% | 0.0094 || 0.3675 | 0.0188 | 6.88% || 0.0602 | 0.0000 | 5.00% || 0.5723 | 0.0094 | 5.94% ||
| [26-FEB-2020 -> 27-JUL-2020] => 0.0124 | 0.53% | 0.0092 || 0.3995 | 0.0184 | 6.84% || 0.0535 | 0.0000 | 5.00% || 0.5470 | 0.0092 | 5.92% ||
| [07-MAR-2020 -> 27-JUL-2020] => 0.0125 | 0.52% | 0.0090 || 0.4343 | 0.0180 | 6.80% || 0.0481 | 0.0000 | 5.00% || 0.5176 | 0.0090 | 5.90% ||
| [17-MAR-2020 -> 27-JUL-2020] => 0.0125 | 0.51% | 0.0088 || 0.4723 | 0.0176 | 6.76% || 0.0443 | 0.0000 | 5.00% || 0.4835 | 0.0088 | 5.88% ||
| [27-MAR-2020 -> 27-JUL-2020] => 0.0126 | 0.49% | 0.0085 || 0.5137 | 0.0171 | 6.71% || 0.0421 | 0.0000 | 5.00% || 0.4442 | 0.0085 | 5.86% ||
| [06-APR-2020 -> 27-JUL-2020] => 0.0126 | 0.48% | 0.0083 || 0.0418 | 0.0249 | 7.49% || 0.5244 | 0.0083 | 5.83% || 0.4338 | 0.0166 | 6.66% ||
| [16-APR-2020 -> 27-JUL-2020] => 0.0188 | 0.46% | 0.0080 || 0.4016 | 0.0240 | 7.41% || 0.0532 | 0.0080 | 5.80% || 0.5453 | 0.0160 | 6.60% ||
| [26-APR-2020 -> 27-JUL-2020] => 0.0187 | 0.44% | 0.0077 || 0.4695 | 0.0231 | 7.31% || 0.0445 | 0.0077 | 5.77% || 0.4860 | 0.0154 | 6.54% ||
| [06-MAY-2020 -> 27-JUL-2020] => 0.0185 | 0.43% | 0.0074 || 0.0417 | 0.0295 | 7.95% || 0.5348 | 0.0147 | 6.48% || 0.4235 | 0.0221 | 7.21% ||
| [16-MAY-2020 -> 27-JUL-2020] => 0.0242 | 0.40% | 0.0070 || 0.5031 | 0.0280 | 7.80% || 0.0424 | 0.0140 | 6.40% || 0.4544 | 0.0210 | 7.10% ||
| [26-MAY-2020 -> 27-JUL-2020] => 0.0236 | 0.38% | 0.0066 || 0.0458 | 0.0329 | 8.29% || 0.4547 | 0.0197 | 6.97% || 0.4995 | 0.0263 | 7.63% ||
| [05-JUN-2020 -> 27-JUL-2020] => 0.0285 | 0.35% | 0.0061 || 0.0568 | 0.0366 | 8.66% || 0.3827 | 0.0244 | 7.44% || 0.5605 | 0.0305 | 8.05% ||
| [15-JUN-2020 -> 27-JUL-2020] => 0.0326 | 0.32% | 0.0056 || 0.1114 | 0.0389 | 8.89% || 0.2379 | 0.0278 | 7.78% || 0.6507 | 0.0333 | 8.33% ||
| [25-JUN-2020 -> 27-JUL-2020] => 0.0356 | 0.28% | 0.0049 || 0.3231 | 0.0393 | 8.93% || 0.0728 | 0.0295 | 7.95% || 0.6040 | 0.0344 | 8.44% ||
| [05-JUL-2020 -> 27-JUL-2020] => 0.0370 | 0.24% | 0.0041 || 0.1493 | 0.0413 | 9.13% || 0.1854 | 0.0330 | 8.30% || 0.6654 | 0.0371 | 8.72% ||
| [15-JUL-2020 -> 27-JUL-2020] => 0.0399 | 0.18% | 0.0031 || 0.1329 | 0.0432 | 9.33% || 0.2058 | 0.0371 | 8.71% || 0.6613 | 0.0402 | 9.02% ||
| [25-JUL-2020 -> 27-JUL-2020] => 0.0430 | 0.07% | 0.0013 || 0.0522 | 0.0447 | 9.48% || 0.4073 | 0.0422 | 9.22% || 0.5405 | 0.0435 | 9.35% ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| ||
| Hull-White Trinomial Tree Downwards Evolution Metrics ||
| --------------------------------------------------- ||
| ||
| L->R: ||
| ||
| Initial Date ||
| Final Date ||
| Expected Final X ||
| X Volatility (%) ||
| X Stochastic Shift ||
| Move-Up Probability ||
| Move-Up X Node Value ||
| Move-Up Short Rate ||
| Move-Down Probability ||
| Move-Down X Node Value ||
| Move-Down Short Rate ||
| Stay Probability ||
| Stay X Node Value ||
| Stay Short Rate ||
| ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 0.0000 | 0.56% | 0.0097 || 0.1667 | 0.0097 | 5.97% || 0.1667 | -0.0097 | 4.03% || 0.6667 | 0.0000 | 5.00% ||
| [06-FEB-2020 -> 27-JUL-2020] => -0.0061 | 0.55% | 0.0096 || 0.4158 | 0.0000 | 5.00% || 0.0508 | -0.0191 | 3.09% || 0.5334 | -0.0096 | 4.05% ||
| [16-FEB-2020 -> 27-JUL-2020] => -0.0123 | 0.54% | 0.0094 || 0.0602 | 0.0000 | 5.00% || 0.3675 | -0.0188 | 3.12% || 0.5723 | -0.0094 | 4.06% ||
| [26-FEB-2020 -> 27-JUL-2020] => -0.0124 | 0.53% | 0.0092 || 0.0535 | 0.0000 | 5.00% || 0.3995 | -0.0184 | 3.16% || 0.5470 | -0.0092 | 4.08% ||
| [07-MAR-2020 -> 27-JUL-2020] => -0.0125 | 0.52% | 0.0090 || 0.0481 | 0.0000 | 5.00% || 0.4343 | -0.0180 | 3.20% || 0.5176 | -0.0090 | 4.10% ||
| [17-MAR-2020 -> 27-JUL-2020] => -0.0125 | 0.51% | 0.0088 || 0.0443 | 0.0000 | 5.00% || 0.4723 | -0.0176 | 3.24% || 0.4835 | -0.0088 | 4.12% ||
| [27-MAR-2020 -> 27-JUL-2020] => -0.0126 | 0.49% | 0.0085 || 0.0421 | 0.0000 | 5.00% || 0.5137 | -0.0171 | 3.29% || 0.4442 | -0.0085 | 4.15% ||
| [06-APR-2020 -> 27-JUL-2020] => -0.0126 | 0.48% | 0.0083 || 0.5244 | -0.0083 | 4.17% || 0.0418 | -0.0249 | 2.51% || 0.4338 | -0.0166 | 3.34% ||
| [16-APR-2020 -> 27-JUL-2020] => -0.0188 | 0.46% | 0.0080 || 0.0532 | -0.0080 | 4.20% || 0.4016 | -0.0240 | 2.60% || 0.5453 | -0.0160 | 3.40% ||
| [26-APR-2020 -> 27-JUL-2020] => -0.0187 | 0.44% | 0.0077 || 0.0445 | -0.0077 | 4.23% || 0.4695 | -0.0231 | 2.69% || 0.4860 | -0.0154 | 3.46% ||
| [06-MAY-2020 -> 27-JUL-2020] => -0.0185 | 0.43% | 0.0074 || 0.5348 | -0.0147 | 3.53% || 0.0417 | -0.0295 | 2.06% || 0.4235 | -0.0221 | 2.79% ||
| [16-MAY-2020 -> 27-JUL-2020] => -0.0242 | 0.40% | 0.0070 || 0.0424 | -0.0140 | 3.60% || 0.5031 | -0.0280 | 2.21% || 0.4544 | -0.0210 | 2.90% ||
| [26-MAY-2020 -> 27-JUL-2020] => -0.0236 | 0.38% | 0.0066 || 0.4547 | -0.0197 | 3.03% || 0.0458 | -0.0329 | 1.72% || 0.4995 | -0.0263 | 2.37% ||
| [05-JUN-2020 -> 27-JUL-2020] => -0.0285 | 0.35% | 0.0061 || 0.3827 | -0.0244 | 2.56% || 0.0568 | -0.0366 | 1.34% || 0.5605 | -0.0305 | 1.95% ||
| [15-JUN-2020 -> 27-JUL-2020] => -0.0326 | 0.32% | 0.0056 || 0.2379 | -0.0278 | 2.23% || 0.1114 | -0.0389 | 1.12% || 0.6507 | -0.0333 | 1.67% ||
| [25-JUN-2020 -> 27-JUL-2020] => -0.0356 | 0.28% | 0.0049 || 0.0728 | -0.0295 | 2.06% || 0.3231 | -0.0393 | 1.07% || 0.6040 | -0.0344 | 1.56% ||
| [05-JUL-2020 -> 27-JUL-2020] => -0.0370 | 0.24% | 0.0041 || 0.1854 | -0.0330 | 1.70% || 0.1493 | -0.0413 | 0.88% || 0.6654 | -0.0371 | 1.29% ||
| [15-JUL-2020 -> 27-JUL-2020] => -0.0399 | 0.18% | 0.0031 || 0.2058 | -0.0371 | 1.30% || 0.1329 | -0.0432 | 0.68% || 0.6613 | -0.0402 | 0.99% ||
| [25-JUL-2020 -> 27-JUL-2020] => -0.0430 | 0.07% | 0.0013 || 0.4073 | -0.0422 | 0.78% || 0.0522 | -0.0447 | 0.53% || 0.5405 | -0.0435 | 0.66% ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| ||
| Hull-White Trinomial Tree Stay-Put Evolution Metrics ||
| --------------------------------------------------- ||
| ||
| L->R: ||
| ||
| Initial Date ||
| Final Date ||
| Expected Final X ||
| X Volatility (%) ||
| X Stochastic Shift ||
| Move-Up Probability ||
| Move-Up X Node Value ||
| Move-Up Short Rate ||
| Move-Down Probability ||
| Move-Down X Node Value ||
| Move-Down Short Rate ||
| Stay Probability ||
| Stay X Node Value ||
| Stay Short Rate ||
| ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 0.0000 | 0.56% | 0.0097 || 0.1667 | 0.0097 | 5.97% || 0.1667 | -0.0097 | 4.03% || 0.6667 | 0.0000 | 5.00% ||
| [06-FEB-2020 -> 27-JUL-2020] => 0.0000 | 0.55% | 0.0096 || 0.1667 | 0.0096 | 5.96% || 0.1667 | -0.0096 | 4.05% || 0.6667 | 0.0000 | 5.00% ||
| [16-FEB-2020 -> 27-JUL-2020] => 0.0000 | 0.54% | 0.0094 || 0.1667 | 0.0094 | 5.94% || 0.1667 | -0.0094 | 4.06% || 0.6667 | 0.0000 | 5.00% ||
| [26-FEB-2020 -> 27-JUL-2020] => 0.0000 | 0.53% | 0.0092 || 0.1667 | 0.0092 | 5.92% || 0.1667 | -0.0092 | 4.08% || 0.6667 | 0.0000 | 5.00% ||
| [07-MAR-2020 -> 27-JUL-2020] => 0.0000 | 0.52% | 0.0090 || 0.1667 | 0.0090 | 5.90% || 0.1667 | -0.0090 | 4.10% || 0.6667 | 0.0000 | 5.00% ||
| [17-MAR-2020 -> 27-JUL-2020] => 0.0000 | 0.51% | 0.0088 || 0.1667 | 0.0088 | 5.88% || 0.1667 | -0.0088 | 4.12% || 0.6667 | 0.0000 | 5.00% ||
| [27-MAR-2020 -> 27-JUL-2020] => 0.0000 | 0.49% | 0.0085 || 0.1667 | 0.0085 | 5.86% || 0.1667 | -0.0085 | 4.15% || 0.6667 | 0.0000 | 5.00% ||
| [06-APR-2020 -> 27-JUL-2020] => 0.0000 | 0.48% | 0.0083 || 0.1667 | 0.0083 | 5.83% || 0.1667 | -0.0083 | 4.17% || 0.6667 | 0.0000 | 5.00% ||
| [16-APR-2020 -> 27-JUL-2020] => 0.0000 | 0.46% | 0.0080 || 0.1667 | 0.0080 | 5.80% || 0.1667 | -0.0080 | 4.20% || 0.6667 | 0.0000 | 5.00% ||
| [26-APR-2020 -> 27-JUL-2020] => 0.0000 | 0.44% | 0.0077 || 0.1667 | 0.0077 | 5.77% || 0.1667 | -0.0077 | 4.23% || 0.6667 | 0.0000 | 5.00% ||
| [06-MAY-2020 -> 27-JUL-2020] => 0.0000 | 0.43% | 0.0074 || 0.1667 | 0.0074 | 5.74% || 0.1667 | -0.0074 | 4.27% || 0.6667 | 0.0000 | 5.00% ||
| [16-MAY-2020 -> 27-JUL-2020] => 0.0000 | 0.40% | 0.0070 || 0.1667 | 0.0070 | 5.70% || 0.1667 | -0.0070 | 4.30% || 0.6667 | 0.0000 | 5.00% ||
| [26-MAY-2020 -> 27-JUL-2020] => 0.0000 | 0.38% | 0.0066 || 0.1667 | 0.0066 | 5.66% || 0.1667 | -0.0066 | 4.34% || 0.6667 | 0.0000 | 5.00% ||
| [05-JUN-2020 -> 27-JUL-2020] => 0.0000 | 0.35% | 0.0061 || 0.1667 | 0.0061 | 5.61% || 0.1667 | -0.0061 | 4.39% || 0.6667 | 0.0000 | 5.00% ||
| [15-JUN-2020 -> 27-JUL-2020] => 0.0000 | 0.32% | 0.0056 || 0.1667 | 0.0056 | 5.56% || 0.1667 | -0.0056 | 4.45% || 0.6667 | 0.0000 | 5.00% ||
| [25-JUN-2020 -> 27-JUL-2020] => 0.0000 | 0.28% | 0.0049 || 0.1667 | 0.0049 | 5.49% || 0.1667 | -0.0049 | 4.51% || 0.6667 | 0.0000 | 5.00% ||
| [05-JUL-2020 -> 27-JUL-2020] => 0.0000 | 0.24% | 0.0041 || 0.1667 | 0.0041 | 5.41% || 0.1667 | -0.0041 | 4.59% || 0.6667 | 0.0000 | 5.00% ||
| [15-JUL-2020 -> 27-JUL-2020] => 0.0000 | 0.18% | 0.0031 || 0.1667 | 0.0031 | 5.31% || 0.1667 | -0.0031 | 4.69% || 0.6667 | 0.0000 | 5.00% ||
| [25-JUL-2020 -> 27-JUL-2020] => 0.0000 | 0.07% | 0.0013 || 0.1667 | 0.0013 | 5.13% || 0.1667 | -0.0013 | 4.87% || 0.6667 | 0.0000 | 5.00% ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
| Run Duration => 85 ms
|-----------------------------------------------------------------|