|-----------------------------------------------------------------|
| 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 00:35:19 EST 2020
| Setup Time => Mon Jan 27 00:35:19 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|------------------------------|
| CONTINUOUS FORWARD RATE VOL |
| Num Factors: 1 |
|------------------------------|
| 1Y => 1.49% |
| 2Y => 2.69% |
| 3Y => 3.88% |
| 4Y => 5.08% |
| 5Y => 6.27% |
| 6Y => 7.47% |
| 7Y => 8.66% |
| 8Y => 9.86% |
|------------------------------|
|------------------------------|
| CONTINUOUS FORWARD RATE VOL |
| Num Factors: 2 |
|------------------------------|
| 1Y => 1.49% | 0.22% |
| 2Y => 2.69% | 0.40% |
| 3Y => 3.88% | 0.58% |
| 4Y => 5.08% | 0.76% |
| 5Y => 6.27% | 0.94% |
| 6Y => 7.47% | 1.12% |
| 7Y => 8.66% | 1.30% |
| 8Y => 9.86% | 1.47% |
|------------------------------|
|------------------------------|
| CONTINUOUS FORWARD RATE VOL |
| Num Factors: 3 |
|------------------------------|
| 1Y => 1.49% | 0.22% | 0.14% |
| 2Y => 2.69% | 0.40% | 0.25% |
| 3Y => 3.88% | 0.58% | 0.37% |
| 4Y => 5.08% | 0.76% | 0.48% |
| 5Y => 6.27% | 0.94% | 0.59% |
| 6Y => 7.47% | 1.12% | 0.70% |
| 7Y => 8.66% | 1.30% | 0.82% |
| 8Y => 9.86% | 1.47% | 0.93% |
|------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:19 EST 2020
| Setup Time => Mon Jan 27 00:35:19 EST 2020
| Finish Time => Mon Jan 27 00:35:20 EST 2020
| Setup Duration => 2 ms
| Run Duration => 215 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 00:35:20 EST 2020
| Setup Time => Mon Jan 27 00:35:20 EST 2020
| Setup Duration => 32 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[28-JAN-2020] = 0.001300 | 0.001300
[29-JAN-2020] = 0.001700 | 0.001700
[05-FEB-2020] = 0.001700 | 0.001700
[14-FEB-2020] = 0.001800 | 0.001800
[10-MAR-2020] = 0.002000 | 0.002000
[21-APR-2020] = 0.002300 | 0.002300
----------------------------------------------------------------
EDF INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-JUN-2020] = 0.002700 | 0.002700
[15-SEP-2020] = 0.003200 | 0.003200
[15-DEC-2020] = 0.004100 | 0.004100
[15-MAR-2021] = 0.005400 | 0.005400
[15-JUN-2021] = 0.007700 | 0.007700
[15-SEP-2021] = 0.010400 | 0.010400
[15-DEC-2021] = 0.013400 | 0.013400
[15-MAR-2022] = 0.016000 | 0.016000
----------------------------------------------------------------
SWAP INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[27-JAN-2024] = 0.016600 | 0.016600 | 0.016600
[27-JAN-2025] = 0.020600 | 0.020600 | 0.020600
[27-JAN-2026] = 0.024100 | 0.024100 | 0.024100
[27-JAN-2027] = 0.026900 | 0.026900 | 0.026900
[27-JAN-2028] = 0.029200 | 0.029200 | 0.029200
[27-JAN-2029] = 0.031100 | 0.031100 | 0.031100
[27-JAN-2030] = 0.032600 | 0.032600 | 0.032600
[27-JAN-2031] = 0.034000 | 0.034000 | 0.034000
[27-JAN-2032] = 0.035100 | 0.035100 | 0.035100
[27-JAN-2035] = 0.037500 | 0.037500 | 0.037500
[27-JAN-2040] = 0.039300 | 0.039300 | 0.039300
[27-JAN-2045] = 0.040200 | 0.040200 | 0.040200
[27-JAN-2050] = 0.040700 | 0.040700 | 0.040700
[27-JAN-2060] = 0.040900 | 0.040900 | 0.040900
[27-JAN-2070] = 0.040900 | 0.040900 | 0.040900
|------------------------------------------------------------------------------------------
| 27-APR-2021 | 27-JUL-2021 | 27-OCT-2021 | 27-JAN-2022 | 27-APR-2022 | 27-JUL-2022 |
|------------------------------------------------------------------------------------------
| 1.98% | 2.10% | 2.03% | 2.01% | 2.10% | 2.10% |
| 1.0000 | 0.9771 | 0.9730 | 0.9715 | 0.9683 | 0.9547 |
| 04 | -02 | 10 | 03 | 01 | 10 |
| -02 | -02 | -02 | -02 | -02 | -02 |
| 00 | -00 | 00 | 00 | 00 | 01 |
| 00 | 00 | 01 | 00 | -00 | 00 |
| 2.02% | 2.02% | 2.02% | 2.02% | 2.02% | 2.03% |
| 2.01% | 2.00% | 2.01% | 2.01% | 2.01% | 2.01% |
|------------------------------------------------------------------------------------------
|------------------------------------------------------------------------------------------
| 27-APR-2021 | 27-JUL-2021 | 27-OCT-2021 | 27-JAN-2022 | 27-APR-2022 | 27-JUL-2022 |
|------------------------------------------------------------------------------------------
| 2.04% | 1.97% | 2.14% | 2.10% | 2.17% | 2.17% |
| 1.0000 | 0.9762 | 0.9753 | 0.9692 | 0.9663 | 0.9531 |
| 07 | 04 | -03 | 14 | 10 | 17 |
| -02 | -02 | -02 | -02 | -02 | -02 |
| 00 | 00 | -00 | 01 | 00 | 01 |
| 00 | 00 | 00 | 01 | 01 | 01 |
| 2.02% | 2.02% | 2.02% | 2.03% | 2.02% | 2.03% |
| 2.01% | 2.01% | 2.00% | 2.01% | 2.01% | 2.01% |
|------------------------------------------------------------------------------------------
|------------------------------------------------------------------------------------------
| 27-APR-2021 | 27-JUL-2021 | 27-OCT-2021 | 27-JAN-2022 | 27-APR-2022 | 27-JUL-2022 |
|------------------------------------------------------------------------------------------
| 1.92% | 2.08% | 2.08% | 2.00% | 1.99% | 1.99% |
| 1.0000 | 0.9779 | 0.9734 | 0.9703 | 0.9684 | 0.9575 |
| 01 | -08 | 08 | 08 | 00 | -01 |
| -02 | -02 | -02 | -02 | -02 | -02 |
| 00 | -00 | 00 | 00 | -00 | -00 |
| 00 | 00 | 00 | 01 | -00 | -00 |
| 2.02% | 2.02% | 2.02% | 2.02% | 2.02% | 2.02% |
| 2.01% | 2.00% | 2.01% | 2.01% | 2.00% | 2.00% |
|------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 00:35:20 EST 2020
| Setup Time => Mon Jan 27 00:35:20 EST 2020
| Finish Time => Mon Jan 27 00:35:21 EST 2020
| Setup Duration => 32 ms
| Run Duration => 1 s 396 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 00:35:21 EST 2020
| Setup Time => Mon Jan 27 00:35:21 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[28-JAN-2020] = 0.001300 | 0.001300
[29-JAN-2020] = 0.001700 | 0.001700
[05-FEB-2020] = 0.001700 | 0.001700
[14-FEB-2020] = 0.001800 | 0.001800
[10-MAR-2020] = 0.002000 | 0.002000
[21-APR-2020] = 0.002300 | 0.002300
----------------------------------------------------------------
EDF INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-JUN-2020] = 0.002700 | 0.002700
[15-SEP-2020] = 0.003200 | 0.003200
[15-DEC-2020] = 0.004100 | 0.004100
[15-MAR-2021] = 0.005400 | 0.005400
[15-JUN-2021] = 0.007700 | 0.007700
[15-SEP-2021] = 0.010400 | 0.010400
[15-DEC-2021] = 0.013400 | 0.013400
[15-MAR-2022] = 0.016000 | 0.016000
----------------------------------------------------------------
SWAP INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[27-JAN-2024] = 0.016600 | 0.016600 | 0.016600
[27-JAN-2025] = 0.020600 | 0.020600 | 0.020600
[27-JAN-2026] = 0.024100 | 0.024100 | 0.024100
[27-JAN-2027] = 0.026900 | 0.026900 | 0.026900
[27-JAN-2028] = 0.029200 | 0.029200 | 0.029200
[27-JAN-2029] = 0.031100 | 0.031100 | 0.031100
[27-JAN-2030] = 0.032600 | 0.032600 | 0.032600
[27-JAN-2031] = 0.034000 | 0.034000 | 0.034000
[27-JAN-2032] = 0.035100 | 0.035100 | 0.035100
[27-JAN-2035] = 0.037500 | 0.037500 | 0.037500
[27-JAN-2040] = 0.039300 | 0.039300 | 0.039300
[27-JAN-2045] = 0.040200 | 0.040200 | 0.040200
[27-JAN-2050] = 0.040700 | 0.040700 | 0.040700
[27-JAN-2060] = 0.040900 | 0.040900 | 0.040900
[27-JAN-2070] = 0.040900 | 0.040900 | 0.040900
|---------------------------------------------------------------------------------------------------------
| | 27-APR-2021 | 27-JUL-2021 | 27-OCT-2021 | 27-JAN-2022 | 27-APR-2022 | 27-JUL-2022 |
|---------------------------------------------------------------------------------------------------------
| 27-JAN-2020 | 0.89% | 1.17% | 1.48% | 4.76% | 4.76% | 4.76% |
| 28-JAN-2020 | 0.89% | 1.20% | 1.44% | 4.78% | 4.79% | 4.79% |
| 29-JAN-2020 | 0.83% | 1.23% | 1.44% | 4.86% | 5.00% | 5.00% |
| 30-JAN-2020 | 0.77% | 1.23% | 1.58% | 4.81% | 5.11% | 5.11% |
| 31-JAN-2020 | 0.72% | 1.29% | 1.60% | 4.73% | 5.55% | 5.55% |
| 01-FEB-2020 | 0.73% | 1.24% | 1.74% | 4.89% | 5.94% | 5.94% |
| 02-FEB-2020 | 0.72% | 1.25% | 1.78% | 5.30% | 6.36% | 6.36% |
| 03-FEB-2020 | 0.75% | 1.32% | 1.87% | 5.91% | 5.99% | 5.99% |
| 04-FEB-2020 | 0.75% | 1.39% | 1.98% | 6.17% | 6.46% | 6.46% |
| 05-FEB-2020 | 0.76% | 1.49% | 2.00% | 6.33% | 6.67% | 6.67% |
| 06-FEB-2020 | 0.76% | 1.59% | 2.11% | 6.75% | 7.29% | 7.29% |
| 07-FEB-2020 | 0.81% | 1.64% | 2.14% | 7.06% | 7.25% | 7.25% |
| 08-FEB-2020 | 0.82% | 1.86% | 2.21% | 7.20% | 7.46% | 7.46% |
| 09-FEB-2020 | 0.87% | 1.89% | 2.39% | 7.33% | 7.83% | 7.83% |
| 10-FEB-2020 | 0.86% | 1.84% | 2.48% | 7.68% | 8.00% | 8.00% |
| 11-FEB-2020 | 0.78% | 1.91% | 2.43% | 7.78% | 8.36% | 8.36% |
| 12-FEB-2020 | 0.74% | 1.89% | 2.42% | 8.26% | 8.70% | 8.70% |
| 13-FEB-2020 | 0.75% | 1.83% | 2.46% | 8.76% | 9.18% | 9.18% |
| 14-FEB-2020 | 0.73% | 1.92% | 2.60% | 9.14% | 9.75% | 9.75% |
| 15-FEB-2020 | 0.72% | 1.94% | 2.78% | 9.73% | 9.85% | 9.85% |
| 16-FEB-2020 | 0.72% | 1.94% | 2.89% | 10.01% | 10.67% | 10.67% |
| 17-FEB-2020 | 0.73% | 1.98% | 3.11% | 10.38% | 10.94% | 10.94% |
| 18-FEB-2020 | 0.73% | 2.05% | 3.16% | 10.90% | 11.35% | 11.35% |
| 19-FEB-2020 | 0.74% | 2.11% | 3.36% | 11.73% | 12.70% | 12.70% |
| 20-FEB-2020 | 0.77% | 2.21% | 3.44% | 12.13% | 12.80% | 12.80% |
| 21-FEB-2020 | 0.79% | 2.22% | 3.56% | 13.22% | 13.66% | 13.66% |
| 22-FEB-2020 | 0.81% | 2.26% | 3.76% | 14.04% | 14.82% | 14.82% |
| 23-FEB-2020 | 0.82% | 2.40% | 3.75% | 14.40% | 15.32% | 15.32% |
| 24-FEB-2020 | 0.82% | 2.38% | 3.98% | 15.32% | 16.79% | 16.79% |
| 25-FEB-2020 | 0.89% | 2.54% | 4.18% | 17.06% | 18.07% | 18.07% |
| 26-FEB-2020 | 0.91% | 2.50% | 4.26% | 18.42% | 18.81% | 18.81% |
|---------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 00:35:21 EST 2020
| Setup Time => Mon Jan 27 00:35:21 EST 2020
| Finish Time => Mon Jan 27 00:35:30 EST 2020
| Setup Duration => 2 ms
| Run Duration => 9 s 209 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 00:35:30 EST 2020
| Setup Time => Mon Jan 27 00:35:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 1 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Effective Annual Forward Rate (%) |
| Adjacent Step Nominal Annual Forward Rate (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 2.07% | 07 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.84% | -16 | 2.01% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.89% | -11 | 2.01% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.91% | -09 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.91% | -09 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.00% | -00 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.86% | -14 | 2.01% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.10% | 10 | 2.03% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.00% | 00 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.94% | -06 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
|----------------------------------------------------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 2 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Effective Annual Forward Rate (%) |
| Adjacent Step Nominal Annual Forward Rate (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.91% | -09 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.05% | 05 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.10% | 10 | 2.03% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.85% | -15 | 2.01% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.92% | -08 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.12% | 12 | 2.03% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.00% | 00 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.05% | 05 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.04% | 04 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.08% | 08 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.00% | -00 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.04% | 04 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.94% | -06 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
|----------------------------------------------------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 3 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Effective Annual Forward Rate (%) |
| Adjacent Step Nominal Annual Forward Rate (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.06% | 06 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.12% | 12 | 2.03% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.99% | -01 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.93% | -07 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.08% | 08 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.02% | 2.00% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.07% | 07 | 2.02% | 2.01% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.02% | 2.01% |
|----------------------------------------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:30 EST 2020
| Setup Time => Mon Jan 27 00:35:30 EST 2020
| Finish Time => Mon Jan 27 00:35:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 s 442 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 00:35:33 EST 2020
| Setup Time => Mon Jan 27 00:35:33 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 1 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Continuously Compounded Forward Rate (%) |
| Adjacent Step Continuously Compounded Forward Rate Increment (bp) |
| Adjacent Step Spot Rate (%) |
| Adjacent Step Spot Rate Increment (bp) |
| Adjacent Step Discount Function |
| Adjacent Step Discount Function Increment (c) |
| Log-normal LIBOR Rate Volatility (%) |
| Continuously Compounded Forward Rate Volatility (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 2.05% | 05 | 2.00% | 00 | 2.00% | 00 | 97.95 | -06 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.00 | -02 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.00% | -00 | 2.00% | -00 | 98.07 | 05 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.09% | 09 | 2.00% | 00 | 2.00% | 00 | 97.90 | -11 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.12% | 12 | 2.01% | 01 | 2.01% | 01 | 97.86 | -15 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.00% | -00 | 2.00% | -00 | 98.08 | 06 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.15% | 15 | 2.01% | 01 | 2.01% | 01 | 97.83 | -18 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.93% | -07 | 2.00% | -00 | 2.00% | -00 | 98.10 | 09 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.05 | 04 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.00% | -00 | 2.00% | -00 | 98.04 | 03 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.04% | 04 | 2.00% | 00 | 2.00% | 00 | 97.96 | -06 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.94% | -06 | 2.00% | -00 | 2.00% | -00 | 98.09 | 08 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.99% | -01 | 2.00% | -00 | 2.00% | -00 | 98.03 | 02 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.00% | 00 | 2.00% | 00 | 97.97 | -04 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.99% | -01 | 2.00% | -00 | 2.00% | -00 | 98.03 | 01 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.00% | -00 | 2.00% | -00 | 2.00% | -00 | 98.02 | 00 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.00% | -00 | 2.00% | -00 | 98.04 | 02 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.93% | -07 | 2.00% | -00 | 2.00% | -00 | 98.10 | 08 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.00% | 00 | 2.00% | 00 | 97.98 | -04 | 60% | 1.49% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.06% | 06 | 2.00% | 00 | 2.00% | 00 | 97.94 | -07 | 60% | 1.49% |
|----------------------------------------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:33 EST 2020
| Setup Time => Mon Jan 27 00:35:33 EST 2020
| Finish Time => Mon Jan 27 00:35:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 824 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 2 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Continuously Compounded Forward Rate (%) |
| Adjacent Step Continuously Compounded Forward Rate Increment (bp) |
| Adjacent Step Spot Rate (%) |
| Adjacent Step Spot Rate Increment (bp) |
| Adjacent Step Discount Function |
| Adjacent Step Discount Function Increment (c) |
| Log-normal LIBOR Rate Volatility (%) |
| Continuously Compounded Forward Rate Volatility (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 2.04% | 04 | 2.00% | 00 | 2.00% | 00 | 97.97 | -04 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.00% | -00 | 2.00% | -00 | 98.07 | 06 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.07% | 07 | 2.00% | 00 | 2.00% | 00 | 97.93 | -09 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.00% | -00 | 2.00% | -00 | 98.08 | 07 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.08% | 08 | 2.00% | 00 | 2.00% | 00 | 97.92 | -09 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.04% | 04 | 2.00% | 00 | 2.00% | 00 | 97.96 | -05 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.93% | -07 | 2.00% | -00 | 2.00% | -00 | 98.10 | 09 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.01 | -01 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.99% | -01 | 2.00% | -00 | 2.00% | -00 | 98.03 | 02 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.08% | 08 | 2.00% | 00 | 2.00% | 00 | 97.91 | -10 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.00 | -01 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.00% | -00 | 2.00% | -00 | 98.06 | 05 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.00% | -00 | 2.00% | -00 | 98.08 | 07 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.00% | 00 | 2.00% | 00 | 97.99 | -03 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.01 | -01 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.95% | -05 | 2.00% | -00 | 2.00% | -00 | 98.08 | 06 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.01 | -01 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.00 | -01 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.10% | 10 | 2.01% | 01 | 2.01% | 01 | 97.89 | -12 | 61% | 1.51% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.05% | 05 | 2.00% | 00 | 2.00% | 00 | 97.95 | -06 | 61% | 1.51% |
|----------------------------------------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:33 EST 2020
| Setup Time => Mon Jan 27 00:35:33 EST 2020
| Finish Time => Mon Jan 27 00:35:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 648 ms
|-----------------------------------------------------------------|
|----------------------------------------------------------------------------------------------------------|
| |
| LOG-NORMAL LIBOR EVOLVER |
| ---------- ----- ------- |
| |
| Num Factors: 3 |
| Start Date |
| End Date |
| Adjacent Step LIBOR (%) |
| Adjacent Step LIBOR Increment (bp) |
| Adjacent Step Continuously Compounded Forward Rate (%) |
| Adjacent Step Continuously Compounded Forward Rate Increment (bp) |
| Adjacent Step Spot Rate (%) |
| Adjacent Step Spot Rate Increment (bp) |
| Adjacent Step Discount Function |
| Adjacent Step Discount Function Increment (c) |
| Log-normal LIBOR Rate Volatility (%) |
| Continuously Compounded Forward Rate Volatility (%) |
| |
|----------------------------------------------------------------------------------------------------------|
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.06 | 04 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.01% | 01 | 2.00% | 00 | 2.00% | 00 | 98.01 | -01 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.91% | -09 | 2.00% | -00 | 2.00% | -00 | 98.12 | 11 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.00% | -00 | 2.00% | -00 | 98.03 | 02 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.03% | 03 | 2.00% | 00 | 2.00% | 00 | 97.98 | -04 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.05 | 03 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.96% | -04 | 2.00% | -00 | 2.00% | -00 | 98.07 | 05 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.93% | -07 | 2.00% | -00 | 2.00% | -00 | 98.11 | 09 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.02% | 02 | 2.00% | 00 | 2.00% | 00 | 97.99 | -02 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.09% | 09 | 2.00% | 00 | 2.00% | 00 | 97.90 | -12 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.05 | 03 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.06 | 04 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.97% | -03 | 2.00% | -00 | 2.00% | -00 | 98.06 | 04 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.08% | 08 | 2.00% | 00 | 2.00% | 00 | 97.92 | -10 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.94% | -06 | 2.00% | -00 | 2.00% | -00 | 98.08 | 07 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 2.10% | 10 | 2.00% | 00 | 2.00% | 00 | 97.90 | -12 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.00% | -00 | 2.00% | -00 | 98.04 | 03 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.94% | -06 | 2.00% | -00 | 2.00% | -00 | 98.09 | 08 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.98% | -02 | 2.00% | -00 | 2.00% | -00 | 98.04 | 02 | 61% | 1.52% |
| [27-JAN-2020 -> 28-JAN-2020] => 1.92% | -08 | 2.00% | -00 | 2.00% | -00 | 98.11 | 09 | 61% | 1.52% |
|----------------------------------------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:33 EST 2020
| Setup Time => Mon Jan 27 00:35:33 EST 2020
| Finish Time => Mon Jan 27 00:35:35 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 404 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 00:35:35 EST 2020
| Setup Time => Mon Jan 27 00:35:35 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------|
| CONTINUOUS FORWARD RATE VOL |
|------------------------------|
| 1Y => 1.47% | -0.18% |
| 2Y => 2.76% | -0.34% |
| 3Y => 4.11% | -0.51% |
| 4Y => 5.43% | -0.67% |
| 5Y => 6.81% | -0.84% |
| 6Y => 8.19% | -1.01% |
| 7Y => 9.53% | -1.17% |
| 8Y => 10.84% | -1.34% |
|------------------------------|
|-----------------------------------------------------------------|
| 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 00:35:35 EST 2020
| Setup Time => Mon Jan 27 00:35:35 EST 2020
| Finish Time => Mon Jan 27 00:35:35 EST 2020
| Setup Duration => 1 ms
| Run Duration => 173 ms
|-----------------------------------------------------------------|