Standard output
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| 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
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|------------------------------------------------|
| SABR IMPLIED BLACK VOLATILITY |
|------------------------------------------------|
| 0.25 => 42.5 | 43.8 | 45.0 | 46.0 | 46.8 |
| 0.50 => 42.7 | 44.1 | 45.2 | 46.2 | 47.1 |
| 0.75 => 42.9 | 44.3 | 45.4 | 46.4 | 47.3 |
| 1.00 => 43.1 | 44.5 | 45.7 | 46.7 | 47.6 |
| 2.00 => 44.0 | 45.4 | 46.6 | 47.6 | 48.5 |
| 3.00 => 44.9 | 46.3 | 47.6 | 48.6 | 49.5 |
| 4.00 => 45.8 | 47.3 | 48.5 | 49.6 | 50.5 |
| 5.00 => 46.7 | 48.2 | 49.4 | 50.5 | 51.5 |
| 7.00 => 48.4 | 50.0 | 51.3 | 52.4 | 53.4 |
| 9.99 => 51.1 | 52.7 | 54.1 | 55.3 | 56.3 |
|------------------------------------------------|
|-----------------------------------------------------------------|
| 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
|-----------------------------------------------------------------|
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|| SABR EVOLUTION DYNAMICS ||
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|| L -> R: ||
|| Forward Rate (%) - Gaussian (beta = 0.0) ||
|| Forward Rate Vol (%) - Gaussian (beta = 0.0) ||
|| Forward Rate (%) - beta = 0.5 ||
|| Forward Rate Vol (%) - beta = 0.5 ||
|| Forward Rate (%) - Lognormal (beta = 1.0) ||
|| Forward Rate Vol (%) - Lognormal (beta = 1.0) ||
||---------------------------------------------------------------------------------||
|| 27-JAN-2020 => 3.8513 % | 2.97 % || 3.9897 % | 26.8 % || 4.0679 % | 51.9 % ||
|| 29-JAN-2020 => 3.6094 % | 3.02 % || 3.7859 % | 25.3 % || 3.7776 % | 49.7 % ||
|| 31-JAN-2020 => 3.5766 % | 2.90 % || 3.5069 % | 25.8 % || 3.7156 % | 48.9 % ||
|| 02-FEB-2020 => 3.3328 % | 2.96 % || 3.6661 % | 26.1 % || 3.7231 % | 48.8 % ||
|| 04-FEB-2020 => 3.6154 % | 3.12 % || 3.4624 % | 27.1 % || 3.6304 % | 48.8 % ||
|| 06-FEB-2020 => 3.8004 % | 3.26 % || 3.6012 % | 28.9 % || 3.2935 % | 50.7 % ||
|| 08-FEB-2020 => 4.3200 % | 3.17 % || 3.2224 % | 27.9 % || 3.4392 % | 48.5 % ||
|| 10-FEB-2020 => 4.2576 % | 3.30 % || 3.6078 % | 27.6 % || 3.4469 % | 50.3 % ||
|| 12-FEB-2020 => 4.1527 % | 3.26 % || 3.5195 % | 27.6 % || 3.3475 % | 52.7 % ||
|| 14-FEB-2020 => 4.2482 % | 3.17 % || 2.7684 % | 25.6 % || 3.2202 % | 50.7 % ||
|| 16-FEB-2020 => 4.0797 % | 3.13 % || 2.5679 % | 22.8 % || 3.2686 % | 48.7 % ||
|| 18-FEB-2020 => 4.1756 % | 3.27 % || 2.8212 % | 22.4 % || 3.4533 % | 47.9 % ||
|| 20-FEB-2020 => 4.2831 % | 3.31 % || 3.2855 % | 22.4 % || 3.4389 % | 46.6 % ||
|| 22-FEB-2020 => 4.1022 % | 3.35 % || 2.7806 % | 23.1 % || 3.4218 % | 46.7 % ||
|| 24-FEB-2020 => 3.7744 % | 3.59 % || 2.5163 % | 21.8 % || 3.4755 % | 48.0 % ||
|| 26-FEB-2020 => 3.5334 % | 3.73 % || 2.5005 % | 23.2 % || 3.4890 % | 48.1 % ||
|| 28-FEB-2020 => 3.1370 % | 3.58 % || 2.8083 % | 23.0 % || 3.5901 % | 45.8 % ||
|| 01-MAR-2020 => 2.8734 % | 3.63 % || 3.0325 % | 21.3 % || 3.5966 % | 47.4 % ||
|| 03-MAR-2020 => 2.7200 % | 3.46 % || 3.4178 % | 21.9 % || 3.6694 % | 44.4 % ||
|| 05-MAR-2020 => 2.7385 % | 3.18 % || 3.4297 % | 22.1 % || 3.6463 % | 43.9 % ||
|| 07-MAR-2020 => 2.8954 % | 3.13 % || 3.2685 % | 23.0 % || 3.3901 % | 45.6 % ||
|| 09-MAR-2020 => 3.0526 % | 3.15 % || 3.3600 % | 23.6 % || 3.2925 % | 45.0 % ||
|| 11-MAR-2020 => 3.0864 % | 3.19 % || 3.1844 % | 22.2 % || 3.3619 % | 46.7 % ||
|| 13-MAR-2020 => 2.7608 % | 3.21 % || 3.1189 % | 22.4 % || 3.0358 % | 46.6 % ||
|| 15-MAR-2020 => 2.9119 % | 3.07 % || 3.4143 % | 22.3 % || 3.1296 % | 45.0 % ||
|| 17-MAR-2020 => 3.0092 % | 3.06 % || 3.4595 % | 22.4 % || 3.1517 % | 43.2 % ||
|| 19-MAR-2020 => 3.0974 % | 3.01 % || 3.7488 % | 21.6 % || 3.3505 % | 41.6 % ||
|| 21-MAR-2020 => 3.0481 % | 3.12 % || 3.8080 % | 22.1 % || 3.0620 % | 38.8 % ||
|| 23-MAR-2020 => 3.2825 % | 3.26 % || 4.2343 % | 21.5 % || 3.0250 % | 42.3 % ||
|| 25-MAR-2020 => 3.2673 % | 3.31 % || 4.1296 % | 21.0 % || 2.9140 % | 45.2 % ||
|| 27-MAR-2020 => 3.2324 % | 3.34 % || 3.8334 % | 21.7 % || 2.6572 % | 44.6 % ||
|| 29-MAR-2020 => 3.0236 % | 3.10 % || 3.6037 % | 20.5 % || 2.7227 % | 43.0 % ||
|| 31-MAR-2020 => 2.8969 % | 3.10 % || 3.7097 % | 21.7 % || 2.6160 % | 41.5 % ||
|| 02-APR-2020 => 3.0331 % | 3.20 % || 3.4692 % | 22.5 % || 2.5559 % | 39.1 % ||
|| 04-APR-2020 => 3.0698 % | 3.20 % || 3.9107 % | 23.5 % || 2.6317 % | 40.5 % ||
|| 06-APR-2020 => 3.1593 % | 3.26 % || 4.1174 % | 23.9 % || 2.6697 % | 41.0 % ||
|| 08-APR-2020 => 3.2832 % | 3.42 % || 3.6603 % | 24.3 % || 2.7318 % | 42.9 % ||
|| 10-APR-2020 => 3.1097 % | 3.12 % || 3.3718 % | 24.9 % || 2.8987 % | 43.5 % ||
|| 12-APR-2020 => 3.6480 % | 3.26 % || 3.7717 % | 25.2 % || 2.6682 % | 42.6 % ||
|| 14-APR-2020 => 3.8907 % | 3.20 % || 3.9431 % | 25.2 % || 2.7758 % | 44.0 % ||
|| 16-APR-2020 => 4.3131 % | 3.03 % || 3.6720 % | 25.4 % || 2.6958 % | 45.7 % ||
|| 18-APR-2020 => 3.6991 % | 2.99 % || 3.8194 % | 27.0 % || 2.7689 % | 48.9 % ||
|| 20-APR-2020 => 3.4502 % | 3.14 % || 3.9460 % | 28.8 % || 2.7139 % | 51.9 % ||
|| 22-APR-2020 => 3.9058 % | 3.24 % || 3.5798 % | 29.0 % || 2.6935 % | 51.2 % ||
|| 24-APR-2020 => 4.0918 % | 3.34 % || 3.9405 % | 28.9 % || 2.7099 % | 47.8 % ||
|| 26-APR-2020 => 4.4217 % | 3.16 % || 4.0707 % | 28.9 % || 2.6620 % | 46.9 % ||
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