|-----------------------------------------------------------------|
| 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 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||----------------------------------------------------||
|| ASSET, COLLATERAL, BANK, COUNTER PARTY REALIZATION ||
||----------------------------------------------------||
|| 00 | -1.944231 | -0.761130 | 0.560010 | 0.030912 ||
|| 01 | -0.720062 | -0.157823 | 0.518675 | -1.231714 ||
|| 02 | -1.778551 | 0.641556 | -0.553554 | -0.506649 ||
|| 03 | -1.274579 | 0.448231 | -0.865239 | 0.201480 ||
|| 04 | 1.802649 | 1.981141 | 0.552541 | 1.484578 ||
|| 05 | -1.340531 | 1.398616 | -0.441855 | 1.023663 ||
|| 06 | -0.038539 | 1.512919 | -0.854000 | 0.304889 ||
|| 07 | -1.033046 | -2.232515 | 1.931159 | 0.521912 ||
|| 08 | -1.281455 | 0.682546 | 0.052585 | -1.782208 ||
|| 09 | -1.160704 | 0.085135 | 1.442085 | -0.081305 ||
|| 10 | -1.942144 | -1.528124 | -1.892366 | -0.013927 ||
|| 11 | 0.213716 | 0.096877 | -0.611686 | 1.204725 ||
|| 12 | -1.889668 | -0.028909 | 0.596968 | 0.475115 ||
|| 13 | -0.020115 | 0.772975 | -0.617857 | 0.576005 ||
|| 14 | -0.092328 | -0.976508 | 0.269385 | -0.368073 ||
|| 15 | 2.221993 | 1.298670 | 0.371599 | -0.019910 ||
|| 16 | -2.547141 | 0.169685 | 0.184985 | -1.573429 ||
|| 17 | -2.676648 | 1.894031 | -0.233873 | 0.650159 ||
|| 18 | 1.051581 | 1.572198 | -1.185728 | -0.458279 ||
|| 19 | 0.134568 | 0.009415 | 1.205628 | 0.039885 ||
|| 20 | -0.306065 | -1.973101 | -0.967536 | -2.182925 ||
|| 21 | 0.892428 | 0.167078 | 0.728506 | 1.751166 ||
|| 22 | 0.002997 | 0.447983 | -2.203462 | 1.925797 ||
|| 23 | -0.241696 | 1.012043 | 0.392014 | -0.823305 ||
||----------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------||
|| BURGARD & KJAER (2011) CORRELATED JOINT ASSET/COLLATERAL/BANK/COUNTER-PARTY NUMERAIRE EVOLUTION ||
||----------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Asset Numeraire Finish Value ||
|| - Asset Numeraire Start Value ||
|| - Asset Numeraire Continuous Wander Realization ||
|| - Collateral Numeraire Finish Value ||
|| - Collateral Numeraire Start Value ||
|| - Collateral Numeraire Continuous Wander Realization ||
|| - Bank Numeraire Finish Value ||
|| - Bank Numeraire Start Value ||
|| - Bank Numeraire Continuous Wander Realization ||
|| - Counter-Party Numeraire Finish Value ||
|| - Counter-Party Numeraire Start Value ||
|| - Counter-Party Numeraire Continuous Wander Realization ||
||----------------------------------------------------------------------------------------------------------------------------------||
|| 0.9583 => 1.0000 | 0.9380 | -1.9442 || 1.0000 | 0.9742 | -0.7611 || 1.0000 | 1.0146 | 0.5600 || 1.0000 | 0.9984 | 0.0309 ||
|| 0.9167 => 0.9380 | 0.9149 | -0.7201 || 0.9742 | 0.9671 | -0.1578 || 1.0146 | 1.0282 | 0.5187 || 0.9984 | 0.9583 | -1.2317 ||
|| 0.8750 => 0.9149 | 0.8628 | -1.7786 || 0.9671 | 0.9836 | 0.6416 || 1.0282 | 1.0082 | -0.5536 || 0.9583 | 0.9410 | -0.5066 ||
|| 0.8333 => 0.8628 | 0.8270 | -1.2746 || 0.9836 | 0.9947 | 0.4482 || 1.0082 | 0.9790 | -0.8652 || 0.9410 | 0.9445 | 0.2015 ||
|| 0.7917 => 0.8270 | 0.8706 | 1.8026 || 0.9947 | 1.0525 | 1.9811 || 0.9790 | 0.9931 | 0.5525 || 0.9445 | 0.9851 | 1.4846 ||
|| 0.7500 => 0.8706 | 0.8327 | -1.3405 || 1.0525 | 1.0950 | 1.3986 || 0.9931 | 0.9772 | -0.4419 || 0.9851 | 1.0135 | 1.0237 ||
|| 0.7083 => 0.8327 | 0.8296 | -0.0385 || 1.0950 | 1.1429 | 1.5129 || 0.9772 | 0.9492 | -0.8540 || 1.0135 | 1.0204 | 0.3049 ||
|| 0.6667 => 0.8296 | 0.8013 | -1.0330 || 1.1429 | 1.0620 | -2.2325 || 0.9492 | 1.0029 | 1.9312 || 1.0204 | 1.0342 | 0.5219 ||
|| 0.6250 => 0.8013 | 0.7679 | -1.2815 || 1.0620 | 1.0815 | 0.6825 || 1.0029 | 1.0021 | 0.0526 || 1.0342 | 0.9751 | -1.7822 ||
|| 0.5833 => 0.7679 | 0.7386 | -1.1607 || 1.0815 | 1.0816 | 0.0851 || 1.0021 | 1.0438 | 1.4421 || 0.9751 | 0.9703 | -0.0813 ||
|| 0.5417 => 0.7386 | 0.6929 | -1.9421 || 1.0816 | 1.0283 | -1.5281 || 1.0438 | 0.9807 | -1.8924 || 0.9703 | 0.9674 | -0.0139 ||
|| 0.5000 => 0.6929 | 0.6957 | 0.2137 || 1.0283 | 1.0288 | 0.0969 || 0.9807 | 0.9599 | -0.6117 || 0.9674 | 1.0007 | 1.2047 ||
|| 0.4583 => 0.6957 | 0.6537 | -1.8897 || 1.0288 | 1.0253 | -0.0289 || 0.9599 | 0.9750 | 0.5970 || 1.0007 | 1.0128 | 0.4751 ||
|| 0.4167 => 0.6537 | 0.6516 | -0.0201 || 1.0253 | 1.0470 | 0.7730 || 0.9750 | 0.9542 | -0.6179 || 1.0128 | 1.0281 | 0.5760 ||
|| 0.3750 => 0.6516 | 0.6482 | -0.0923 || 1.0470 | 1.0131 | -0.9765 || 0.9542 | 0.9596 | 0.2694 || 1.0281 | 1.0139 | -0.3681 ||
|| 0.3333 => 0.6482 | 0.6907 | 2.2220 || 1.0131 | 1.0508 | 1.2987 || 0.9596 | 0.9682 | 0.3716 || 1.0139 | 1.0108 | -0.0199 ||
|| 0.2917 => 0.6907 | 0.6351 | -2.5471 || 1.0508 | 1.0537 | 0.1697 || 0.9682 | 0.9712 | 0.1850 || 1.0108 | 0.9596 | -1.5734 ||
|| 0.2500 => 0.6351 | 0.5814 | -2.6766 || 1.0537 | 1.1121 | 1.8940 || 0.9712 | 0.9618 | -0.2339 || 0.9596 | 0.9763 | 0.6502 ||
|| 0.2083 => 0.5814 | 0.5987 | 1.0516 || 1.1121 | 1.1629 | 1.5722 || 0.9618 | 0.9245 | -1.1857 || 0.9763 | 0.9601 | -0.4583 ||
|| 0.1667 => 0.5987 | 0.5997 | 0.1346 || 1.1629 | 1.1603 | 0.0094 || 0.9245 | 0.9563 | 1.2056 || 0.9601 | 0.9589 | 0.0399 ||
|| 0.1250 => 0.5997 | 0.5925 | -0.3061 || 1.1603 | 1.0873 | -1.9731 || 0.9563 | 0.9256 | -0.9675 || 0.9589 | 0.8924 | -2.1829 ||
|| 0.0833 => 0.5925 | 0.6073 | 0.8924 || 1.0873 | 1.0902 | 0.1671 || 0.9256 | 0.9439 | 0.7285 || 0.8924 | 0.9380 | 1.7512 ||
|| 0.0417 => 0.6073 | 0.6058 | 0.0030 || 1.0902 | 1.1024 | 0.4480 || 0.9439 | 0.8779 | -2.2035 || 0.9380 | 0.9910 | 1.9258 ||
|| 0.0000 => 0.6058 | 0.5998 | -0.2417 || 1.1024 | 1.1338 | 1.0120 || 0.8779 | 0.8862 | 0.3920 || 0.9910 | 0.9635 | -0.8233 ||
||----------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||----------------------------------------------------||
|| ASSET, COLLATERAL, BANK, COUNTER PARTY REALIZATION ||
||----------------------------------------------------||
|| 00 | -0.620788 | 0.958281 | 1.512378 | -1.004285 ||
|| 01 | -0.059769 | -1.108773 | -1.039692 | 0.885504 ||
|| 02 | -0.199682 | -1.024034 | 0.484692 | 1.789860 ||
|| 03 | -0.016803 | -0.784381 | -1.267538 | -0.485024 ||
|| 04 | 1.503347 | -0.348426 | -1.659822 | 0.691804 ||
|| 05 | 0.985771 | -0.478157 | 0.334404 | 0.595401 ||
|| 06 | 0.750219 | 0.454502 | 0.284980 | 0.498247 ||
|| 07 | 0.290600 | -0.019353 | -2.036445 | -0.961624 ||
|| 08 | -0.242105 | -1.319276 | -0.307936 | 0.044248 ||
|| 09 | -0.571184 | -1.373778 | 1.481224 | -1.641970 ||
|| 10 | 0.755164 | 0.434034 | -0.015425 | 0.382249 ||
|| 11 | -2.410421 | -0.437602 | -0.577016 | -0.973847 ||
|| 12 | 0.835503 | 0.108369 | -1.427237 | -0.008980 ||
|| 13 | 0.946605 | -0.343444 | -0.537885 | 2.202585 ||
|| 14 | 0.196233 | 0.992244 | -1.315690 | 1.181299 ||
|| 15 | -1.528109 | 0.634906 | 0.094023 | -0.108876 ||
|| 16 | 1.186604 | -0.365408 | 0.890691 | -0.209858 ||
|| 17 | 0.130364 | 0.504831 | -0.067735 | 0.105088 ||
|| 18 | 0.318581 | 0.431993 | -1.693326 | 0.042824 ||
|| 19 | 0.300503 | 0.957585 | -1.565119 | -1.019712 ||
|| 20 | -0.387177 | 0.321550 | 1.226911 | 0.787608 ||
|| 21 | 1.233558 | -0.188166 | 0.325656 | 0.999058 ||
|| 22 | 1.988776 | 0.913873 | 0.225574 | 1.306863 ||
|| 23 | -0.365337 | -0.187295 | -1.475242 | 0.008379 ||
||----------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------||
|| BURGARD & KJAER (2011) CORRELATED JOINT ASSET/COLLATERAL/BANK/COUNTER-PARTY NUMERAIRE EVOLUTION ||
||----------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Asset Numeraire Finish Value ||
|| - Asset Numeraire Start Value ||
|| - Asset Numeraire Continuous Wander Realization ||
|| - Collateral Numeraire Finish Value ||
|| - Collateral Numeraire Start Value ||
|| - Collateral Numeraire Continuous Wander Realization ||
|| - Bank Numeraire Finish Value ||
|| - Bank Numeraire Start Value ||
|| - Bank Numeraire Continuous Wander Realization ||
|| - Counter-Party Numeraire Finish Value ||
|| - Counter-Party Numeraire Start Value ||
|| - Counter-Party Numeraire Continuous Wander Realization ||
||----------------------------------------------------------------------------------------------------------------------------------||
|| 0.0417 => 1.0000 | 0.9835 | -0.6208 || 1.0000 | 1.0102 | 0.9583 || 1.0000 | 1.0321 | 1.5124 || 1.0000 | 0.9808 | -1.0043 ||
|| 0.0833 => 0.9835 | 0.9842 | -0.0598 || 1.0102 | 0.9992 | -1.1088 || 1.0321 | 1.0115 | -1.0397 || 0.9808 | 0.9997 | 0.8855 ||
|| 0.1250 => 0.9842 | 0.9806 | -0.1997 || 0.9992 | 0.9892 | -1.0240 || 1.0115 | 1.0228 | 0.4847 || 0.9997 | 1.0375 | 1.7899 ||
|| 0.1667 => 0.9806 | 0.9825 | -0.0168 || 0.9892 | 0.9817 | -0.7844 || 1.0228 | 0.9976 | -1.2675 || 1.0375 | 1.0285 | -0.4850 ||
|| 0.2083 => 0.9825 | 1.0302 | 1.5033 || 0.9817 | 0.9786 | -0.3484 || 0.9976 | 0.9650 | -1.6598 || 1.0285 | 1.0443 | 0.6918 ||
|| 0.2500 => 1.0302 | 1.0639 | 0.9858 || 0.9786 | 0.9742 | -0.4782 || 0.9650 | 0.9728 | 0.3344 || 1.0443 | 1.0583 | 0.5954 ||
|| 0.2917 => 1.0639 | 1.0910 | 0.7502 || 0.9742 | 0.9791 | 0.4545 || 0.9728 | 0.9797 | 0.2850 || 1.0583 | 1.0704 | 0.4982 ||
|| 0.3333 => 1.0910 | 1.1034 | 0.2906 || 0.9791 | 0.9793 | -0.0194 || 0.9797 | 0.9402 | -2.0364 || 1.0704 | 1.0507 | -0.9616 ||
|| 0.3750 => 1.1034 | 1.0980 | -0.2421 || 0.9793 | 0.9666 | -1.3193 || 0.9402 | 0.9355 | -0.3079 || 1.0507 | 1.0530 | 0.0442 ||
|| 0.4167 => 1.0980 | 1.0815 | -0.5712 || 0.9666 | 0.9534 | -1.3738 || 0.9355 | 0.9649 | 1.4812 || 1.0530 | 1.0190 | -1.6420 ||
|| 0.4583 => 1.0815 | 1.1093 | 0.7552 || 0.9534 | 0.9580 | 0.4340 || 0.9649 | 0.9658 | -0.0154 || 1.0190 | 1.0282 | 0.3822 ||
|| 0.5000 => 1.1093 | 1.0302 | -2.4104 || 0.9580 | 0.9542 | -0.4376 || 0.9658 | 0.9557 | -0.5770 || 1.0282 | 1.0091 | -0.9738 ||
|| 0.5417 => 1.0302 | 1.0591 | 0.8355 || 0.9542 | 0.9556 | 0.1084 || 0.9557 | 0.9290 | -1.4272 || 1.0091 | 1.0102 | -0.0090 ||
|| 0.5833 => 1.0591 | 1.0924 | 0.9466 || 0.9556 | 0.9527 | -0.3434 || 0.9290 | 0.9200 | -0.5379 || 1.0102 | 1.0568 | 2.2026 ||
|| 0.6250 => 1.0924 | 1.1017 | 0.1962 || 0.9527 | 0.9627 | 0.9922 || 0.9200 | 0.8964 | -1.3157 || 1.0568 | 1.0836 | 1.1813 ||
|| 0.6667 => 1.1017 | 1.0529 | -1.5281 || 0.9627 | 0.9693 | 0.6349 || 0.8964 | 0.8993 | 0.0940 || 1.0836 | 1.0826 | -0.1089 ||
|| 0.7083 => 1.0529 | 1.0938 | 1.1866 || 0.9693 | 0.9661 | -0.3654 || 0.8993 | 0.9167 | 0.8907 || 1.0826 | 1.0793 | -0.2099 ||
|| 0.7500 => 1.0938 | 1.1009 | 0.1304 || 0.9661 | 0.9715 | 0.5048 || 0.9167 | 0.9166 | -0.0677 || 1.0793 | 1.0830 | 0.1051 ||
|| 0.7917 => 1.1009 | 1.1144 | 0.3186 || 0.9715 | 0.9762 | 0.4320 || 0.9166 | 0.8861 | -1.6933 || 1.0830 | 1.0853 | 0.0428 ||
|| 0.8333 => 1.1144 | 1.1275 | 0.3005 || 0.9762 | 0.9861 | 0.9576 || 0.8861 | 0.8589 | -1.5651 || 1.0853 | 1.0640 | -1.0197 ||
|| 0.8750 => 1.1275 | 1.1169 | -0.3872 || 0.9861 | 0.9898 | 0.3216 || 0.8589 | 0.8815 | 1.2269 || 1.0640 | 1.0825 | 0.7876 ||
|| 0.9167 => 1.1169 | 1.1619 | 1.2336 || 0.9898 | 0.9883 | -0.1882 || 0.8815 | 0.8884 | 0.3257 || 1.0825 | 1.1059 | 0.9991 ||
|| 0.9583 => 1.1619 | 1.2355 | 1.9888 || 0.9883 | 0.9979 | 0.9139 || 0.8884 | 0.8936 | 0.2256 || 1.1059 | 1.1368 | 1.3069 ||
|| 1.0000 => 1.2355 | 1.2248 | -0.3653 || 0.9979 | 0.9964 | -0.1873 || 0.8936 | 0.8678 | -1.4752 || 1.1368 | 1.1384 | 0.0084 ||
||----------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|| 0.041667 => 1.0000 | 1.0086 | 0.1979 | false ||
|| 0.083333 => 1.0086 | 1.0046 | -0.2094 | false ||
|| 0.125000 => 1.0046 | 0.9978 | -0.3023 | false ||
|| 0.166667 => 0.9978 | 1.0338 | 1.0960 | false ||
|| 0.208333 => 1.0338 | 1.0618 | 0.8029 | false ||
|| 0.250000 => 1.0618 | 1.0110 | -1.6436 | false ||
|| 0.291667 => 1.0110 | 1.0865 | 2.3560 | false ||
|| 0.333333 => 1.0865 | 1.1176 | 0.8546 | false ||
|| 0.375000 => 1.1176 | 1.0951 | -0.7393 | false ||
|| 0.416667 => 1.0951 | 1.1128 | 0.4446 | false ||
|| 0.458333 => 1.1128 | 1.1278 | 0.3600 | false ||
|| 0.500000 => 1.1278 | 1.1474 | 0.4848 | false ||
|| 0.541667 => 1.1474 | 1.2312 | 2.3048 | false ||
|| 0.583333 => 1.2312 | 1.1977 | -0.9709 | false ||
|| 0.625000 => 1.1977 | 1.1381 | -1.7079 | false ||
|| 0.666667 => 1.1381 | 1.1736 | 0.9390 | false ||
|| 0.708333 => 1.1736 | 1.1544 | -0.6162 | false ||
|| 0.750000 => 1.1544 | 1.1098 | -1.3426 | false ||
|| 0.791667 => 1.1098 | 1.1900 | 2.2782 | false ||
|| 0.833333 => 1.1900 | 0.6000 | -0.2907 | true ||
|| 0.875000 => 0.6000 | 0.6000 | -1.9702 | false ||
|| 0.916667 => 0.6000 | 0.6000 | 0.0371 | false ||
|| 0.958333 => 0.6000 | 0.6000 | 0.0096 | false ||
|| 1.000000 => 0.6000 | 0.6000 | -2.3196 | false ||