Standard output
|-----------------------------------------------------------------|
| 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 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [15-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [15-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [15-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [15-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [15-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [15-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [15-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [15-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [15-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [15-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [15-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [15-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [15-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [15-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [15-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [15-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [15-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [15-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 13-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 13-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 13-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 13-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 13-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 13-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 13-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 13-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 13-MAR-2017 ||
| Cash Settle Date : 13-MAR-2017 ||
|--------------------------------||
Doing AGENCY 4.0000 10-APR-2028
Doing AGENCY 4.0000 01-SEP-2028
Doing AGENCY 3.3000 02-FEB-2035
Doing AGENCY 3.0400 20-MAY-2036
Doing AGENCY 5.5000 15-JUL-2036
Doing AGENCY 5.6250 15-JUL-2037
Doing AGENCY 2.7800 02-NOV-2037
Doing AGENCY 6.2100 06-AUG-2038
Doing AGENCY 2.7100 26-AUG-2038
Doing AGENCY 3.5000 02-FEB-2039
Doing AGENCY 5.2500 15-SEP-2039
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 10-APR-2028 | 10-OCT-2013 | 10-APR-2028 | 10-APR-2014 | 108.222 | 1.70000 | 3.12% | 09.01 | 08.86 | 09.74 | 0974 | 0.94 | 09.45 | 052 ||
| AGENCY 4.0000 01-SEP-2028 | 04-OCT-2013 | 01-SEP-2028 | 01-SEP-2014 | 107.513 | 0.13333 | 3.21% | 09.39 | 09.23 | 09.94 | 0994 | 1.01 | 09.74 | 060 ||
| AGENCY 3.3000 02-FEB-2035 | 02-FEB-2016 | 02-FEB-2035 | 02-AUG-2016 | 095.667 | 0.37583 | 3.63% | 13.49 | 13.23 | 12.71 | 1271 | 2.16 | 14.66 | 087 ||
| AGENCY 3.0400 20-MAY-2036 | 09-JUN-2016 | 20-MAY-2036 | 20-MAY-2017 | 091.614 | 2.31378 | 3.65% | 14.09 | 13.82 | 12.98 | 1298 | 2.41 | 15.74 | 088 ||
| AGENCY 5.5000 15-JUL-2036 | 17-JUL-2006 | 15-JUL-2036 | 15-JUL-2007 | 129.649 | 0.88611 | 3.40% | 13.00 | 12.77 | 16.67 | 1667 | 2.13 | 14.48 | 065 ||
| AGENCY 5.6250 15-JUL-2037 | 18-JUL-2007 | 15-JUL-2037 | 15-JUL-2008 | 132.084 | 0.90625 | 3.42% | 13.38 | 13.14 | 17.47 | 1747 | 2.28 | 15.05 | 067 ||
| AGENCY 2.7800 02-NOV-2037 | 02-NOV-2016 | 02-NOV-2037 | 02-MAY-2017 | 086.352 | 1.01161 | 3.73% | 15.23 | 14.93 | 13.05 | 1305 | 2.79 | 16.97 | 094 ||
| AGENCY 6.2100 06-AUG-2038 | 06-AUG-1998 | 06-AUG-2038 | 06-FEB-1999 | 141.793 | 0.63825 | 3.44% | 13.59 | 13.35 | 19.02 | 1902 | 2.39 | 15.43 | 068 ||
| AGENCY 2.7100 26-AUG-2038 | 26-JUL-2016 | 26-AUG-2038 | 26-FEB-2017 | 084.317 | 0.12797 | 3.78% | 15.85 | 15.54 | 13.12 | 1312 | 3.00 | 17.60 | 099 ||
| AGENCY 3.5000 02-FEB-2039 | 02-FEB-2016 | 02-FEB-2039 | 02-AUG-2016 | 095.824 | 0.39861 | 3.78% | 15.25 | 14.95 | 14.38 | 1438 | 2.87 | 17.25 | 099 ||
| AGENCY 5.2500 15-SEP-2039 | 22-SEP-2009 | 15-SEP-2039 | 15-SEP-2010 | 124.354 | 2.59583 | 3.65% | 14.15 | 13.88 | 17.63 | 1763 | 2.63 | 16.55 | 088 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 10-APR-2028 | 108.222 | 3.12% | 052 | 048 | 09.01 | 00.97 | 057 | 048 | 050 | 052 | 10YON ||
| AGENCY 4.0000 01-SEP-2028 | 107.513 | 3.21% | 060 | 056 | 09.25 | 01.01 | 062 | 056 | 058 | 061 | 10YON ||
| AGENCY 3.3000 02-FEB-2035 | 095.667 | 3.63% | 088 | 076 | 13.30 | 02.17 | 084 | 076 | 087 | 044 | 30YON ||
| AGENCY 3.0400 20-MAY-2036 | 091.614 | 3.65% | 088 | 074 | 14.18 | 02.47 | 081 | 074 | 087 | 046 | 30YON ||
| AGENCY 5.5000 15-JUL-2036 | 129.649 | 3.40% | 065 | 048 | 12.87 | 02.15 | 078 | 048 | 062 | 021 | 30YON ||
| AGENCY 5.6250 15-JUL-2037 | 132.084 | 3.42% | 067 | 047 | 13.24 | 02.30 | 081 | 047 | 063 | 023 | 30YON ||
| AGENCY 2.7800 02-NOV-2037 | 086.352 | 3.73% | 095 | 078 | 15.12 | 02.82 | 083 | 078 | 094 | 054 | 30YON ||
| AGENCY 6.2100 06-AUG-2038 | 141.793 | 3.44% | 068 | 046 | 13.43 | 02.40 | 086 | 046 | 064 | 025 | 30YON ||
| AGENCY 2.7100 26-AUG-2038 | 084.317 | 3.78% | 100 | 081 | 15.57 | 03.01 | 088 | 081 | 099 | 059 | 30YON ||
| AGENCY 3.5000 02-FEB-2039 | 095.824 | 3.78% | 100 | 079 | 15.03 | 02.89 | 096 | 079 | 099 | 059 | 30YON ||
| AGENCY 5.2500 15-SEP-2039 | 124.354 | 3.65% | 089 | 065 | 14.19 | 02.68 | 100 | 065 | 086 | 046 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::13-mar-2018 | tsy::13-mar-2019 | tsy::13-mar-2020 | tsy::13-mar-2022 | tsy::13-mar-2024 | tsy::13-mar-2027 | tsy::13-mar-2037 | tsy::13-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 10-APR-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.03 | 00.97 | -00.00 ||
| AGENCY 4.0000 01-SEP-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.89 | 01.36 | -00.00 ||
| AGENCY 3.3000 02-FEB-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.80 | 10.49 | -00.00 ||
| AGENCY 3.0400 20-MAY-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.15 | 13.02 | -00.00 ||
| AGENCY 5.5000 15-JUL-2036 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.85 | 12.01 | 00.00 ||
| AGENCY 5.6250 15-JUL-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.78 | 00.45 ||
| AGENCY 2.7800 02-NOV-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.14 | 00.97 ||
| AGENCY 6.2100 06-AUG-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.54 | 01.88 ||
| AGENCY 2.7100 26-AUG-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.30 | 02.26 ||
| AGENCY 3.5000 02-FEB-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.17 | 02.84 ||
| AGENCY 5.2500 15-SEP-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.62 | 03.56 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 s 449 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
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [15-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [15-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [15-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [15-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [15-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [15-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [15-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [15-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [15-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [15-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [15-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [15-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [15-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [15-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [15-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [15-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [15-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [15-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 13-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 13-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 13-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 13-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 13-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 13-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 13-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 13-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 13-MAR-2017 ||
| Cash Settle Date : 13-MAR-2017 ||
|--------------------------------||
Doing AGENCY 4.0000 08-DEC-2028
Doing AGENCY 3.3750 08-JUN-2029
Doing AGENCY 4.0000 24-OCT-2029
Doing AGENCY 3.0500 24-OCT-2030
Doing AGENCY 3.5000 20-JUL-2032
Doing AGENCY 3.5000 01-JUN-2035
Doing AGENCY 3.3150 13-NOV-2035
Doing AGENCY 3.9500 06-AUG-2037
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 08-DEC-2028 | 11-DEC-2013 | 08-DEC-2028 | 08-DEC-2014 | 107.902 | 1.05556 | 3.19% | 09.49 | 09.33 | 10.17 | 1017 | 1.05 | 09.94 | 056 ||
| AGENCY 3.3750 08-JUN-2029 | 04-JUN-2014 | 08-JUN-2029 | 08-DEC-2014 | 101.504 | 0.89062 | 3.22% | 10.06 | 09.89 | 10.13 | 1013 | 1.16 | 10.52 | 058 ||
| AGENCY 4.0000 24-OCT-2029 | 24-OCT-2013 | 24-OCT-2029 | 24-APR-2014 | 107.620 | 1.54444 | 3.26% | 10.00 | 09.83 | 10.73 | 1073 | 1.17 | 10.58 | 061 ||
| AGENCY 3.0500 24-OCT-2030 | 24-OCT-2012 | 24-OCT-2030 | 24-APR-2013 | 096.028 | 1.17764 | 3.42% | 11.05 | 10.86 | 10.55 | 1055 | 1.41 | 11.69 | 073 ||
| AGENCY 3.5000 20-JUL-2032 | 20-JUL-2015 | 20-JUL-2032 | 20-JAN-2016 | 100.625 | 0.51528 | 3.45% | 11.96 | 11.75 | 11.88 | 1188 | 1.68 | 12.76 | 073 ||
| AGENCY 3.5000 01-JUN-2035 | 01-JUN-2015 | 01-JUN-2035 | 01-DEC-2015 | 099.558 | 0.99167 | 3.53% | 13.48 | 13.23 | 13.30 | 1330 | 2.19 | 14.77 | 077 ||
| AGENCY 3.3150 13-NOV-2035 | 12-NOV-2015 | 13-NOV-2035 | 13-MAY-2016 | 097.452 | 1.10500 | 3.50% | 13.84 | 13.59 | 13.39 | 1339 | 2.30 | 15.19 | 074 ||
| AGENCY 3.9500 06-AUG-2037 | 06-JUL-2015 | 06-AUG-2037 | 06-FEB-2016 | 103.401 | 0.40597 | 3.71% | 14.25 | 13.98 | 14.51 | 1451 | 2.51 | 15.96 | 094 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 08-DEC-2028 | 107.902 | 3.19% | 057 | 053 | 09.43 | 01.06 | 061 | 053 | 055 | 059 | 10YON ||
| AGENCY 3.3750 08-JUN-2029 | 101.504 | 3.22% | 058 | 055 | 09.98 | 01.17 | 058 | 055 | 057 | 062 | 10YON ||
| AGENCY 4.0000 24-OCT-2029 | 107.620 | 3.26% | 061 | 057 | 09.98 | 01.19 | 066 | 057 | 060 | 066 | 10YON ||
| AGENCY 3.0500 24-OCT-2030 | 096.028 | 3.42% | 073 | 069 | 11.00 | 01.43 | 070 | 069 | 073 | 082 | 10YON ||
| AGENCY 3.5000 20-JUL-2032 | 100.625 | 3.45% | 073 | 066 | 11.82 | 01.69 | 072 | 066 | 072 | 026 | 30YON ||
| AGENCY 3.5000 01-JUN-2035 | 099.558 | 3.53% | 078 | 065 | 13.37 | 02.21 | 076 | 065 | 076 | 034 | 30YON ||
| AGENCY 3.3150 13-NOV-2035 | 097.452 | 3.50% | 074 | 061 | 13.76 | 02.33 | 071 | 061 | 073 | 031 | 30YON ||
| AGENCY 3.9500 06-AUG-2037 | 103.401 | 3.71% | 094 | 076 | 14.05 | 02.52 | 095 | 076 | 092 | 052 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::13-mar-2018 | tsy::13-mar-2019 | tsy::13-mar-2020 | tsy::13-mar-2022 | tsy::13-mar-2024 | tsy::13-mar-2027 | tsy::13-mar-2037 | tsy::13-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 4.0000 08-DEC-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.79 | 01.64 | -00.00 ||
| AGENCY 3.3750 08-JUN-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.74 | 02.24 | -00.00 ||
| AGENCY 4.0000 24-OCT-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.36 | 02.61 | -00.00 ||
| AGENCY 3.0500 24-OCT-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.02 | 03.98 | -00.00 ||
| AGENCY 3.5000 20-JUL-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.49 | 06.32 | -00.00 ||
| AGENCY 3.5000 01-JUN-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.38 | 10.98 | -00.00 ||
| AGENCY 3.3150 13-NOV-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.83 | 11.92 | -00.00 ||
| AGENCY 3.9500 06-AUG-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.48 | 00.56 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 219 ms
|-----------------------------------------------------------------|