|-----------------------------------------------------------------|
| 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 00:35:45 EST 2020
| Setup Time => Mon Jan 27 00:35:45 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Clean Price: 136.58
Fair Clean Price: 136.58
Fair Yield: 2.46
Fair GSpread: ?
Fair ZSpread: ?
Fair ISpread: ?
Fair Duration: 6.66
Accrued: 0.00
|-----------------------------------------------------------------|
| 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 00:35:45 EST 2020
| Setup Time => Mon Jan 27 00:35:45 EST 2020
| Finish Time => Mon Jan 27 00:35:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 474 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 00:35:46 EST 2020
| Setup Time => Mon Jan 27 00:35:46 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
BOND #0; CustomFixed
--------------------------
--------------------------
Acc Start Acc End Pay Date Cpn DCF Pay01 Surv01
--------- --------- --------- --------- --------- --------
2008/09/21 2009/09/20 2009/09/20 0.9972 1.0000 1.0000
2009/09/20 2010/03/20 2010/03/20 0.5000 1.0000 1.0000
2010/03/20 2010/09/20 2010/09/20 0.5000 1.0000 1.0000
2010/09/20 2011/03/20 2011/03/20 0.5000 1.0000 1.0000
2011/03/20 2011/09/20 2011/09/20 0.5000 1.0000 1.0000
2011/09/20 2012/03/20 2012/03/20 0.5000 1.0000 1.0000
2012/03/20 2012/09/20 2012/09/20 0.5000 1.0000 1.0000
2012/09/20 2013/03/20 2013/03/20 0.5000 1.0000 1.0000
2013/03/20 2013/09/20 2013/09/20 0.5000 1.0000 1.0000
2013/09/20 2014/03/20 2014/03/20 0.5000 1.0000 1.0000
2014/03/20 2014/09/20 2014/09/20 0.5000 1.0000 1.0000
2014/09/20 2015/03/20 2015/03/20 0.5000 1.0000 1.0000
2015/03/20 2015/09/20 2015/09/20 0.5000 1.0000 1.0000
2015/09/20 2016/03/20 2016/03/20 0.5000 1.0000 1.0000
2016/03/20 2016/09/20 2016/09/20 0.5000 1.0000 1.0000
2016/09/20 2017/03/20 2017/03/20 0.5000 1.0000 1.0000
2017/03/20 2017/09/20 2017/09/20 0.5000 1.0000 1.0000
2017/09/20 2018/03/20 2018/03/20 0.5000 1.0000 1.0000
2018/03/20 2018/09/20 2018/09/20 0.5000 0.9999 0.9998
2018/09/20 2019/03/20 2019/03/20 0.5000 0.9981 0.9948
2019/03/20 2019/09/20 2019/09/20 0.5000 0.9962 0.9898
2019/09/20 2020/03/20 2020/03/20 0.5000 0.9928 0.9849
2020/03/20 2020/09/20 2020/09/20 0.5000 0.9892 0.9799
2020/09/20 2021/03/20 2021/03/20 0.5000 0.9821 0.9751
2021/03/20 2021/09/20 2021/09/20 0.5000 0.9747 0.9702
2021/09/20 2022/03/20 2022/03/20 0.5000 0.9630 0.9654
2022/03/20 2022/09/20 2022/09/20 0.5000 0.9511 0.9606
2022/09/20 2023/03/20 2023/03/20 0.5000 0.9364 0.9558
2023/03/20 2023/09/20 2023/09/20 0.5000 0.9216 0.9510
Price From Yield: 109.264
Workout Date: 2023/09/20
Workout Factor: 1.0
Workout Yield: 3.00
Workout Yield From Price: 5.00
Z Spread From Price: 344
OAS From Price: 357
Discount Margin From Price: 464
I Spread From Price: 339
TSY Spread From Price: 358
ASW From Price: 339
Credit Basis From Price: 465
Price From TSY Spread: 100
Yield From TSY Spread: 5
ASW From TSY Spread: 339
Credit Basis From TSY Spread: 465
Theoretical Price: 113.28
BOND #1; CustomFRN
--------------------------
--------------------------
Acc Start Acc End Pay Date Cpn DCF Pay01 Surv01
--------- --------- --------- --------- --------- --------
2008/09/21 2009/09/20 2009/09/20 1.0111 1.0000 1.0000
2009/09/20 2010/03/20 2010/03/20 0.5028 1.0000 1.0000
2010/03/20 2010/09/20 2010/09/20 0.5111 1.0000 1.0000
2010/09/20 2011/03/20 2011/03/20 0.5028 1.0000 1.0000
2011/03/20 2011/09/20 2011/09/20 0.5111 1.0000 1.0000
2011/09/20 2012/03/20 2012/03/20 0.5056 1.0000 1.0000
2012/03/20 2012/09/20 2012/09/20 0.5111 1.0000 1.0000
2012/09/20 2013/03/20 2013/03/20 0.5028 1.0000 1.0000
2013/03/20 2013/09/20 2013/09/20 0.5111 1.0000 1.0000
2013/09/20 2014/03/20 2014/03/20 0.5028 1.0000 1.0000
2014/03/20 2014/09/20 2014/09/20 0.5111 1.0000 1.0000
2014/09/20 2015/03/20 2015/03/20 0.5028 1.0000 1.0000
2015/03/20 2015/09/20 2015/09/20 0.5111 1.0000 1.0000
2015/09/20 2016/03/20 2016/03/20 0.5056 1.0000 1.0000
2016/03/20 2016/09/20 2016/09/20 0.5111 1.0000 1.0000
2016/09/20 2017/03/20 2017/03/20 0.5028 1.0000 1.0000
2017/03/20 2017/09/20 2017/09/20 0.5111 1.0000 1.0000
2017/09/20 2018/03/20 2018/03/20 0.5028 1.0000 1.0000
2018/03/20 2018/09/20 2018/09/20 0.5111 0.9999 0.9998
2018/09/20 2019/03/20 2019/03/20 0.5028 0.9981 0.9948
2019/03/20 2019/09/20 2019/09/20 0.5111 0.9962 0.9898
2019/09/20 2020/03/20 2020/03/20 0.5056 0.9928 0.9849
2020/03/20 2020/09/20 2020/09/20 0.5111 0.9892 0.9799
2020/09/20 2021/03/20 2021/03/20 0.5028 0.9821 0.9751
2021/03/20 2021/09/20 2021/09/20 0.5111 0.9747 0.9702
2021/09/20 2022/03/20 2022/03/20 0.5028 0.9630 0.9654
2022/03/20 2022/09/20 2022/09/20 0.5111 0.9511 0.9606
2022/09/20 2023/03/20 2023/03/20 0.5028 0.9364 0.9558
2023/03/20 2023/09/20 2023/09/20 0.5111 0.9216 0.9510
Price From Yield: 97.967
Workout Date: 2023/09/20
Workout Factor: 1.0
Workout Yield: 3.00
Workout Yield From Price: 2.57
Discount Margin From Price: 221
I Spread From Price: 96
TSY Spread From Price: 115
ASW From Price: -25
Credit Basis From Price: 66
Price From TSY Spread: 100
Yield From TSY Spread: 3
ASW From TSY Spread: -25
Credit Basis From TSY Spread: 66
Theoretical Price: 101.93
BOND #2; CustomBondFromCF
--------------------------
--------------------------
Acc Start Acc End Pay Date Cpn DCF Pay01 Surv01
--------- --------- --------- --------- --------- --------
2008/09/20 2009/03/20 2009/03/20 0.5000 1.0000 1.0000
2009/03/20 2009/09/20 2009/09/20 0.5000 1.0000 1.0000
2009/09/20 2010/03/20 2010/03/20 0.5000 1.0000 1.0000
2010/03/20 2010/09/20 2010/09/20 0.5000 1.0000 1.0000
2010/09/20 2011/03/20 2011/03/20 0.5000 1.0000 1.0000
2011/03/20 2011/09/20 2011/09/20 0.5000 1.0000 1.0000
2011/09/20 2012/03/20 2012/03/20 0.5000 1.0000 1.0000
2012/03/20 2012/09/20 2012/09/20 0.5000 1.0000 1.0000
2012/09/20 2013/03/20 2013/03/20 0.5000 1.0000 1.0000
2013/03/20 2013/09/20 2013/09/20 0.5000 1.0000 1.0000
2013/09/20 2014/03/20 2014/03/20 0.5000 1.0000 1.0000
2014/03/20 2014/09/20 2014/09/20 0.5000 1.0000 1.0000
2014/09/20 2015/03/20 2015/03/20 0.5000 1.0000 1.0000
2015/03/20 2015/09/20 2015/09/20 0.5000 1.0000 1.0000
2015/09/20 2016/03/20 2016/03/20 0.5000 1.0000 1.0000
2016/03/20 2016/09/20 2016/09/20 0.5000 1.0000 1.0000
2016/09/20 2017/03/20 2017/03/20 0.5000 1.0000 1.0000
2017/03/20 2017/09/20 2017/09/20 0.5000 1.0000 1.0000
2017/09/20 2018/03/20 2018/03/20 0.5000 1.0000 1.0000
2018/03/20 2018/09/20 2018/09/20 0.5000 0.9999 0.9998
2018/09/20 2019/03/20 2019/03/20 0.5000 0.9981 0.9948
2019/03/20 2019/09/20 2019/09/20 0.5000 0.9962 0.9898
2019/09/20 2020/03/20 2020/03/20 0.5000 0.9928 0.9849
2020/03/20 2020/09/20 2020/09/20 0.5000 0.9892 0.9799
2020/09/20 2021/03/20 2021/03/20 0.5000 0.9821 0.9751
2021/03/20 2021/09/20 2021/09/20 0.5000 0.9747 0.9702
2021/09/20 2022/03/20 2022/03/20 0.5000 0.9630 0.9654
2022/03/20 2022/09/20 2022/09/20 0.5000 0.9511 0.9606
2022/09/20 2023/03/20 2023/03/20 0.5000 0.9364 0.9558
2023/03/20 2023/09/20 2023/09/20 0.5000 0.9216 0.9510
Price From Yield: 132.425
Workout Date: 2023/09/20
Workout Factor: 1.0
Workout Yield: 3.00
Workout Yield From Price: 10.00
Z Spread From Price: 851
OAS From Price: 857
Discount Margin From Price: 964
I Spread From Price: 839
TSY Spread From Price: 858
ASW From Price: 339
Credit Basis From Price: 1270
Price From TSY Spread: 100
Yield From TSY Spread: 10
ASW From TSY Spread: 339
Credit Basis From TSY Spread: 1270
Theoretical Price: 137.02
Credit Price From DC and CC: 0.988020411819406
Surv (2021, 1, 14): 0.9617518906497416
CDS.11-SEP-2023.CC => 99.99999989401063
BOND.CCCalibBond => 0.9880204122557203
|-----------------------------------------------------------------|
| 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 00:35:46 EST 2020
| Setup Time => Mon Jan 27 00:35:46 EST 2020
| Finish Time => Mon Jan 27 00:35:47 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 397 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 00:35:47 EST 2020
| Setup Time => Mon Jan 27 00:35:47 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [10-DEC-2015] = 0.001950 | 0.001950 ||
| [15-DEC-2015] = 0.001760 | 0.001760 ||
| [08-JAN-2016] = 0.003010 | 0.003010 ||
| [08-FEB-2016] = 0.004010 | 0.004010 ||
| [08-MAR-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [10-DEC-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [10-DEC-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [10-DEC-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [10-DEC-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [10-DEC-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [10-DEC-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [10-DEC-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [10-DEC-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [10-DEC-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [10-DEC-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [10-DEC-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [10-DEC-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [10-DEC-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [10-DEC-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [10-DEC-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [10-DEC-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [10-DEC-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [10-DEC-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|------------------------------------------||
| UST 1.00 08-DEC-2016 | 0.692% | 0.692% ||
| UST 1.00 08-DEC-2017 | 0.945% | 0.945% ||
| UST 1.25 08-DEC-2018 | 1.257% | 1.257% ||
| UST 1.50 08-DEC-2020 | 1.678% | 1.678% ||
| UST 2.00 08-DEC-2022 | 2.025% | 2.025% ||
| UST 2.25 08-DEC-2025 | 2.235% | 2.235% ||
| UST 3.00 08-DEC-2045 | 2.972% | 2.972% ||
|------------------------------------------||
|-------------------------------||
| Trade Date : 08-DEC-2015 ||
| Cash Settle Date : 11-DEC-2015 ||
|-------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|---------------------------------------------------------------------------------------------------------------------------------------------||
| JPM 6.0000 15-JAN-2018 | 20-DEC-2007 | 15-JAN-2018 | 15-JUL-2008 | 108.529 | 1.84% | 01.97 | 01.95 | 02.16 | 0216 | 0.06 | 077 ||
| JPM 7.7500 15-JUL-2025 | 25-JUL-1996 | 15-JUL-2025 | 15-JUL-1997 | 127.021 | 4.29% | 07.11 | 06.96 | 09.05 | 0905 | 0.62 | 222 ||
| JPM 7.6250 15-OCT-2026 | 29-OCT-1996 | 15-OCT-2026 | 15-OCT-1997 | 127.274 | 4.43% | 07.92 | 07.74 | 09.94 | 0994 | 0.76 | 229 ||
| JPM 4.1250 15-DEC-2026 | 09-DEC-2014 | 15-DEC-2026 | 15-JUN-2015 | 101.235 | 3.99% | 08.81 | 08.63 | 08.91 | 0891 | 0.91 | 179 ||
| JPM 8.0000 29-APR-2027 | 29-APR-1997 | 29-APR-2027 | 29-OCT-1997 | 131.537 | 4.44% | 08.15 | 07.97 | 10.55 | 1055 | 0.82 | 227 ||
| JPM 4.2500 01-OCT-2027 | 25-SEP-2014 | 01-OCT-2027 | 01-APR-2015 | 102.263 | 4.01% | 09.37 | 09.18 | 09.46 | 0946 | 1.02 | 176 ||
| JPM 6.4000 15-MAY-2038 | 22-MAY-2008 | 15-MAY-2038 | 15-MAY-2009 | 127.570 | 4.45% | 13.35 | 13.05 | 16.70 | 1670 | 2.37 | 192 ||
| JPM 5.6000 15-JUL-2041 | 21-JUL-2011 | 15-JUL-2041 | 15-JUL-2012 | 117.460 | 4.45% | 14.54 | 14.20 | 17.00 | 1700 | 2.90 | 190 ||
|---------------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|------------------------------------------------------------------------------------------------------------------------------------||
| JPM 6.0000 15-JAN-2018 | 108.529 | 1.84% | 077 | 087 | 01.99 | 00.05 | 147 | 087 | 076 | 090 | 02YON ||
| JPM 7.7500 15-JUL-2025 | 127.021 | 4.29% | 223 | 208 | 07.13 | 00.63 | 267 | 208 | 215 | 205 | 10YON ||
| JPM 7.6250 15-OCT-2026 | 127.274 | 4.43% | 230 | 216 | 07.81 | 00.77 | 265 | 216 | 221 | 220 | 10YON ||
| JPM 4.1250 15-DEC-2026 | 101.235 | 3.99% | 179 | 171 | 08.80 | 00.92 | 177 | 171 | 175 | 175 | 10YON ||
| JPM 8.0000 29-APR-2027 | 131.537 | 4.44% | 229 | 216 | 08.02 | 00.82 | 269 | 216 | 219 | 221 | 10YON ||
| JPM 4.2500 01-OCT-2027 | 102.263 | 4.01% | 177 | 171 | 09.26 | 01.03 | 176 | 171 | 173 | 177 | 10YON ||
| JPM 6.4000 15-MAY-2038 | 127.570 | 4.45% | 196 | 175 | 13.10 | 02.37 | 222 | 175 | 185 | 147 | 30YON ||
| JPM 5.6000 15-JUL-2041 | 117.460 | 4.45% | 193 | 164 | 14.49 | 02.96 | 210 | 164 | 185 | 148 | 30YON ||
|------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::08-dec-2016 | tsy::08-dec-2017 | tsy::08-dec-2018 | tsy::08-dec-2020 | tsy::08-dec-2022 | tsy::08-dec-2025 | tsy::08-dec-2045 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| JPM 6.0000 15-JAN-2018 | -00.00 | 01.79 | 00.21 | -00.00 | -00.00 | -00.00 | -00.00 ||
| JPM 7.7500 15-JUL-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 00.95 | 06.18 | -00.00 ||
| JPM 7.6250 15-OCT-2026 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.48 | 00.33 ||
| JPM 4.1250 15-DEC-2026 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.35 | 00.45 ||
| JPM 8.0000 29-APR-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.46 | 00.56 ||
| JPM 4.2500 01-OCT-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.41 | 00.84 ||
| JPM 6.4000 15-MAY-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.95 | 08.14 ||
| JPM 5.6000 15-JUL-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.19 | 11.29 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:47 EST 2020
| Setup Time => Mon Jan 27 00:35:47 EST 2020
| Finish Time => Mon Jan 27 00:35:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 17 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 00:35:48 EST 2020
| Setup Time => Mon Jan 27 00:35:48 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------||
|| OAS => 293.5 ||
|| OAS Duration => 7.6 ||
|| OAS Convexity => 0.8 ||
|| OAS To Maturity => 298.8 ||
||-------------------------------------------------------------||
||-------------------------------------------------------------||
|| Optimal Exercise Price ||
|| Optimal Exercise Value ||
|| Optimal Exercise OAS ||
|| Optimal Exercise OAS Gap ||
|| Optimal Exercise Duration ||
|| Optimal Exercise Convexity ||
||-------------------------------------------------------------||
|| AVERAGE => 100.00 | 10.1 | 293.5 | -005 | 07.62 | 0.82 ||
|| ERROR => 000.00 | 03.0 | 011.0 | 011 | 01.76 | 0.38 ||
|| MAXIMUM => 100.00 | 21.8 | 305.3 | 007 | 11.42 | 1.88 ||
|| MINIMUM => 100.00 | 00.6 | 236.9 | -062 | 03.22 | 0.13 ||
||-------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:48 EST 2020
| Setup Time => Mon Jan 27 00:35:48 EST 2020
| Finish Time => Mon Jan 27 00:36:17 EST 2020
| Setup Duration => 1 ms
| Run Duration => 28 s 540 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 00:36:17 EST 2020
| Setup Time => Mon Jan 27 00:36:17 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------||
|| FORWARD EXERCISE INDICATOR ||
||-------------------------------------------------------------------------------||
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||-------------------------------------------------------------------------------||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FORWARD BOND PRICE ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 099.70 | 103.24 | 107.57 | 102.45 | 097.07 | 099.03 | 104.95 | 094.80 | 098.29 | 103.51 | 104.50 | 112.63 | 114.19 | 113.11 | 105.52 | 105.11 | 105.23 | 099.59 | 105.35 | 103.39 ||
|| 099.70 | 103.93 | 099.33 | 097.86 | 096.34 | 100.86 | 100.02 | 096.97 | 105.02 | 106.96 | 108.97 | 109.08 | 112.28 | 109.74 | 109.45 | 109.53 | 104.00 | 104.44 | 101.09 | 100.06 ||
|| 099.70 | 096.39 | 095.21 | 096.64 | 097.67 | 095.29 | 106.95 | 105.69 | 108.22 | 100.14 | 099.93 | 099.00 | 106.76 | 100.88 | 094.66 | 102.76 | 106.92 | 107.60 | 104.24 | 102.15 ||
|| 099.70 | 098.99 | 098.17 | 095.85 | 105.29 | 105.98 | 109.89 | 115.98 | 113.93 | 112.73 | 112.10 | 115.55 | 114.82 | 113.92 | 111.12 | 108.77 | 105.29 | 104.44 | 101.34 | 100.62 ||
|| 099.70 | 102.25 | 106.38 | 108.67 | 103.02 | 109.98 | 105.39 | 104.59 | 095.10 | 096.93 | 100.41 | 102.27 | 107.02 | 105.60 | 106.53 | 109.70 | 105.05 | 104.78 | 103.98 | 103.12 ||
|| 099.70 | 107.57 | 107.27 | 109.76 | 110.76 | 110.92 | 108.19 | 103.41 | 107.85 | 109.11 | 111.05 | 108.79 | 112.46 | 109.46 | 110.31 | 108.99 | 110.62 | 108.64 | 106.15 | 103.15 ||
|| 099.70 | 097.98 | 102.32 | 099.89 | 101.54 | 108.48 | 107.90 | 106.17 | 110.85 | 113.94 | 112.34 | 109.78 | 104.68 | 108.76 | 107.31 | 106.16 | 106.96 | 105.14 | 104.72 | 102.97 ||
|| 099.70 | 100.28 | 096.99 | 095.08 | 104.93 | 109.30 | 107.06 | 106.53 | 112.33 | 114.64 | 114.56 | 117.39 | 116.47 | 113.33 | 112.29 | 110.17 | 109.29 | 106.27 | 104.19 | 102.03 ||
|| 099.70 | 106.17 | 105.20 | 107.86 | 111.58 | 106.72 | 101.89 | 097.90 | 100.89 | 104.84 | 110.28 | 117.53 | 119.70 | 119.33 | 117.37 | 114.88 | 112.04 | 109.07 | 106.34 | 103.21 ||
|| 099.70 | 094.07 | 094.03 | 096.97 | 099.42 | 097.21 | 097.72 | 106.91 | 105.60 | 105.98 | 103.73 | 105.15 | 105.38 | 110.03 | 108.27 | 103.64 | 103.84 | 103.49 | 101.73 | 100.29 ||
|| 099.70 | 104.24 | 098.50 | 100.82 | 105.94 | 111.92 | 118.32 | 118.97 | 119.76 | 115.53 | 115.48 | 107.58 | 101.19 | 089.58 | 089.39 | 095.93 | 091.32 | 093.80 | 102.77 | 103.36 ||
|| 099.70 | 095.98 | 096.09 | 098.54 | 100.92 | 107.19 | 107.64 | 111.14 | 114.99 | 110.79 | 107.15 | 105.27 | 107.78 | 110.26 | 113.11 | 111.40 | 110.06 | 107.50 | 104.93 | 102.59 ||
|| 099.70 | 101.53 | 103.40 | 109.98 | 115.16 | 116.30 | 117.54 | 111.72 | 106.07 | 102.94 | 101.73 | 097.40 | 120.93 | 119.64 | 117.70 | 115.02 | 114.04 | 111.09 | 107.56 | 103.53 ||
|| 099.70 | 099.14 | 097.03 | 094.40 | 089.06 | 085.56 | 090.15 | 099.15 | 090.93 | 100.20 | 108.15 | 116.42 | 121.83 | 119.38 | 116.31 | 113.10 | 110.72 | 107.81 | 105.51 | 102.93 ||
|| 099.70 | 101.17 | 092.87 | 097.13 | 089.24 | 082.41 | 091.23 | 088.57 | 094.74 | 099.93 | 097.36 | 099.80 | 102.22 | 097.64 | 100.57 | 098.83 | 098.57 | 101.25 | 103.83 | 103.37 ||
|| 099.70 | 096.66 | 096.38 | 102.99 | 103.71 | 103.74 | 098.24 | 104.68 | 103.69 | 106.95 | 102.49 | 106.09 | 110.28 | 109.61 | 113.37 | 113.41 | 110.27 | 107.90 | 104.76 | 102.29 ||
|| 099.70 | 099.86 | 108.67 | 100.60 | 103.97 | 105.03 | 100.44 | 103.68 | 102.07 | 105.95 | 103.46 | 108.44 | 106.17 | 101.12 | 098.89 | 102.99 | 103.78 | 106.13 | 104.25 | 103.25 ||
|| 099.70 | 096.08 | 098.44 | 102.78 | 097.08 | 105.64 | 104.41 | 108.13 | 112.73 | 112.35 | 109.25 | 111.86 | 113.94 | 112.70 | 109.85 | 108.85 | 108.58 | 108.63 | 106.14 | 103.03 ||
|| 099.70 | 094.43 | 094.18 | 099.26 | 092.43 | 093.17 | 093.33 | 096.30 | 098.72 | 095.94 | 099.42 | 109.66 | 113.84 | 111.63 | 109.94 | 106.62 | 101.33 | 100.79 | 098.51 | 100.67 ||
|| 099.70 | 104.27 | 102.28 | 106.47 | 099.31 | 101.21 | 102.16 | 097.99 | 107.16 | 107.40 | 102.16 | 106.66 | 106.09 | 109.68 | 109.20 | 107.59 | 110.62 | 108.91 | 106.47 | 103.29 ||
|| 099.70 | 102.61 | 104.33 | 113.75 | 111.01 | 115.15 | 118.62 | 116.96 | 119.52 | 117.94 | 116.31 | 114.44 | 115.82 | 118.02 | 117.15 | 116.13 | 113.05 | 110.14 | 106.70 | 103.28 ||
|| 099.70 | 101.45 | 107.81 | 103.02 | 110.14 | 110.35 | 106.73 | 116.78 | 112.71 | 119.88 | 121.46 | 121.59 | 121.27 | 118.71 | 115.76 | 113.92 | 111.57 | 108.77 | 105.89 | 102.93 ||
|| 099.70 | 097.86 | 101.01 | 103.29 | 103.06 | 109.67 | 115.49 | 113.24 | 113.71 | 118.20 | 119.08 | 116.37 | 115.90 | 113.49 | 110.54 | 107.97 | 109.17 | 107.99 | 105.64 | 103.09 ||
|| 099.70 | 099.17 | 106.52 | 100.45 | 104.85 | 103.41 | 110.85 | 105.16 | 109.97 | 112.14 | 113.82 | 114.72 | 115.16 | 114.76 | 114.78 | 113.17 | 110.81 | 108.99 | 105.63 | 102.34 ||
|| 099.70 | 096.27 | 101.02 | 106.77 | 105.35 | 111.54 | 111.42 | 112.04 | 109.17 | 106.53 | 107.55 | 113.58 | 117.40 | 117.90 | 116.13 | 113.16 | 111.66 | 109.49 | 106.37 | 103.27 ||
|| 099.70 | 101.31 | 097.46 | 099.53 | 098.03 | 097.06 | 101.92 | 096.37 | 092.04 | 095.20 | 095.46 | 099.65 | 089.67 | 107.96 | 110.22 | 112.34 | 111.38 | 109.06 | 106.56 | 103.37 ||
|| 099.70 | 104.13 | 109.31 | 104.42 | 103.54 | 099.92 | 105.17 | 116.31 | 113.43 | 116.50 | 113.07 | 113.92 | 113.98 | 115.45 | 115.43 | 114.82 | 112.19 | 109.50 | 106.11 | 102.75 ||
|| 099.70 | 102.05 | 101.01 | 094.67 | 097.00 | 105.12 | 107.75 | 104.38 | 104.86 | 106.77 | 110.56 | 114.37 | 113.89 | 112.82 | 114.18 | 113.15 | 110.99 | 108.44 | 105.95 | 103.10 ||
|| 099.70 | 099.35 | 100.06 | 099.70 | 098.57 | 095.28 | 097.16 | 110.25 | 112.76 | 117.63 | 116.10 | 115.81 | 115.26 | 111.29 | 110.92 | 108.73 | 107.97 | 108.01 | 105.60 | 102.67 ||
|| 099.70 | 099.34 | 104.44 | 100.97 | 094.57 | 097.20 | 102.09 | 105.29 | 110.09 | 111.44 | 111.96 | 108.58 | 113.45 | 111.75 | 114.75 | 115.06 | 112.92 | 110.02 | 106.86 | 103.46 ||
|| 099.70 | 100.57 | 097.71 | 108.12 | 106.81 | 105.96 | 108.58 | 101.97 | 101.67 | 105.23 | 110.42 | 106.60 | 110.52 | 105.38 | 106.69 | 106.48 | 104.56 | 104.04 | 104.45 | 102.42 ||
|| 099.70 | 100.19 | 115.31 | 115.00 | 119.86 | 113.38 | 118.39 | 118.55 | 120.20 | 117.66 | 116.62 | 117.19 | 115.00 | 112.83 | 110.88 | 108.94 | 108.97 | 107.46 | 105.35 | 103.19 ||
|| 099.70 | 103.03 | 098.73 | 101.43 | 109.33 | 106.91 | 103.24 | 098.81 | 099.26 | 100.96 | 103.95 | 105.28 | 107.12 | 102.72 | 105.14 | 103.52 | 101.59 | 101.92 | 102.54 | 103.55 ||
|| 099.70 | 101.19 | 096.55 | 098.72 | 097.33 | 102.06 | 102.32 | 103.39 | 108.98 | 105.96 | 108.94 | 109.86 | 108.18 | 114.32 | 111.71 | 112.90 | 111.57 | 109.12 | 105.80 | 102.42 ||
|| 099.70 | 092.87 | 082.69 | 085.72 | 091.39 | 088.17 | 082.37 | 094.39 | 096.18 | 114.22 | 107.05 | 108.76 | 104.99 | 106.68 | 103.29 | 106.42 | 108.31 | 107.84 | 104.82 | 102.69 ||
|| 099.70 | 100.61 | 097.38 | 093.38 | 092.30 | 093.80 | 091.81 | 090.63 | 087.54 | 092.62 | 103.35 | 108.63 | 111.20 | 107.91 | 107.28 | 105.70 | 106.04 | 103.86 | 102.52 | 101.45 ||
|| 099.70 | 103.08 | 100.42 | 104.04 | 102.79 | 096.01 | 105.57 | 109.26 | 106.11 | 110.56 | 108.10 | 107.52 | 117.18 | 114.47 | 109.65 | 107.54 | 102.85 | 114.19 | 109.69 | 103.45 ||
|| 099.70 | 103.88 | 099.48 | 099.64 | 096.62 | 093.32 | 094.35 | 104.01 | 098.88 | 098.55 | 107.54 | 111.13 | 114.65 | 117.50 | 113.31 | 111.50 | 107.94 | 108.13 | 105.82 | 103.26 ||
|| 099.70 | 102.22 | 099.67 | 106.13 | 097.53 | 098.76 | 110.99 | 111.31 | 112.47 | 116.53 | 112.64 | 109.47 | 109.61 | 105.57 | 105.38 | 109.67 | 101.52 | 094.88 | 099.24 | 101.05 ||
|| 099.70 | 097.61 | 096.38 | 090.76 | 075.36 | 069.73 | 091.70 | 095.99 | 104.67 | 105.11 | 106.17 | 105.63 | 102.83 | 110.32 | 113.10 | 109.53 | 110.34 | 109.68 | 106.79 | 103.54 ||
|| 099.70 | 103.62 | 097.17 | 102.86 | 102.18 | 105.14 | 108.99 | 105.30 | 108.28 | 108.88 | 107.55 | 108.81 | 107.22 | 107.32 | 109.17 | 106.57 | 101.84 | 101.10 | 099.66 | 100.22 ||
|| 099.70 | 102.99 | 099.83 | 097.84 | 092.47 | 098.08 | 096.57 | 100.63 | 114.96 | 112.91 | 115.56 | 115.71 | 113.70 | 109.55 | 102.95 | 101.80 | 096.06 | 090.82 | 093.42 | 099.40 ||
|| 099.70 | 095.29 | 086.21 | 092.39 | 093.16 | 094.97 | 097.91 | 104.81 | 109.66 | 109.55 | 112.23 | 111.03 | 109.18 | 111.92 | 112.23 | 112.04 | 111.50 | 108.65 | 106.24 | 103.20 ||
|| 099.70 | 103.05 | 105.21 | 097.24 | 095.10 | 089.43 | 088.25 | 105.50 | 098.39 | 094.68 | 088.75 | 077.81 | 076.44 | 082.96 | 080.69 | 079.73 | 095.84 | 103.36 | 103.30 | 101.60 ||
|| 099.70 | 101.12 | 098.83 | 101.25 | 102.08 | 097.59 | 097.10 | 105.21 | 107.39 | 107.62 | 108.67 | 111.95 | 113.65 | 112.96 | 114.68 | 114.96 | 112.61 | 109.76 | 106.56 | 103.31 ||
|| 099.70 | 105.61 | 106.22 | 098.89 | 104.96 | 114.04 | 123.71 | 125.20 | 123.88 | 120.98 | 121.46 | 121.73 | 120.53 | 118.01 | 114.76 | 110.62 | 107.00 | 109.12 | 105.98 | 103.19 ||
|| 099.70 | 095.63 | 083.96 | 083.78 | 093.70 | 086.49 | 098.80 | 110.89 | 109.01 | 109.76 | 106.10 | 102.54 | 101.81 | 106.03 | 106.33 | 109.55 | 108.19 | 106.46 | 104.14 | 101.88 ||
|| 099.70 | 103.43 | 100.01 | 100.11 | 097.95 | 103.98 | 109.93 | 115.77 | 112.64 | 114.03 | 111.04 | 110.67 | 110.68 | 107.22 | 111.59 | 107.81 | 104.62 | 108.58 | 106.47 | 103.38 ||
|| 099.70 | 100.91 | 099.98 | 094.10 | 089.83 | 088.60 | 093.34 | 088.99 | 098.52 | 093.63 | 102.89 | 102.65 | 097.02 | 104.48 | 102.43 | 106.37 | 105.37 | 104.02 | 105.19 | 103.29 ||
|| 099.70 | 103.40 | 109.48 | 114.27 | 111.31 | 110.16 | 115.41 | 112.79 | 110.66 | 110.27 | 107.10 | 104.77 | 107.92 | 103.22 | 094.33 | 095.95 | 095.42 | 099.26 | 098.00 | 101.50 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:36:17 EST 2020
| Setup Time => Mon Jan 27 00:36:17 EST 2020
| Finish Time => Mon Jan 27 00:36:20 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 s 965 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 00:36:20 EST 2020
| Setup Time => Mon Jan 27 00:36:20 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------|
| Curve Stretch [13-JUN-2015 -> 13-NOV-2042] |
|--------------------------------------------|
| 14-JUN-2015 => 0.9999 | 0.9999 |
| 15-JUN-2015 => 0.9998 | 0.9997 |
| 16-JUN-2015 => 0.9997 | 0.9996 |
| 17-JUN-2015 => 0.9997 | 0.9995 |
| 13-NOV-2015 => 0.9723 | 0.9800 |
| 18-NOV-2015 => 0.9715 | 0.9793 |
| 20-NOV-2015 => 0.9714 | 0.9791 |
| 23-NOV-2015 => 0.9710 | 0.9787 |
| 29-NOV-2015 => 0.9704 | 0.9779 |
| 30-NOV-2015 => 0.9708 | 0.9777 |
| 03-DEC-2015 => 0.9708 | 0.9773 |
| 05-DEC-2015 => 0.9717 | 0.9771 |
| 07-DEC-2015 => 0.9715 | 0.9768 |
| 09-DEC-2015 => 0.9722 | 0.9766 |
| 10-DEC-2015 => 0.9731 | 0.9764 |
| 11-DEC-2015 => 0.9745 | 0.9763 |
| 13-DEC-2015 => 0.9763 | 0.9760 |
| 14-DEC-2015 => 0.9780 | 0.9759 |
| 15-DEC-2015 => 0.9802 | 0.9758 |
| 16-DEC-2015 => 0.9823 | 0.9756 |
| 17-DEC-2015 => 0.9841 | 0.9755 |
| 13-MAY-2016 => 0.9401 | 0.9560 |
| 18-MAY-2016 => 0.9394 | 0.9554 |
| 20-MAY-2016 => 0.9397 | 0.9551 |
| 23-MAY-2016 => 0.9393 | 0.9547 |
| 29-MAY-2016 => 0.9393 | 0.9539 |
| 31-MAY-2016 => 0.9402 | 0.9536 |
| 03-JUN-2016 => 0.9408 | 0.9532 |
| 05-JUN-2016 => 0.9428 | 0.9530 |
| 07-JUN-2016 => 0.9430 | 0.9527 |
| 09-JUN-2016 => 0.9446 | 0.9524 |
| 10-JUN-2016 => 0.9465 | 0.9523 |
| 11-JUN-2016 => 0.9494 | 0.9522 |
| 13-JUN-2016 => 0.9531 | 0.9519 |
| 14-JUN-2016 => 0.9567 | 0.9518 |
| 15-JUN-2016 => 0.9610 | 0.9516 |
| 16-JUN-2016 => 0.9652 | 0.9515 |
| 13-NOV-2016 => 0.9090 | 0.9315 |
| 18-NOV-2016 => 0.9083 | 0.9308 |
| 20-NOV-2016 => 0.9090 | 0.9305 |
| 23-NOV-2016 => 0.9087 | 0.9301 |
| 29-NOV-2016 => 0.9093 | 0.9293 |
| 30-NOV-2016 => 0.9108 | 0.9292 |
| 03-DEC-2016 => 0.9117 | 0.9288 |
| 05-DEC-2016 => 0.9149 | 0.9285 |
| 07-DEC-2016 => 0.9152 | 0.9283 |
| 09-DEC-2016 => 0.9177 | 0.9280 |
| 10-DEC-2016 => 0.9206 | 0.9279 |
| 11-DEC-2016 => 0.9249 | 0.9277 |
| 13-DEC-2016 => 0.9305 | 0.9274 |
| 14-DEC-2016 => 0.9358 | 0.9273 |
| 15-DEC-2016 => 0.9435 | 0.9272 |
| 13-MAY-2017 => 0.8789 | 0.9069 |
| 18-MAY-2017 => 0.8783 | 0.9062 |
| 20-MAY-2017 => 0.8793 | 0.9059 |
| 23-MAY-2017 => 0.8791 | 0.9055 |
| 29-MAY-2017 => 0.8801 | 0.9047 |
| 31-MAY-2017 => 0.8820 | 0.9044 |
| 03-JUN-2017 => 0.8835 | 0.9040 |
| 05-JUN-2017 => 0.8878 | 0.9037 |
| 07-JUN-2017 => 0.8883 | 0.9035 |
| 09-JUN-2017 => 0.8916 | 0.9032 |
| 10-JUN-2017 => 0.8954 | 0.9030 |
| 11-JUN-2017 => 0.9011 | 0.9029 |
| 13-JUN-2017 => 0.9084 | 0.9026 |
| 14-JUN-2017 => 0.9154 | 0.9025 |
| 15-JUN-2017 => 0.9213 | 0.9024 |
| 13-NOV-2017 => 0.8498 | 0.8813 |
| 18-NOV-2017 => 0.8493 | 0.8806 |
| 20-NOV-2017 => 0.8505 | 0.8803 |
| 23-NOV-2017 => 0.8505 | 0.8799 |
| 29-NOV-2017 => 0.8520 | 0.8790 |
| 30-NOV-2017 => 0.8544 | 0.8789 |
| 03-DEC-2017 => 0.8562 | 0.8784 |
| 05-DEC-2017 => 0.8615 | 0.8782 |
| 07-DEC-2017 => 0.8622 | 0.8779 |
| 09-DEC-2017 => 0.8663 | 0.8776 |
| 10-DEC-2017 => 0.8710 | 0.8775 |
| 11-DEC-2017 => 0.8778 | 0.8773 |
| 13-DEC-2017 => 0.8868 | 0.8770 |
| 14-DEC-2017 => 0.8977 | 0.8769 |
| 13-MAY-2018 => 0.8217 | 0.8553 |
| 18-MAY-2018 => 0.8212 | 0.8546 |
| 20-MAY-2018 => 0.8227 | 0.8543 |
| 23-MAY-2018 => 0.8227 | 0.8539 |
| 29-MAY-2018 => 0.8247 | 0.8530 |
| 31-MAY-2018 => 0.8275 | 0.8527 |
| 03-JUN-2018 => 0.8297 | 0.8523 |
| 05-JUN-2018 => 0.8359 | 0.8520 |
| 07-JUN-2018 => 0.8368 | 0.8517 |
| 09-JUN-2018 => 0.8416 | 0.8514 |
| 10-JUN-2018 => 0.8471 | 0.8513 |
| 11-JUN-2018 => 0.8552 | 0.8511 |
| 13-JUN-2018 => 0.8658 | 0.8508 |
| 14-JUN-2018 => 0.8712 | 0.8507 |
| 13-NOV-2018 => 0.7944 | 0.8285 |
| 18-NOV-2018 => 0.7940 | 0.8278 |
| 20-NOV-2018 => 0.7958 | 0.8275 |
| 23-NOV-2018 => 0.7959 | 0.8270 |
| 29-NOV-2018 => 0.7983 | 0.8261 |
| 30-NOV-2018 => 0.8016 | 0.8260 |
| 03-DEC-2018 => 0.8041 | 0.8256 |
| 05-DEC-2018 => 0.8111 | 0.8253 |
| 07-DEC-2018 => 0.8122 | 0.8250 |
| 09-DEC-2018 => 0.8177 | 0.8247 |
| 10-DEC-2018 => 0.8240 | 0.8245 |
| 11-DEC-2018 => 0.8332 | 0.8244 |
| 13-DEC-2018 => 0.8452 | 0.8241 |
| 13-MAY-2019 => 0.7681 | 0.8020 |
| 18-MAY-2019 => 0.7678 | 0.8012 |
| 20-MAY-2019 => 0.7698 | 0.8009 |
| 23-MAY-2019 => 0.7700 | 0.8005 |
| 29-MAY-2019 => 0.7727 | 0.7996 |
| 31-MAY-2019 => 0.7763 | 0.7993 |
| 03-JUN-2019 => 0.7792 | 0.7989 |
| 05-JUN-2019 => 0.7871 | 0.7986 |
| 07-JUN-2019 => 0.7883 | 0.7983 |
| 09-JUN-2019 => 0.7945 | 0.7980 |
| 10-JUN-2019 => 0.8015 | 0.7979 |
| 11-JUN-2019 => 0.8117 | 0.7977 |
| 13-NOV-2019 => 0.7427 | 0.7753 |
| 18-NOV-2019 => 0.7424 | 0.7746 |
| 20-NOV-2019 => 0.7447 | 0.7743 |
| 23-NOV-2019 => 0.7449 | 0.7738 |
| 29-NOV-2019 => 0.7480 | 0.7730 |
| 30-NOV-2019 => 0.7520 | 0.7728 |
| 03-DEC-2019 => 0.7551 | 0.7724 |
| 05-DEC-2019 => 0.7638 | 0.7721 |
| 07-DEC-2019 => 0.7651 | 0.7718 |
| 09-DEC-2019 => 0.7719 | 0.7716 |
| 10-DEC-2019 => 0.7795 | 0.7714 |
| 11-DEC-2019 => 0.7923 | 0.7713 |
| 13-MAY-2020 => 0.7181 | 0.7495 |
| 18-MAY-2020 => 0.7179 | 0.7488 |
| 20-MAY-2020 => 0.7203 | 0.7486 |
| 23-MAY-2020 => 0.7206 | 0.7482 |
| 29-MAY-2020 => 0.7240 | 0.7473 |
| 31-MAY-2020 => 0.7283 | 0.7470 |
| 03-JUN-2020 => 0.7318 | 0.7466 |
| 05-JUN-2020 => 0.7411 | 0.7464 |
| 07-JUN-2020 => 0.7426 | 0.7461 |
| 09-JUN-2020 => 0.7499 | 0.7458 |
| 10-JUN-2020 => 0.7582 | 0.7457 |
| 11-JUN-2020 => 0.7693 | 0.7455 |
| 13-NOV-2020 => 0.6943 | 0.7245 |
| 18-NOV-2020 => 0.6941 | 0.7239 |
| 20-NOV-2020 => 0.6968 | 0.7236 |
| 23-NOV-2020 => 0.6971 | 0.7232 |
| 29-NOV-2020 => 0.7008 | 0.7224 |
| 30-NOV-2020 => 0.7055 | 0.7223 |
| 03-DEC-2020 => 0.7092 | 0.7219 |
| 05-DEC-2020 => 0.7191 | 0.7216 |
| 07-DEC-2020 => 0.7207 | 0.7213 |
| 09-DEC-2020 => 0.7286 | 0.7211 |
| 10-DEC-2020 => 0.7375 | 0.7209 |
| 13-MAY-2021 => 0.6713 | 0.7009 |
| 18-MAY-2021 => 0.6712 | 0.7003 |
| 20-MAY-2021 => 0.6740 | 0.7000 |
| 23-MAY-2021 => 0.6744 | 0.6996 |
| 29-MAY-2021 => 0.6784 | 0.6989 |
| 31-MAY-2021 => 0.6832 | 0.6986 |
| 03-JUN-2021 => 0.6873 | 0.6982 |
| 05-JUN-2021 => 0.6978 | 0.6980 |
| 07-JUN-2021 => 0.6995 | 0.6977 |
| 09-JUN-2021 => 0.7079 | 0.6975 |
| 10-JUN-2021 => 0.7173 | 0.6973 |
| 13-NOV-2021 => 0.6491 | 0.6779 |
| 18-NOV-2021 => 0.6490 | 0.6772 |
| 20-NOV-2021 => 0.6520 | 0.6770 |
| 23-NOV-2021 => 0.6524 | 0.6766 |
| 29-NOV-2021 => 0.6566 | 0.6759 |
| 30-NOV-2021 => 0.6619 | 0.6758 |
| 03-DEC-2021 => 0.6660 | 0.6754 |
| 05-DEC-2021 => 0.6771 | 0.6752 |
| 07-DEC-2021 => 0.6790 | 0.6749 |
| 09-DEC-2021 => 0.6878 | 0.6747 |
| 13-MAY-2022 => 0.6276 | 0.6560 |
| 18-MAY-2022 => 0.6276 | 0.6554 |
| 20-MAY-2022 => 0.6307 | 0.6552 |
| 23-MAY-2022 => 0.6312 | 0.6548 |
| 29-MAY-2022 => 0.6356 | 0.6541 |
| 31-MAY-2022 => 0.6410 | 0.6539 |
| 03-JUN-2022 => 0.6454 | 0.6535 |
| 05-JUN-2022 => 0.6571 | 0.6533 |
| 07-JUN-2022 => 0.6590 | 0.6530 |
| 09-JUN-2022 => 0.6682 | 0.6528 |
| 13-NOV-2022 => 0.6068 | 0.6345 |
| 18-NOV-2022 => 0.6068 | 0.6340 |
| 20-NOV-2022 => 0.6101 | 0.6337 |
| 23-NOV-2022 => 0.6106 | 0.6334 |
| 29-NOV-2022 => 0.6153 | 0.6327 |
| 30-NOV-2022 => 0.6209 | 0.6326 |
| 03-DEC-2022 => 0.6255 | 0.6322 |
| 05-DEC-2022 => 0.6376 | 0.6320 |
| 07-DEC-2022 => 0.6396 | 0.6318 |
| 13-MAY-2023 => 0.5867 | 0.6141 |
| 18-MAY-2023 => 0.5868 | 0.6135 |
| 20-MAY-2023 => 0.5901 | 0.6133 |
| 23-MAY-2023 => 0.5907 | 0.6129 |
| 29-MAY-2023 => 0.5956 | 0.6123 |
| 31-MAY-2023 => 0.6013 | 0.6121 |
| 03-JUN-2023 => 0.6061 | 0.6117 |
| 05-JUN-2023 => 0.6187 | 0.6115 |
| 07-JUN-2023 => 0.6208 | 0.6113 |
| 13-NOV-2023 => 0.5673 | 0.5938 |
| 18-NOV-2023 => 0.5674 | 0.5933 |
| 20-NOV-2023 => 0.5708 | 0.5931 |
| 23-NOV-2023 => 0.5715 | 0.5928 |
| 29-NOV-2023 => 0.5765 | 0.5921 |
| 30-NOV-2023 => 0.5825 | 0.5920 |
| 03-DEC-2023 => 0.5874 | 0.5917 |
| 05-DEC-2023 => 0.6003 | 0.5915 |
| 07-DEC-2023 => 0.6025 | 0.5912 |
| 13-MAY-2024 => 0.5485 | 0.5744 |
| 18-MAY-2024 => 0.5486 | 0.5738 |
| 20-MAY-2024 => 0.5522 | 0.5736 |
| 23-MAY-2024 => 0.5528 | 0.5733 |
| 29-MAY-2024 => 0.5580 | 0.5727 |
| 31-MAY-2024 => 0.5641 | 0.5725 |
| 03-JUN-2024 => 0.5693 | 0.5721 |
| 05-JUN-2024 => 0.5825 | 0.5719 |
| 13-NOV-2024 => 0.5303 | 0.5551 |
| 18-NOV-2024 => 0.5305 | 0.5546 |
| 20-NOV-2024 => 0.5341 | 0.5544 |
| 23-NOV-2024 => 0.5348 | 0.5541 |
| 29-NOV-2024 => 0.5401 | 0.5535 |
| 30-NOV-2024 => 0.5465 | 0.5534 |
| 03-DEC-2024 => 0.5517 | 0.5531 |
| 05-DEC-2024 => 0.5653 | 0.5529 |
| 13-MAY-2025 => 0.5128 | 0.5366 |
| 18-MAY-2025 => 0.5129 | 0.5361 |
| 20-MAY-2025 => 0.5167 | 0.5359 |
| 23-MAY-2025 => 0.5174 | 0.5356 |
| 29-MAY-2025 => 0.5228 | 0.5350 |
| 31-MAY-2025 => 0.5292 | 0.5348 |
| 03-JUN-2025 => 0.5346 | 0.5344 |
| 13-NOV-2025 => 0.4958 | 0.5181 |
| 18-NOV-2025 => 0.4960 | 0.5176 |
| 20-NOV-2025 => 0.4998 | 0.5174 |
| 23-NOV-2025 => 0.5005 | 0.5171 |
| 29-NOV-2025 => 0.5061 | 0.5165 |
| 30-NOV-2025 => 0.5127 | 0.5164 |
| 03-DEC-2025 => 0.5181 | 0.5161 |
| 13-MAY-2026 => 0.4794 | 0.5002 |
| 18-MAY-2026 => 0.4796 | 0.4997 |
| 20-MAY-2026 => 0.4834 | 0.4995 |
| 23-MAY-2026 => 0.4842 | 0.4992 |
| 29-MAY-2026 => 0.4899 | 0.4986 |
| 31-MAY-2026 => 0.4965 | 0.4985 |
| 03-JUN-2026 => 0.5021 | 0.4982 |
| 13-NOV-2026 => 0.4635 | 0.4825 |
| 18-NOV-2026 => 0.4637 | 0.4820 |
| 20-NOV-2026 => 0.4676 | 0.4818 |
| 23-NOV-2026 => 0.4684 | 0.4815 |
| 29-NOV-2026 => 0.4742 | 0.4810 |
| 30-NOV-2026 => 0.4810 | 0.4809 |
| 03-DEC-2026 => 0.4865 | 0.4806 |
| 13-MAY-2027 => 0.4482 | 0.4656 |
| 18-MAY-2027 => 0.4484 | 0.4651 |
| 20-MAY-2027 => 0.4524 | 0.4649 |
| 23-MAY-2027 => 0.4532 | 0.4647 |
| 29-MAY-2027 => 0.4590 | 0.4641 |
| 31-MAY-2027 => 0.4658 | 0.4639 |
| 03-JUN-2027 => 0.4715 | 0.4636 |
| 13-NOV-2027 => 0.4333 | 0.4490 |
| 18-NOV-2027 => 0.4336 | 0.4485 |
| 20-NOV-2027 => 0.4376 | 0.4483 |
| 23-NOV-2027 => 0.4384 | 0.4481 |
| 29-NOV-2027 => 0.4443 | 0.4475 |
| 30-NOV-2027 => 0.4513 | 0.4474 |
| 13-MAY-2028 => 0.4190 | 0.4331 |
| 18-MAY-2028 => 0.4193 | 0.4327 |
| 20-MAY-2028 => 0.4233 | 0.4325 |
| 23-MAY-2028 => 0.4241 | 0.4323 |
| 29-MAY-2028 => 0.4301 | 0.4318 |
| 31-MAY-2028 => 0.4370 | 0.4316 |
| 13-NOV-2028 => 0.4051 | 0.4177 |
| 18-NOV-2028 => 0.4054 | 0.4173 |
| 20-NOV-2028 => 0.4094 | 0.4172 |
| 23-NOV-2028 => 0.4103 | 0.4169 |
| 29-NOV-2028 => 0.4163 | 0.4164 |
| 30-NOV-2028 => 0.4233 | 0.4163 |
| 13-MAY-2029 => 0.3917 | 0.4031 |
| 18-MAY-2029 => 0.3920 | 0.4027 |
| 20-MAY-2029 => 0.3961 | 0.4026 |
| 23-MAY-2029 => 0.3969 | 0.4023 |
| 29-MAY-2029 => 0.4030 | 0.4019 |
| 31-MAY-2029 => 0.4100 | 0.4017 |
| 13-NOV-2029 => 0.3787 | 0.3888 |
| 18-NOV-2029 => 0.3790 | 0.3884 |
| 20-NOV-2029 => 0.3831 | 0.3882 |
| 23-NOV-2029 => 0.3840 | 0.3880 |
| 29-NOV-2029 => 0.3901 | 0.3876 |
| 13-MAY-2030 => 0.3662 | 0.3751 |
| 18-MAY-2030 => 0.3665 | 0.3747 |
| 20-MAY-2030 => 0.3706 | 0.3746 |
| 23-MAY-2030 => 0.3715 | 0.3744 |
| 29-MAY-2030 => 0.3776 | 0.3739 |
| 13-NOV-2030 => 0.3540 | 0.3616 |
| 18-NOV-2030 => 0.3544 | 0.3613 |
| 20-NOV-2030 => 0.3585 | 0.3611 |
| 23-NOV-2030 => 0.3594 | 0.3609 |
| 29-NOV-2030 => 0.3655 | 0.3605 |
| 13-MAY-2031 => 0.3423 | 0.3488 |
| 18-MAY-2031 => 0.3427 | 0.3484 |
| 20-MAY-2031 => 0.3468 | 0.3483 |
| 23-MAY-2031 => 0.3477 | 0.3481 |
| 29-MAY-2031 => 0.3538 | 0.3477 |
| 13-NOV-2031 => 0.3310 | 0.3363 |
| 18-NOV-2031 => 0.3314 | 0.3360 |
| 20-NOV-2031 => 0.3354 | 0.3358 |
| 23-NOV-2031 => 0.3363 | 0.3356 |
| 13-MAY-2032 => 0.3200 | 0.3246 |
| 18-MAY-2032 => 0.3204 | 0.3242 |
| 20-MAY-2032 => 0.3245 | 0.3241 |
| 23-MAY-2032 => 0.3254 | 0.3239 |
| 13-NOV-2032 => 0.3094 | 0.3134 |
| 18-NOV-2032 => 0.3098 | 0.3131 |
| 20-NOV-2032 => 0.3139 | 0.3130 |
| 23-NOV-2032 => 0.3148 | 0.3128 |
| 13-MAY-2033 => 0.2992 | 0.3031 |
| 18-MAY-2033 => 0.2996 | 0.3028 |
| 20-MAY-2033 => 0.3036 | 0.3027 |
| 23-MAY-2033 => 0.3045 | 0.3026 |
| 13-NOV-2033 => 0.2893 | 0.2933 |
| 18-NOV-2033 => 0.2897 | 0.2931 |
| 20-NOV-2033 => 0.2937 | 0.2930 |
| 23-NOV-2033 => 0.2946 | 0.2928 |
| 13-MAY-2034 => 0.2797 | 0.2841 |
| 18-MAY-2034 => 0.2801 | 0.2839 |
| 20-MAY-2034 => 0.2841 | 0.2838 |
| 23-MAY-2034 => 0.2850 | 0.2836 |
| 13-NOV-2034 => 0.2704 | 0.2751 |
| 18-NOV-2034 => 0.2708 | 0.2748 |
| 20-NOV-2034 => 0.2748 | 0.2747 |
| 23-NOV-2034 => 0.2757 | 0.2746 |
| 13-MAY-2035 => 0.2615 | 0.2663 |
| 18-MAY-2035 => 0.2619 | 0.2660 |
| 20-MAY-2035 => 0.2658 | 0.2659 |
| 13-NOV-2035 => 0.2528 | 0.2573 |
| 18-NOV-2035 => 0.2532 | 0.2571 |
| 20-NOV-2035 => 0.2571 | 0.2570 |
| 13-MAY-2036 => 0.2444 | 0.2485 |
| 18-MAY-2036 => 0.2449 | 0.2482 |
| 20-MAY-2036 => 0.2487 | 0.2482 |
| 13-NOV-2036 => 0.2364 | 0.2397 |
| 18-NOV-2036 => 0.2368 | 0.2394 |
| 20-NOV-2036 => 0.2406 | 0.2393 |
| 13-MAY-2037 => 0.2285 | 0.2312 |
| 18-MAY-2037 => 0.2289 | 0.2309 |
| 13-NOV-2037 => 0.2210 | 0.2228 |
| 18-NOV-2037 => 0.2214 | 0.2226 |
| 13-MAY-2038 => 0.2136 | 0.2149 |
| 18-MAY-2038 => 0.2141 | 0.2147 |
| 13-NOV-2038 => 0.2066 | 0.2072 |
| 18-NOV-2038 => 0.2070 | 0.2070 |
| 13-MAY-2039 => 0.1997 | 0.2000 |
| 13-NOV-2039 => 0.1931 | 0.1931 |
| 13-MAY-2040 => 0.1867 | 0.1865 |
| 13-NOV-2040 => 0.1805 | 0.1803 |
| 13-MAY-2041 => 0.1746 | 0.1745 |
| 13-NOV-2041 => 0.1688 | 0.1688 |
| 13-MAY-2042 => 0.1632 | 0.1633 |
| 13-NOV-2042 => 0.1578 | 0.1578 |
|--------------------------------------------|
|---------------------------------------------------------------||
| Market Yield vs. Regression Curve ||
|---------------------------------------------------------------||
| L -> R ||
| Bond Name ||
| Market Yield ||
| Regressed Yield (Bond Basis) ||
| Regressed Yield (Yield Spread) ||
| Continuous Zero To Maturity ||
|---------------------------------------------------------------||
| MBONO 8.00 12/17/2015 ==> 3.16% | 4.91% | 4.91% | 4.84% ||
| MBONO 6.25 06/16/2016 ==> 3.54% | 4.99% | 4.99% | 4.92% ||
| MBONO 7.25 12/15/2016 ==> 3.90% | 5.08% | 5.08% | 5.01% ||
| MBONO 5.00 06/15/2017 ==> 4.13% | 5.18% | 5.18% | 5.12% ||
| MBONO 7.75 12/14/2017 ==> 4.35% | 5.30% | 5.30% | 5.24% ||
| MBONO 4.75 06/14/2018 ==> 4.65% | 5.44% | 5.44% | 5.38% ||
| MBONO 8.50 12/13/2018 ==> 4.86% | 5.56% | 5.56% | 5.53% ||
| MBONO 5.00 12/11/2019 ==> 5.25% | 5.82% | 5.82% | 5.78% ||
| MBONO 8.00 06/11/2020 ==> 5.32% | 5.89% | 5.89% | 5.88% ||
| MBONO 6.50 06/10/2021 ==> 5.62% | 6.03% | 6.03% | 6.01% ||
| MBONO 6.50 06/09/2022 ==> 5.85% | 6.11% | 6.11% | 6.10% ||
| MBONO 8.00 12/07/2023 ==> 6.06% | 6.20% | 6.20% | 6.19% ||
| MBONO 10.00 12/05/2024 ==> 6.11% | 6.22% | 6.22% | 6.25% ||
| MBONO 7.50 06/03/2027 ==> 6.38% | 6.38% | 6.38% | 6.42% ||
| MBONO 8.50 05/31/2029 ==> 6.49% | 6.45% | 6.45% | 6.53% ||
| MBONO 7.75 05/29/2031 ==> 6.62% | 6.52% | 6.52% | 6.62% ||
| MBONO 7.75 11/23/2034 ==> 6.74% | 6.56% | 6.56% | 6.65% ||
| MBONO 10.00 11/20/2036 ==> 6.76% | 6.56% | 6.56% | 6.67% ||
| MBONO 8.50 11/18/2038 ==> 6.84% | 6.61% | 6.61% | 6.72% ||
| MBONO 7.75 11/13/2042 ==> 6.85% | 6.63% | 6.63% | 6.73% ||
|---------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:36:20 EST 2020
| Setup Time => Mon Jan 27 00:36:20 EST 2020
| Finish Time => Mon Jan 27 00:36:20 EST 2020
| Setup Duration => 1 ms
| Run Duration => 141 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 00:36:20 EST 2020
| Setup Time => Mon Jan 27 00:36:20 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Base: ASW: 312
Base: Bond Basis: 221
Base: Convexity: .04
Base: Credit Basis: ?
Base: Discount Margin: 237
Base: G Spread: 238
Base: I Spread: 223
Base: Macaulay Duration: 1.64
Base: Modified Duration: 1.61
Base: OAS: 238
Base: PECS: ?
Base: Price: 110.250
Base: TSY Spread: 238
Base: Workout Date: 01-APR-2015
Base: Workout Factor: 1.0
Base: Workout Type: 3
Base: Workout Yield: 2.709
Base: Yield01: 1.81
Base: Yield Basis: 221
Base: Yield Spread: 221
Base: Z Spread: 220
Bumped: ASW: 311
Bumped: Bond Basis: 220
Bumped: Convexity: .04
Bumped: Credit Basis: ?
Bumped: Discount Margin: 236
Bumped: G Spread: 238
Bumped: I Spread: 222
Bumped: Macaulay Duration: 1.64
Bumped: Modified Duration: 1.61
Bumped: OAS: 238
Bumped: PECS: ?
Bumped: Price: 110.250
Bumped: TSY Spread: 238
Bumped: Workout Date: 01-APR-2015
Bumped: Workout Factor: 1.0
Bumped: Workout Type: 3
Bumped: Workout Yield: 2.709
Bumped: Yield01: 1.81
Bumped: Yield Basis: 220
Bumped: Yield Spread: 220
Bumped: Z Spread: 219
|-----------------------------------------------------------------|
| 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 00:36:20 EST 2020
| Setup Time => Mon Jan 27 00:36:20 EST 2020
| Finish Time => Mon Jan 27 00:36:21 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 68 ms
|-----------------------------------------------------------------|