|-----------------------------------------------------------------|
| 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Price In : 1.00717
Yield Out : 0.016911611499396448
Price Out : 1.0071700058401771
||--------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2016/06/12 => 2016/08/24 | 2016/08/24 | ? | USD | ? | 0.600% | 0.2028 | 0.001217 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/08/24 => 2016/11/24 | 2016/11/25 | ? | USD | ? | 0.600% | 0.2556 | 0.001533 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/11/24 => 2017/02/24 | 2017/02/24 | ? | USD | ? | 0.600% | 0.2556 | 0.001533 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/02/24 => 2017/05/24 | 2017/05/24 | ? | USD | ? | 0.600% | 0.2472 | 0.001483 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/05/24 => 2017/08/24 | 2017/08/24 | ? | USD | ? | 0.600% | 0.2556 | 0.001533 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/08/24 => 2017/11/24 | 2017/11/24 | ? | USD | ? | 1.917% | 0.2556 | 0.004900 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/11/24 => 2018/02/24 | 2018/02/26 | ? | USD | ? | 2.004% | 0.2556 | 0.005121 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/02/24 => 2018/05/24 | 2018/05/24 | ? | USD | ? | 2.066% | 0.2472 | 0.005108 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/05/24 => 2018/08/24 | 2018/08/24 | ? | USD | ? | 2.113% | 0.2556 | 0.005400 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/08/24 => 2018/11/24 | 2018/11/26 | ? | USD | ? | 2.161% | 0.2556 | 0.005522 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/11/24 => 2019/02/24 | 2019/02/25 | ? | USD | ? | 2.236% | 0.2556 | 0.005714 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/02/24 => 2019/05/24 | 2019/05/24 | ? | USD | ? | 2.252% | 0.2472 | 0.005567 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/06/12 => 2019/05/24 | 2019/05/24 | ? | USD | ? | 0.000% | 0.0000 | 0.000000 | 1.0000 | 1.0000 | 100.00% ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Finish Time => Mon Jan 27 00:45:20 EST 2020
| Setup Duration => 0 ms
| Run Duration => 96 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 07-APR-2020
Next Call Date : 07-APR-2020 | 1.0
Maturity Date : 07-APR-2020 | 1.0
yield to call => 0.06664469569371276
z_spread => 0.051255788541353625
market value => 3.6E8
oad mult => 0.6001617614808493
libor duration => 2.5179435602300514E-4
convexity => 7.438302674010278E-8
modified convexity => 7.438302674010278E-8
effective duration => 2.470735205809038E-4
yield to worst => 0.06664469569371276
tsy oas => 0.051255788541353625
macaulay duration => 2.5098013232951213
mod dur to worst => 2.476635653201331E-4
price => 1.0
ytm fwdcpn => 0.06664469569371276
discount margin => 0.053897999658635974
cv01 => 1.4865295527610733E-4
effective duration adj => 1.4828407932711009E-4
yield to maturity => 0.06664469569371276
oas => 0.049242334400418496
wal_adj => 2.577544642984319
mod dur => 2.476635653201331E-4
wal => 2.7416666666666667
z_vol_oas => 0.049242334400418496
n-spread => 0.048781695693712754
yield to put => 0.06664469569371276
treasury duration => 2.470735206175689E-4
wal4 => 2.7416666666666667
accrued$ => 6403199.999999998
wal3 => 1.6094478216818644
i-spread => 0.04914020490179283
j-spread => 0.05445469569371276
wal2 => 2.5441040649366857
wal to worst => 2.7416666666666667
nominal yield => 0.06664469569371276
spread dur => 0.024627540493750155
funding duration => 2.4771013188030767E-4
accrued => 0.017786666666666662
e-spread => 0.05070203204785874
accrued interest factor => 0.017786666666666662
spread dur $ => 8865914.577750055
dv01 => 2.470735205809038E-4
yield to maturity cbe => 0.06664469569371276
funding kprd::fixfloat::05y => 1.478381980661303E-5
funding kprd::fixfloat::15y => 1.3605300219765581E-10
funding kprd::fixfloat::03y => 2.2932147635859045E-4
funding kprd::fixfloat::25y => 7.129924428639356E-12
funding kprd::fixfloat::09y => 1.2859891310723625E-7
funding kprd::fixfloat::07y => 1.4360291149317916E-6
funding kprd::deposit::pll => 5.191007054372587E-7
funding kprd::fixfloat::11y => 1.0475517842056803E-8
funding kprd::bump => 2.4771013188030767E-4
funding kprd::fixfloat::06y => -4.676190830771309E-6
funding kprd::deposit::2d => 5.191007054372587E-7
funding kprd::fixfloat::04y => -4.480421330597672E-5
funding kprd::fixfloat::pll => 2.4273048214576431E-4
funding kprd::fixfloat::08y => -4.3389295537599184E-7
funding kprd::fixfloat::20y => -2.3918050873206197E-11
funding kprd::fixfloat::30y => -1.6847023776023207E-12
funding kprd::fixfloat::40y => 1.9702572906510342E-13
funding kprd::fixfloat::50y => -3.4267033655055454E-14
funding kprd::fixfloat::02y => 4.700380091436918E-5
funding kprd::fixfloat::12y => -2.232957529990642E-9
funding kprd::fixfloat::10y => -3.751620152869783E-8
funding kprd::futures::0 => 3.214062746464963E-6
funding kprd::futures::p => 4.459543485030304E-6
funding kprd::futures::1 => 1.0085914204926994E-7
funding kprd::futures::2 => 7.80198293354184E-7
funding kprd::futures::3 => 4.697269027353901E-7
funding kprd::futures::4 => -2.5488111948801516E-8
funding kprd::futures::5 => -7.981608473039969E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.478381980661303E-5
funding krd::fixfloat::15y => 1.3605300219765581E-10
funding krd::fixfloat::03y => 2.2932147635859045E-4
funding krd::fixfloat::25y => 7.129924428639356E-12
funding krd::fixfloat::09y => 1.2859891310723625E-7
funding krd::fixfloat::07y => 1.4360291149317916E-6
funding krd::deposit::pll => 5.191007054372587E-7
funding krd::fixfloat::11y => 1.0475517842056803E-8
funding krd::bump => 2.4771013188030767E-4
funding krd::fixfloat::06y => -4.676190830771309E-6
funding krd::deposit::2d => 5.191007054372587E-7
funding krd::fixfloat::04y => -4.480421330597672E-5
funding krd::fixfloat::pll => 2.4273048214576431E-4
funding krd::fixfloat::08y => -4.3389295537599184E-7
funding krd::fixfloat::20y => -2.3918050873206197E-11
funding krd::fixfloat::30y => -1.6847023776023207E-12
funding krd::fixfloat::40y => 1.9702572906510342E-13
funding krd::fixfloat::50y => -3.4267033655055454E-14
funding krd::fixfloat::02y => 4.700380091436918E-5
funding krd::fixfloat::12y => -2.232957529990642E-9
funding krd::fixfloat::10y => -3.751620152869783E-8
funding krd::futures::0 => 3.214062746464963E-6
funding krd::futures::p => 4.459543485030304E-6
funding krd::futures::1 => 1.0085914204926994E-7
funding krd::futures::2 => 7.80198293354184E-7
funding krd::futures::3 => 4.697269027353901E-7
funding krd::futures::4 => -2.5488111948801516E-8
funding krd::futures::5 => -7.981608473039969E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.3858816950939055E-5
libor krd::tenor::2 => 2.3926839400795207E-5
libor krd::tenor::1 => 4.225852783976691E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.496857445941306E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.8342504052969452E-5
libor krd::tenor::6 => 2.2382394436626373E-5
libor krd::tenor::5 => 2.281978729323786E-5
libor krd::tenor::4 => 2.3656031488078487E-5
libor krd::bump => 2.5179435602300514E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 6.399789666764467E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 6.345560872884626E-5
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 2.470735206175689E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 1.8361688051832803E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3858816950939055E-5
libor kprd::tenor::2 => 2.3926839400795207E-5
libor kprd::tenor::1 => 4.225852783976691E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.496857445941306E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.8342504052969452E-5
libor kprd::tenor::6 => 2.2382394436626373E-5
libor kprd::tenor::5 => 2.281978729323786E-5
libor kprd::tenor::4 => 2.3656031488078487E-5
libor kprd::bump => 2.5179435602300514E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 6.399789666764467E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 6.345560872884626E-5
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 2.470735206175689E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 1.8361688051832803E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Finish Time => Mon Jan 27 00:45:29 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 213 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 00:45:29 EST 2020
| Setup Time => Mon Jan 27 00:45:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-APR-2020
Next Call Date : 15-APR-2020 | 1.0
Maturity Date : 15-APR-2020 | 1.0
yield to call => 0.027999472001193123
z_spread => 0.012882423290615234
market value => 1.04245
oad mult => 0.6140660857497083
libor duration => 2.5028813996168166E-4
convexity => 7.52581845993051E-8
modified convexity => 7.52581845993051E-8
effective duration => 2.459566614380606E-4
yield to worst => 0.027999472001193123
tsy oas => 0.012882423290615234
macaulay duration => 2.4525167781715376
mod dur to worst => 2.461052094407706E-4
price => 1.04245
ytm fwdcpn => 0.027999472001193123
discount margin => 0.014869333720124441
cv01 => 1.578251587432966E-4
effective duration adj => 1.510336443533361E-4
yield to maturity => 0.027999472001193123
oas => 0.01076583394743851
wal_adj => 2.498559530235598
mod dur => 2.461052094407706E-4
wal => 2.6083333333333334
z_vol_oas => 0.01076583394743851
n-spread => 0.010136472001193123
yield to put => 0.027999472001193123
treasury duration => 2.4595666108944987E-4
wal4 => 2.6083333333333334
accrued$ => 0.01824999999999997
wal3 => 1.5460330138445155
i-spread => 0.0106902735454245
j-spread => 0.015809472001193123
wal2 => 2.4938187885707075
wal to worst => 2.6083333333333334
nominal yield => 0.044982524588804335
spread dur => 0.024519329024126246
funding duration => 2.4614579265335156E-4
accrued => 0.01824999999999997
e-spread => 0.0117484924510209
accrued interest factor => 0.01824999999999997
spread dur $ => 0.024519329024126246
dv01 => 2.563975217161063E-4
yield to maturity cbe => 0.027999472001193123
funding kprd::fixfloat::05y => 1.727648769957457E-5
funding kprd::fixfloat::15y => 1.5905559092033171E-10
funding kprd::fixfloat::03y => 2.070333737101304E-4
funding kprd::fixfloat::25y => 8.335698797878877E-12
funding kprd::fixfloat::09y => 1.5031780455920796E-7
funding kprd::fixfloat::07y => 1.6783320599011997E-6
funding kprd::deposit::pll => 5.449046644734334E-7
funding kprd::fixfloat::11y => 1.2245534658505975E-8
funding kprd::bump => 2.438312462152259E-4
funding kprd::fixfloat::06y => -5.4649967316522385E-6
funding kprd::deposit::2d => 5.449046644734334E-7
funding kprd::fixfloat::04y => -5.235383977788555E-5
funding kprd::fixfloat::pll => 2.4187343933229632E-4
funding kprd::fixfloat::08y => -5.071437560622005E-7
funding kprd::fixfloat::20y => -2.796273212979372E-11
funding kprd::fixfloat::30y => -1.969602259066505E-12
funding kprd::fixfloat::40y => 2.303379709189812E-13
funding kprd::fixfloat::50y => -4.008460230409128E-14
funding kprd::fixfloat::02y => 7.409484491480156E-5
funding kprd::fixfloat::12y => -2.6104014394512374E-9
funding kprd::fixfloat::10y => -4.3854246012386966E-8
funding kprd::futures::0 => 7.976206042925593E-7
funding kprd::futures::p => 1.4119215764607507E-6
funding kprd::futures::1 => 4.2049382177888895E-7
funding kprd::futures::2 => 3.0445674710777305E-7
funding kprd::futures::3 => 1.386896569866014E-7
funding kprd::futures::4 => -3.2493540719213954E-8
funding kprd::futures::5 => -2.168452984729896E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.7458014372440363E-5
funding krd::fixfloat::15y => 1.6072681527534987E-10
funding krd::fixfloat::03y => 2.0919796392286513E-4
funding krd::fixfloat::25y => 8.423285358369782E-12
funding krd::fixfloat::09y => 1.5189721565548183E-7
funding krd::fixfloat::07y => 1.695966540541034E-6
funding krd::deposit::pll => 5.502566135325388E-7
funding krd::fixfloat::11y => 1.237420027295961E-8
funding krd::bump => 2.4614579265335156E-4
funding krd::fixfloat::06y => -5.5224182391170655E-6
funding krd::deposit::2d => 5.502566135325388E-7
funding krd::fixfloat::04y => -5.2903928207049916E-5
funding krd::fixfloat::pll => 2.442795168154621E-4
funding krd::fixfloat::08y => -5.124723893736218E-7
funding krd::fixfloat::20y => -2.825653653109074E-11
funding krd::fixfloat::30y => -1.9902966937689985E-12
funding krd::fixfloat::40y => 2.3275331278881946E-13
funding krd::fixfloat::50y => -4.050777758321054E-14
funding krd::fixfloat::02y => 7.474878397008205E-5
funding krd::fixfloat::12y => -2.637829307257512E-9
funding krd::fixfloat::10y => -4.431502897278061E-8
funding krd::futures::0 => 7.586681663782863E-7
funding krd::futures::p => 1.315014219153006E-6
funding krd::futures::1 => 3.966920117252897E-7
funding krd::futures::2 => 2.8788697219520625E-7
funding krd::futures::3 => 1.2709815780930346E-7
funding krd::futures::4 => -3.711571382040629E-8
funding krd::futures::5 => -2.182149550402113E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.483579969503912E-5
libor krd::tenor::2 => 2.465145409054178E-5
libor krd::tenor::1 => 2.7070396371261337E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.598939424814937E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.505828754177015E-5
libor krd::tenor::6 => 2.358322469926759E-5
libor krd::tenor::5 => 2.402425258580477E-5
libor krd::tenor::4 => 2.464921923140778E-5
libor krd::bump => 2.5028813996168166E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 5.585427256281951E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 9.585899011831378E-5
govvie kprd::bump => 2.4364303767231976E-4
govvie kprd::tsy::06-sep-2020 => 1.4778282966225188E-4
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.461443918838624E-5
libor kprd::tenor::2 => 2.4442995794776712E-5
libor kprd::tenor::1 => 2.6850336058170667E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.556379488513841E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.460903808564121E-5
libor kprd::tenor::6 => 2.335498716372064E-5
libor kprd::tenor::5 => 2.3795988430164172E-5
libor kprd::tenor::4 => 2.4423675463580708E-5
libor kprd::bump => 2.47933892676222E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 5.5285494439383245E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 9.676925291997344E-5
govvie krd::bump => 2.4595666108944987E-4
govvie krd::tsy::06-sep-2020 => 1.491861574150028E-4
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:45:29 EST 2020
| Setup Time => Mon Jan 27 00:45:29 EST 2020
| Finish Time => Mon Jan 27 00:45:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 11 s 151 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 00:45:40 EST 2020
| Setup Time => Mon Jan 27 00:45:40 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-APR-2024
Next Call Date : 01-APR-2024 | 1.0
Maturity Date : 01-APR-2024 | 1.0
yield to call => 0.04032003317927574
z_spread => 0.0188884873518058
market value => 1.04677
oad mult => 0.5979575726831549
libor duration => 5.713885054486505E-4
convexity => 3.6342869694230303E-7
modified convexity => 3.6342869694230303E-7
effective duration => 5.615070726208909E-4
yield to worst => 0.04032003317927574
tsy oas => 0.0188884873518058
macaulay duration => 5.616053841958715
mod dur to worst => 5.644899434758979E-4
price => 1.04677
ytm fwdcpn => 0.04032003317927574
discount margin => 0.027189894898207057
cv01 => 3.534977049381993E-4
effective duration adj => 3.3575740618881187E-4
yield to maturity => 0.04032003317927574
oas => 0.019173991704898228
wal_adj => 5.877399562166104
mod dur => 5.644899434758979E-4
wal => 6.569444444444445
z_vol_oas => 0.019173991704898228
n-spread => 0.01866003317927574
yield to put => 0.04032003317927574
treasury duration => 5.615070726202862E-4
wal4 => 6.569444444444445
accrued$ => 0.021555555555555647
wal3 => 3.532446558609349
i-spread => 0.018977537442680742
j-spread => 0.02813003317927574
wal2 => 5.752500790610626
wal to worst => 6.569444444444445
nominal yield => 0.048493743300058983
spread dur => 0.05572139254438266
funding duration => 5.646511020083061E-4
accrued => 0.021555555555555647
e-spread => 0.024049397498811707
accrued interest factor => 0.021555555555555647
spread dur $ => 0.05572139254438266
dv01 => 5.877687584073699E-4
yield to maturity cbe => 0.04032003317927574
funding kprd::fixfloat::05y => -3.5532349045780395E-5
funding kprd::fixfloat::15y => 2.5866808311958424E-8
funding kprd::fixfloat::03y => 3.6203417615843224E-6
funding kprd::fixfloat::25y => 1.3556133993120056E-9
funding kprd::fixfloat::09y => 2.4445805383938035E-5
funding kprd::fixfloat::07y => 3.700557769277524E-4
funding kprd::deposit::pll => 5.360125618580902E-7
funding kprd::fixfloat::11y => 1.9914604351189968E-6
funding kprd::bump => 5.600707150354101E-4
funding kprd::fixfloat::06y => 2.558745938438134E-4
funding kprd::deposit::2d => 5.360125618580902E-7
funding kprd::fixfloat::04y => 1.9803755646896624E-5
funding kprd::fixfloat::pll => 5.585769988545486E-4
funding kprd::fixfloat::08y => -8.247551574055989E-5
funding kprd::fixfloat::20y => -4.547511200936327E-9
funding kprd::fixfloat::30y => -3.2031221008921306E-10
funding kprd::fixfloat::40y => 3.745852517056392E-11
funding kprd::fixfloat::50y => -6.5189798004183785E-12
funding kprd::fixfloat::02y => 8.313405748094916E-6
funding kprd::fixfloat::12y => -4.24523004238786E-7
funding kprd::fixfloat::10y => -7.1319055287122344E-6
funding kprd::futures::0 => 6.666230709717613E-7
funding kprd::futures::p => 9.549109220463591E-7
funding kprd::futures::1 => 3.9603414361266685E-7
funding kprd::futures::2 => 1.8082519477879978E-7
funding kprd::futures::3 => 1.0809655041077448E-7
funding kprd::futures::4 => -1.5617550022106741E-7
funding kprd::futures::5 => -2.4049129059289244E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -3.6160825001054254E-5
funding krd::fixfloat::15y => 2.6150279191165495E-8
funding krd::fixfloat::03y => 3.3579937596129823E-6
funding krd::fixfloat::25y => 1.3704693848918997E-9
funding krd::fixfloat::09y => 2.471370377167715E-5
funding krd::fixfloat::07y => 3.7410830733328583E-4
funding krd::deposit::pll => 5.393127450506961E-7
funding krd::fixfloat::11y => 2.0132845826945035E-6
funding krd::bump => 5.646511020083061E-4
funding krd::fixfloat::06y => 2.585740004424252E-4
funding krd::deposit::2d => 5.393127450506961E-7
funding krd::fixfloat::04y => 1.9674529396148973E-5
funding krd::fixfloat::pll => 5.633105929432671E-4
funding krd::fixfloat::08y => -8.337935235128135E-5
funding krd::fixfloat::20y => -4.597346754608027E-9
funding krd::fixfloat::30y => -3.2382246080059836E-10
funding krd::fixfloat::40y => 3.786902358958829E-11
funding krd::fixfloat::50y => -6.59041993024226E-12
funding krd::fixfloat::02y => 8.011521896290902E-6
funding krd::fixfloat::12y => -4.2917529468734025E-7
funding krd::fixfloat::10y => -7.210063112577357E-6
funding krd::futures::0 => 6.070725985673903E-7
funding krd::futures::p => 7.983656059461626E-7
funding krd::futures::1 => 3.5365756163009574E-7
funding krd::futures::2 => 1.5448090342893982E-7
funding krd::futures::3 => 8.538005040623587E-8
funding krd::futures::4 => -1.6075481719991604E-7
funding krd::futures::5 => -2.414693489503606E-7
funding krd::base => 0.0
libor krd::tenor::10 => 8.171131599897433E-5
libor krd::tenor::3 => 2.4645956303711877E-5
libor krd::tenor::2 => 2.457372256308443E-5
libor krd::tenor::1 => 2.6912180631560557E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.58987301024122E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.464936755469042E-5
libor krd::tenor::6 => 2.343992280663445E-5
libor krd::tenor::5 => 2.3804158104147773E-5
libor krd::tenor::4 => 2.453484608464626E-5
libor krd::bump => 5.713885054486505E-4
libor krd::tenor::9 => 8.571849152695717E-5
libor krd::tenor::8 => 9.015237576651732E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 7.788148292206517E-5
libor krd::tenor::12 => 4.2788410776991053E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 5.56971339630058E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 1.2038142895028913E-4
govvie kprd::tsy::06-sep-2024 => 4.365809777988172E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 8.089297798882789E-5
libor kprd::tenor::3 => 2.4524764878475214E-5
libor kprd::tenor::2 => 2.447242653773052E-5
libor kprd::tenor::1 => 2.6807968209213717E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.57267755246782E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.434718711689989E-5
libor kprd::tenor::6 => 2.32989968685815E-5
libor kprd::tenor::5 => 2.3664926419875166E-5
libor kprd::tenor::4 => 2.440967562554186E-5
libor kprd::bump => 5.667592887229345E-4
libor kprd::tenor::9 => 8.493856267854371E-5
libor kprd::tenor::8 => 8.944417734304543E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 7.705689028542629E-5
libor kprd::tenor::12 => 4.232649443730585E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 5.615070726202862E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 1.2136172732491173E-4
govvie krd::tsy::06-sep-2024 => 4.4013625144396454E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:45:40 EST 2020
| Setup Time => Mon Jan 27 00:45:40 EST 2020
| Finish Time => Mon Jan 27 00:45:56 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 s 497 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 00:45:56 EST 2020
| Setup Time => Mon Jan 27 00:45:56 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Price In : 1.0
Yield Out : 0.029920292700103008
Price Out : 1.0000000000000926
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2015/09/18 => 2016/01/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2917 | 0.0023 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/01/01 => 2016/04/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2528 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/04/01 => 2016/07/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2528 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/07/01 => 2016/10/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2556 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/10/01 => 2017/01/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2556 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/01/01 => 2017/04/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2500 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/04/01 => 2017/07/01 | ? | USD | USD-LIBOR-3M | 0.80% | 0.2528 | 0.0020 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/07/01 => 2017/10/01 | ? | USD | USD-LIBOR-3M | 1.91% | 0.2556 | 0.0049 | 0.0000 | 0.9970 | 1.0000 | 100% ||
|| 2017/10/01 => 2018/01/01 | ? | USD | USD-LIBOR-3M | 2.17% | 0.2556 | 0.0055 | 0.0000 | 0.9936 | 1.0000 | 100% ||
|| 2018/01/01 => 2018/04/01 | ? | USD | USD-LIBOR-3M | 2.29% | 0.2500 | 0.0057 | 0.0000 | 0.9899 | 1.0000 | 100% ||
|| 2018/04/01 => 2018/07/01 | ? | USD | USD-LIBOR-3M | 2.39% | 0.2528 | 0.0060 | 0.0000 | 0.9859 | 1.0000 | 100% ||
|| 2018/07/01 => 2018/10/01 | ? | USD | USD-LIBOR-3M | 2.47% | 0.2556 | 0.0063 | 0.0000 | 0.9817 | 1.0000 | 100% ||
|| 2018/10/01 => 2019/01/01 | ? | USD | USD-LIBOR-3M | 2.56% | 0.2556 | 0.0066 | 0.0000 | 0.9773 | 1.0000 | 100% ||
|| 2019/01/01 => 2019/04/01 | ? | USD | USD-LIBOR-3M | 2.67% | 0.2500 | 0.0067 | 0.0000 | 0.9728 | 1.0000 | 100% ||
|| 2019/04/01 => 2019/07/01 | ? | USD | USD-LIBOR-3M | 2.63% | 0.2528 | 0.0066 | 0.0000 | 0.9683 | 1.0000 | 100% ||
|| 2019/07/01 => 2019/10/01 | ? | USD | USD-LIBOR-3M | 2.73% | 0.2556 | 0.0070 | 0.0000 | 0.9636 | 1.0000 | 100% ||
|| 2019/10/01 => 2020/01/01 | ? | USD | USD-LIBOR-3M | 2.81% | 0.2556 | 0.0072 | 0.0000 | 0.9586 | 1.0000 | 100% ||
|| 2020/01/01 => 2020/04/01 | ? | USD | USD-LIBOR-3M | 2.88% | 0.2528 | 0.0073 | 0.0000 | 0.9536 | 1.0000 | 100% ||
|| 2020/04/01 => 2020/07/01 | ? | USD | USD-LIBOR-3M | 2.93% | 0.2528 | 0.0074 | 0.0000 | 0.9485 | 1.0000 | 100% ||
|| 2020/07/01 => 2020/10/01 | ? | USD | USD-LIBOR-3M | 2.97% | 0.2556 | 0.0076 | 0.0000 | 0.9433 | 1.0000 | 100% ||
|| 2020/10/01 => 2021/01/01 | ? | USD | USD-LIBOR-3M | 3.01% | 0.2556 | 0.0077 | 0.0000 | 0.9380 | 1.0000 | 100% ||
|| 2021/01/01 => 2021/04/01 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2500 | 0.0076 | 0.0000 | 0.9327 | 1.0000 | 100% ||
|| 2021/04/01 => 2021/07/01 | ? | USD | USD-LIBOR-3M | 3.08% | 0.2528 | 0.0078 | 0.0000 | 0.9274 | 1.0000 | 100% ||
|| 2021/07/01 => 2021/10/01 | ? | USD | USD-LIBOR-3M | 3.13% | 0.2556 | 0.0080 | 0.0000 | 0.9219 | 1.0000 | 100% ||
|| 2021/10/01 => 2022/01/01 | ? | USD | USD-LIBOR-3M | 3.17% | 0.2556 | 0.0081 | 0.0000 | 0.9164 | 1.0000 | 100% ||
|| 2022/01/01 => 2022/04/01 | ? | USD | USD-LIBOR-3M | 3.20% | 0.2500 | 0.0080 | 0.0000 | 0.9109 | 1.0000 | 100% ||
|| 2022/04/01 => 2022/07/01 | ? | USD | USD-LIBOR-3M | 3.24% | 0.2528 | 0.0082 | 0.0000 | 0.9053 | 1.0000 | 100% ||
|| 2022/07/01 => 2022/10/01 | ? | USD | USD-LIBOR-3M | 3.27% | 0.2556 | 0.0084 | 0.0000 | 0.8996 | 1.0000 | 100% ||
|| 2022/10/01 => 2023/01/01 | ? | USD | USD-LIBOR-3M | 3.30% | 0.2556 | 0.0084 | 0.0000 | 0.8939 | 1.0000 | 100% ||
|| 2023/01/01 => 2023/04/01 | ? | USD | USD-LIBOR-3M | 3.32% | 0.2500 | 0.0083 | 0.0000 | 0.8883 | 1.0000 | 100% ||
|| 2023/04/01 => 2023/07/01 | ? | USD | USD-LIBOR-3M | 3.35% | 0.2528 | 0.0085 | 0.0000 | 0.8826 | 1.0000 | 100% ||
|| 2023/07/01 => 2023/10/01 | ? | USD | USD-LIBOR-3M | 3.37% | 0.2556 | 0.0086 | 0.0000 | 0.8769 | 1.0000 | 100% ||
|| 2023/10/01 => 2024/01/01 | ? | USD | USD-LIBOR-3M | 3.40% | 0.2556 | 0.0087 | 0.0000 | 0.8711 | 1.0000 | 100% ||
|| 2024/01/01 => 2024/04/01 | ? | USD | USD-LIBOR-3M | 3.42% | 0.2528 | 0.0086 | 0.0000 | 0.8654 | 1.0000 | 100% ||
|| 2024/04/01 => 2024/07/01 | ? | USD | USD-LIBOR-3M | 3.44% | 0.2528 | 0.0087 | 0.0000 | 0.8596 | 1.0000 | 100% ||
|| 2024/07/01 => 2024/10/01 | ? | USD | USD-LIBOR-3M | 3.45% | 0.2556 | 0.0088 | 0.0000 | 0.8538 | 1.0000 | 100% ||
|| 2024/10/01 => 2025/01/01 | ? | USD | USD-LIBOR-3M | 3.47% | 0.2556 | 0.0089 | 0.0000 | 0.8481 | 1.0000 | 100% ||
|| 2025/01/01 => 2025/04/01 | ? | USD | USD-LIBOR-3M | 3.49% | 0.2500 | 0.0087 | 0.0000 | 0.8424 | 1.0000 | 100% ||
|| 2025/04/01 => 2025/07/01 | ? | USD | USD-LIBOR-3M | 3.51% | 0.2528 | 0.0089 | 0.0000 | 0.8367 | 1.0000 | 100% ||
|| 2025/07/01 => 2025/10/01 | ? | USD | USD-LIBOR-3M | 3.53% | 0.2556 | 0.0090 | 0.0000 | 0.8308 | 1.0000 | 100% ||
|| 2015/09/18 => 2025/10/01 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8308 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:45:56 EST 2020
| Setup Time => Mon Jan 27 00:45:56 EST 2020
| Finish Time => Mon Jan 27 00:45:56 EST 2020
| Setup Duration => 1 ms
| Run Duration => 104 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 00:45:56 EST 2020
| Setup Time => Mon Jan 27 00:45:56 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-FEB-2019
Next Call Date : 15-FEB-2019 | 1.0
Maturity Date : 15-FEB-2019 | 1.0
yield to call => 0.021206428092343015
z_spread => 0.00825303071583989
market value => 1.09185
oad mult => 0.6308249949679245
libor duration => 1.4019703583308062E-4
convexity => 2.6255979819661425E-8
modified convexity => 2.6255979819661425E-8
effective duration => 1.3752410412148295E-4
yield to worst => 0.021206428092343015
tsy oas => 0.00825303071583989
macaulay duration => 1.3834438835273948
mod dur to worst => 1.4016672260835943E-4
price => 1.09185
ytm fwdcpn => 0.021206428092343015
discount margin => 0.008076289811274333
cv01 => 9.484846877194641E-5
effective duration adj => 8.675364229040282E-5
yield to maturity => 0.021206428092343015
oas => 0.005104765843404785
wal_adj => 1.388823634248348
mod dur => 1.4016672260835943E-4
wal => 1.4416666666666667
z_vol_oas => 0.005104765843404785
n-spread => 0.004796428092343014
yield to put => 0.021206428092343015
treasury duration => 1.3752410415178952E-4
wal4 => 1.4416666666666667
accrued$ => 0.006229166666666678
wal3 => 0.961897880539499
i-spread => 0.004796428092343014
j-spread => 0.009016428092343015
wal2 => 1.38827830996308
wal to worst => 1.4416666666666667
nominal yield => 0.08617984260153994
spread dur => 0.013725828524781068
funding duration => 1.401790073864755E-4
accrued => 0.006229166666666678
e-spread => 0.005104765843404785
accrued interest factor => 0.006229166666666678
spread dur $ => 0.013725828524781068
dv01 => 1.5015569308504117E-4
yield to maturity cbe => 0.021206428092343015
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 1.3558217284311835E-4
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 2.7700980184663936E-5
funding kprd::futures::p => 1.3558217284311835E-4
funding kprd::futures::1 => 2.2899458278013986E-5
funding kprd::futures::2 => 2.4072244667505683E-5
funding kprd::futures::3 => 2.278094515260065E-5
funding kprd::futures::4 => 2.4491522329617153E-5
funding kprd::futures::5 => 1.3636781685877342E-5
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.401790073864755E-4
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 2.8576519286769142E-5
funding krd::futures::p => 1.401790073864755E-4
funding krd::futures::1 => 2.3642539709176498E-5
funding krd::futures::2 => 2.490138630281053E-5
funding krd::futures::3 => 2.3569036422832175E-5
funding krd::futures::4 => 2.5367525292938053E-5
funding krd::futures::5 => 1.4121729806774737E-5
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4513042771924302E-5
libor krd::tenor::2 => 2.4656732106110922E-5
libor krd::tenor::1 => 2.718653599969466E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.54883697989886E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 1.5845864495782084E-5
libor krd::tenor::5 => 2.32634304292875E-5
libor krd::tenor::4 => 2.4176355536399705E-5
libor krd::bump => 1.4019703583308062E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 7.397778562188151E-5
govvie kprd::tsy::06-sep-2019 => 5.903644059329083E-5
govvie kprd::bump => 1.3301450648190994E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3700531856946095E-5
libor kprd::tenor::2 => 2.388086752517782E-5
libor kprd::tenor::1 => 2.635088269677399E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.378278200629527E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 1.5300920429223154E-5
libor kprd::tenor::5 => 2.246339394345598E-5
libor kprd::tenor::4 => 2.3365141904685414E-5
libor kprd::bump => 1.3559973233777666E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 7.648584833658312E-5
govvie krd::tsy::06-sep-2019 => 6.103794683656958E-5
govvie krd::bump => 1.3752410415178952E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:45:56 EST 2020
| Setup Time => Mon Jan 27 00:45:56 EST 2020
| Finish Time => Mon Jan 27 00:46:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 882 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 00:46:06 EST 2020
| Setup Time => Mon Jan 27 00:46:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 07-APR-2020
Next Call Date : 07-APR-2020 | 1.0
Maturity Date : 07-APR-2020 | 1.0
yield to call => 0.06664469569371276
z_spread => 0.051255788541353625
market value => 3.6E8
oad mult => 0.6001617614808493
libor duration => 2.5179435602300514E-4
convexity => 7.438302674010278E-8
modified convexity => 7.438302674010278E-8
effective duration => 2.470735205809038E-4
yield to worst => 0.06664469569371276
tsy oas => 0.051255788541353625
macaulay duration => 2.5098013232951213
mod dur to worst => 2.476635653201331E-4
price => 1.0
ytm fwdcpn => 0.06664469569371276
discount margin => 0.053897999658635974
cv01 => 1.4865295527610733E-4
effective duration adj => 1.4828407932711009E-4
yield to maturity => 0.06664469569371276
oas => 0.049242334400418496
wal_adj => 2.577544642984319
mod dur => 2.476635653201331E-4
wal => 2.7416666666666667
z_vol_oas => 0.049242334400418496
n-spread => 0.048781695693712754
yield to put => 0.06664469569371276
treasury duration => 2.470735206175689E-4
wal4 => 2.7416666666666667
accrued$ => 6403199.999999998
wal3 => 1.6094478216818644
i-spread => 0.04914020490179283
j-spread => 0.05445469569371276
wal2 => 2.5441040649366857
wal to worst => 2.7416666666666667
nominal yield => 0.06664469569371276
spread dur => 0.024627540493750155
funding duration => 2.4771013188030767E-4
accrued => 0.017786666666666662
e-spread => 0.05070203204785874
accrued interest factor => 0.017786666666666662
spread dur $ => 8865914.577750055
dv01 => 2.470735205809038E-4
yield to maturity cbe => 0.06664469569371276
funding kprd::fixfloat::05y => 1.478381980661303E-5
funding kprd::fixfloat::15y => 1.3605300219765581E-10
funding kprd::fixfloat::03y => 2.2932147635859045E-4
funding kprd::fixfloat::25y => 7.129924428639356E-12
funding kprd::fixfloat::09y => 1.2859891310723625E-7
funding kprd::fixfloat::07y => 1.4360291149317916E-6
funding kprd::deposit::pll => 5.191007054372587E-7
funding kprd::fixfloat::11y => 1.0475517842056803E-8
funding kprd::bump => 2.4771013188030767E-4
funding kprd::fixfloat::06y => -4.676190830771309E-6
funding kprd::deposit::2d => 5.191007054372587E-7
funding kprd::fixfloat::04y => -4.480421330597672E-5
funding kprd::fixfloat::pll => 2.4273048214576431E-4
funding kprd::fixfloat::08y => -4.3389295537599184E-7
funding kprd::fixfloat::20y => -2.3918050873206197E-11
funding kprd::fixfloat::30y => -1.6847023776023207E-12
funding kprd::fixfloat::40y => 1.9702572906510342E-13
funding kprd::fixfloat::50y => -3.4267033655055454E-14
funding kprd::fixfloat::02y => 4.700380091436918E-5
funding kprd::fixfloat::12y => -2.232957529990642E-9
funding kprd::fixfloat::10y => -3.751620152869783E-8
funding kprd::futures::0 => 3.214062746464963E-6
funding kprd::futures::p => 4.459543485030304E-6
funding kprd::futures::1 => 1.0085914204926994E-7
funding kprd::futures::2 => 7.80198293354184E-7
funding kprd::futures::3 => 4.697269027353901E-7
funding kprd::futures::4 => -2.5488111948801516E-8
funding kprd::futures::5 => -7.981608473039969E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.478381980661303E-5
funding krd::fixfloat::15y => 1.3605300219765581E-10
funding krd::fixfloat::03y => 2.2932147635859045E-4
funding krd::fixfloat::25y => 7.129924428639356E-12
funding krd::fixfloat::09y => 1.2859891310723625E-7
funding krd::fixfloat::07y => 1.4360291149317916E-6
funding krd::deposit::pll => 5.191007054372587E-7
funding krd::fixfloat::11y => 1.0475517842056803E-8
funding krd::bump => 2.4771013188030767E-4
funding krd::fixfloat::06y => -4.676190830771309E-6
funding krd::deposit::2d => 5.191007054372587E-7
funding krd::fixfloat::04y => -4.480421330597672E-5
funding krd::fixfloat::pll => 2.4273048214576431E-4
funding krd::fixfloat::08y => -4.3389295537599184E-7
funding krd::fixfloat::20y => -2.3918050873206197E-11
funding krd::fixfloat::30y => -1.6847023776023207E-12
funding krd::fixfloat::40y => 1.9702572906510342E-13
funding krd::fixfloat::50y => -3.4267033655055454E-14
funding krd::fixfloat::02y => 4.700380091436918E-5
funding krd::fixfloat::12y => -2.232957529990642E-9
funding krd::fixfloat::10y => -3.751620152869783E-8
funding krd::futures::0 => 3.214062746464963E-6
funding krd::futures::p => 4.459543485030304E-6
funding krd::futures::1 => 1.0085914204926994E-7
funding krd::futures::2 => 7.80198293354184E-7
funding krd::futures::3 => 4.697269027353901E-7
funding krd::futures::4 => -2.5488111948801516E-8
funding krd::futures::5 => -7.981608473039969E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.3858816950939055E-5
libor krd::tenor::2 => 2.3926839400795207E-5
libor krd::tenor::1 => 4.225852783976691E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.496857445941306E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.8342504052969452E-5
libor krd::tenor::6 => 2.2382394436626373E-5
libor krd::tenor::5 => 2.281978729323786E-5
libor krd::tenor::4 => 2.3656031488078487E-5
libor krd::bump => 2.5179435602300514E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 6.399789666764467E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 6.345560872884626E-5
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 2.470735206175689E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 1.8361688051832803E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3858816950939055E-5
libor kprd::tenor::2 => 2.3926839400795207E-5
libor kprd::tenor::1 => 4.225852783976691E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.496857445941306E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.8342504052969452E-5
libor kprd::tenor::6 => 2.2382394436626373E-5
libor kprd::tenor::5 => 2.281978729323786E-5
libor kprd::tenor::4 => 2.3656031488078487E-5
libor kprd::bump => 2.5179435602300514E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 6.399789666764467E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 6.345560872884626E-5
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 2.470735206175689E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 1.8361688051832803E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:46:06 EST 2020
| Setup Time => Mon Jan 27 00:46:06 EST 2020
| Finish Time => Mon Jan 27 00:46:15 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 100 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 00:46:15 EST 2020
| Setup Time => Mon Jan 27 00:46:15 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Price In : 1.00717
Yield Out : 0.017658793029684195
Price Out : 1.007170004349555
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/06/14 => 2016/09/14 | ? | USD | USD-LIBOR-3M | 0.66% | 0.2556 | 0.0017 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/09/14 => 2016/12/14 | ? | USD | USD-LIBOR-3M | 0.66% | 0.2528 | 0.0017 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/12/14 => 2017/03/14 | ? | USD | USD-LIBOR-3M | 0.66% | 0.2500 | 0.0016 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/03/14 => 2017/06/14 | ? | USD | USD-LIBOR-3M | 0.66% | 0.2556 | 0.0017 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/06/14 => 2017/09/14 | ? | USD | USD-LIBOR-3M | 1.90% | 0.2556 | 0.0049 | 0.0000 | 0.9995 | 1.0000 | 100% ||
|| 2017/09/14 => 2017/12/14 | ? | USD | USD-LIBOR-3M | 1.98% | 0.2528 | 0.0050 | 0.0000 | 0.9962 | 1.0000 | 100% ||
|| 2017/12/14 => 2018/03/14 | ? | USD | USD-LIBOR-3M | 2.08% | 0.2500 | 0.0052 | 0.0000 | 0.9927 | 1.0000 | 100% ||
|| 2018/03/14 => 2018/06/14 | ? | USD | USD-LIBOR-3M | 2.13% | 0.2556 | 0.0055 | 0.0000 | 0.9889 | 1.0000 | 100% ||
|| 2018/06/14 => 2018/09/14 | ? | USD | USD-LIBOR-3M | 2.18% | 0.2556 | 0.0056 | 0.0000 | 0.9851 | 1.0000 | 100% ||
|| 2018/09/14 => 2018/12/14 | ? | USD | USD-LIBOR-3M | 2.23% | 0.2528 | 0.0056 | 0.0000 | 0.9812 | 1.0000 | 100% ||
|| 2018/12/14 => 2019/03/14 | ? | USD | USD-LIBOR-3M | 2.31% | 0.2500 | 0.0058 | 0.0000 | 0.9772 | 1.0000 | 100% ||
|| 2019/03/14 => 2019/06/14 | ? | USD | USD-LIBOR-3M | 2.30% | 0.2556 | 0.0059 | 0.0000 | 0.9731 | 1.0000 | 100% ||
|| 2016/06/14 => 2019/06/14 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9731 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:15 EST 2020
| Setup Time => Mon Jan 27 00:46:15 EST 2020
| Finish Time => Mon Jan 27 00:46:15 EST 2020
| Setup Duration => 0 ms
| Run Duration => 118 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 00:46:15 EST 2020
| Setup Time => Mon Jan 27 00:46:15 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-JUN-2021
Next Call Date : 01-JUN-2019 | 1.03813
Maturity Date : 01-JUN-2022 | 1.0
yield to call => 0.08664534176808475
z_spread => 0.054410787069465436
market value => 5.32659750525E8
oad mult => 0.5924889018708426
libor duration => 3.38875464729005E-4
convexity => 1.3433059776842295E-7
modified convexity => 1.3433059776842295E-7
effective duration => 3.3256672712962074E-4
yield to worst => 0.07186040347023266
tsy oas => 0.05344715580864659
macaulay duration => 4.151620507141901
mod dur to worst => 3.3364728301468033E-4
price => 1.014590001
ytm fwdcpn => 0.07263177213082969
discount margin => 0.05911370743515588
cv01 => 2.0060431556445657E-4
effective duration adj => 1.9704209495580914E-4
yield to maturity => 0.07263177213082969
oas => 0.05296671293508774
wal_adj => 3.5338033100464035
mcconvexity => 1.3433059776842287E-7
mod dur => 4.0509067962410904E-4
wal => 4.891666666666667
z_vol_oas => 0.05314185795221164
n-spread => 0.05283040347023266
mcoas => 0.05441078706946544
yield to put => 0.07263177213082969
treasury duration => 3.325667270788636E-4
wal4 => 4.891666666666667
accrued$ => 4114322.916666663
wal3 => 2.190381870092791
i-spread => 0.0529508200422809
j-spread => 0.05967040347023266
wal2 => 3.4281634093790183
wal to worst => 3.8916666666666666
mcduration => 3.301515755768125E-4
nominal yield => 0.0762276117409661
spread dur => 0.03310630020905101
funding duration => 3.3372403274194287E-4
accrued => 0.007836805555555548
e-spread => 0.055913649393645334
accrued interest factor => 0.007836805555555548
spread dur $ => 1.738080760975178E7
dv01 => 3.374188760110086E-4
yield to maturity cbe => 0.07263177213082969
funding kprd::fixfloat::05y => -2.8744094520527508E-5
funding kprd::fixfloat::15y => -2.645270613665929E-10
funding kprd::fixfloat::03y => 3.836179438021503E-5
funding kprd::fixfloat::25y => -1.3862694325794678E-11
funding kprd::fixfloat::09y => -2.5003410247803615E-7
funding kprd::fixfloat::07y => -2.7920628861144436E-6
funding kprd::deposit::pll => 4.997510280713158E-7
funding kprd::fixfloat::11y => -2.0367487085781733E-8
funding kprd::bump => 3.3265586444065074E-4
funding kprd::fixfloat::06y => 9.091889891149618E-6
funding kprd::deposit::2d => 4.997510280713158E-7
funding kprd::fixfloat::04y => 3.037253422618014E-4
funding kprd::fixfloat::pll => 3.254245750160756E-4
funding kprd::fixfloat::08y => 8.436154926849682E-7
funding kprd::fixfloat::20y => 4.6503728645674866E-11
funding kprd::fixfloat::30y => 3.2755631540482E-12
funding kprd::fixfloat::40y => -3.830491479561715E-13
funding kprd::fixfloat::50y => 6.669109708923316E-14
funding kprd::fixfloat::02y => 5.129474331011519E-6
funding kprd::fixfloat::12y => 4.341526088635916E-9
funding kprd::fixfloat::10y => 7.294252764022957E-8
funding kprd::futures::0 => 4.20126188950265E-6
funding kprd::futures::p => 6.730047880121326E-6
funding kprd::futures::1 => 9.076964125331876E-8
funding kprd::futures::2 => 1.5067243636590622E-6
funding kprd::futures::3 => 4.724582540249767E-7
funding kprd::futures::4 => 5.585544476882642E-7
funding kprd::futures::5 => -9.972453841045059E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -2.885920075258042E-5
funding krd::fixfloat::15y => -2.6558635916690875E-10
funding krd::fixfloat::03y => 3.8444080127527294E-5
funding krd::fixfloat::25y => -1.3918198734771364E-11
funding krd::fixfloat::09y => -2.51035369167553E-7
funding krd::fixfloat::07y => -2.8032437585146304E-6
funding krd::deposit::pll => 5.013793727908357E-7
funding krd::fixfloat::11y => -2.0449049106067417E-8
funding krd::bump => 3.3372403274194287E-4
funding krd::fixfloat::06y => 9.128298558405511E-6
funding krd::deposit::2d => 5.013793727908357E-7
funding krd::fixfloat::04y => 3.04940096334186E-4
funding krd::fixfloat::pll => 3.2657199963275553E-4
funding krd::fixfloat::08y => 8.469937683067549E-7
funding krd::fixfloat::20y => 4.668995057151638E-11
funding krd::fixfloat::30y => 3.2886769274333924E-12
funding krd::fixfloat::40y => -3.8458784716010377E-13
funding krd::fixfloat::50y => 6.695216362741407E-14
funding krd::fixfloat::02y => 5.067114194781913E-6
funding krd::fixfloat::12y => 4.358911820601353E-9
funding krd::fixfloat::10y => 7.323462749554162E-8
funding krd::futures::0 => 4.148792350906021E-6
funding krd::futures::p => 6.649153419762218E-6
funding krd::futures::1 => 9.050200383452261E-8
funding krd::futures::2 => 1.4893004618213363E-6
funding krd::futures::3 => 4.6743228971716876E-7
funding krd::futures::4 => 5.526259760428371E-7
funding krd::futures::5 => -9.950348589095703E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.395268513233398E-5
libor krd::tenor::2 => 2.356887141458968E-5
libor krd::tenor::1 => 4.222910678426984E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.43177636857351E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.8071537614864793E-5
libor krd::tenor::6 => 2.1858972922434904E-5
libor krd::tenor::5 => 2.2817100583119936E-5
libor krd::tenor::4 => 2.3203210588600985E-5
libor krd::bump => 3.38875464729005E-4
libor krd::tenor::9 => 6.926248136523881E-5
libor krd::tenor::8 => 8.336492202604142E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.315018541862558E-4
govvie kprd::tsy::10-jul-2022 => 1.480390786211372E-4
govvie kprd::tsy::10-jul-2020 => 1.8345971570251084E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3892101862282854E-5
libor kprd::tenor::2 => 2.3510721224662136E-5
libor kprd::tenor::1 => 4.214298277069317E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.420919553078552E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.797777364681453E-5
libor kprd::tenor::6 => 2.1788030402386526E-5
libor kprd::tenor::5 => 2.2749988186332447E-5
libor kprd::tenor::4 => 2.313619872834627E-5
libor kprd::bump => 3.377897148129028E-4
libor kprd::tenor::9 => 6.898871589670064E-5
libor kprd::tenor::8 => 8.305774058993131E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.325667270788636E-4
govvie krd::tsy::10-jul-2022 => 1.485146128932775E-4
govvie krd::tsy::10-jul-2020 => 1.840490300492967E-4
govvie krd::base => 0.0
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/06 => 2017/12/01 | ? | USD | NONE | 7.62% | 0.4861 | 0.0371 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/12/01 => 2018/06/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/06/01 => 2018/12/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/12/01 => 2019/06/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/06/01 => 2019/12/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/12/01 => 2020/06/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/06/01 => 2020/12/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/12/01 => 2021/06/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/06/01 => 2021/12/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/12/01 => 2022/06/01 | ? | USD | NONE | 7.62% | 0.5000 | 0.0381 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/06/06 => 2022/06/01 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 100.00% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:15 EST 2020
| Setup Time => Mon Jan 27 00:46:15 EST 2020
| Finish Time => Mon Jan 27 00:46:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 s 364 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 00:46:30 EST 2020
| Setup Time => Mon Jan 27 00:46:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-JAN-2038
Next Call Date : 01-JAN-2038 | 1.0
Maturity Date : 01-JAN-2038 | 1.0
yield to call => 0.04525611775305758
z_spread => 0.018366320351594093
market value => 0.4
oad mult => 0.13891732597496675
libor duration => 0.0020121998737549843
convexity => 4.1067058798027745E-6
modified convexity => 4.1067058798027745E-6
effective duration => 0.002002769215006809
yield to worst => 0.04525611775305758
tsy oas => 0.018366320351594093
macaulay duration => 20.474999999999998
mod dur to worst => 0.002041390835833823
price => 0.4
ytm fwdcpn => 0.04525611775305758
discount margin => 0.032509421717980796
cv01 => 1.1407613699265795E-4
effective duration adj => 2.7821934389372915E-4
yield to maturity => 0.04525611775305758
oas => 0.019157643253564383
wal_adj => 20.475
mod dur => 0.002041390835833823
wal => 20.475
z_vol_oas => 0.019157643253564383
n-spread => 0.01967511775305758
yield to put => 0.04525611775305758
treasury duration => 0.0020027692162457485
wal4 => 20.475
accrued$ => 0.0
wal3 => 0.0
i-spread => 0.019630869555472292
j-spread => 0.03306611775305758
wal2 => 20.475
wal to worst => 20.475
nominal yield => 0.04525611775305758
spread dur => 0.19616962646717626
funding duration => 0.002044109676509677
accrued => 0.0
e-spread => 0.029281124527339074
accrued interest factor => 0.0
spread dur $ => 0.19616962646717626
dv01 => 8.011076860027236E-4
yield to maturity cbe => 0.04525611775305758
funding kprd::fixfloat::05y => -1.4134209508808587E-5
funding kprd::fixfloat::15y => -4.197189223343681E-4
funding kprd::fixfloat::03y => -8.86098700424165E-6
funding kprd::fixfloat::25y => 2.7795589960676395E-4
funding kprd::fixfloat::09y => -3.0918680857333625E-5
funding kprd::fixfloat::07y => -2.0302391624638788E-5
funding kprd::deposit::pll => 5.731424699735588E-7
funding kprd::fixfloat::11y => -1.090171703992393E-4
funding kprd::bump => 0.002044109676509677
funding kprd::fixfloat::06y => -1.695518584285058E-5
funding kprd::deposit::2d => 5.731424699735588E-7
funding kprd::fixfloat::04y => -1.0947768119561746E-5
funding kprd::fixfloat::pll => 0.0020477265564551456
funding kprd::fixfloat::08y => -2.200853732017838E-5
funding kprd::fixfloat::20y => 0.0024191616001435767
funding kprd::fixfloat::30y => -6.507271087709265E-5
funding kprd::fixfloat::40y => 7.609961767893192E-6
funding kprd::fixfloat::50y => -1.3243711315148732E-6
funding kprd::fixfloat::02y => -3.8694706865662065E-6
funding kprd::fixfloat::12y => 7.631699392203137E-5
funding kprd::fixfloat::10y => -1.0701542201268371E-5
funding kprd::futures::0 => -2.2883589249761416E-6
funding kprd::futures::p => -4.1999159629511895E-6
funding kprd::futures::1 => -2.025144811811097E-7
funding kprd::futures::2 => -8.660649640120088E-7
funding kprd::futures::3 => -3.9459779923450844E-7
funding kprd::futures::4 => -3.7300536624707004E-7
funding kprd::futures::5 => -7.538340777296648E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.4134209508808587E-5
funding krd::fixfloat::15y => -4.197189223343681E-4
funding krd::fixfloat::03y => -8.86098700424165E-6
funding krd::fixfloat::25y => 2.7795589960676395E-4
funding krd::fixfloat::09y => -3.0918680857333625E-5
funding krd::fixfloat::07y => -2.0302391624638788E-5
funding krd::deposit::pll => 5.731424699735588E-7
funding krd::fixfloat::11y => -1.090171703992393E-4
funding krd::bump => 0.002044109676509677
funding krd::fixfloat::06y => -1.695518584285058E-5
funding krd::deposit::2d => 5.731424699735588E-7
funding krd::fixfloat::04y => -1.0947768119561746E-5
funding krd::fixfloat::pll => 0.0020477265564551456
funding krd::fixfloat::08y => -2.200853732017838E-5
funding krd::fixfloat::20y => 0.0024191616001435767
funding krd::fixfloat::30y => -6.507271087709265E-5
funding krd::fixfloat::40y => 7.609961767893192E-6
funding krd::fixfloat::50y => -1.3243711315148732E-6
funding krd::fixfloat::02y => -3.8694706865662065E-6
funding krd::fixfloat::12y => 7.631699392203137E-5
funding krd::fixfloat::10y => -1.0701542201268371E-5
funding krd::futures::0 => -2.2883589249761416E-6
funding krd::futures::p => -4.1999159629511895E-6
funding krd::futures::1 => -2.025144811811097E-7
funding krd::futures::2 => -8.660649640120088E-7
funding krd::futures::3 => -3.9459779923450844E-7
funding krd::futures::4 => -3.7300536624707004E-7
funding krd::futures::5 => -7.538340777296648E-8
funding krd::base => 0.0
libor krd::tenor::10 => 9.818794138157297E-5
libor krd::tenor::3 => 2.4800088207745097E-5
libor krd::tenor::2 => 2.4267300930323754E-5
libor krd::tenor::1 => 4.207642957380561E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.394961908114504E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.1520117704551126E-5
libor krd::tenor::6 => 2.4244654779872338E-5
libor krd::tenor::5 => 2.4520141782183313E-5
libor krd::tenor::4 => 2.479483996654583E-5
libor krd::bump => 0.0020121998737549843
libor krd::tenor::9 => 9.822702681770018E-5
libor krd::tenor::8 => 9.854241692783608E-5
libor krd::tenor::20 => 4.7016747340172804E-5
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 9.811407011858439E-5
libor krd::tenor::14 => 9.809691107811117E-5
libor krd::tenor::11 => 9.815706188293777E-5
libor krd::tenor::12 => 9.840181865477735E-5
libor krd::tenor::17 => 9.807928370233338E-5
libor krd::tenor::18 => 2.944521595606084E-4
libor krd::tenor::15 => 9.80891762887258E-5
libor krd::tenor::16 => 9.834066692099991E-5
libor krd::tenor::19 => 4.90542455440085E-4
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0019067474092496067
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 9.594310560967836E-5
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 0.0020027692162457485
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.818794138157297E-5
libor kprd::tenor::3 => 2.4800088207745097E-5
libor kprd::tenor::2 => 2.4267300930323754E-5
libor kprd::tenor::1 => 4.207642957380561E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.394961908114504E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.1520117704551126E-5
libor kprd::tenor::6 => 2.4244654779872338E-5
libor kprd::tenor::5 => 2.4520141782183313E-5
libor kprd::tenor::4 => 2.479483996654583E-5
libor kprd::bump => 0.0020121998737549843
libor kprd::tenor::9 => 9.822702681770018E-5
libor kprd::tenor::8 => 9.854241692783608E-5
libor kprd::tenor::20 => 4.7016747340172804E-5
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 9.811407011858439E-5
libor kprd::tenor::14 => 9.809691107811117E-5
libor kprd::tenor::11 => 9.815706188293777E-5
libor kprd::tenor::12 => 9.840181865477735E-5
libor kprd::tenor::17 => 9.807928370233338E-5
libor kprd::tenor::18 => 2.944521595606084E-4
libor kprd::tenor::15 => 9.80891762887258E-5
libor kprd::tenor::16 => 9.834066692099991E-5
libor kprd::tenor::19 => 4.90542455440085E-4
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0019067474092496067
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 9.594310560967836E-5
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 0.0020027692162457485
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:46:30 EST 2020
| Setup Time => Mon Jan 27 00:46:30 EST 2020
| Finish Time => Mon Jan 27 00:46:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 s 286 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 00:46:46 EST 2020
| Setup Time => Mon Jan 27 00:46:46 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Price In : 1.0
Yield Out : 0.018081273112168072
Price Out : 1.0000000031353065
||--------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2014/05/20 => 2014/09/01 | 2014/09/02 | ? | USD | ? | 0.300% | 0.2889 | 0.000867 | 0.0000 | 1.0000 | 100.00% ||
|| 2014/09/01 => 2014/12/01 | 2014/12/01 | ? | USD | ? | 0.300% | 0.2528 | 0.000758 | 0.0000 | 1.0000 | 100.00% ||
|| 2014/12/01 => 2015/03/01 | 2015/03/02 | ? | USD | ? | 0.300% | 0.2500 | 0.000750 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/03/01 => 2015/06/01 | 2015/06/01 | ? | USD | ? | 0.300% | 0.2556 | 0.000767 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/06/01 => 2015/09/01 | 2015/09/01 | ? | USD | ? | 0.300% | 0.2556 | 0.000767 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/09/01 => 2015/12/01 | 2015/12/01 | ? | USD | ? | 0.300% | 0.2528 | 0.000758 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/12/01 => 2016/03/01 | 2016/03/01 | ? | USD | ? | 0.300% | 0.2528 | 0.000758 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/03/01 => 2016/06/01 | 2016/06/01 | ? | USD | ? | 0.300% | 0.2556 | 0.000767 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/06/01 => 2016/09/01 | 2016/09/01 | ? | USD | ? | 0.300% | 0.2556 | 0.000767 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/09/01 => 2016/12/01 | 2016/12/01 | ? | USD | ? | 0.300% | 0.2528 | 0.000758 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/12/01 => 2017/03/01 | 2017/03/01 | ? | USD | ? | 0.300% | 0.2500 | 0.000750 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/03/01 => 2017/06/01 | 2017/06/01 | ? | USD | ? | 0.300% | 0.2556 | 0.000767 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/06/01 => 2017/09/01 | 2017/09/01 | ? | USD | ? | 4.316% | 0.2556 | 0.011030 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/09/01 => 2017/12/01 | 2017/12/01 | ? | USD | ? | 1.611% | 0.2528 | 0.004073 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/12/01 => 2018/03/01 | 2018/03/01 | ? | USD | ? | 1.711% | 0.2500 | 0.004277 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/03/01 => 2018/06/01 | 2018/06/01 | ? | USD | ? | 1.769% | 0.2556 | 0.004520 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/06/01 => 2018/09/01 | 2018/09/04 | ? | USD | ? | 1.818% | 0.2556 | 0.004645 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/09/01 => 2018/12/01 | 2018/12/03 | ? | USD | ? | 1.865% | 0.2528 | 0.004715 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/12/01 => 2019/03/01 | 2019/03/01 | ? | USD | ? | 1.940% | 0.2500 | 0.004851 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/03/01 => 2019/06/01 | 2019/06/03 | ? | USD | ? | 1.949% | 0.2556 | 0.004982 | 0.0000 | 1.0000 | 100.00% ||
|| 2014/05/20 => 2019/06/01 | 2019/06/01 | ? | USD | ? | 0.000% | 0.0000 | 0.000000 | 1.0000 | 1.0000 | 100.00% ||
||--------------------------------------------------------------------------------------------------------------------||
||01-JUN-2015 -> 1.01
||16-JUN-2015 -> 1.01
||01-JUL-2015 -> 1.01
||16-JUL-2015 -> 1.01
||31-JUL-2015 -> 1.01
||15-AUG-2015 -> 1.01
||30-AUG-2015 -> 1.01
||14-SEP-2015 -> 1.01
||29-SEP-2015 -> 1.01
||14-OCT-2015 -> 1.01
||29-OCT-2015 -> 1.01
||13-NOV-2015 -> 1.01
||28-NOV-2015 -> 1.01
||13-DEC-2015 -> 1.01
||28-DEC-2015 -> 1.01
||12-JAN-2016 -> 1.01
||27-JAN-2016 -> 1.01
||11-FEB-2016 -> 1.01
||26-FEB-2016 -> 1.01
||12-MAR-2016 -> 1.01
||27-MAR-2016 -> 1.01
||11-APR-2016 -> 1.01
||26-APR-2016 -> 1.01
||11-MAY-2016 -> 1.01
||26-MAY-2016 -> 1.01
||10-JUN-2016 -> 1.0
||25-JUN-2016 -> 1.0
||10-JUL-2016 -> 1.0
||25-JUL-2016 -> 1.0
||09-AUG-2016 -> 1.0
||24-AUG-2016 -> 1.0
||08-SEP-2016 -> 1.0
||23-SEP-2016 -> 1.0
||08-OCT-2016 -> 1.0
||23-OCT-2016 -> 1.0
||07-NOV-2016 -> 1.0
||22-NOV-2016 -> 1.0
||07-DEC-2016 -> 1.0
||22-DEC-2016 -> 1.0
||06-JAN-2017 -> 1.0
||21-JAN-2017 -> 1.0
||05-FEB-2017 -> 1.0
||20-FEB-2017 -> 1.0
||07-MAR-2017 -> 1.0
||22-MAR-2017 -> 1.0
||06-APR-2017 -> 1.0
||21-APR-2017 -> 1.0
||06-MAY-2017 -> 1.0
||21-MAY-2017 -> 1.0
||05-JUN-2017 -> 1.0
||20-JUN-2017 -> 1.0
||05-JUL-2017 -> 1.0
||20-JUL-2017 -> 1.0
||04-AUG-2017 -> 1.0
||19-AUG-2017 -> 1.0
||03-SEP-2017 -> 1.0
||18-SEP-2017 -> 1.0
||03-OCT-2017 -> 1.0
||18-OCT-2017 -> 1.0
||02-NOV-2017 -> 1.0
||17-NOV-2017 -> 1.0
||02-DEC-2017 -> 1.0
||17-DEC-2017 -> 1.0
||01-JAN-2018 -> 1.0
||16-JAN-2018 -> 1.0
||31-JAN-2018 -> 1.0
||15-FEB-2018 -> 1.0
||02-MAR-2018 -> 1.0
||17-MAR-2018 -> 1.0
||01-APR-2018 -> 1.0
||16-APR-2018 -> 1.0
||01-MAY-2018 -> 1.0
||16-MAY-2018 -> 1.0
||31-MAY-2018 -> 1.0
||15-JUN-2018 -> 1.0
||30-JUN-2018 -> 1.0
||15-JUL-2018 -> 1.0
||30-JUL-2018 -> 1.0
||14-AUG-2018 -> 1.0
||29-AUG-2018 -> 1.0
||13-SEP-2018 -> 1.0
||28-SEP-2018 -> 1.0
||13-OCT-2018 -> 1.0
||28-OCT-2018 -> 1.0
||12-NOV-2018 -> 1.0
||27-NOV-2018 -> 1.0
||12-DEC-2018 -> 1.0
||27-DEC-2018 -> 1.0
||11-JAN-2019 -> 1.0
||26-JAN-2019 -> 1.0
||10-FEB-2019 -> 1.0
||25-FEB-2019 -> 1.0
Forward Exercise Date => 01-JUL-2018 | 1.0
|-----------------------------------------------------------------|
| 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 00:46:46 EST 2020
| Setup Time => Mon Jan 27 00:46:46 EST 2020
| Finish Time => Mon Jan 27 00:46:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 98 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 00:46:46 EST 2020
| Setup Time => Mon Jan 27 00:46:46 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 16-APR-2018
Next Call Date : 01-APR-2018 | 1.02563
Maturity Date : 01-APR-2023 | 1.0
yield to call => 0.07014476607610923
z_spread => 0.05657436376344635
market value => 5.3231850000000006E8
oad mult => 0.3605245988767822
libor duration => 6.140595240070797E-5
convexity => 2.279686144962275E-8
modified convexity => 2.279686144962275E-8
effective duration => 1.0477143914964702E-4
yield to worst => 0.03989382298227147
tsy oas => 0.028226021656048587
macaulay duration => 4.830533536676514
mod dur to worst => 6.20545464741563E-5
price => 1.01394
ytm fwdcpn => 0.04836235543646628
discount margin => 0.026801262047733213
cv01 => 3.831356042804934E-5
effective duration adj => 3.777268107316968E-5
yield to maturity => 0.04836235543646628
oas => 0.027989750609187045
wal_adj => 0.6218691999093722
mcconvexity => 1.5733617728761403E-8
mod dur => 4.838096368442616E-4
wal => 5.583333333333333
z_vol_oas => 0.05409955187815431
n-spread => 0.023483822982271467
mcoas => 0.05264039631716143
yield to put => 0.04836235543646628
treasury duration => 6.03680064966595E-5
wal4 => 5.583333333333333
accrued$ => 1.158463541666667E7
wal3 => 0.5194444444444444
i-spread => 0.023483822982271467
j-spread => 0.02770382298227147
wal2 => 0.6216951585143226
wal to worst => 0.6249999999999999
mcduration => 1.0223007732105924E-4
nominal yield => 0.05124060002567313
spread dur => 0.006058540694678354
funding duration => 6.13988067177742E-5
accrued => 0.02206597222222223
e-spread => 0.05409955187815431
accrued interest factor => 0.02206597222222223
spread dur $ => 3180733.864706136
dv01 => 1.062319530113931E-4
yield to maturity cbe => 0.04836235543646628
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 6.072602465183319E-5
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 2.9285401039494397E-5
funding kprd::futures::p => 6.072602465183319E-5
funding kprd::futures::1 => 2.464237177491613E-5
funding kprd::futures::2 => 8.260568317405847E-6
funding kprd::futures::3 => -1.8732373732260888E-6
funding kprd::futures::4 => 5.133918303396046E-7
funding kprd::futures::5 => -1.0249120122318711E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 6.13988067177742E-5
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 2.960726739112772E-5
funding krd::futures::p => 6.13988067177742E-5
funding krd::futures::1 => 2.4917004059224676E-5
funding krd::futures::2 => 8.352438606993443E-6
funding krd::futures::3 => -1.8934234859211972E-6
funding krd::futures::4 => 5.191362360055538E-7
funding krd::futures::5 => -1.036374713969107E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 8.520492004810263E-6
libor krd::tenor::2 => 2.4157466665585392E-5
libor krd::tenor::1 => 2.812052991565144E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.506054659096552E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 8.427066874278415E-9
libor krd::tenor::4 => 4.846589555487098E-8
libor krd::bump => 6.140595240070797E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::31-aug-2027 => 0.0
govvie kprd::tsy::31-aug-2047 => 0.0
govvie kprd::tsy::31-aug-2037 => 0.0
govvie kprd::tsy::31-aug-2018 => 5.970340561405052E-5
govvie kprd::tsy::31-aug-2019 => 0.0
govvie kprd::bump => 5.970340561405052E-5
govvie kprd::tsy::31-aug-2020 => 0.0
govvie kprd::tsy::31-aug-2024 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::31-aug-2022 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 8.426519466789295E-6
libor kprd::tenor::2 => 2.3892177040488183E-5
libor kprd::tenor::1 => 2.781405416233118E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.447199447505823E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 8.250757932426467E-9
libor kprd::tenor::4 => 4.745190426702628E-8
libor kprd::bump => 6.0733138946497675E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::31-aug-2027 => 0.0
govvie krd::tsy::31-aug-2047 => 0.0
govvie krd::tsy::31-aug-2037 => 0.0
govvie krd::tsy::31-aug-2018 => 6.03680064966595E-5
govvie krd::tsy::31-aug-2019 => 0.0
govvie krd::bump => 6.03680064966595E-5
govvie krd::tsy::31-aug-2020 => 0.0
govvie krd::tsy::31-aug-2024 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::31-aug-2022 => 0.0
|-----------------------------------------------------------------|
| 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 00:46:46 EST 2020
| Setup Time => Mon Jan 27 00:46:46 EST 2020
| Finish Time => Mon Jan 27 00:47:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 17 s 708 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 00:47:04 EST 2020
| Setup Time => Mon Jan 27 00:47:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-OCT-2021
Next Call Date : 15-OCT-2017 | 1.03438
Maturity Date : 15-OCT-2021 | 1.0
yield to call => 0.5882704287608657
z_spread => 0.057320742846911125
market value => 0.9775
oad mult => 0.5779628028936745
libor duration => 3.585407724723105E-4
convexity => 1.4661209879358808E-7
modified convexity => 1.4661209879358808E-7
effective duration => 3.5223511738805604E-4
yield to worst => 0.0751648935136047
tsy oas => 0.057320742846911125
macaulay duration => 3.5600877738202485
mod dur to worst => 3.5306253311130745E-4
price => 0.9775
ytm fwdcpn => 0.0751648935136047
discount margin => 0.062066010308791136
cv01 => 1.997240764026742E-4
effective duration adj => 2.0357879572318336E-4
yield to maturity => 0.0751648935136047
oas => 0.056229692463729934
wal_adj => 3.7566948336230137
mcconvexity => 1.226009751785269E-7
mod dur => 3.5306253311130745E-4
wal => 4.122222222222222
z_vol_oas => 0.056229692463729934
n-spread => 0.0561348935136047
mcoas => 0.059470757300252135
yield to put => 0.0751648935136047
treasury duration => 3.5223511736062697E-4
wal4 => 4.122222222222222
accrued$ => 0.02711805555555559
wal3 => 2.3055106319257264
i-spread => 0.056021629836112634
j-spread => 0.06297489351360469
wal2 => 3.6319856896119664
wal to worst => 4.122222222222222
mcduration => 3.0590391698641627E-4
nominal yield => 0.06871959830928037
spread dur => 0.03505656184824503
funding duration => 3.5313079533944806E-4
accrued => 0.02711805555555559
e-spread => 0.05893884879656285
accrued interest factor => 0.02711805555555559
spread dur $ => 0.03505656184824503
dv01 => 3.443098272468248E-4
yield to maturity cbe => 0.0751648935136047
funding kprd::fixfloat::05y => 3.7541551267056274E-5
funding kprd::fixfloat::15y => 3.4126212966612E-10
funding kprd::fixfloat::03y => -5.159815999600248E-6
funding kprd::fixfloat::25y => 1.788467707264374E-11
funding kprd::fixfloat::09y => 3.2251526094206895E-7
funding kprd::fixfloat::07y => 3.6009591180719004E-6
funding kprd::deposit::pll => 1.2898127038252216E-6
funding kprd::fixfloat::11y => 2.6273462216952483E-8
funding kprd::bump => 3.548349736683387E-4
funding kprd::fixfloat::06y => -1.172547795759704E-5
funding kprd::deposit::2d => 1.2898127038252216E-6
funding kprd::fixfloat::04y => 3.1307297551232404E-4
funding kprd::fixfloat::pll => 3.502295487322338E-4
funding kprd::fixfloat::08y => -1.0881058085498996E-6
funding kprd::fixfloat::20y => -5.999550856117253E-11
funding kprd::fixfloat::30y => -4.2258641030912255E-12
funding kprd::fixfloat::40y => 4.94193574951396E-13
funding kprd::fixfloat::50y => -8.600342660258775E-14
funding kprd::fixfloat::02y => 1.3735517211094228E-5
funding kprd::fixfloat::12y => -5.600757152501856E-9
funding kprd::fixfloat::10y => -9.409170406704526E-8
funding kprd::futures::0 => 1.6414855671775808E-6
funding kprd::futures::p => 3.313977972041471E-6
funding kprd::futures::1 => 8.328506625465693E-7
funding kprd::futures::2 => 6.500286026778213E-7
funding kprd::futures::3 => 3.8097592875430133E-7
funding kprd::futures::4 => 4.227666501877003E-8
funding kprd::futures::5 => -2.3364034153483538E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.7310186633895296E-5
funding krd::fixfloat::15y => 3.3915822125744737E-10
funding krd::fixfloat::03y => -5.03786082288868E-6
funding krd::fixfloat::25y => 1.7774415074191936E-11
funding krd::fixfloat::09y => 3.205269318675077E-7
funding krd::fixfloat::07y => 3.5787589521497373E-6
funding krd::deposit::pll => 1.283947117201778E-6
funding krd::fixfloat::11y => 2.6111484489245555E-8
funding krd::bump => 3.5313079533944806E-4
funding krd::fixfloat::06y => -1.165318959073605E-5
funding krd::deposit::2d => 1.283947117201778E-6
funding krd::fixfloat::04y => 3.1122377079574376E-4
funding krd::fixfloat::pll => 3.484341262526908E-4
funding krd::fixfloat::08y => -1.0813975605861483E-6
funding krd::fixfloat::20y => -5.96256320816285E-11
funding krd::fixfloat::30y => -4.1998175326777995E-12
funding krd::fixfloat::40y => 4.911444936456844E-13
funding krd::fixfloat::50y => -8.547865456090975E-14
funding krd::fixfloat::02y => 1.3843485999379019E-5
funding krd::fixfloat::12y => -5.566228092257116E-9
funding krd::fixfloat::10y => -9.351162215125258E-8
funding krd::futures::0 => 1.6825078960521633E-6
funding krd::futures::p => 3.411103430055848E-6
funding krd::futures::1 => 8.553623595040996E-7
funding krd::futures::2 => 6.671154732976795E-7
funding krd::futures::3 => 3.9288478941347147E-7
funding krd::futures::4 => 4.6573435469108504E-8
funding krd::futures::5 => -2.333414461198383E-7
funding krd::base => 0.0
libor krd::tenor::10 => 9.214049333002942E-6
libor krd::tenor::3 => 2.3996303586245358E-5
libor krd::tenor::2 => 2.4021911440025428E-5
libor krd::tenor::1 => 2.7894852170549987E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.528273758066114E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.115335176850088E-5
libor krd::tenor::6 => 2.2397465004534538E-5
libor krd::tenor::5 => 2.2914249567565867E-5
libor krd::tenor::4 => 2.371024830845127E-5
libor krd::bump => 3.585407724723105E-4
libor krd::tenor::9 => 7.843235198906944E-5
libor krd::tenor::8 => 8.424989724252595E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 0.0
govvie kprd::bump => 3.539335589957338E-4
govvie kprd::tsy::01-sep-2020 => 1.5563205895722244E-4
govvie kprd::tsy::01-sep-2022 => 1.9829787663408482E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.269580524429166E-6
libor kprd::tenor::3 => 2.4085427836423313E-5
libor kprd::tenor::2 => 2.4100661568215997E-5
libor kprd::tenor::1 => 2.797763026222144E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.542268590341681E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.135591014277629E-5
libor kprd::tenor::6 => 2.249877110620524E-5
libor kprd::tenor::5 => 2.3013411680145036E-5
libor kprd::tenor::4 => 2.3803746213235665E-5
libor kprd::bump => 3.6027178132819746E-4
libor kprd::tenor::9 => 7.889788394069842E-5
libor kprd::tenor::8 => 8.471122255651609E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 0.0
govvie krd::bump => 3.5223511736062697E-4
govvie krd::tsy::01-sep-2020 => 1.5488523032863242E-4
govvie krd::tsy::01-sep-2022 => 1.9734630606141625E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:47:04 EST 2020
| Setup Time => Mon Jan 27 00:47:04 EST 2020
| Finish Time => Mon Jan 27 00:47:17 EST 2020
| Setup Duration => 1 ms
| Run Duration => 13 s 428 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 00:47:17 EST 2020
| Setup Time => Mon Jan 27 00:47:17 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 30-SEP-2021
Next Call Date : 31-MAR-2019 | 1.09
Maturity Date : 30-SEP-2021 | 1.0
yield to call => 0.1410061069121471
z_spread => 0.07335797661061014
market value => 5.22375E8
oad mult => 0.578330441560362
libor duration => 3.5134636383885883E-4
convexity => 1.43566362579056E-7
modified convexity => 1.43566362579056E-7
effective duration => 3.448914310823958E-4
yield to worst => 0.09138275746583018
tsy oas => 0.07335797661061014
macaulay duration => 3.518919269526194
mod dur to worst => 3.460845373728941E-4
price => 0.995
ytm fwdcpn => 0.09138275746583018
discount margin => 0.0786360614307534
cv01 => 1.9918603749469188E-4
effective duration adj => 1.994612136282671E-4
yield to maturity => 0.09138275746583018
oas => 0.07239014637352907
wal_adj => 3.759185641151497
mcconvexity => 9.141153394962579E-8
mod dur => 3.460845373728941E-4
wal => 4.222222222222222
z_vol_oas => 0.07239014637352907
n-spread => 0.07235275746583017
mcoas => 0.07544802006354426
yield to put => 0.09138275746583018
treasury duration => 3.448914311314018E-4
wal4 => 4.222222222222222
accrued$ => 1.3387500000000019E7
wal3 => 2.3538084795321637
i-spread => 0.07212175839007487
j-spread => 0.07919275746583018
wal2 => 3.5629613138677807
wal to worst => 4.222222222222222
mcduration => 2.6772564841826707E-4
nominal yield => 0.08993023182289675
spread dur => 0.0343190661364192
funding duration => 3.4615071765343514E-4
accrued => 0.025500000000000037
e-spread => 0.07543994095082203
accrued interest factor => 0.025500000000000037
spread dur $ => 1.801750972162008E7
dv01 => 3.431669739269838E-4
yield to maturity cbe => 0.09138275746583018
funding kprd::fixfloat::05y => 7.97532644673915E-5
funding kprd::fixfloat::15y => 6.995894197281416E-10
funding kprd::fixfloat::03y => -8.237453682929941E-6
funding kprd::fixfloat::25y => 3.666230097287837E-11
funding kprd::fixfloat::09y => 6.612602290290149E-7
funding kprd::fixfloat::07y => 7.384113199243592E-6
funding kprd::deposit::pll => 4.954924311850739E-7
funding kprd::fixfloat::11y => 5.386548894148469E-8
funding kprd::bump => 3.4656207656531547E-4
funding kprd::fixfloat::06y => -2.4045142167716806E-5
funding kprd::deposit::2d => 4.954924311850739E-7
funding kprd::fixfloat::04y => 2.702673794966859E-4
funding kprd::fixfloat::pll => 3.3981062866539347E-4
funding kprd::fixfloat::08y => -2.231093167076592E-6
funding kprd::fixfloat::20y => -1.2298745910577225E-10
funding kprd::fixfloat::30y => -8.662803807624187E-12
funding kprd::fixfloat::40y => 1.0130840610855784E-12
funding kprd::fixfloat::50y => -1.7632562077096737E-13
funding kprd::fixfloat::02y => 1.6405653007312004E-5
funding kprd::fixfloat::12y => -1.1481947881364363E-8
funding kprd::fixfloat::10y => -1.929096557384824E-7
funding kprd::futures::0 => 4.482901278224372E-6
funding kprd::futures::p => 6.2543951182381095E-6
funding kprd::futures::1 => 1.7018613281405416E-7
funding kprd::futures::2 => 1.0691519032768326E-6
funding kprd::futures::3 => 6.661818649000839E-7
funding kprd::futures::4 => -5.551546917725858E-8
funding kprd::futures::5 => -7.851147120208068E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 7.962784273474022E-5
funding krd::fixfloat::15y => 6.984884920597377E-10
funding krd::fixfloat::03y => -8.1929777016311E-6
funding krd::fixfloat::25y => 3.660461102290881E-11
funding krd::fixfloat::09y => 6.602196249560318E-7
funding krd::fixfloat::07y => 7.372493054762754E-6
funding krd::deposit::pll => 4.949307486961119E-7
funding krd::fixfloat::11y => 5.378072254426108E-8
funding krd::bump => 3.4615071765343514E-4
funding krd::fixfloat::06y => -2.400730311864418E-5
funding krd::deposit::2d => 4.949307486961119E-7
funding krd::fixfloat::04y => 2.698567441893223E-4
funding krd::fixfloat::pll => 3.393704218416188E-4
funding krd::fixfloat::08y => -2.2275821673398354E-6
funding krd::fixfloat::20y => -1.2279391908647376E-10
funding krd::fixfloat::30y => -8.6491673677965E-12
funding krd::fixfloat::40y => 1.0114912815759535E-12
funding krd::fixfloat::50y => -1.7604008703026226E-13
funding krd::fixfloat::02y => 1.642811037493637E-5
funding krd::fixfloat::12y => -1.1463879108978745E-8
funding krd::fixfloat::10y => -1.9260607999069298E-7
funding krd::futures::0 => 4.503514391016861E-6
funding krd::futures::p => 6.283808298090663E-6
funding krd::futures::1 => 1.7052086864810802E-7
funding krd::futures::2 => 1.0743894513585029E-6
funding krd::futures::3 => 6.687080334246152E-7
funding krd::futures::4 => -5.477469512577858E-8
funding krd::futures::5 => -7.855063009311834E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.5707749970326412E-5
libor krd::tenor::3 => 2.3221619247018948E-5
libor krd::tenor::2 => 2.3572204152396733E-5
libor krd::tenor::1 => 4.1814884976023103E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.476372578197566E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.6960774215295108E-5
libor krd::tenor::6 => 2.1549968897345208E-5
libor krd::tenor::5 => 2.195702739746272E-5
libor krd::tenor::4 => 2.3033983462733137E-5
libor krd::bump => 3.5134636383885883E-4
libor krd::tenor::9 => 7.298146959764374E-5
libor krd::tenor::8 => 7.999505825644372E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.453010501372589E-4
govvie kprd::tsy::10-jul-2022 => 2.1143593899923817E-4
govvie kprd::tsy::10-jul-2020 => 1.3386171111838264E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 1.5732148573793792E-5
libor kprd::tenor::3 => 2.3243262283256794E-5
libor kprd::tenor::2 => 2.3590579134857847E-5
libor kprd::tenor::1 => 4.1842972293115734E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.479514351480752E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.699436946032585E-5
libor kprd::tenor::6 => 2.1574256155443283E-5
libor kprd::tenor::5 => 2.1981167292184356E-5
libor kprd::tenor::4 => 2.305622487156489E-5
libor kprd::bump => 3.5176417604721453E-4
libor kprd::tenor::9 => 7.309221944761246E-5
libor kprd::tenor::8 => 8.010502654776653E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.448914311314018E-4
govvie krd::tsy::10-jul-2022 => 2.1118512261438497E-4
govvie krd::tsy::10-jul-2020 => 1.3370291801650667E-4
govvie krd::base => 0.0
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/09/22 => 2017/03/31 | ? | USD | NONE | 9.00% | 0.5250 | 0.0473 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/03/31 => 2017/09/30 | ? | USD | NONE | 9.00% | 0.4972 | 0.0448 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/09/30 => 2018/03/31 | ? | USD | NONE | 9.00% | 0.5028 | 0.0453 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/03/31 => 2018/09/30 | ? | USD | NONE | 9.00% | 0.4972 | 0.0448 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/09/30 => 2019/03/31 | ? | USD | NONE | 9.00% | 0.5028 | 0.0453 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/03/31 => 2019/09/30 | ? | USD | NONE | 9.00% | 0.4972 | 0.0448 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/09/30 => 2020/03/31 | ? | USD | NONE | 9.00% | 0.5028 | 0.0453 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/03/31 => 2020/09/30 | ? | USD | NONE | 9.00% | 0.4972 | 0.0448 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/09/30 => 2021/03/31 | ? | USD | NONE | 9.00% | 0.5028 | 0.0453 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/03/31 => 2021/09/30 | ? | USD | NONE | 9.00% | 0.4972 | 0.0448 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/09/22 => 2021/09/30 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 100.00% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:47:17 EST 2020
| Setup Time => Mon Jan 27 00:47:17 EST 2020
| Finish Time => Mon Jan 27 00:47:30 EST 2020
| Setup Duration => 0 ms
| Run Duration => 13 s 379 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 00:47:30 EST 2020
| Setup Time => Mon Jan 27 00:47:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 11-AUG-2023
Next Call Date : 11-AUG-2023 | 1.0
Maturity Date : 11-AUG-2023 | 1.0
yield to call => 0.044299958827475165
z_spread => 0.023501627740343808
market value => 3.67E7
oad mult => 0.5706229561289996
libor duration => 5.376853203693244E-4
convexity => 3.118051899031465E-7
modified convexity => 3.118051899031465E-7
effective duration => 5.326253397666597E-4
yield to worst => 0.044299958827475165
tsy oas => 0.023501627740343808
macaulay duration => 5.326779422017693
mod dur to worst => 5.309216536657502E-4
price => 1.0
ytm fwdcpn => 0.044299958827475165
discount margin => 0.03155326279239838
cv01 => 3.055793681723262E-4
effective duration adj => 3.0392824588686417E-4
yield to maturity => 0.044299958827475165
oas => 0.023579173096180614
wal_adj => 5.49208130974546
mod dur => 5.309216536657502E-4
wal => 6.086111111111107
z_vol_oas => 0.023579173096180614
n-spread => 0.023397958827475165
yield to put => 0.044299958827475165
treasury duration => 5.32625339872378E-4
wal4 => 6.086111111111107
accrued$ => 9032.277777777736
wal3 => 3.084703838937066
i-spread => 0.0233318443638851
j-spread => 0.032109958827475166
wal2 => 5.358091462791195
wal to worst => 6.086111111111107
nominal yield => 0.044299958827475165
spread dur => 0.052903953529538916
funding duration => 5.310739393432296E-4
accrued => 2.4611111111111E-4
e-spread => 0.028392182134679526
accrued interest factor => 2.4611111111111E-4
spread dur $ => 1941575.0945340781
dv01 => 5.326253397666597E-4
yield to maturity cbe => 0.04471082818624547
funding kprd::fixfloat::05y => -1.2921753625388943E-5
funding kprd::fixfloat::15y => 3.8188616935386225E-9
funding kprd::fixfloat::03y => 5.6003159353335E-6
funding kprd::fixfloat::25y => 2.0012937973490352E-10
funding kprd::fixfloat::09y => 3.6096336021584907E-6
funding kprd::fixfloat::07y => 4.061523580105586E-5
funding kprd::deposit::pll => 5.320928663510305E-7
funding kprd::fixfloat::11y => 2.9403655337212343E-7
funding kprd::bump => 5.310739393432296E-4
funding kprd::fixfloat::06y => 4.8665869525291725E-4
funding kprd::deposit::2d => 5.320928663510305E-7
funding kprd::fixfloat::04y => 1.3016471236754202E-5
funding kprd::fixfloat::pll => 5.272487712177087E-4
funding kprd::fixfloat::08y => -1.217891002974758E-5
funding kprd::fixfloat::20y => -6.713539502101184E-10
funding kprd::fixfloat::30y => -4.728785696350713E-11
funding kprd::fixfloat::40y => 5.530126356845244E-12
funding kprd::fixfloat::50y => -9.623413177450857E-13
funding kprd::fixfloat::02y => 3.6560600346902117E-6
funding kprd::fixfloat::12y => -6.26767242273285E-8
funding kprd::fixfloat::10y => -1.0530395510466306E-6
funding kprd::futures::0 => 1.958090732590012E-6
funding kprd::futures::p => 3.2903887083379767E-6
funding kprd::futures::1 => 1.0254932685804797E-7
funding kprd::futures::2 => 6.161643216540114E-7
funding kprd::futures::3 => 3.4746712712085957E-7
funding kprd::futures::4 => 1.8608474061654334E-7
funding kprd::futures::5 => 8.002960711350759E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.2921753625388943E-5
funding krd::fixfloat::15y => 3.8188616935386225E-9
funding krd::fixfloat::03y => 5.6003159353335E-6
funding krd::fixfloat::25y => 2.0012937973490352E-10
funding krd::fixfloat::09y => 3.6096336021584907E-6
funding krd::fixfloat::07y => 4.061523580105586E-5
funding krd::deposit::pll => 5.320928663510305E-7
funding krd::fixfloat::11y => 2.9403655337212343E-7
funding krd::bump => 5.310739393432296E-4
funding krd::fixfloat::06y => 4.8665869525291725E-4
funding krd::deposit::2d => 5.320928663510305E-7
funding krd::fixfloat::04y => 1.3016471236754202E-5
funding krd::fixfloat::pll => 5.272487712177087E-4
funding krd::fixfloat::08y => -1.217891002974758E-5
funding krd::fixfloat::20y => -6.713539502101184E-10
funding krd::fixfloat::30y => -4.728785696350713E-11
funding krd::fixfloat::40y => 5.530126356845244E-12
funding krd::fixfloat::50y => -9.623413177450857E-13
funding krd::fixfloat::02y => 3.6560600346902117E-6
funding krd::fixfloat::12y => -6.26767242273285E-8
funding krd::fixfloat::10y => -1.0530395510466306E-6
funding krd::futures::0 => 1.958090732590012E-6
funding krd::futures::p => 3.2903887083379767E-6
funding krd::futures::1 => 1.0254932685804797E-7
funding krd::futures::2 => 6.161643216540114E-7
funding krd::futures::3 => 3.4746712712085957E-7
funding krd::futures::4 => 1.8608474061654334E-7
funding krd::futures::5 => 8.002960711350759E-8
funding krd::base => 0.0
libor krd::tenor::10 => 8.240739948671138E-5
libor krd::tenor::3 => 2.454038222345356E-5
libor krd::tenor::2 => 2.428426152557006E-5
libor krd::tenor::1 => 4.273720650312396E-5
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libor krd::tenor::6 => 2.3204999340853406E-5
libor krd::tenor::5 => 2.3728954515672696E-5
libor krd::tenor::4 => 2.4262707816152806E-5
libor krd::bump => 5.376853203693244E-4
libor krd::tenor::9 => 8.619933250647582E-5
libor krd::tenor::8 => 9.042414892321271E-5
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libor krd::tenor::11 => 7.880032084482958E-5
libor krd::tenor::12 => 6.741859395886784E-6
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libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 2.892595131412101E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 5.32625339872378E-4
govvie kprd::tsy::10-jul-2022 => 2.4335636975796325E-4
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 8.240739948671138E-5
libor kprd::tenor::3 => 2.454038222345356E-5
libor kprd::tenor::2 => 2.428426152557006E-5
libor kprd::tenor::1 => 4.273720650312396E-5
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libor kprd::tenor::0 => 5.531985782902816E-7
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libor kprd::tenor::6 => 2.3204999340853406E-5
libor kprd::tenor::5 => 2.3728954515672696E-5
libor kprd::tenor::4 => 2.4262707816152806E-5
libor kprd::bump => 5.376853203693244E-4
libor kprd::tenor::9 => 8.619933250647582E-5
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libor kprd::tenor::11 => 7.880032084482958E-5
libor kprd::tenor::12 => 6.741859395886784E-6
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libor kprd::tenor::19 => 0.0
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govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 2.892595131412101E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 5.32625339872378E-4
govvie krd::tsy::10-jul-2022 => 2.4335636975796325E-4
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:47:30 EST 2020
| Setup Time => Mon Jan 27 00:47:30 EST 2020
| Finish Time => Mon Jan 27 00:47:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 10 s 666 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 00:47:41 EST 2020
| Setup Time => Mon Jan 27 00:47:41 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-DEC-2020
Next Call Date : 15-DEC-2020 | 1.0
Maturity Date : 15-DEC-2020 | 1.0
yield to call => -4.601177359660628E-13
z_spread => -0.01665104109589143
market value => 1.0
oad mult => 0.6106525436373927
libor duration => 3.4819562701703945E-4
convexity => 1.262666629031628E-7
modified convexity => 1.262666629031628E-7
effective duration => 3.430588641398169E-4
yield to worst => -4.601177359660628E-13
tsy oas => -0.01665104109589143
macaulay duration => 3.4305555555555554
mod dur to worst => 3.425186606348385E-4
price => 1.0
ytm fwdcpn => -4.601177359660628E-13
discount margin => -0.0127466960355369
cv01 => 2.1017865030092953E-4
effective duration adj => 2.0948976800433394E-4
yield to maturity => -4.601177359660628E-13
oas => -0.018405090423797798
wal_adj => 3.4305555555555554
mod dur => 3.425186606348385E-4
wal => 3.4305555555555554
z_vol_oas => -0.018405090423797798
n-spread => -0.01786300000046012
yield to put => -4.601177359660628E-13
treasury duration => 3.430588641392368E-4
wal4 => 3.4305555555555554
accrued$ => 0.0
wal3 => 0.0
i-spread => -0.018393612825192206
j-spread => -0.012190000000460118
wal2 => 3.430555555555555
wal to worst => 3.4305555555555554
nominal yield => -4.601177359660628E-13
spread dur => 0.034179622219248085
funding duration => 3.425901372544865E-4
accrued => 0.0
e-spread => -0.015952618116154275
accrued interest factor => 0.0
spread dur $ => 0.034179622219248085
dv01 => 3.430588641398169E-4
yield to maturity cbe => -4.913752046600855E-13
funding kprd::fixfloat::05y => -5.797853232260286E-5
funding kprd::fixfloat::15y => -5.335666852790411E-10
funding kprd::fixfloat::03y => 2.0541971428180428E-4
funding kprd::fixfloat::25y => -2.796189391141013E-11
funding kprd::fixfloat::09y => -5.043335417703742E-7
funding kprd::fixfloat::07y => -5.631755607415911E-6
funding kprd::deposit::pll => 5.694576728443312E-7
funding kprd::fixfloat::11y => -4.1082423499205766E-8
funding kprd::bump => 3.425901372544865E-4
funding kprd::fixfloat::06y => 1.833887877678575E-5
funding kprd::deposit::2d => 5.694576728443312E-7
funding kprd::fixfloat::04y => 2.0750025711370744E-4
funding kprd::fixfloat::pll => 3.44858641629453E-4
funding kprd::fixfloat::08y => 1.7016222421145643E-6
funding kprd::fixfloat::20y => 9.380075050025028E-11
funding kprd::fixfloat::30y => 6.606998281810661E-12
funding kprd::fixfloat::40y => -7.726319584122621E-13
funding kprd::fixfloat::50y => 1.3452294833626865E-13
funding kprd::fixfloat::02y => -2.41029953643529E-5
funding kprd::fixfloat::12y => 8.757114369761788E-9
funding kprd::fixfloat::10y => 1.4712938343763858E-7
funding kprd::futures::0 => -1.547147659661241E-6
funding kprd::futures::p => -2.8395888905852206E-6
funding kprd::futures::1 => -1.3692350425420495E-7
funding kprd::futures::2 => -5.855703334806117E-7
funding kprd::futures::3 => -2.667783062709761E-7
funding kprd::futures::4 => -2.521973599789451E-7
funding kprd::futures::5 => -5.096879101273988E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -5.797853232260286E-5
funding krd::fixfloat::15y => -5.335666852790411E-10
funding krd::fixfloat::03y => 2.0541971428180428E-4
funding krd::fixfloat::25y => -2.796189391141013E-11
funding krd::fixfloat::09y => -5.043335417703742E-7
funding krd::fixfloat::07y => -5.631755607415911E-6
funding krd::deposit::pll => 5.694576728443312E-7
funding krd::fixfloat::11y => -4.1082423499205766E-8
funding krd::bump => 3.425901372544865E-4
funding krd::fixfloat::06y => 1.833887877678575E-5
funding krd::deposit::2d => 5.694576728443312E-7
funding krd::fixfloat::04y => 2.0750025711370744E-4
funding krd::fixfloat::pll => 3.44858641629453E-4
funding krd::fixfloat::08y => 1.7016222421145643E-6
funding krd::fixfloat::20y => 9.380075050025028E-11
funding krd::fixfloat::30y => 6.606998281810661E-12
funding krd::fixfloat::40y => -7.726319584122621E-13
funding krd::fixfloat::50y => 1.3452294833626865E-13
funding krd::fixfloat::02y => -2.41029953643529E-5
funding krd::fixfloat::12y => 8.757114369761788E-9
funding krd::fixfloat::10y => 1.4712938343763858E-7
funding krd::futures::0 => -1.547147659661241E-6
funding krd::futures::p => -2.8395888905852206E-6
funding krd::futures::1 => -1.3692350425420495E-7
funding krd::futures::2 => -5.855703334806117E-7
funding krd::futures::3 => -2.667783062709761E-7
funding krd::futures::4 => -2.521973599789451E-7
funding krd::futures::5 => -5.096879101273988E-8
funding krd::base => 0.0
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libor krd::tenor::3 => 2.5561130828283263E-5
libor krd::tenor::2 => 2.50119938557114E-5
libor krd::tenor::1 => 4.336763305322899E-5
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libor krd::tenor::0 => 5.560517588903968E-7
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libor krd::tenor::7 => 3.248737853875083E-5
libor krd::tenor::6 => 2.498865276059359E-5
libor krd::tenor::5 => 2.5272593659395048E-5
libor krd::tenor::4 => 2.5555721533804254E-5
libor krd::bump => 3.4819562701703945E-4
libor krd::tenor::9 => 4.382497770123173E-5
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govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.430588641392368E-4
govvie kprd::tsy::10-jul-2022 => 7.42504140636896E-5
govvie kprd::tsy::10-jul-2020 => 2.6880676673729785E-4
govvie kprd::base => 0.0
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libor kprd::tenor::2 => 2.50119938557114E-5
libor kprd::tenor::1 => 4.336763305322899E-5
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libor kprd::tenor::0 => 5.560517588903968E-7
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libor kprd::tenor::7 => 3.248737853875083E-5
libor kprd::tenor::6 => 2.498865276059359E-5
libor kprd::tenor::5 => 2.5272593659395048E-5
libor kprd::tenor::4 => 2.5555721533804254E-5
libor kprd::bump => 3.4819562701703945E-4
libor kprd::tenor::9 => 4.382497770123173E-5
libor kprd::tenor::8 => 1.015663997441879E-4
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libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.430588641392368E-4
govvie krd::tsy::10-jul-2022 => 7.42504140636896E-5
govvie krd::tsy::10-jul-2020 => 2.6880676673729785E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:47:41 EST 2020
| Setup Time => Mon Jan 27 00:47:41 EST 2020
| Finish Time => Mon Jan 27 00:47:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 72 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 00:47:50 EST 2020
| Setup Time => Mon Jan 27 00:47:50 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 14-FEB-2019
Next Call Date : 14-FEB-2019 | 1.0
Maturity Date : 01-OCT-2025 | 1.0
yield to call => 0.0181310438454533
z_spread => 0.029275104107006157
market value => 2.6E7
oad mult => 0.060490417173611526
libor duration => 2.7748244710105665E-7
convexity => 3.211617321312091E-8
modified convexity => 3.211617321312091E-8
effective duration => 1.6373133342962866E-4
yield to worst => 0.0181310438454533
tsy oas => 0.01977038345416868
macaulay duration => 7.136106421305158
mod dur to worst => 5.932302001077083E-6
price => 1.0
ytm fwdcpn => 0.042498639161872416
discount margin => 0.005384347810376519
cv01 => 9.475365914080047E-5
effective duration adj => 9.904176663549924E-6
yield to maturity => 0.02421289770062785
oas => -0.01628710229937215
wal_adj => 1.599763849279827
mcconvexity => 6.18839138278961E-7
mod dur => 5.4744514291771296E-6
wal => 8.347222222222223
z_vol_oas => -0.0223689561545467
n-spread => 0.0017210438454532996
mcoas => 0.019770383454168698
yield to put => 0.02421289770062785
treasury duration => 1.5650023685643554E-4
wal4 => 8.347222222222223
accrued$ => 36833.3333333344
wal3 => 0.8532950818404575
i-spread => 0.0017210438454532996
j-spread => 0.005941043845453301
wal2 => 1.5996318434290204
wal to worst => 1.6222222222222218
mcduration => 7.60586355034135E-4
nominal yield => 0.02421289770062785
spread dur => 0.016344693706819013
funding duration => 6.3275611410179975E-6
accrued => 0.0014166666666667078
e-spread => -0.0223689561545467
accrued interest factor => 0.0014166666666667078
spread dur $ => 424962.03637729434
dv01 => 1.6373133342962866E-4
yield to maturity cbe => 0.024335365210688277
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
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funding kprd::bump => 6.3275611410179975E-6
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funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
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funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 1.0217288814324706E-5
funding kprd::futures::p => 6.3275611410179975E-6
funding kprd::futures::1 => -5.050974006465139E-6
funding kprd::futures::2 => 1.405720268433112E-6
funding kprd::futures::3 => -3.808854476686093E-7
funding kprd::futures::4 => 2.982735437488683E-7
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funding krd::bump => 6.3275611410179975E-6
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funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 1.0217288814324706E-5
funding krd::futures::p => 6.3275611410179975E-6
funding krd::futures::1 => -5.050974006465139E-6
funding krd::futures::2 => 1.405720268433112E-6
funding krd::futures::3 => -3.808854476686093E-7
funding krd::futures::4 => 2.982735437488683E-7
funding krd::futures::5 => -1.6185390853550222E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 4.224422789390075E-8
libor krd::tenor::2 => 5.3727418607017793E-8
libor krd::tenor::1 => 1.2617070166080473E-7
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libor krd::tenor::6 => 7.160325447584216E-9
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libor krd::tenor::4 => 2.9444321384560335E-8
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govvie kprd::tsy::10-jul-2037 => 0.0
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govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 9.390002271243703E-5
govvie kprd::tsy::10-jul-2018 => 6.259999026634599E-5
govvie kprd::bump => 1.5650023685643554E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 4.224422789390075E-8
libor kprd::tenor::2 => 5.3727418607017793E-8
libor kprd::tenor::1 => 1.2617070166080473E-7
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libor kprd::tenor::6 => 7.160325447584216E-9
libor kprd::tenor::5 => 1.6567850648552543E-8
libor kprd::tenor::4 => 2.9444321384560335E-8
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govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 9.390002271243703E-5
govvie krd::tsy::10-jul-2018 => 6.259999026634599E-5
govvie krd::bump => 1.5650023685643554E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:47:50 EST 2020
| Setup Time => Mon Jan 27 00:47:50 EST 2020
| Finish Time => Mon Jan 27 00:48:13 EST 2020
| Setup Duration => 1 ms
| Run Duration => 22 s 867 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 00:48:13 EST 2020
| Setup Time => Mon Jan 27 00:48:13 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-FEB-2021
Next Call Date : 01-FEB-2019 | 1.0475
Maturity Date : 01-FEB-2023 | 1.0
yield to call => 0.03935184277647596
z_spread => -0.007379537952712908
market value => 5.25E8
oad mult => 0.6085883195638476
libor duration => 3.562874761262436E-4
convexity => 1.431542004122409E-7
modified convexity => 1.431542004122409E-7
effective duration => 3.490886368958723E-4
yield to worst => 0.009499667053035604
tsy oas => -0.010611364165743037
macaulay duration => 5.40475700842232
mod dur to worst => 3.5056782390374686E-4
price => 1.0
ytm fwdcpn => 0.009499783525578266
discount margin => -0.0032470289820411783
cv01 => 2.1317018705935276E-4
effective duration adj => 2.124512669072931E-4
yield to maturity => 0.009499783525578266
oas => -0.011113011114836134
wal_adj => 3.507043839435232
mcconvexity => 1.4315420041224103E-7
mod dur => 5.436028465160003E-4
wal => 5.558333333333334
z_vol_oas => -0.009094159330347658
n-spread => -0.009530332946964395
mcoas => -0.007379537952712904
yield to put => 0.009499783525578266
treasury duration => 3.4908863623118737E-4
wal4 => 5.558333333333334
accrued$ => 2244375.000000015
wal3 => 2.025546448087432
i-spread => -0.009046022682253484
j-spread => -0.002690332946964396
wal2 => 3.509816528566533
wal to worst => 3.5583333333333336
mcduration => 3.4755425672938273E-4
nominal yield => 0.009499783525578266
spread dur => 0.034766752797221745
funding duration => 3.5064459180252636E-4
accrued => 0.004275000000000029
e-spread => -0.006496609640351013
accrued interest factor => 0.004275000000000029
spread dur $ => 1.8252545218541417E7
dv01 => 3.490886368958723E-4
yield to maturity cbe => 0.009499783525578266
funding kprd::fixfloat::05y => -6.60119378399604E-5
funding kprd::fixfloat::15y => -6.074967584535073E-10
funding kprd::fixfloat::03y => 1.5151440955429307E-4
funding kprd::fixfloat::25y => -3.1836183689293304E-11
funding kprd::fixfloat::09y => -5.742131294450559E-7
funding kprd::fixfloat::07y => -6.412081971857164E-6
funding kprd::deposit::pll => 5.61820034322702E-7
funding kprd::fixfloat::11y => -4.67747334365054E-8
funding kprd::bump => 3.5064459180252636E-4
funding kprd::fixfloat::06y => 2.0879882274299488E-5
funding kprd::deposit::2d => 5.61820034322702E-7
funding kprd::fixfloat::04y => 2.6930731019008113E-4
funding kprd::fixfloat::pll => 3.5134912412277953E-4
funding kprd::fixfloat::08y => 1.9373960919610857E-6
funding kprd::fixfloat::20y => 1.0679764295140615E-10
funding kprd::fixfloat::30y => 7.52244377899558E-12
funding kprd::fixfloat::40y => -8.797240713676047E-13
funding kprd::fixfloat::50y => 1.531053062109322E-13
funding kprd::fixfloat::02y => -1.942357019734109E-5
funding kprd::fixfloat::12y => 9.970485020938114E-9
funding kprd::fixfloat::10y => 1.6751537759152058E-7
funding kprd::futures::0 => -7.033157304547899E-7
funding kprd::futures::p => -1.2680230621620048E-6
funding kprd::futures::1 => -5.978633932923749E-8
funding kprd::futures::2 => -2.81833450055391E-7
funding kprd::futures::3 => -9.930720700213058E-8
funding kprd::futures::4 => -1.2602158339092284E-7
funding kprd::futures::5 => 2.2424037127155572E-9
funding kprd::base => 0.0
funding krd::fixfloat::05y => -6.60119378399604E-5
funding krd::fixfloat::15y => -6.074967584535073E-10
funding krd::fixfloat::03y => 1.5151440955429307E-4
funding krd::fixfloat::25y => -3.1836183689293304E-11
funding krd::fixfloat::09y => -5.742131294450559E-7
funding krd::fixfloat::07y => -6.412081971857164E-6
funding krd::deposit::pll => 5.61820034322702E-7
funding krd::fixfloat::11y => -4.67747334365054E-8
funding krd::bump => 3.5064459180252636E-4
funding krd::fixfloat::06y => 2.0879882274299488E-5
funding krd::deposit::2d => 5.61820034322702E-7
funding krd::fixfloat::04y => 2.6930731019008113E-4
funding krd::fixfloat::pll => 3.5134912412277953E-4
funding krd::fixfloat::08y => 1.9373960919610857E-6
funding krd::fixfloat::20y => 1.0679764295140615E-10
funding krd::fixfloat::30y => 7.52244377899558E-12
funding krd::fixfloat::40y => -8.797240713676047E-13
funding krd::fixfloat::50y => 1.531053062109322E-13
funding krd::fixfloat::02y => -1.942357019734109E-5
funding krd::fixfloat::12y => 9.970485020938114E-9
funding krd::fixfloat::10y => 1.6751537759152058E-7
funding krd::futures::0 => -7.033157304547899E-7
funding krd::futures::p => -1.2680230621620048E-6
funding krd::futures::1 => -5.978633932923749E-8
funding krd::futures::2 => -2.81833450055391E-7
funding krd::futures::3 => -9.930720700213058E-8
funding krd::futures::4 => -1.2602158339092284E-7
funding krd::futures::5 => 2.2424037127155572E-9
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.5423439188743123E-5
libor krd::tenor::2 => 2.4940471091178252E-5
libor krd::tenor::1 => 4.336593333033045E-5
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libor krd::tenor::0 => 5.583327915781311E-7
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libor krd::tenor::4 => 2.5359026316623677E-5
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govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.4908863623118737E-4
govvie kprd::tsy::10-jul-2022 => 9.850884437359597E-5
govvie kprd::tsy::10-jul-2020 => 2.505772191908562E-4
govvie kprd::base => 0.0
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libor kprd::tenor::2 => 2.4940471091178252E-5
libor kprd::tenor::1 => 4.336593333033045E-5
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libor kprd::tenor::0 => 5.583327915781311E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.200620336671345E-5
libor kprd::tenor::6 => 2.468120444824029E-5
libor kprd::tenor::5 => 2.501710429899662E-5
libor kprd::tenor::4 => 2.5359026316623677E-5
libor kprd::bump => 3.562874761262436E-4
libor kprd::tenor::9 => 5.552348994709022E-5
libor kprd::tenor::8 => 9.940886414718242E-5
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govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.4908863623118737E-4
govvie krd::tsy::10-jul-2022 => 9.850884437359597E-5
govvie krd::tsy::10-jul-2020 => 2.505772191908562E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:48:13 EST 2020
| Setup Time => Mon Jan 27 00:48:13 EST 2020
| Finish Time => Mon Jan 27 00:48:28 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 507 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 00:48:28 EST 2020
| Setup Time => Mon Jan 27 00:48:28 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-DEC-2026
Next Call Date : 01-DEC-2026 | 1.0
Maturity Date : 01-JUN-2027 | 1.0
yield to call => 0.05084388217319886
z_spread => 0.027423134035654866
market value => 5.314102856999999E8
oad mult => 0.5677715141224446
libor duration => 7.480642921804443E-4
convexity => 6.635171034622337E-7
modified convexity => 6.635171034622337E-7
effective duration => 7.360337596961331E-4
yield to worst => 0.05084388217319886
tsy oas => 0.027192248411415283
macaulay duration => 7.819635384174822
mod dur to worst => 7.4211307647924E-4
price => 1.012210068
ytm fwdcpn => 0.05090885019347821
discount margin => 0.038097186138122074
cv01 => 4.2636815169783127E-4
effective duration adj => 4.1789900218790904E-4
yield to maturity => 0.05090885019347863
oas => 0.027946011327820888
wal_adj => 8.055735115753345
mcconvexity => 6.635171034622334E-7
mod dur => 7.726030215789952E-4
wal => 9.891666666666666
z_vol_oas => 0.028098418901751864
n-spread => 0.027964882173198858
mcoas => 0.02742313403565485
yield to put => 0.05090885019347863
treasury duration => 7.36033754966934E-4
wal4 => 9.891666666666666
accrued$ => 2679687.4999999967
wal3 => 4.943574386276251
i-spread => 0.027772329532767728
j-spread => 0.03865388217319886
wal2 => 7.5819438105321035
wal to worst => 9.391666666666666
mcduration => 7.322819123457906E-4
nominal yield => 0.052495148475749036
spread dur => 0.07275994963171467
funding duration => 7.422149377937925E-4
accrued => 0.0051041666666666605
e-spread => 0.03487858433657823
accrued interest factor => 0.0051041666666666605
spread dur $ => 3.81989735566502E7
dv01 => 7.450207819523185E-4
yield to maturity cbe => 0.05090885019347863
funding kprd::fixfloat::05y => 1.2831843826130452E-5
funding kprd::fixfloat::15y => -9.622653965452033E-7
funding kprd::fixfloat::03y => 7.922905875465402E-6
funding kprd::fixfloat::25y => -5.042798784382629E-8
funding kprd::fixfloat::09y => 4.7094668222051606E-4
funding kprd::fixfloat::07y => 3.329037738369067E-5
funding kprd::deposit::pll => 5.265116277713977E-7
funding kprd::fixfloat::11y => -7.409045701436689E-5
funding kprd::bump => 7.402931817457103E-4
funding kprd::fixfloat::06y => 9.43250569951648E-6
funding kprd::deposit::2d => 5.265116277713977E-7
funding kprd::fixfloat::04y => 9.66555438491612E-6
funding kprd::fixfloat::pll => 7.363137014567839E-4
funding kprd::fixfloat::08y => -5.91305760198918E-5
funding kprd::fixfloat::20y => 1.6916577158243572E-7
funding kprd::fixfloat::30y => 1.1915446981869415E-8
funding kprd::fixfloat::40y => -1.3934581793995093E-9
funding kprd::fixfloat::50y => 2.4250526309277377E-10
funding kprd::fixfloat::02y => 5.046363784103058E-6
funding kprd::fixfloat::12y => 1.579309340267454E-5
funding kprd::fixfloat::10y => 3.0540042274819766E-4
funding kprd::futures::0 => 2.235012463938646E-6
funding kprd::futures::p => 3.449195993812659E-6
funding kprd::futures::1 => 1.1828280374603927E-8
funding kprd::futures::2 => 7.986415563404625E-7
funding kprd::futures::3 => 2.1673799191213038E-7
funding kprd::futures::4 => 2.835050940702688E-7
funding kprd::futures::5 => -9.653100737361253E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.2737252909288434E-5
funding krd::fixfloat::15y => -9.659578395413398E-7
funding krd::fixfloat::03y => 7.814402282985964E-6
funding krd::fixfloat::25y => -5.062149212577789E-8
funding krd::fixfloat::09y => 4.727310382938553E-4
funding krd::fixfloat::07y => 3.331542864257851E-5
funding krd::deposit::pll => 5.273610418129374E-7
funding krd::fixfloat::11y => -7.437475958111786E-5
funding krd::bump => 7.422149377937925E-4
funding krd::fixfloat::06y => 9.340260150677868E-6
funding krd::deposit::2d => 5.273610418129374E-7
funding krd::fixfloat::04y => 9.559517914566054E-6
funding krd::fixfloat::pll => 7.383041789748287E-4
funding krd::fixfloat::08y => -5.942334755908459E-5
funding krd::fixfloat::20y => 1.6981490121561668E-7
funding krd::fixfloat::30y => 1.19611694045573E-8
funding krd::fixfloat::40y => -1.3988052137999342E-9
funding krd::fixfloat::50y => 2.4343580940926714E-10
funding krd::fixfloat::02y => 4.976731730991399E-6
funding krd::fixfloat::12y => 1.585369529823529E-5
funding krd::fixfloat::10y => 3.0657196493753477E-4
funding krd::futures::0 => 2.1925660625857173E-6
funding krd::futures::p => 3.3796112576301682E-6
funding krd::futures::1 => 1.0430792883249256E-8
funding krd::futures::2 => 7.835072823360574E-7
funding krd::futures::3 => 2.1158628739475566E-7
funding krd::futures::4 => 2.778026908938541E-7
funding krd::futures::5 => -9.628343687954587E-8
funding krd::base => 0.0
libor krd::tenor::10 => 7.958482892897241E-5
libor krd::tenor::3 => 2.4476474375265507E-5
libor krd::tenor::2 => 2.404400186021622E-5
libor krd::tenor::1 => 4.264007389529789E-5
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libor krd::tenor::0 => 5.479250848728664E-7
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libor krd::tenor::7 => 2.940011551968463E-5
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libor krd::tenor::4 => 2.3939824725367354E-5
libor krd::bump => 7.480642921804443E-4
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libor krd::tenor::8 => 8.867589874327852E-5
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libor krd::tenor::13 => 6.797471633618264E-5
libor krd::tenor::14 => 6.451331626098735E-5
libor krd::tenor::11 => 7.550039781102293E-5
libor krd::tenor::12 => 7.182814487010333E-5
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libor krd::tenor::15 => 2.4609071957481197E-5
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govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 5.859628155403223E-4
govvie kprd::tsy::10-jul-2024 => 1.4816170039533006E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 7.341449883469603E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 7.935536581037684E-5
libor kprd::tenor::3 => 2.4450096909295338E-5
libor kprd::tenor::2 => 2.4019118201695778E-5
libor kprd::tenor::1 => 4.260714842628799E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.475158397383328E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.935067269858038E-5
libor kprd::tenor::6 => 2.2772824539313286E-5
libor kprd::tenor::5 => 2.3549190475108394E-5
libor kprd::tenor::4 => 2.390817509807519E-5
libor kprd::bump => 7.461328040836602E-4
libor kprd::tenor::9 => 8.368631879125676E-5
libor kprd::tenor::8 => 8.849598684861626E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 6.772558673542317E-5
libor kprd::tenor::14 => 6.426961349010884E-5
libor kprd::tenor::11 => 7.525771837237072E-5
libor kprd::tenor::12 => 7.15784566881067E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 2.4515254339418922E-5
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 5.874703178476725E-4
govvie krd::tsy::10-jul-2024 => 1.485428626274336E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 7.36033754966934E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/08 => 2017/12/01 | ? | USD | NONE | 5.25% | 0.4806 | 0.0252 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/12/01 => 2018/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/06/01 => 2018/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/12/01 => 2019/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/06/01 => 2019/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/12/01 => 2020/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/06/01 => 2020/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/12/01 => 2021/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/06/01 => 2021/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/12/01 => 2022/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/06/01 => 2022/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/12/01 => 2023/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/06/01 => 2023/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/12/01 => 2024/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/06/01 => 2024/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/12/01 => 2025/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2025/06/01 => 2025/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2025/12/01 => 2026/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2026/06/01 => 2026/12/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2026/12/01 => 2027/06/01 | ? | USD | NONE | 5.25% | 0.5000 | 0.0263 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/06/08 => 2027/06/01 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 100.00% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:48:28 EST 2020
| Setup Time => Mon Jan 27 00:48:28 EST 2020
| Finish Time => Mon Jan 27 00:48:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 21 s 248 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 00:48:49 EST 2020
| Setup Time => Mon Jan 27 00:48:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-JUL-2024
Next Call Date : 10-JUL-2024 | 1.0
Maturity Date : 10-JUL-2024 | 1.0
yield to call => 0.033058827206864684
z_spread => 0.011267500241996013
market value => 1.10297
oad mult => 0.6151001449412239
libor duration => 5.941644981165613E-4
convexity => 3.985071841395983E-7
modified convexity => 3.985071841395983E-7
effective duration => 5.840109221563761E-4
yield to worst => 0.033058827206864684
tsy oas => 0.011267500241996013
macaulay duration => 5.894869791232473
mod dur to worst => 5.87163885711847E-4
price => 1.10297
ytm fwdcpn => 0.033058827206864684
discount margin => 0.019928688925796002
cv01 => 3.986108512765707E-4
effective duration adj => 3.592252028656448E-4
yield to maturity => 0.033058827206864684
oas => 0.011725315637026905
wal_adj => 6.065738427397556
mod dur => 5.87163885711847E-4
wal => 6.844444444444445
z_vol_oas => 0.011725315637026905
n-spread => 0.011398827206864685
yield to put => 0.033058827206864684
treasury duration => 5.840109222184718E-4
wal4 => 6.844444444444445
accrued$ => 0.008472222222222192
wal3 => 3.6683080808080817
i-spread => 0.011515102984996917
j-spread => 0.020868827206864685
wal2 => 5.97881101867071
wal to worst => 6.844444444444445
nominal yield => 0.049988488959774
spread dur => 0.05793327279056112
funding duration => 5.873569390550786E-4
accrued => 0.008472222222222192
e-spread => 0.016790564122839254
accrued interest factor => 0.008472222222222192
spread dur $ => 0.05793327279056112
dv01 => 6.441465268108182E-4
yield to maturity cbe => 0.033058827206864684
funding kprd::fixfloat::05y => -5.441961522087424E-6
funding kprd::fixfloat::15y => 1.8549973654358176E-8
funding kprd::fixfloat::03y => 6.634563018223516E-6
funding kprd::fixfloat::25y => 9.721567800768937E-10
funding kprd::fixfloat::09y => 1.7530923839589874E-5
funding kprd::fixfloat::07y => 5.094629736357465E-4
funding kprd::deposit::pll => 5.287820997595949E-7
funding kprd::fixfloat::11y => 1.4281444434299794E-6
funding kprd::bump => 5.770683364487633E-4
funding kprd::fixfloat::06y => 8.967204335763312E-5
funding kprd::deposit::2d => 5.287820997595949E-7
funding kprd::fixfloat::04y => 1.3286516363178457E-5
funding kprd::fixfloat::pll => 5.735211998049189E-4
funding kprd::fixfloat::08y => -5.914601438044842E-5
funding kprd::fixfloat::20y => -3.2611759265277485E-9
funding kprd::fixfloat::30y => -2.297068674161906E-10
funding kprd::fixfloat::40y => 2.686283695485514E-11
funding kprd::fixfloat::50y => -4.675029807721387E-12
funding kprd::fixfloat::02y => 5.481585913966191E-6
funding kprd::fixfloat::12y => -3.044399771529038E-7
funding kprd::fixfloat::10y => -5.11453356493996E-6
funding kprd::futures::0 => 1.2265509669345808E-6
funding kprd::futures::p => 3.0154775451901593E-6
funding kprd::futures::1 => 5.463993633131325E-7
funding kprd::futures::2 => 7.378035845301279E-7
funding kprd::futures::3 => 2.3381215750462037E-7
funding kprd::futures::4 => 3.739962420507004E-7
funding kprd::futures::5 => -1.0308720200524757E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -6.1891753657417E-6
funding krd::fixfloat::15y => 1.899876122434509E-8
funding krd::fixfloat::03y => 5.976646313844827E-6
funding krd::fixfloat::25y => 9.956765841671737E-10
funding krd::fixfloat::09y => 1.795505720378511E-5
funding krd::fixfloat::07y => 5.217911811044588E-4
funding krd::deposit::pll => 5.361324728141603E-7
funding krd::fixfloat::11y => 1.4626961631047946E-6
funding krd::bump => 5.873569390550786E-4
funding krd::fixfloat::06y => 9.152843687507642E-5
funding krd::deposit::2d => 5.361324728141603E-7
funding krd::fixfloat::04y => 1.2844028018286946E-5
funding krd::fixfloat::pll => 5.842693055210916E-4
funding krd::fixfloat::08y => -6.057695808177808E-5
funding krd::fixfloat::20y => -3.3400749720798257E-9
funding krd::fixfloat::30y => -2.3526425817677825E-10
funding krd::fixfloat::40y => 2.7512739178834786E-11
funding krd::fixfloat::50y => -4.788130588037912E-12
funding krd::fixfloat::02y => 4.994982934119728E-6
funding krd::fixfloat::12y => -3.118054257378282E-7
funding krd::fixfloat::10y => -5.238271687527875E-6
funding krd::futures::0 => 1.0616852432422132E-6
funding krd::futures::p => 2.548539585141378E-6
funding krd::futures::1 => 4.4830548221043776E-7
funding krd::futures::2 => 6.444880189424164E-7
funding krd::futures::3 => 1.7806061991285407E-7
funding krd::futures::4 => 3.303675463234196E-7
funding krd::futures::5 => -1.1436939023381869E-7
funding krd::base => 0.0
libor krd::tenor::10 => 8.209892652409853E-5
libor krd::tenor::3 => 2.4894806218931004E-5
libor krd::tenor::2 => 2.452072152931235E-5
libor krd::tenor::1 => 2.713962317798039E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.539261964707989E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.488261371099856E-5
libor krd::tenor::6 => 2.340455725673824E-5
libor krd::tenor::5 => 2.405917404313419E-5
libor krd::tenor::4 => 2.4481107436132925E-5
libor krd::bump => 5.941644981165613E-4
libor krd::tenor::9 => 8.615045012027103E-5
libor krd::tenor::8 => 9.059814964044487E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 7.819845666756285E-5
libor krd::tenor::12 => 6.316239572532636E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 5.73824478865767E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 4.552763966005069E-5
govvie kprd::tsy::06-sep-2024 => 5.282925989359727E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 8.033339844937537E-5
libor kprd::tenor::3 => 2.4653084525833035E-5
libor kprd::tenor::2 => 2.4298266446065586E-5
libor kprd::tenor::1 => 2.693505275668251E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.497508665075479E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.42450705794184E-5
libor kprd::tenor::6 => 2.309842339662249E-5
libor kprd::tenor::5 => 2.377661926322716E-5
libor kprd::tenor::4 => 2.4207357229050208E-5
libor kprd::bump => 5.837680608138162E-4
libor kprd::tenor::9 => 8.447901768511568E-5
libor kprd::tenor::8 => 8.909110985502455E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 7.64072678344524E-5
libor kprd::tenor::12 => 6.167480511335144E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 5.840109222184718E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 4.633580695266667E-5
govvie krd::tsy::06-sep-2024 => 5.376707098857699E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:48:49 EST 2020
| Setup Time => Mon Jan 27 00:48:49 EST 2020
| Finish Time => Mon Jan 27 00:49:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 502 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 00:49:04 EST 2020
| Setup Time => Mon Jan 27 00:49:04 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-OCT-2017
Next Call Date : 01-OCT-2017 | 1.02313
Maturity Date : 15-JAN-2022 | 1.0
yield to call => -0.003832241009945212
z_spread => -0.02871024350454035
market value => 1.02846
oad mult => 0.13520102429953698
libor duration => 8.762387745041385E-6
convexity => 3.2591031377490265E-9
modified convexity => 3.2591031377490265E-9
effective duration => 3.750800787498554E-5
yield to worst => -0.003832241009945212
tsy oas => 0.020813166068261515
macaulay duration => 3.992805459662975
mod dur to worst => 8.648404298979933E-6
price => 1.02846
ytm fwdcpn => 0.03909463182164667
discount margin => -0.016931124214758772
cv01 => 5.21585215373932E-6
effective duration adj => 5.0711210841331445E-6
yield to maturity => 0.03909463182164667
oas => 0.01980972224855589
wal_adj => 0.08333333333333334
mcconvexity => 6.371508895915564E-8
mod dur => 3.951878208482577E-4
wal => 4.372222222222222
z_vol_oas => -0.029683398349732912
n-spread => -0.020242241009945212
mcoas => 0.01790136032001489
yield to put => 0.03909463182164667
treasury duration => 8.729288173788418E-6
wal4 => 4.372222222222222
accrued$ => 0.006680555555555573
wal3 => 0.08333333333333334
i-spread => -0.020242241009945212
j-spread => -0.01602224100994521
wal2 => 0.08333333333333334
wal to worst => 0.08333333333333334
mcduration => 2.213113744429457E-4
nominal yield => 0.04623719080508295
spread dur => 8.723979902723102E-4
funding duration => 8.750164196880865E-6
accrued => 0.006680555555555573
e-spread => -0.029683398349732912
accrued interest factor => 0.006680555555555573
spread dur $ => 8.723979902723102E-4
dv01 => 3.857548577910763E-5
yield to maturity cbe => 0.03909463182164667
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 7.419036085237751E-6
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 9.656973356397814E-6
funding kprd::futures::p => 7.419036085237751E-6
funding kprd::futures::1 => -2.8309839073203947E-6
funding kprd::futures::2 => 7.512436133894073E-7
funding kprd::futures::3 => -2.0044485007919555E-7
funding kprd::futures::4 => 5.279311473538328E-8
funding kprd::futures::5 => -1.0544596040773512E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 8.750164196880865E-6
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 1.1375122293267888E-5
funding krd::futures::p => 8.750164196880865E-6
funding krd::futures::1 => -3.320799305257364E-6
funding krd::futures::2 => 8.814604239662761E-7
funding krd::futures::3 => -2.3518895485601784E-7
funding krd::futures::4 => 6.194400860353569E-8
funding krd::futures::5 => -1.2372343457260145E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 0.0
libor krd::tenor::2 => 8.31579172288653E-8
libor krd::tenor::1 => 8.113984577664268E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.652514875665761E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 8.762387745041385E-6
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 7.401754881247724E-6
govvie kprd::bump => 7.401754881247724E-6
govvie kprd::tsy::01-sep-2020 => 0.0
govvie kprd::tsy::01-sep-2022 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 0.0
libor kprd::tenor::2 => 6.444346571932158E-8
libor kprd::tenor::1 => 6.8845315860488475E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 4.806601067164351E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 7.429631150435156E-6
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 8.729288173788418E-6
govvie krd::bump => 8.729288173788418E-6
govvie krd::tsy::01-sep-2020 => 0.0
govvie krd::tsy::01-sep-2022 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:49:04 EST 2020
| Setup Time => Mon Jan 27 00:49:04 EST 2020
| Finish Time => Mon Jan 27 00:49:21 EST 2020
| Setup Duration => 0 ms
| Run Duration => 16 s 883 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 00:49:21 EST 2020
| Setup Time => Mon Jan 27 00:49:21 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-DEC-2025
Next Call Date : 15-DEC-2025 | 1.0
Maturity Date : 15-DEC-2025 | 1.0
yield to call => -1.0856405340621927E-12
z_spread => -0.022850174232864853
market value => 1.0
oad mult => 0.6317727658839287
libor duration => 8.543105437124859E-4
convexity => 7.31837412892844E-7
modified convexity => 7.31837412892844E-7
effective duration => 8.430991266563492E-4
yield to worst => -1.0856405340621927E-12
tsy oas => -0.022850174232864853
macaulay duration => 8.430555555555555
mod dur to worst => 8.46697960187992E-4
price => 1.0
ytm fwdcpn => -1.0856405340621927E-12
discount margin => -0.012746696036162422
cv01 => 5.370195688545465E-4
effective duration adj => 5.326470671620065E-4
yield to maturity => -1.0856405340621927E-12
oas => -0.022721507207282683
wal_adj => 8.430555555555555
mod dur => 8.46697960187992E-4
wal => 8.430555555555555
z_vol_oas => -0.022721507207282683
n-spread => -0.022307000001085642
yield to put => -1.0856405340621927E-12
treasury duration => 8.430991318950698E-4
wal4 => 8.430555555555555
accrued$ => 0.0
wal3 => 0.0
i-spread => -0.022562603046030073
j-spread => -0.01219000000108564
wal2 => 8.430555555555555
wal to worst => 8.430555555555555
nominal yield => -1.0856405340621927E-12
spread dur => 0.08357803403181818
funding duration => 8.471227562272477E-4
accrued => 0.0
e-spread => -0.01594383918532305
accrued interest factor => 0.0
spread dur $ => 0.08357803403181818
dv01 => 8.430991266563492E-4
yield to maturity cbe => -1.1169539250360634E-12
funding kprd::fixfloat::05y => -1.7762597789230948E-5
funding kprd::fixfloat::15y => 4.4373163520516903E-7
funding kprd::fixfloat::03y => -7.81874716668518E-6
funding kprd::fixfloat::25y => 2.325397280567021E-8
funding kprd::fixfloat::09y => 4.960731063778729E-4
funding kprd::fixfloat::07y => -1.246705888298616E-4
funding kprd::deposit::pll => 5.781969844687041E-7
funding kprd::fixfloat::11y => 3.416549916213929E-5
funding kprd::bump => 8.471227562272477E-4
funding kprd::fixfloat::06y => 1.0495211071223642E-5
funding kprd::deposit::2d => 5.781969844687041E-7
funding kprd::fixfloat::04y => -8.125092491645391E-6
funding kprd::fixfloat::pll => 8.501301915765841E-4
funding kprd::fixfloat::08y => 6.002617666117788E-4
funding kprd::fixfloat::20y => -7.800779779632005E-8
funding kprd::fixfloat::30y => -5.494597013488978E-9
funding kprd::fixfloat::40y => 6.425684984101565E-10
funding kprd::fixfloat::50y => -1.1182691994626736E-10
funding kprd::fixfloat::02y => -3.273296001210513E-6
funding kprd::fixfloat::12y => -7.282705230254871E-6
funding kprd::fixfloat::10y => -1.2235764671978677E-4
funding kprd::futures::0 => -1.956075505782362E-6
funding kprd::futures::p => -3.5901229148621593E-6
funding kprd::futures::1 => -1.731138656563269E-7
funding kprd::futures::2 => -7.403428971264336E-7
funding kprd::futures::3 => -3.3729069631449614E-7
funding kprd::futures::4 => -3.1885584639568255E-7
funding kprd::futures::5 => -6.44403929106474E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.7762597789230948E-5
funding krd::fixfloat::15y => 4.4373163520516903E-7
funding krd::fixfloat::03y => -7.81874716668518E-6
funding krd::fixfloat::25y => 2.325397280567021E-8
funding krd::fixfloat::09y => 4.960731063778729E-4
funding krd::fixfloat::07y => -1.246705888298616E-4
funding krd::deposit::pll => 5.781969844687041E-7
funding krd::fixfloat::11y => 3.416549916213929E-5
funding krd::bump => 8.471227562272477E-4
funding krd::fixfloat::06y => 1.0495211071223642E-5
funding krd::deposit::2d => 5.781969844687041E-7
funding krd::fixfloat::04y => -8.125092491645391E-6
funding krd::fixfloat::pll => 8.501301915765841E-4
funding krd::fixfloat::08y => 6.002617666117788E-4
funding krd::fixfloat::20y => -7.800779779632005E-8
funding krd::fixfloat::30y => -5.494597013488978E-9
funding krd::fixfloat::40y => 6.425684984101565E-10
funding krd::fixfloat::50y => -1.1182691994626736E-10
funding krd::fixfloat::02y => -3.273296001210513E-6
funding krd::fixfloat::12y => -7.282705230254871E-6
funding krd::fixfloat::10y => -1.2235764671978677E-4
funding krd::futures::0 => -1.956075505782362E-6
funding krd::futures::p => -3.5901229148621593E-6
funding krd::futures::1 => -1.731138656563269E-7
funding krd::futures::2 => -7.403428971264336E-7
funding krd::futures::3 => -3.3729069631449614E-7
funding krd::futures::4 => -3.1885584639568255E-7
funding krd::futures::5 => -6.44403929106474E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.0119751428356306E-4
libor krd::tenor::3 => 2.5560238672298063E-5
libor krd::tenor::2 => 2.5011120866030856E-5
libor krd::tenor::1 => 4.3366119409302126E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.560323511510922E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.248624463968453E-5
libor krd::tenor::6 => 2.498778058580009E-5
libor krd::tenor::5 => 2.5271711574181843E-5
libor krd::tenor::4 => 2.55548295667235E-5
libor krd::bump => 8.543105437124859E-4
libor krd::tenor::9 => 1.0123779773535957E-4
libor krd::tenor::8 => 1.0156285493073124E-4
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 1.0112137877750227E-4
libor krd::tenor::14 => 4.37653977674396E-5
libor krd::tenor::11 => 1.0116568829103E-4
libor krd::tenor::12 => 1.0141794715105845E-4
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 4.0266964081907275E-4
govvie kprd::tsy::10-jul-2024 => 4.403968780514439E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 8.430991318950698E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 1.0119751428356306E-4
libor kprd::tenor::3 => 2.5560238672298063E-5
libor kprd::tenor::2 => 2.5011120866030856E-5
libor kprd::tenor::1 => 4.3366119409302126E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.560323511510922E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.248624463968453E-5
libor kprd::tenor::6 => 2.498778058580009E-5
libor kprd::tenor::5 => 2.5271711574181843E-5
libor kprd::tenor::4 => 2.55548295667235E-5
libor kprd::bump => 8.543105437124859E-4
libor kprd::tenor::9 => 1.0123779773535957E-4
libor kprd::tenor::8 => 1.0156285493073124E-4
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 1.0112137877750227E-4
libor kprd::tenor::14 => 4.37653977674396E-5
libor kprd::tenor::11 => 1.0116568829103E-4
libor kprd::tenor::12 => 1.0141794715105845E-4
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 4.0266964081907275E-4
govvie krd::tsy::10-jul-2024 => 4.403968780514439E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 8.430991318950698E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:49:21 EST 2020
| Setup Time => Mon Jan 27 00:49:21 EST 2020
| Finish Time => Mon Jan 27 00:49:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 s 377 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 00:49:32 EST 2020
| Setup Time => Mon Jan 27 00:49:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Price In : 0.955
Yield Out : 0.13838052167459897
Price Out : 0.9550000000000108
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/12/22 => 2017/10/01 | ? | USD | NONE | 12.50% | 0.7750 | 0.0969 | 0.0000 | 0.9989 | 1.0000 | 100% ||
|| 2017/10/01 => 2018/04/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9917 | 1.0000 | 100% ||
|| 2018/04/01 => 2018/10/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9836 | 1.0000 | 100% ||
|| 2018/10/01 => 2019/04/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9753 | 1.0000 | 100% ||
|| 2019/04/01 => 2019/10/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9664 | 1.0000 | 100% ||
|| 2019/10/01 => 2020/04/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9566 | 1.0000 | 100% ||
|| 2020/04/01 => 2020/10/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9464 | 1.0000 | 100% ||
|| 2020/10/01 => 2021/04/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9359 | 1.0000 | 100% ||
|| 2021/04/01 => 2021/10/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9252 | 1.0000 | 100% ||
|| 2021/10/01 => 2022/04/01 | ? | USD | NONE | 12.50% | 0.5000 | 0.0625 | 0.0000 | 0.9142 | 1.0000 | 100% ||
|| 2016/12/22 => 2022/04/01 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9142 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
Workout : 01-APR-2022
Next Call Date : 01-APR-2022 | 1.0
Maturity Date : 01-APR-2022 | 1.0
yield to call => 0.13838052167459897
z_spread => 0.11973779563784463
market value => 7.1625E8
oad mult => 0.5466268481036448
libor duration => 3.4310017099519467E-4
convexity => 1.345155635342458E-7
modified convexity => 1.345155635342458E-7
effective duration => 3.3734750010156004E-4
yield to worst => 0.13838052167459897
tsy oas => 0.11973779563784463
macaulay duration => 3.3074072678858943
mod dur to worst => 3.381355597154198E-4
price => 0.955
ytm fwdcpn => 0.13838052167459897
discount margin => 0.1252816384697854
cv01 => 1.7675857540822015E-4
effective duration adj => 1.8440320069615975E-4
yield to maturity => 0.13838052167459897
oas => 0.11924628274894691
wal_adj => 3.928357208246379
mod dur => 3.381355597154198E-4
wal => 4.583333333333334
z_vol_oas => 0.11924628274894691
n-spread => 0.11834552167459897
yield to put => 0.13838052167459897
treasury duration => 3.3734750011528956E-4
wal4 => 4.583333333333334
accrued$ => 6.640625000000004E7
wal3 => 2.537878787878788
i-spread => 0.1187643767576119
j-spread => 0.12619052167459896
wal2 => 3.4747352742266795
wal to worst => 4.583333333333334
nominal yield => 0.1248213348181743
spread dur => 0.0335532125364178
funding duration => 3.381561637319058E-4
accrued => 0.08854166666666671
e-spread => 0.12217618820367926
accrued interest factor => 0.08854166666666671
spread dur $ => 2.5164909402313348E7
dv01 => 3.221668625969898E-4
yield to maturity cbe => 0.13838052167459897
funding kprd::fixfloat::05y => 2.0263572313640454E-4
funding kprd::fixfloat::15y => 1.3658863456944558E-9
funding kprd::fixfloat::03y => -1.4142307066838943E-6
funding kprd::fixfloat::25y => 7.158256487560522E-11
funding kprd::fixfloat::09y => 1.2908527815796989E-6
funding kprd::fixfloat::07y => 1.441267595444773E-5
funding kprd::deposit::pll => 1.1857154219946376E-6
funding kprd::fixfloat::11y => 1.0515834746593899E-7
funding kprd::bump => 3.426480830377804E-4
funding kprd::fixfloat::06y => -4.693070344164163E-5
funding kprd::deposit::2d => 1.1857154219946376E-6
funding kprd::fixfloat::04y => 1.4505029475372634E-4
funding kprd::fixfloat::pll => 3.34178629368323E-4
funding kprd::fixfloat::08y => -4.35509447245519E-6
funding kprd::fixfloat::20y => -2.401293802689608E-10
funding kprd::fixfloat::30y => -1.6913939693274927E-11
funding kprd::fixfloat::40y => 1.9779927695751098E-12
funding kprd::fixfloat::50y => -3.4422742434259136E-13
funding kprd::fixfloat::02y => 2.377891378216035E-5
funding kprd::fixfloat::12y => -2.241677794223573E-8
funding kprd::fixfloat::10y => -3.765978022346461E-7
funding kprd::futures::0 => 3.514407292884436E-6
funding kprd::futures::p => 7.282223168450508E-6
funding kprd::futures::1 => 1.7809108385752337E-6
funding kprd::futures::2 => 1.2313021561599636E-6
funding kprd::futures::3 => 9.594879686242174E-7
funding kprd::futures::4 => 1.0324262714189736E-8
funding kprd::futures::5 => -2.1421228415252624E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.9885714472663577E-4
funding krd::fixfloat::15y => 1.3403446648095437E-9
funding krd::fixfloat::03y => -9.997089600821044E-7
funding krd::fixfloat::25y => 7.024399096129944E-11
funding krd::fixfloat::09y => 1.2667142178111872E-6
funding krd::fixfloat::07y => 1.4143163132002291E-5
funding krd::deposit::pll => 1.171980031794737E-6
funding krd::fixfloat::11y => 1.0319191762866548E-7
funding krd::bump => 3.381561637319058E-4
funding krd::fixfloat::06y => -4.6053114140866566E-5
funding krd::deposit::2d => 1.171980031794737E-6
funding krd::fixfloat::04y => 1.4260360403720916E-4
funding krd::fixfloat::pll => 3.2938439891384613E-4
funding krd::fixfloat::08y => -4.2736555073981715E-6
funding krd::fixfloat::20y => -2.356390242906967E-10
funding krd::fixfloat::30y => -1.659764821219432E-11
funding krd::fixfloat::40y => 1.9410069828323562E-12
funding krd::fixfloat::50y => -3.377926210996949E-13
funding krd::fixfloat::02y => 2.4124673738992467E-5
funding krd::fixfloat::12y => -2.1997590857642814E-8
funding krd::fixfloat::10y => -3.695555353589072E-7
funding krd::futures::0 => 3.658648899268276E-6
funding krd::futures::p => 7.598305799546993E-6
funding krd::futures::1 => 1.853630197560398E-6
funding krd::futures::2 => 1.281931999534713E-6
funding krd::futures::3 => 9.989130407423612E-7
funding krd::futures::4 => 1.8316707371323425E-8
funding krd::futures::5 => -2.1313806608525E-7
funding krd::base => 0.0
libor krd::tenor::10 => 3.350363723491103E-5
libor krd::tenor::3 => 2.25983271891602E-5
libor krd::tenor::2 => 2.3276336381196252E-5
libor krd::tenor::1 => 2.738130317863051E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.699326646807995E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.660236235908532E-5
libor krd::tenor::6 => 2.0493508653058728E-5
libor krd::tenor::5 => 2.0963803159433748E-5
libor krd::tenor::4 => 2.2324086257131722E-5
libor krd::bump => 3.4310017099519467E-4
libor krd::tenor::9 => 6.338561252083351E-5
libor krd::tenor::8 => 7.199777134232383E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 0.0
govvie kprd::bump => 3.4182202725721865E-4
govvie kprd::tsy::01-sep-2020 => 7.164114337566418E-5
govvie kprd::tsy::01-sep-2022 => 2.701783849873601E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 3.413321536796799E-5
libor kprd::tenor::3 => 2.279610278628219E-5
libor kprd::tenor::2 => 2.3432977119597354E-5
libor kprd::tenor::1 => 2.7532819509348826E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.714286245406264E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.708888249764064E-5
libor kprd::tenor::6 => 2.0729273389741287E-5
libor kprd::tenor::5 => 2.1196189231220684E-5
libor kprd::tenor::4 => 2.2530362577460883E-5
libor kprd::bump => 3.476598214134624E-4
libor kprd::tenor::9 => 6.452167445093748E-5
libor kprd::tenor::8 => 7.312329130369221E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 0.0
govvie krd::bump => 3.3734750011528956E-4
govvie krd::tsy::01-sep-2020 => 7.07033606278226E-5
govvie krd::tsy::01-sep-2022 => 2.666417127796735E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:49:32 EST 2020
| Setup Time => Mon Jan 27 00:49:32 EST 2020
| Finish Time => Mon Jan 27 00:49:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 445 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 00:49:46 EST 2020
| Setup Time => Mon Jan 27 00:49:46 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-NOV-2030
Next Call Date : 15-NOV-2030 | 1.0
Maturity Date : 15-NOV-2030 | 1.0
yield to call => -1.732485391207584E-12
z_spread => -0.024781850534417494
market value => 1.448E9
oad mult => 0.6582658327790016
libor duration => 0.001357444089990234
convexity => 1.8482660979479704E-6
modified convexity => 1.8482660979479704E-6
effective duration => 0.0013348990090852747
yield to worst => -1.732485391207584E-12
tsy oas => -0.024781850534417494
macaulay duration => 13.347222222222221
mod dur to worst => 0.0013563631283067812
price => 1.0
ytm fwdcpn => -1.732485391207584E-12
discount margin => -0.012746696036809268
cv01 => 8.903487842059077E-4
effective duration adj => 8.787184078913824E-4
yield to maturity => -1.732485391207584E-12
oas => -0.024943774949880898
wal_adj => 13.34722222222222
mod dur => 0.0013563631283067812
wal => 13.347222222222221
z_vol_oas => -0.024943774949880898
n-spread => -0.024172000001732485
yield to put => -1.732485391207584E-12
treasury duration => 0.0013348990090646662
wal4 => 13.347222222222221
accrued$ => 0.0
wal3 => 0.0
i-spread => -0.02448025120073034
j-spread => -0.012190000001732485
wal2 => 13.347222222222221
wal to worst => 13.347222222222221
nominal yield => -1.732485391207584E-12
spread dur => 0.13164154974587228
funding duration => 0.0013574955244773008
accrued => 0.0
e-spread => -0.015974812941453257
accrued interest factor => 0.0
spread dur $ => 1.9061696403202307E8
dv01 => 0.0013348990090852747
yield to maturity cbe => -1.732485391207584E-12
funding kprd::fixfloat::05y => -1.3699291094523835E-5
funding kprd::fixfloat::15y => 6.889042407791091E-4
funding kprd::fixfloat::03y => -8.503570262743954E-6
funding kprd::fixfloat::25y => 2.7928034299706807E-5
funding kprd::fixfloat::09y => -7.722869188548087E-5
funding kprd::fixfloat::07y => -2.2211135870314756E-5
funding kprd::deposit::pll => 5.843414344702813E-7
funding kprd::fixfloat::11y => -8.86823333531378E-4
funding kprd::bump => 0.0013574955244773008
funding kprd::fixfloat::06y => -1.562091324494308E-5
funding kprd::deposit::2d => 5.843414344702813E-7
funding kprd::fixfloat::04y => -1.0466996763444647E-5
funding kprd::fixfloat::pll => 0.0013609316179082453
funding kprd::fixfloat::08y => -9.586178554532587E-6
funding kprd::fixfloat::20y => -9.368739190061259E-5
funding kprd::fixfloat::30y => -6.5990140065336215E-6
funding kprd::fixfloat::40y => 7.717251668176717E-7
funding kprd::fixfloat::50y => -1.343042900697755E-7
funding kprd::fixfloat::02y => -3.709811306565336E-6
funding kprd::fixfloat::12y => 0.00160823776937912
funding kprd::fixfloat::10y => 1.8318936712858057E-4
funding kprd::futures::0 => -2.194424205054224E-6
funding kprd::futures::p => -4.027573938797379E-6
funding kprd::futures::1 => -1.9420719399865227E-7
funding kprd::futures::2 => -8.305497816996077E-7
funding kprd::futures::3 => -3.7839080641588476E-7
funding kprd::futures::4 => -3.577070257998471E-7
funding kprd::futures::5 => -7.2292116190531E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.3699291094523835E-5
funding krd::fixfloat::15y => 6.889042407791091E-4
funding krd::fixfloat::03y => -8.503570262743954E-6
funding krd::fixfloat::25y => 2.7928034299706807E-5
funding krd::fixfloat::09y => -7.722869188548087E-5
funding krd::fixfloat::07y => -2.2211135870314756E-5
funding krd::deposit::pll => 5.843414344702813E-7
funding krd::fixfloat::11y => -8.86823333531378E-4
funding krd::bump => 0.0013574955244773008
funding krd::fixfloat::06y => -1.562091324494308E-5
funding krd::deposit::2d => 5.843414344702813E-7
funding krd::fixfloat::04y => -1.0466996763444647E-5
funding krd::fixfloat::pll => 0.0013609316179082453
funding krd::fixfloat::08y => -9.586178554532587E-6
funding krd::fixfloat::20y => -9.368739190061259E-5
funding krd::fixfloat::30y => -6.5990140065336215E-6
funding krd::fixfloat::40y => 7.717251668176717E-7
funding krd::fixfloat::50y => -1.343042900697755E-7
funding krd::fixfloat::02y => -3.709811306565336E-6
funding krd::fixfloat::12y => 0.00160823776937912
funding krd::fixfloat::10y => 1.8318936712858057E-4
funding krd::futures::0 => -2.194424205054224E-6
funding krd::futures::p => -4.027573938797379E-6
funding krd::futures::1 => -1.9420719399865227E-7
funding krd::futures::2 => -8.305497816996077E-7
funding krd::futures::3 => -3.7839080641588476E-7
funding krd::futures::4 => -3.577070257998471E-7
funding krd::futures::5 => -7.2292116190531E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.0161550230832206E-4
libor krd::tenor::3 => 2.5665812833725044E-5
libor krd::tenor::2 => 2.511442694687893E-5
libor krd::tenor::1 => 4.3545239164935466E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.583289894972588E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.26204260377827E-5
libor krd::tenor::6 => 2.5090990261578126E-5
libor krd::tenor::5 => 2.5376094000939542E-5
libor krd::tenor::4 => 2.5660381386227726E-5
libor krd::bump => 0.001357444089990234
libor krd::tenor::9 => 1.01655952148616E-4
libor krd::tenor::8 => 1.0198235197375616E-4
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 1.0153905232859472E-4
libor krd::tenor::14 => 1.0152129429575884E-4
libor krd::tenor::11 => 1.0158354486014542E-4
libor krd::tenor::12 => 1.0183684566056339E-4
libor krd::tenor::17 => 1.0150305157932693E-4
libor krd::tenor::18 => 1.3707255614073542E-4
libor krd::tenor::15 => 1.0151328949865312E-4
libor krd::tenor::16 => 1.0177355922645348E-4
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 4.4722811190684163E-4
govvie kprd::tsy::10-jul-2027 => 8.875527327726646E-4
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 0.0013348990090646662
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 1.0161550230832206E-4
libor kprd::tenor::3 => 2.5665812833725044E-5
libor kprd::tenor::2 => 2.511442694687893E-5
libor kprd::tenor::1 => 4.3545239164935466E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.583289894972588E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.26204260377827E-5
libor kprd::tenor::6 => 2.5090990261578126E-5
libor kprd::tenor::5 => 2.5376094000939542E-5
libor kprd::tenor::4 => 2.5660381386227726E-5
libor kprd::bump => 0.001357444089990234
libor kprd::tenor::9 => 1.01655952148616E-4
libor kprd::tenor::8 => 1.0198235197375616E-4
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 1.0153905232859472E-4
libor kprd::tenor::14 => 1.0152129429575884E-4
libor kprd::tenor::11 => 1.0158354486014542E-4
libor kprd::tenor::12 => 1.0183684566056339E-4
libor kprd::tenor::17 => 1.0150305157932693E-4
libor kprd::tenor::18 => 1.3707255614073542E-4
libor kprd::tenor::15 => 1.0151328949865312E-4
libor kprd::tenor::16 => 1.0177355922645348E-4
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 4.4722811190684163E-4
govvie krd::tsy::10-jul-2027 => 8.875527327726646E-4
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 0.0013348990090646662
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:49:46 EST 2020
| Setup Time => Mon Jan 27 00:49:46 EST 2020
| Finish Time => Mon Jan 27 00:49:58 EST 2020
| Setup Duration => 0 ms
| Run Duration => 11 s 829 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 00:49:58 EST 2020
| Setup Time => Mon Jan 27 00:49:58 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
Workout : 15-FEB-2025
Next Call Date : 15-FEB-2025 | 1.0
Maturity Date : 15-FEB-2025 | 1.0
yield to call => 0.0687341706870587
z_spread => 0.04648505525914349
market value => 5.25E8
oad mult => 0.5603871888684917
libor duration => 5.828473915772264E-4
convexity => 4.0101707020860456E-7
modified convexity => 4.0101707020860456E-7
effective duration => 5.728762606091231E-4
yield to worst => 0.0687341706870587
tsy oas => 0.04648505525914349
macaulay duration => 5.8860836687482685
mod dur to worst => 5.765936978980868E-4
price => 1.0
ytm fwdcpn => 0.0687341706870587
discount margin => 0.056113559019640574
cv01 => 3.2302206292489366E-4
effective duration adj => 3.210325172522399E-4
yield to maturity => 0.0687341706870587
oas => 0.04719322440267573
wal_adj => 6.359558714479556
mod dur => 5.765936978980868E-4
wal => 7.402777777777778
z_vol_oas => 0.04719322440267573
n-spread => 0.0470741706870587
yield to put => 0.0687341706870587
treasury duration => 5.729618609789655E-4
wal4 => 7.402777777777778
accrued$ => 4010416.6666666716
wal3 => 3.948744006670836
i-spread => 0.0468044275937648
j-spread => 0.0565441706870587
wal2 => 5.875685970563498
wal to worst => 7.402777777777778
nominal yield => 0.0687341706870587
spread dur => 0.05678033508174196
funding duration => 5.766423639025908E-4
accrued => 0.007638888888888898
e-spread => 0.052862708546303185
accrued interest factor => 0.007638888888888898
spread dur $ => 2.980967591791453E7
dv01 => 5.728762606091231E-4
yield to maturity cbe => 0.0687341706870587
funding kprd::fixfloat::05y => 2.9388271721192405E-5
funding kprd::fixfloat::15y => -6.547618998653526E-8
funding kprd::fixfloat::03y => 1.2488162824558779E-5
funding kprd::fixfloat::25y => -3.431322881386478E-9
funding kprd::fixfloat::09y => -6.188273446123272E-5
funding kprd::fixfloat::07y => 3.496178755660717E-4
funding kprd::deposit::pll => 5.094669027039256E-7
funding kprd::fixfloat::11y => -5.0411039263065225E-6
funding kprd::bump => 5.766423639025908E-4
funding kprd::fixfloat::06y => -3.432220602324621E-5
funding kprd::deposit::2d => 5.094669027039256E-7
funding kprd::fixfloat::04y => 1.184009239978967E-5
funding kprd::fixfloat::pll => 5.704353401508932E-4
funding kprd::fixfloat::08y => 2.4223224885655537E-4
funding kprd::fixfloat::20y => 1.1510788905377822E-8
funding kprd::fixfloat::30y => 8.107661819689582E-10
funding kprd::fixfloat::40y => -9.48128131561532E-11
funding kprd::fixfloat::50y => 1.6500240063166417E-11
funding kprd::fixfloat::02y => 7.025986965430997E-6
funding kprd::fixfloat::12y => 1.074610323681391E-6
funding kprd::fixfloat::10y => 1.8053630564307534E-5
funding kprd::futures::0 => 4.134962104218598E-6
funding kprd::futures::p => 5.694708695797024E-6
funding kprd::futures::1 => -3.2660959681241053E-7
funding kprd::futures::2 => 1.22986086681931E-6
funding kprd::futures::3 => 3.848964849006986E-7
funding kprd::futures::4 => 3.4974116448482916E-7
funding kprd::futures::5 => -7.814320754917503E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.9388271721192405E-5
funding krd::fixfloat::15y => -6.547618998653526E-8
funding krd::fixfloat::03y => 1.2488162824558779E-5
funding krd::fixfloat::25y => -3.431322881386478E-9
funding krd::fixfloat::09y => -6.188273446123272E-5
funding krd::fixfloat::07y => 3.496178755660717E-4
funding krd::deposit::pll => 5.094669027039256E-7
funding krd::fixfloat::11y => -5.0411039263065225E-6
funding krd::bump => 5.766423639025908E-4
funding krd::fixfloat::06y => -3.432220602324621E-5
funding krd::deposit::2d => 5.094669027039256E-7
funding krd::fixfloat::04y => 1.184009239978967E-5
funding krd::fixfloat::pll => 5.704353401508932E-4
funding krd::fixfloat::08y => 2.4223224885655537E-4
funding krd::fixfloat::20y => 1.1510788905377822E-8
funding krd::fixfloat::30y => 8.107661819689582E-10
funding krd::fixfloat::40y => -9.48128131561532E-11
funding krd::fixfloat::50y => 1.6500240063166417E-11
funding krd::fixfloat::02y => 7.025986965430997E-6
funding krd::fixfloat::12y => 1.074610323681391E-6
funding krd::fixfloat::10y => 1.8053630564307534E-5
funding krd::futures::0 => 4.134962104218598E-6
funding krd::futures::p => 5.694708695797024E-6
funding krd::futures::1 => -3.2660959681241053E-7
funding krd::futures::2 => 1.22986086681931E-6
funding krd::futures::3 => 3.848964849006986E-7
funding krd::futures::4 => 3.4974116448482916E-7
funding krd::futures::5 => -7.814320754917503E-8
funding krd::base => 0.0
libor krd::tenor::10 => 7.362270580273389E-5
libor krd::tenor::3 => 2.3909466001353907E-5
libor krd::tenor::2 => 2.418852773994895E-5
libor krd::tenor::1 => 4.708730376009607E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.442098102104165E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.349936343231107E-5
libor krd::tenor::6 => 2.2573419922644612E-5
libor krd::tenor::5 => 2.2616443926720686E-5
libor krd::tenor::4 => 2.3113845229888464E-5
libor krd::bump => 5.828473915772264E-4
libor krd::tenor::9 => 7.888329213694423E-5
libor krd::tenor::8 => 8.476356527274409E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 2.490941810630032E-5
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 6.87401554624656E-5
libor krd::tenor::12 => 6.437488106091904E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::20-sep-2020 => 0.0
govvie kprd::tsy::20-sep-2022 => 0.0
govvie kprd::tsy::20-sep-2047 => 0.0
govvie kprd::tsy::20-sep-2024 => 4.955158650941427E-4
govvie kprd::tsy::20-sep-2027 => 7.743863538300921E-5
govvie kprd::tsy::20-sep-2037 => 0.0
govvie kprd::bump => 5.729618609789655E-4
govvie kprd::tsy::20-sep-2018 => 0.0
govvie kprd::tsy::20-sep-2019 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 7.362270580273389E-5
libor kprd::tenor::3 => 2.3909466001353907E-5
libor kprd::tenor::2 => 2.418852773994895E-5
libor kprd::tenor::1 => 4.708730376009607E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.442098102104165E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.349936343231107E-5
libor kprd::tenor::6 => 2.2573419922644612E-5
libor kprd::tenor::5 => 2.2616443926720686E-5
libor kprd::tenor::4 => 2.3113845229888464E-5
libor kprd::bump => 5.828473915772264E-4
libor kprd::tenor::9 => 7.888329213694423E-5
libor kprd::tenor::8 => 8.476356527274409E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 2.490941810630032E-5
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 6.87401554624656E-5
libor kprd::tenor::12 => 6.437488106091904E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::20-sep-2020 => 0.0
govvie krd::tsy::20-sep-2022 => 0.0
govvie krd::tsy::20-sep-2047 => 0.0
govvie krd::tsy::20-sep-2024 => 4.955158650941427E-4
govvie krd::tsy::20-sep-2027 => 7.743863538300921E-5
govvie krd::tsy::20-sep-2037 => 0.0
govvie krd::bump => 5.729618609789655E-4
govvie krd::tsy::20-sep-2018 => 0.0
govvie krd::tsy::20-sep-2019 => 0.0
govvie krd::base => 0.0
||--------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/02/16 => 2017/08/15 | 2017/08/15 | ? | USD | ? | 6.875% | 0.4972 | 0.034184 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/08/15 => 2018/02/15 | 2018/02/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/02/15 => 2018/08/15 | 2018/08/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/08/15 => 2019/02/15 | 2019/02/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/02/15 => 2019/08/15 | 2019/08/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/08/15 => 2020/02/15 | 2020/02/18 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/02/15 => 2020/08/15 | 2020/08/17 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/08/15 => 2021/02/15 | 2021/02/16 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/02/15 => 2021/08/15 | 2021/08/16 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/08/15 => 2022/02/15 | 2022/02/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/02/15 => 2022/08/15 | 2022/08/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/08/15 => 2023/02/15 | 2023/02/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/02/15 => 2023/08/15 | 2023/08/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/08/15 => 2024/02/15 | 2024/02/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/02/15 => 2024/08/15 | 2024/08/15 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/08/15 => 2025/02/15 | 2025/02/18 | ? | USD | ? | 6.875% | 0.5000 | 0.034375 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/02/16 => 2025/02/15 | 2025/02/15 | ? | USD | ? | 0.000% | 0.0000 | 0.000000 | 1.0000 | 1.0000 | 100.00% ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:49:58 EST 2020
| Setup Time => Mon Jan 27 00:49:58 EST 2020
| Finish Time => Mon Jan 27 00:50:09 EST 2020
| Setup Duration => 2 ms
| Run Duration => 11 s 318 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 00:50:09 EST 2020
| Setup Time => Mon Jan 27 00:50:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 30-SEP-2019
Next Call Date : 30-SEP-2019 | 1.0
Maturity Date : 30-SEP-2019 | 1.0
yield to call => 0.015475203051984842
z_spread => 0.0014347114581738478
market value => 1.00747
oad mult => 0.6067431716842477
libor duration => 2.0561658020514716E-4
convexity => 5.1631849421198466E-8
modified convexity => 5.1631849421198466E-8
effective duration => 2.020932712880421E-4
yield to worst => 0.015475203051984842
tsy oas => 0.0014347114581738478
macaulay duration => 2.0199097624804168
mod dur to worst => 2.0210610324614093E-4
price => 1.00747
ytm fwdcpn => 0.015475203051984842
discount margin => 0.00234506477091616
cv01 => 1.2377547418673807E-4
effective duration adj => 1.226187123973518E-4
yield to maturity => 0.015475203051984842
oas => -9.968962885287965E-4
wal_adj => 2.0365181995035178
mod dur => 2.0210610324614093E-4
wal => 2.0666666666666664
z_vol_oas => -9.968962885287965E-4
n-spread => -9.347969480151593E-4
yield to put => 0.015475203051984842
treasury duration => 2.020932711807688E-4
wal4 => 2.0666666666666664
accrued$ => 0.0085705219444445
wal3 => 1.2763440860215054
i-spread => -0.0010261623203183228
j-spread => 0.003285203051984842
wal2 => 2.036617598384806
wal to worst => 2.0666666666666664
nominal yield => 0.019161277812759107
spread dur => 0.020157744299765492
funding duration => 2.0213326194410742E-4
accrued => 0.0085705219444445
e-spread => -7.791426249825812E-4
accrued interest factor => 0.0085705219444445
spread dur $ => 0.020157744299765492
dv01 => 2.0360290802456382E-4
yield to maturity cbe => 0.015475203051984842
funding kprd::fixfloat::05y => 2.2543688486531543E-6
funding kprd::fixfloat::15y => 2.0754792329213954E-11
funding kprd::fixfloat::03y => 1.9398536694364975E-5
funding kprd::fixfloat::25y => 1.0877077016857584E-12
funding kprd::fixfloat::09y => 1.9614621832309E-8
funding kprd::fixfloat::07y => 2.1900165987909227E-7
funding kprd::deposit::pll => 5.611778246317201E-7
funding kprd::fixfloat::11y => 1.5978914247316566E-9
funding kprd::bump => 2.0175169708470665E-4
funding kprd::fixfloat::06y => -7.131147520711422E-7
funding kprd::deposit::2d => 5.611778246317201E-7
funding kprd::fixfloat::04y => -6.831530973616662E-6
funding kprd::fixfloat::pll => 2.0205994050685462E-4
funding kprd::fixfloat::08y => -6.617601303049447E-8
funding kprd::fixfloat::20y => -3.648797930466685E-12
funding kprd::fixfloat::30y => -2.5702773243097E-13
funding kprd::fixfloat::40y => 3.004818616147986E-14
funding kprd::fixfloat::50y => -5.21249710061511E-15
funding kprd::fixfloat::02y => 1.877836825528778E-4
funding kprd::fixfloat::12y => -3.4062523912581354E-10
funding kprd::fixfloat::10y => -5.722438889410597E-9
funding kprd::futures::0 => -8.634569240162371E-8
funding kprd::futures::p => -8.701690349666169E-7
funding kprd::futures::1 => -1.2900136827642684E-7
funding kprd::futures::2 => -1.399767539767005E-7
funding kprd::futures::3 => -1.5693217561008055E-7
funding kprd::futures::4 => -1.6755471518581366E-7
funding kprd::futures::5 => -1.9035605953732214E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.2589425952378826E-6
funding krd::fixfloat::15y => 2.0796903725543972E-11
funding krd::fixfloat::03y => 1.94378875796692E-5
funding krd::fixfloat::25y => 1.0899133277172173E-12
funding krd::fixfloat::09y => 1.9654416697677013E-8
funding krd::fixfloat::07y => 2.1944597847834628E-7
funding krd::deposit::pll => 5.622576678139918E-7
funding krd::fixfloat::11y => 1.6011332763402777E-9
funding krd::bump => 2.0213326194410742E-4
funding krd::fixfloat::06y => -7.145615453569312E-7
funding krd::deposit::2d => 5.622576678139918E-7
funding krd::fixfloat::04y => -6.8453910296279836E-6
funding krd::fixfloat::pll => 2.0244916779682326E-4
funding krd::fixfloat::08y => -6.63102733456252E-8
funding krd::fixfloat::20y => -3.656202769756632E-12
funding krd::fixfloat::30y => -2.575463518369235E-13
funding krd::fixfloat::40y => 3.0106398237922E-14
funding krd::fixfloat::50y => -5.2289480102100976E-15
funding krd::fixfloat::02y => 1.8814395104909887E-4
funding krd::fixfloat::12y => -3.413163139627022E-10
funding krd::fixfloat::10y => -5.734048783801699E-9
funding krd::futures::0 => -8.953506990753873E-8
funding krd::futures::p => -8.789155094337538E-7
funding krd::futures::1 => -1.3123329473386845E-7
funding krd::futures::2 => -1.413354300251983E-7
funding krd::futures::3 => -1.5810737335173372E-7
funding krd::futures::4 => -1.6800425534178007E-7
funding krd::futures::5 => -1.906978141645985E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.5231065603906797E-5
libor krd::tenor::2 => 2.488591417363248E-5
libor krd::tenor::1 => 2.716434389793364E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.585137496948218E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.7044201424842604E-5
libor krd::tenor::6 => 2.4394460691550186E-5
libor krd::tenor::5 => 2.4710526048129165E-5
libor krd::tenor::4 => 2.5186536252353347E-5
libor krd::bump => 2.0561658020514716E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 6.4400887071921445E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 1.884845977747962E-4
govvie kprd::bump => 2.0171171781933062E-4
govvie kprd::tsy::06-sep-2020 => 1.3226930601339947E-5
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.5183750979390628E-5
libor kprd::tenor::2 => 2.4840314229451764E-5
libor kprd::tenor::1 => 2.711498685875058E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.575283384684493E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.695322315320105E-5
libor kprd::tenor::6 => 2.4347669852897714E-5
libor kprd::tenor::5 => 2.466327021889425E-5
libor kprd::tenor::4 => 2.5139092669618223E-5
libor kprd::bump => 2.0522838514795417E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 6.427624669463894E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 1.8884113056107457E-4
govvie krd::bump => 2.020932711807688E-4
govvie krd::tsy::06-sep-2020 => 1.3251950117872393E-5
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:50:09 EST 2020
| Setup Time => Mon Jan 27 00:50:09 EST 2020
| Finish Time => Mon Jan 27 00:50:19 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 874 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 00:50:19 EST 2020
| Setup Time => Mon Jan 27 00:50:19 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 14-FEB-2019
Next Call Date : 14-FEB-2019 | 1.0
Maturity Date : 25-JUN-2047 | 1.0
yield to call => 0.04297286300390889
z_spread => 0.03054598551862551
market value => 1.0
oad mult => 0.5841967579038234
libor duration => 1.5598610480687669E-4
convexity => 2.903883517531736E-8
modified convexity => 2.903883517531736E-8
effective duration => 1.5659258246598362E-4
yield to worst => 0.04297286300390889
tsy oas => 0.014510168797994084
macaulay duration => 16.705791862043984
mod dur to worst => 1.5593573111405412E-4
price => 1.0
ytm fwdcpn => 0.04376990042657031
discount margin => 0.030226166968832104
cv01 => 9.161562604642626E-5
effective duration adj => 9.148087898841473E-5
yield to maturity => 0.04376990042657031
oas => 0.018293284880237546
wal_adj => 1.546463295450386
mcconvexity => 3.929006796160756E-6
mod dur => 0.0016622870926923383
wal => 29.95833333333318
z_vol_oas => 0.027990833608744412
n-spread => 0.026562863003908886
mcoas => 0.01451016879799408
yield to put => 0.04376990042657031
treasury duration => 1.5374501577975486E-4
wal4 => 29.95833333333318
accrued$ => 0.0021885000000000155
wal3 => 0.8378387533875339
i-spread => 0.026562863003908886
j-spread => 0.030782863003908888
wal2 => 1.542765153039953
wal to worst => 1.594444444444444
mcduration => 0.0016625451400774092
nominal yield => 0.04376990042657031
spread dur => 0.015348632745774693
funding duration => 1.5594835535011342E-4
accrued => 0.0021885000000000155
e-spread => 0.027990833608744412
accrued interest factor => 0.0021885000000000155
spread dur $ => 0.015348632745774693
dv01 => 1.5659258246598362E-4
yield to maturity cbe => 0.04417097270604985
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 1.5594835535011342E-4
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 5.425317786510453E-5
funding kprd::futures::p => 1.5594835535011342E-4
funding kprd::futures::1 => 1.0412322550051866E-5
funding kprd::futures::2 => 2.8388572977444682E-5
funding kprd::futures::3 => 2.2696925072063223E-5
funding kprd::futures::4 => 2.6292064471111763E-5
funding kprd::futures::5 => 1.390496349893966E-5
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.5594835535011342E-4
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 5.425317786510453E-5
funding krd::futures::p => 1.5594835535011342E-4
funding krd::futures::1 => 1.0412322550051866E-5
funding krd::futures::2 => 2.8388572977444682E-5
funding krd::futures::3 => 2.2696925072063223E-5
funding krd::futures::4 => 2.6292064471111763E-5
funding krd::futures::5 => 1.390496349893966E-5
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4558166273069838E-5
libor krd::tenor::2 => 2.4298407410838772E-5
libor krd::tenor::1 => 4.275316018821918E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.53398786728998E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 1.5782916391055E-5
libor krd::tenor::5 => 2.3756014176501418E-5
libor krd::tenor::4 => 2.4284954144698777E-5
libor krd::bump => 1.5598610480687669E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 9.224689591570967E-5
govvie kprd::tsy::10-jul-2018 => 6.14979069537891E-5
govvie kprd::bump => 1.5374501577975486E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4558166273069838E-5
libor kprd::tenor::2 => 2.4298407410838772E-5
libor kprd::tenor::1 => 4.275316018821918E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.53398786728998E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 1.5782916391055E-5
libor kprd::tenor::5 => 2.3756014176501418E-5
libor kprd::tenor::4 => 2.4284954144698777E-5
libor kprd::bump => 1.5598610480687669E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 9.224689591570967E-5
govvie krd::tsy::10-jul-2018 => 6.14979069537891E-5
govvie krd::bump => 1.5374501577975486E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:50:19 EST 2020
| Setup Time => Mon Jan 27 00:50:19 EST 2020
| Finish Time => Mon Jan 27 00:51:42 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 m 22 s 772 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 00:51:42 EST 2020
| Setup Time => Mon Jan 27 00:51:42 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-SEP-2026
Next Call Date : 15-SEP-2026 | 1.0
Maturity Date : 15-SEP-2026 | 1.0
yield to call => 0.01629910137107093
z_spread => -0.006996478592535893
market value => 1.0
oad mult => 0.6092648999150426
libor duration => 8.649445422767687E-4
convexity => 7.924119576270685E-7
modified convexity => 7.924119576270685E-7
effective duration => 8.495692487220485E-4
yield to worst => 0.01629910137107093
tsy oas => -0.006996478592535893
macaulay duration => 8.520031023713234
mod dur to worst => 8.580250718073223E-4
price => 1.0
ytm fwdcpn => 0.01629910137107093
discount margin => 0.003552405335994149
cv01 => 5.220600386866003E-4
effective duration adj => 5.176127232935368E-4
yield to maturity => 0.01629910137107093
oas => -0.006743784179504717
wal_adj => 8.589201538517786
mod dur => 8.580250718073223E-4
wal => 9.180555555555555
z_vol_oas => -0.006743784179504717
n-spread => -0.006579898628929069
yield to put => 0.01629910137107093
treasury duration => 8.495692491596235E-4
wal4 => 9.180555555555555
accrued$ => 0.005342777777777845
wal3 => 4.837136493528324
i-spread => -0.006669907282426564
j-spread => 0.004109101371070931
wal2 => 8.648214412962584
wal to worst => 9.180555555555555
nominal yield => 0.01629910137107093
spread dur => 0.08408901174436267
funding duration => 8.585142067536522E-4
accrued => 0.005342777777777845
e-spread => 3.2645130165685966E-4
accrued interest factor => 0.005342777777777845
spread dur $ => 0.08408901174436267
dv01 => 8.495692487220485E-4
yield to maturity cbe => 0.01629910137107093
funding kprd::fixfloat::05y => -2.2540100949763888E-6
funding kprd::fixfloat::15y => -6.016887944271243E-7
funding kprd::fixfloat::03y => -1.9378830089067376E-6
funding kprd::fixfloat::25y => -3.153179499171266E-8
funding kprd::fixfloat::09y => 8.122829231309303E-4
funding kprd::fixfloat::07y => 1.4725860912595535E-5
funding kprd::deposit::pll => 5.614452208868581E-7
funding kprd::fixfloat::11y => -4.632754604568246E-5
funding kprd::bump => 8.585142067536522E-4
funding kprd::fixfloat::06y => -8.396266958266008E-6
funding kprd::deposit::2d => 5.614452208868581E-7
funding kprd::fixfloat::04y => -2.8661356871684252E-6
funding kprd::fixfloat::pll => 8.584129283938146E-4
funding kprd::fixfloat::08y => -8.592510942203036E-5
funding kprd::fixfloat::20y => 1.0577658696164782E-7
funding kprd::fixfloat::30y => 7.450533900943412E-9
funding kprd::fixfloat::40y => -8.713065935417319E-10
funding kprd::fixfloat::50y => 1.5163458821909614E-10
funding kprd::fixfloat::02y => -1.5796997772932198E-6
funding kprd::fixfloat::12y => 9.87516280668288E-6
funding kprd::fixfloat::10y => 1.712884097933687E-4
funding kprd::futures::0 => -3.4174690897725845E-7
funding kprd::futures::p => -4.6468355722195655E-7
funding kprd::futures::1 => -1.5014391224754674E-8
funding kprd::futures::2 => -1.9285420577164203E-7
funding kprd::futures::3 => 4.963952388581383E-8
funding kprd::futures::4 => -1.0045953116044615E-7
funding kprd::futures::5 => 1.3575158014922372E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -2.2540100949763888E-6
funding krd::fixfloat::15y => -6.016887944271243E-7
funding krd::fixfloat::03y => -1.9378830089067376E-6
funding krd::fixfloat::25y => -3.153179499171266E-8
funding krd::fixfloat::09y => 8.122829231309303E-4
funding krd::fixfloat::07y => 1.4725860912595535E-5
funding krd::deposit::pll => 5.614452208868581E-7
funding krd::fixfloat::11y => -4.632754604568246E-5
funding krd::bump => 8.585142067536522E-4
funding krd::fixfloat::06y => -8.396266958266008E-6
funding krd::deposit::2d => 5.614452208868581E-7
funding krd::fixfloat::04y => -2.8661356871684252E-6
funding krd::fixfloat::pll => 8.584129283938146E-4
funding krd::fixfloat::08y => -8.592510942203036E-5
funding krd::fixfloat::20y => 1.0577658696164782E-7
funding krd::fixfloat::30y => 7.450533900943412E-9
funding krd::fixfloat::40y => -8.713065935417319E-10
funding krd::fixfloat::50y => 1.5163458821909614E-10
funding krd::fixfloat::02y => -1.5796997772932198E-6
funding krd::fixfloat::12y => 9.87516280668288E-6
funding krd::fixfloat::10y => 1.712884097933687E-4
funding krd::futures::0 => -3.4174690897725845E-7
funding krd::futures::p => -4.6468355722195655E-7
funding krd::futures::1 => -1.5014391224754674E-8
funding krd::futures::2 => -1.9285420577164203E-7
funding krd::futures::3 => 4.963952388581383E-8
funding krd::futures::4 => -1.0045953116044615E-7
funding krd::futures::5 => 1.3575158014922372E-7
funding krd::base => 0.0
libor krd::tenor::10 => 9.41365551526907E-5
libor krd::tenor::3 => 2.5217462671373035E-5
libor krd::tenor::2 => 2.4878380136994505E-5
libor krd::tenor::1 => 4.328292714254611E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.576037491461516E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.152815173179113E-5
libor krd::tenor::6 => 2.445118959664705E-5
libor krd::tenor::5 => 2.4729023412389804E-5
libor krd::tenor::4 => 2.5212126104645628E-5
libor krd::bump => 8.649445422767687E-4
libor krd::tenor::9 => 9.57427670596922E-5
libor krd::tenor::8 => 9.764964180236646E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 8.953452179397692E-5
libor krd::tenor::14 => 8.80686166396194E-5
libor krd::tenor::11 => 9.256668936264978E-5
libor krd::tenor::12 => 9.128260747489624E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 1.60512593176676E-5
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 6.183441391760025E-4
govvie kprd::tsy::10-jul-2024 => 2.311936209348775E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 8.495692491596235E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.41365551526907E-5
libor kprd::tenor::3 => 2.5217462671373035E-5
libor kprd::tenor::2 => 2.4878380136994505E-5
libor kprd::tenor::1 => 4.328292714254611E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.576037491461516E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.152815173179113E-5
libor kprd::tenor::6 => 2.445118959664705E-5
libor kprd::tenor::5 => 2.4729023412389804E-5
libor kprd::tenor::4 => 2.5212126104645628E-5
libor kprd::bump => 8.649445422767687E-4
libor kprd::tenor::9 => 9.57427670596922E-5
libor kprd::tenor::8 => 9.764964180236646E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 8.953452179397692E-5
libor kprd::tenor::14 => 8.80686166396194E-5
libor kprd::tenor::11 => 9.256668936264978E-5
libor kprd::tenor::12 => 9.128260747489624E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 1.60512593176676E-5
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 6.183441391760025E-4
govvie krd::tsy::10-jul-2024 => 2.311936209348775E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 8.495692491596235E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:51:42 EST 2020
| Setup Time => Mon Jan 27 00:51:42 EST 2020
| Finish Time => Mon Jan 27 00:51:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 s 1 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 00:51:52 EST 2020
| Setup Time => Mon Jan 27 00:51:52 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Price In : 1.0
Yield Out : 0.11484103667273071
Price Out : 1.0000000000000058
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/03/27 => 2014/10/01 | ? | USD | NONE | 11.50% | 0.5111 | 0.0588 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2014/10/01 => 2015/04/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2015/04/01 => 2015/10/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2015/10/01 => 2016/04/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/04/01 => 2016/10/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2016/10/01 => 2017/04/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 1.0000 | 1.0000 | 100% ||
|| 2017/04/01 => 2017/10/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9989 | 1.0000 | 100% ||
|| 2017/10/01 => 2018/04/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9917 | 1.0000 | 100% ||
|| 2018/04/01 => 2018/10/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9836 | 1.0000 | 100% ||
|| 2018/10/01 => 2019/04/01 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9753 | 1.0000 | 100% ||
|| 2014/03/27 => 2019/04/01 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9753 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
Workout : 01-APR-2019
Next Call Date : 01-APR-2019 | 1.0
Maturity Date : 01-APR-2019 | 1.0
yield to call => 0.11484103667273071
z_spread => 0.10165202286158767
market value => 7.5E8
oad mult => 0.6150669344632299
libor duration => 1.4351817241281263E-4
convexity => 2.6006264179918602E-8
modified convexity => 2.6006264179918602E-8
effective duration => 1.413256783465905E-4
yield to worst => 0.11484103667273071
tsy oas => 0.10165202286158767
macaulay duration => 1.4260695753804347
mod dur to worst => 1.4116618138981796E-4
price => 1.0
ytm fwdcpn => 0.11484103667273071
discount margin => 0.10174215346791715
cv01 => 8.704708913820358E-5
effective duration adj => 8.692475174157388E-5
yield to maturity => 0.11484103667273071
oas => 0.0990633384210072
wal_adj => 1.5038050544340504
mod dur => 1.4116618138981796E-4
wal => 1.5833333333333333
z_vol_oas => 0.0990633384210072
n-spread => 0.0984310366727307
yield to put => 0.11484103667273071
treasury duration => 1.4132567837725485E-4
wal4 => 1.5833333333333333
accrued$ => 3.7375000000000075E7
wal3 => 1.030701754385965
i-spread => 0.0984310366727307
j-spread => 0.1026510366727307
wal2 => 1.4861231998891697
wal to worst => 1.5833333333333333
nominal yield => 0.11484103667273071
spread dur => 0.01410462276767499
funding duration => 1.4118885699662963E-4
accrued => 0.04983333333333343
e-spread => 0.09870396768159675
accrued interest factor => 0.04983333333333343
spread dur $ => 1.0578467075756242E7
dv01 => 1.413256783465905E-4
yield to maturity cbe => 0.11484103667273071
funding kprd::fixfloat::05y => -9.903677539999101E-6
funding kprd::fixfloat::15y => -9.117755717102938E-11
funding kprd::fixfloat::03y => -8.494419950982047E-5
funding kprd::fixfloat::25y => -4.7783804690837425E-12
funding kprd::fixfloat::09y => -8.616882533341031E-8
funding kprd::fixfloat::07y => -9.620953074135351E-7
funding kprd::deposit::pll => 1.0661803395956016E-6
funding kprd::fixfloat::11y => -7.019678269215568E-9
funding kprd::bump => 1.4118885699662963E-4
funding kprd::fixfloat::06y => 3.132783970574704E-6
funding kprd::deposit::2d => 1.0661803395956016E-6
funding kprd::fixfloat::04y => 3.0011675151367377E-5
funding kprd::fixfloat::pll => 1.3319990776603785E-4
funding kprd::fixfloat::08y => 2.9071740309805084E-7
funding kprd::fixfloat::20y => 1.602945276513168E-11
funding kprd::fixfloat::30y => 1.129066284910607E-12
funding kprd::fixfloat::40y => -1.3202494653086205E-13
funding kprd::fixfloat::50y => 2.2978841052179177E-14
funding kprd::fixfloat::02y => 1.956413147571029E-4
funding kprd::fixfloat::12y => 1.4963963596015263E-9
funding kprd::fixfloat::10y => 2.5139187473377512E-8
funding kprd::futures::0 => 3.053108392056525E-6
funding kprd::futures::p => 6.922360928771077E-6
funding kprd::futures::1 => 1.845102980610469E-6
funding kprd::futures::2 => 1.1864996444815867E-6
funding kprd::futures::3 => 9.653517771851527E-7
funding kprd::futures::4 => 4.1127561942189137E-8
funding kprd::futures::5 => -1.6883286005076047E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -9.903677539999101E-6
funding krd::fixfloat::15y => -9.117755717102938E-11
funding krd::fixfloat::03y => -8.494419950982047E-5
funding krd::fixfloat::25y => -4.7783804690837425E-12
funding krd::fixfloat::09y => -8.616882533341031E-8
funding krd::fixfloat::07y => -9.620953074135351E-7
funding krd::deposit::pll => 1.0661803395956016E-6
funding krd::fixfloat::11y => -7.019678269215568E-9
funding krd::bump => 1.4118885699662963E-4
funding krd::fixfloat::06y => 3.132783970574704E-6
funding krd::deposit::2d => 1.0661803395956016E-6
funding krd::fixfloat::04y => 3.0011675151367377E-5
funding krd::fixfloat::pll => 1.3319990776603785E-4
funding krd::fixfloat::08y => 2.9071740309805084E-7
funding krd::fixfloat::20y => 1.602945276513168E-11
funding krd::fixfloat::30y => 1.129066284910607E-12
funding krd::fixfloat::40y => -1.3202494653086205E-13
funding krd::fixfloat::50y => 2.2978841052179177E-14
funding krd::fixfloat::02y => 1.956413147571029E-4
funding krd::fixfloat::12y => 1.4963963596015263E-9
funding krd::fixfloat::10y => 2.5139187473377512E-8
funding krd::futures::0 => 3.053108392056525E-6
funding krd::futures::p => 6.922360928771077E-6
funding krd::futures::1 => 1.845102980610469E-6
funding krd::futures::2 => 1.1864996444815867E-6
funding krd::futures::3 => 9.653517771851527E-7
funding krd::futures::4 => 4.1127561942189137E-8
funding krd::futures::5 => -1.6883286005076047E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.2963616072768643E-5
libor krd::tenor::2 => 2.3513799390673106E-5
libor krd::tenor::1 => 2.7339655300609444E-5
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libor krd::tenor::0 => 5.52816967497316E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.969215014232308E-6
libor krd::tenor::6 => 2.100405387465698E-5
libor krd::tenor::5 => 2.1457696404508785E-5
libor krd::tenor::4 => 2.2717084093948347E-5
libor krd::bump => 1.4351817241281263E-4
libor krd::tenor::9 => 0.0
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govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 8.208488249491774E-5
govvie kprd::tsy::01-sep-2018 => 5.92404750574399E-5
govvie kprd::bump => 1.4132567837725485E-4
govvie kprd::tsy::01-sep-2020 => 0.0
govvie kprd::tsy::01-sep-2022 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.2963616072768643E-5
libor kprd::tenor::2 => 2.3513799390673106E-5
libor kprd::tenor::1 => 2.7339655300609444E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.52816967497316E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.969215014232308E-6
libor kprd::tenor::6 => 2.100405387465698E-5
libor kprd::tenor::5 => 2.1457696404508785E-5
libor kprd::tenor::4 => 2.2717084093948347E-5
libor kprd::bump => 1.4351817241281263E-4
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libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 8.208488249491774E-5
govvie krd::tsy::01-sep-2018 => 5.92404750574399E-5
govvie krd::bump => 1.4132567837725485E-4
govvie krd::tsy::01-sep-2020 => 0.0
govvie krd::tsy::01-sep-2022 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:51:52 EST 2020
| Setup Time => Mon Jan 27 00:51:52 EST 2020
| Finish Time => Mon Jan 27 00:52:00 EST 2020
| Setup Duration => 1 ms
| Run Duration => 8 s 314 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 00:52:00 EST 2020
| Setup Time => Mon Jan 27 00:52:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-JAN-2023
Next Call Date : 15-JAN-2023 | 1.0
Maturity Date : 15-JAN-2023 | 1.0
yield to call => 0.05513594874623129
z_spread => 0.03529463547515272
market value => 1.02795
oad mult => 0.5905926721426396
libor duration => 4.618031591502603E-4
convexity => 2.440655842397174E-7
modified convexity => 2.440655842397174E-7
effective duration => 4.5364542217844826E-4
yield to worst => 0.05513594874623129
tsy oas => 0.03529463547515272
macaulay duration => 4.622394974612759
mod dur to worst => 4.5555873034952186E-4
price => 1.02795
ytm fwdcpn => 0.05513594874623129
discount margin => 0.04200581046516261
cv01 => 2.76705524105747E-4
effective duration adj => 2.679196620896456E-4
yield to maturity => 0.05513594874623129
oas => 0.03499750983439324
wal_adj => 4.802514671265626
mod dur => 4.5555873034952186E-4
wal => 5.358333333333333
z_vol_oas => 0.03499750983439324
n-spread => 0.03510094874623129
yield to put => 0.05513594874623129
treasury duration => 4.536454221822932E-4
wal4 => 5.358333333333333
accrued$ => 0.009527777777777748
wal3 => 2.9244297563504404
i-spread => 0.034779906460944726
j-spread => 0.04294594874623129
wal2 => 4.653957530836245
wal to worst => 5.358333333333333
nominal yield => 0.06122925598255612
spread dur => 0.045082456032352274
funding duration => 4.556630188440031E-4
accrued => 0.009527777777777748
e-spread => 0.03886956658653413
accrued interest factor => 0.009527777777777748
spread dur $ => 0.045082456032352274
dv01 => 4.6632481172833586E-4
yield to maturity cbe => 0.05513594874623129
funding kprd::fixfloat::05y => 3.082390069149038E-4
funding kprd::fixfloat::15y => -4.720562249427296E-9
funding kprd::fixfloat::03y => 1.8535409293510276E-5
funding kprd::fixfloat::25y => -2.4739262582951225E-10
funding kprd::fixfloat::09y => -4.4612364821311475E-6
funding kprd::fixfloat::07y => -4.981071005019933E-5
funding kprd::deposit::pll => 5.164003171881371E-7
funding kprd::fixfloat::11y => -3.6343150350559573E-7
funding kprd::bump => 4.5318915376036664E-4
funding kprd::fixfloat::06y => 1.822407547269339E-4
funding kprd::deposit::2d => 5.164003171881371E-7
funding kprd::fixfloat::04y => -2.8510833596082084E-5
funding kprd::fixfloat::pll => 4.480972246073384E-4
funding kprd::fixfloat::08y => 1.5051365294485585E-5
funding kprd::fixfloat::20y => 8.298979087273395E-10
funding kprd::fixfloat::30y => 5.845536554804909E-11
funding kprd::fixfloat::40y => -6.835995658427408E-12
funding kprd::fixfloat::50y => 1.1896678087097713E-12
funding kprd::fixfloat::02y => 5.795270598427105E-6
funding kprd::fixfloat::12y => 7.747331091378929E-8
funding kprd::fixfloat::10y => 1.3015368448970888E-6
funding kprd::futures::0 => 1.7177476425739302E-6
funding kprd::futures::p => 4.5733573105305455E-6
funding kprd::futures::1 => 8.940116525163466E-7
funding kprd::futures::2 => 1.0205006880564803E-6
funding kprd::futures::3 => 4.580599252540507E-7
funding kprd::futures::4 => 5.096489701233997E-7
funding kprd::futures::5 => -2.661581907370536E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.104029279653673E-4
funding krd::fixfloat::15y => -4.754603658810234E-9
funding krd::fixfloat::03y => 1.8451235609313848E-5
funding krd::fixfloat::25y => -2.4917665414679225E-10
funding krd::fixfloat::09y => -4.493407810774937E-6
funding krd::fixfloat::07y => -5.01699098295193E-5
funding krd::deposit::pll => 5.18903067133544E-7
funding krd::fixfloat::11y => -3.6605231845660456E-7
funding krd::bump => 4.556630188440031E-4
funding krd::fixfloat::06y => 1.8355410408191973E-4
funding krd::deposit::2d => 5.18903067133544E-7
funding krd::fixfloat::04y => -2.8868085594192286E-5
funding krd::fixfloat::pll => 4.507168354521012E-4
funding krd::fixfloat::08y => 1.5159905290146734E-5
funding krd::fixfloat::20y => 8.35882551894768E-10
funding krd::fixfloat::30y => 5.887691067535566E-11
funding krd::fixfloat::40y => -6.885305216787877E-12
funding krd::fixfloat::50y => 1.1982567604461563E-12
funding krd::fixfloat::02y => 5.654481507031467E-6
funding krd::fixfloat::12y => 7.803199448855209E-8
funding krd::fixfloat::10y => 1.3109226226450458E-6
funding krd::futures::0 => 1.6650665020392881E-6
funding krd::futures::p => 4.425087501925418E-6
funding krd::futures::1 => 8.622967655347611E-7
funding krd::futures::2 => 9.91633765254575E-7
funding krd::futures::3 => 4.401252522931651E-7
funding krd::futures::4 => 4.966105727918162E-7
funding krd::futures::5 => -3.064951393245002E-8
funding krd::base => 0.0
libor krd::tenor::10 => 7.680662613523076E-5
libor krd::tenor::3 => 2.4483639212614174E-5
libor krd::tenor::2 => 2.4204571546793885E-5
libor krd::tenor::1 => 2.687617759471471E-5
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libor krd::tenor::0 => 5.485492108809847E-7
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libor krd::tenor::7 => 4.348872429607192E-5
libor krd::tenor::6 => 2.2790633849839115E-5
libor krd::tenor::5 => 2.3500817046944226E-5
libor krd::tenor::4 => 2.39970399315947E-5
libor krd::bump => 4.618031591502603E-4
libor krd::tenor::9 => 8.160548075956397E-5
libor krd::tenor::8 => 8.692998869942293E-5
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libor krd::tenor::11 => 2.6561878287082624E-5
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libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 4.5118775636462103E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 3.703293283411929E-4
govvie kprd::tsy::06-sep-2024 => 8.085411217768345E-5
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 7.627072635418563E-5
libor kprd::tenor::3 => 2.439835524415401E-5
libor kprd::tenor::2 => 2.4126729601720022E-5
libor kprd::tenor::1 => 2.6803019431809183E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.470560357323518E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.3272374548467E-5
libor kprd::tenor::6 => 2.268607036579606E-5
libor kprd::tenor::5 => 2.3402587024706768E-5
libor kprd::tenor::4 => 2.3902295714200993E-5
libor kprd::bump => 4.592963719216692E-4
libor kprd::tenor::9 => 8.107386780789872E-5
libor kprd::tenor::8 => 8.643149730004073E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 2.6372876194019623E-5
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
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libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 4.536454221822932E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 3.723465315363386E-4
govvie krd::tsy::06-sep-2024 => 8.129452080727103E-5
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:52:00 EST 2020
| Setup Time => Mon Jan 27 00:52:00 EST 2020
| Finish Time => Mon Jan 27 00:52:14 EST 2020
| Setup Duration => 0 ms
| Run Duration => 13 s 759 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 00:52:14 EST 2020
| Setup Time => Mon Jan 27 00:52:14 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-APR-2020
Next Call Date : 15-APR-2020 | 1.0
Maturity Date : 15-APR-2020 | 1.0
yield to call => 0.029370299902991653
z_spread => 0.01425325242879706
market value => 1.105
oad mult => 0.6283537987232266
libor duration => 2.4439902414197695E-4
convexity => 7.827020688137686E-8
modified convexity => 7.827020688137686E-8
effective duration => 2.4019166055178718E-4
yield to worst => 0.029370299902991653
tsy oas => 0.01425325242879706
macaulay duration => 2.37693309041653
mod dur to worst => 2.4034350751269987E-4
price => 1.105
ytm fwdcpn => 0.029370299902991653
discount margin => 0.01624016162192297
cv01 => 1.6716879566791576E-4
effective duration adj => 1.5092534232935526E-4
yield to maturity => 0.029370299902991653
oas => 0.01217287369684996
wal_adj => 2.4442344333970665
mod dur => 2.4034350751269987E-4
wal => 2.6083333333333334
z_vol_oas => 0.01217287369684996
n-spread => 0.011507299902991652
yield to put => 0.029370299902991653
treasury duration => 2.401916593264526E-4
wal4 => 2.6083333333333334
accrued$ => 0.02899722222222218
wal3 => 1.5460330138445155
i-spread => 0.01206110144722303
j-spread => 0.017180299902991653
wal2 => 2.436700811785033
wal to worst => 2.6083333333333334
nominal yield => 0.07145437438123386
spread dur => 0.02394424320191434
funding duration => 2.4038624757206483E-4
accrued => 0.02899722222222218
e-spread => 0.013130420178996273
accrued interest factor => 0.02899722222222218
spread dur $ => 0.02394424320191434
dv01 => 2.6541178490972485E-4
yield to maturity cbe => 0.029370299902991653
funding kprd::fixfloat::05y => 1.606882963370304E-5
funding kprd::fixfloat::15y => 1.4793731795137431E-10
funding kprd::fixfloat::03y => 1.928537558372301E-4
funding kprd::fixfloat::25y => 7.753020447864856E-12
funding kprd::fixfloat::09y => 1.398103165017872E-7
funding kprd::fixfloat::07y => 1.5610135937038639E-6
funding kprd::deposit::pll => 5.219494461361496E-7
funding kprd::fixfloat::11y => 1.1389549497975437E-8
funding kprd::bump => 2.345430554266059E-4
funding kprd::fixfloat::06y => -5.082983530702023E-6
funding kprd::deposit::2d => 5.219494461361496E-7
funding kprd::fixfloat::04y => -4.869421255639384E-5
funding kprd::fixfloat::pll => 2.30403977578425E-4
funding kprd::fixfloat::08y => -4.7169348484921156E-7
funding kprd::fixfloat::20y => -2.6008084574868917E-11
funding kprd::fixfloat::30y => -1.8319235017827395E-12
funding kprd::fixfloat::40y => 2.1423418594679334E-13
funding kprd::fixfloat::50y => -3.7286840282035885E-14
funding kprd::fixfloat::02y => 7.406102519924018E-5
funding kprd::fixfloat::12y => -2.427929624015945E-9
funding kprd::fixfloat::10y => -4.0788754424037065E-8
funding kprd::futures::0 => 1.6437601898178223E-6
funding kprd::futures::p => 3.6162176845822013E-6
funding kprd::futures::1 => 9.80475787376589E-7
funding kprd::futures::2 => 7.080442931017838E-7
funding kprd::futures::3 => 4.423287522536956E-7
funding kprd::futures::4 => 6.6367064549544E-8
funding kprd::futures::5 => -2.2475965108514906E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.653293572861749E-5
funding krd::fixfloat::15y => 1.5221009972783185E-10
funding krd::fixfloat::03y => 1.9838354945886185E-4
funding krd::fixfloat::25y => 7.976947408298153E-12
funding krd::fixfloat::09y => 1.438483696663327E-7
funding krd::fixfloat::07y => 1.606099366589265E-6
funding krd::deposit::pll => 5.356247942865436E-7
funding krd::fixfloat::11y => 1.1718506672823785E-8
funding krd::bump => 2.4038624757206483E-4
funding krd::fixfloat::06y => -5.229792113096089E-6
funding krd::deposit::2d => 5.356247942865436E-7
funding krd::fixfloat::04y => -5.010061442906683E-5
funding krd::fixfloat::pll => 2.365513352841382E-4
funding krd::fixfloat::08y => -4.853171099484492E-7
funding krd::fixfloat::20y => -2.6759253435516543E-11
funding krd::fixfloat::30y => -1.8848321596298026E-12
funding krd::fixfloat::40y => 2.2042197127365606E-13
funding krd::fixfloat::50y => -3.836046613591717E-14
funding krd::fixfloat::02y => 7.573309904590712E-5
funding krd::fixfloat::12y => -2.4980539858887596E-9
funding krd::fixfloat::10y => -4.196683027737237E-8
funding krd::futures::0 => 1.5119223471484243E-6
funding krd::futures::p => 3.2983178025454615E-6
funding krd::futures::1 => 9.022271581672996E-7
funding krd::futures::2 => 6.538577049430487E-7
funding krd::futures::3 => 4.0599104795983993E-7
funding krd::futures::4 => 5.2146591901270607E-8
funding krd::futures::5 => -2.278283255365721E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.458313285016887E-5
libor krd::tenor::2 => 2.4577647086791877E-5
libor krd::tenor::1 => 2.709916565523012E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.641543557197915E-7
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libor krd::tenor::7 => 4.3500982899451866E-5
libor krd::tenor::6 => 2.2990922688343284E-5
libor krd::tenor::5 => 2.3510987979923957E-5
libor krd::tenor::4 => 2.4306552445772722E-5
libor krd::bump => 2.4439902414197695E-4
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libor krd::tenor::8 => 5.326419094452522E-5
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govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 9.220275203045136E-5
govvie kprd::bump => 2.3434999033167259E-4
govvie kprd::tsy::06-sep-2020 => 1.421461126265622E-4
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4029158296340337E-5
libor kprd::tenor::2 => 2.4064726695327555E-5
libor kprd::tenor::1 => 2.6566001147504403E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.541311684620354E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.2350484237885236E-5
libor kprd::tenor::6 => 2.2407900502785516E-5
libor kprd::tenor::5 => 2.2930227600570507E-5
libor kprd::tenor::4 => 2.3737557614483816E-5
libor kprd::bump => 2.384541715831745E-4
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libor kprd::tenor::8 => 5.181279042925091E-5
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govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 9.450107705883517E-5
govvie krd::bump => 2.401916593264526E-4
govvie krd::tsy::06-sep-2020 => 1.456893779172625E-4
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:52:14 EST 2020
| Setup Time => Mon Jan 27 00:52:14 EST 2020
| Finish Time => Mon Jan 27 00:52:25 EST 2020
| Setup Duration => 0 ms
| Run Duration => 10 s 700 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 00:52:25 EST 2020
| Setup Time => Mon Jan 27 00:52:25 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-MAR-2020
Next Call Date : 10-MAR-2020 | 1.0
Maturity Date : 10-MAR-2020 | 1.0
yield to call => 0.015362110395819797
z_spread => 4.407992123089567E-4
market value => 1.004954
oad mult => 0.6059141367700855
libor duration => 2.49127520309234E-4
convexity => 7.357324101551322E-8
modified convexity => 7.357324101551322E-8
effective duration => 2.4493557662017256E-4
yield to worst => 0.015362110395819797
tsy oas => 4.407992123089567E-4
macaulay duration => 2.4474578455598133
mod dur to worst => 2.449551142053519E-4
price => 1.004954
ytm fwdcpn => 0.015362110395819797
discount margin => 0.0022319721147511153
cv01 => 1.4949819312648494E-4
effective duration adj => 1.48409928472095E-4
yield to maturity => 0.015362110395819797
oas => -0.0017608014330439915
wal_adj => 2.4688921842260467
mod dur => 2.449551142053519E-4
wal => 2.511111111111111
z_vol_oas => -0.0017608014330439915
n-spread => -0.0025008896041802033
yield to put => 0.015362110395819797
treasury duration => 2.4493557640776776E-4
wal4 => 2.511111111111111
accrued$ => 4.828083333333375E-5
wal3 => 1.504473942969518
i-spread => -0.0018036161438934103
j-spread => 0.0031721103958197976
wal2 => 2.4691919789752674
wal to worst => 2.511111111111111
nominal yield => 0.017380765637024082
spread dur => 0.024420116604972338
funding duration => 2.4499379432765E-4
accrued => 4.828083333333375E-5
e-spread => -8.929120572051559E-4
accrued interest factor => 4.828083333333375E-5
spread dur $ => 0.024420116604972338
dv01 => 2.4614898746674885E-4
yield to maturity cbe => 0.015362110395819797
funding kprd::fixfloat::05y => 1.7871901376584343E-5
funding kprd::fixfloat::15y => 1.6453723106213403E-10
funding kprd::fixfloat::03y => 1.902321788144673E-4
funding kprd::fixfloat::25y => 8.622982883288444E-12
funding kprd::fixfloat::09y => 1.5549832817207676E-7
funding kprd::fixfloat::07y => 1.7361737714466363E-6
funding kprd::deposit::pll => 5.68723777208402E-7
funding kprd::fixfloat::11y => 1.2667562368506858E-8
funding kprd::bump => 2.447362171678208E-4
funding kprd::fixfloat::06y => -5.6533413001630395E-6
funding kprd::deposit::2d => 5.68723777208402E-7
funding kprd::fixfloat::04y => -5.415815067381924E-5
funding kprd::fixfloat::pll => 2.441592555099653E-4
funding kprd::fixfloat::08y => -5.246218597848574E-7
funding kprd::fixfloat::20y => -2.8926458450762027E-11
funding kprd::fixfloat::30y => -2.037500723695018E-12
funding kprd::fixfloat::40y => 2.3827328998748955E-13
funding kprd::fixfloat::50y => -4.148625887268054E-14
funding kprd::fixfloat::02y => 9.453476344009893E-5
funding kprd::fixfloat::12y => -2.700365805963223E-9
funding kprd::fixfloat::10y => -4.5365630205185246E-8
funding kprd::futures::0 => 7.2241250398397124E-9
funding kprd::futures::p => 7.239824859062161E-9
funding kprd::futures::1 => -3.741290213743475E-9
funding kprd::futures::2 => -5.075428993750464E-10
funding kprd::futures::3 => 4.668713166067206E-10
funding kprd::futures::4 => -3.867266867851882E-10
funding kprd::futures::5 => 4.1843710746336525E-9
funding kprd::base => 0.0
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funding krd::fixfloat::15y => 1.6471622264759472E-10
funding krd::fixfloat::03y => 1.9043913061439138E-4
funding krd::fixfloat::25y => 8.632357035329382E-12
funding krd::fixfloat::09y => 1.556674894838186E-7
funding krd::fixfloat::07y => 1.738062495685397E-6
funding krd::deposit::pll => 5.693377413984437E-7
funding krd::fixfloat::11y => 1.2681342971367042E-8
funding krd::bump => 2.4499379432765E-4
funding krd::fixfloat::06y => -5.659491375830788E-6
funding krd::deposit::2d => 5.693377413984437E-7
funding krd::fixfloat::04y => -5.42170673593306E-5
funding krd::fixfloat::pll => 2.444232008504056E-4
funding krd::fixfloat::08y => -5.251925779679825E-7
funding krd::fixfloat::20y => -2.8957924855231593E-11
funding krd::fixfloat::30y => -2.0397111435903267E-12
funding krd::fixfloat::40y => 2.3853211625799855E-13
funding krd::fixfloat::50y => -4.152755598331828E-14
funding krd::fixfloat::02y => 9.463593226829902E-5
funding krd::fixfloat::12y => -2.7033034365872385E-9
funding krd::fixfloat::10y => -4.541498192353309E-8
funding krd::futures::0 => 4.973864424479927E-9
funding krd::futures::p => 2.548165192864292E-10
funding krd::futures::1 => -5.531423317291541E-9
funding krd::futures::2 => -1.5943862320953633E-9
funding krd::futures::3 => -5.875126780666279E-10
funding krd::futures::4 => -7.999440625390553E-10
funding krd::futures::5 => 3.7941993665262445E-9
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.524267166016384E-5
libor krd::tenor::2 => 2.4902710368259346E-5
libor krd::tenor::1 => 2.7142486344062487E-5
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libor krd::tenor::0 => 5.586790841068001E-7
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libor krd::tenor::7 => 4.718242632331878E-5
libor krd::tenor::6 => 2.4453148850888112E-5
libor krd::tenor::5 => 2.4742846496811463E-5
libor krd::tenor::4 => 2.522552051038142E-5
libor krd::bump => 2.49127520309234E-4
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libor krd::tenor::8 => 4.9675703870061995E-5
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govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 1.203328046699842E-4
govvie kprd::bump => 2.4467797662979516E-4
govvie kprd::tsy::06-sep-2020 => 1.2434391215674633E-4
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
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libor kprd::tenor::3 => 2.5216548911791147E-5
libor kprd::tenor::2 => 2.487773932085824E-5
libor kprd::tenor::1 => 2.71153438157673E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.58143520179577E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.713158078135382E-5
libor kprd::tenor::6 => 2.4427193556311734E-5
libor kprd::tenor::5 => 2.47166070943855E-5
libor kprd::tenor::4 => 2.5199380673793236E-5
libor kprd::bump => 2.4886561310673847E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 4.9621753134990175E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
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libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 1.2045949115574107E-4
govvie krd::bump => 2.4493557640776776E-4
govvie krd::tsy::06-sep-2020 => 1.244748215684926E-4
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:52:25 EST 2020
| Setup Time => Mon Jan 27 00:52:25 EST 2020
| Finish Time => Mon Jan 27 00:52:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 592 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 00:52:34 EST 2020
| Setup Time => Mon Jan 27 00:52:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 16-AUG-2026
Next Call Date : 16-AUG-2026 | 0.50579
Maturity Date : 16-AUG-2043 | 1.0
yield to call => 0.025953437377479103
z_spread => 0.002706624971358128
market value => 3.0E8
oad mult => 0.08196556417394157
libor duration => 9.153085079956977E-4
convexity => 8.582089905395662E-7
modified convexity => 8.582089905395662E-7
effective duration => 8.983990575573558E-4
yield to worst => 0.025953437377479103
tsy oas => 0.007121667776468242
macaulay duration => 26.1
mod dur to worst => 9.081324744938946E-4
price => 0.4
ytm fwdcpn => 0.03541685945205285
discount margin => 0.013206741342402321
cv01 => 2.9800065963314637E-5
effective duration adj => 7.363778560602607E-5
yield to maturity => 0.03541685945205285
oas => 0.009000417527040328
wal_adj => 9.1
mcconvexity => 2.592486528663063E-6
mod dur => 0.00261482287900322
wal => 26.1
z_vol_oas => 0.0027788255910363977
n-spread => 0.003074437377479103
mcoas => 0.006356591080948687
yield to put => 0.03541685945205285
treasury duration => 8.983990543282028E-4
wal4 => 26.1
accrued$ => 0.0
wal3 => 0.0
i-spread => 0.003025489758074363
j-spread => 0.013763437377479103
wal2 => 9.1
wal to worst => 9.1
mcduration => 0.001561580329615786
nominal yield => 0.03541685945205285
spread dur => 0.08898851489473614
funding duration => 9.086267328651289E-4
accrued => 0.0
e-spread => 0.009980588734692864
accrued interest factor => 0.0
spread dur $ => 6.6741386171052106E7
dv01 => 3.5935962302294233E-4
yield to maturity cbe => 0.03541685945205285
funding kprd::fixfloat::05y => -1.1469844244906685E-5
funding kprd::fixfloat::15y => -3.5108984729192994E-7
funding kprd::fixfloat::03y => -7.636995339215663E-6
funding kprd::fixfloat::25y => -1.839903482347971E-8
funding kprd::fixfloat::09y => 9.684272870578402E-4
funding kprd::fixfloat::07y => -3.1318926907650257E-6
funding kprd::deposit::pll => 5.745182105748592E-7
funding kprd::fixfloat::11y => -2.703246484699051E-5
funding kprd::bump => 9.086267328651289E-4
funding kprd::fixfloat::06y => -1.803877724530431E-5
funding kprd::deposit::2d => 5.745182105748592E-7
funding kprd::fixfloat::04y => -9.642129140868816E-6
funding kprd::fixfloat::pll => 9.116828100305396E-4
funding kprd::fixfloat::08y => -7.972082149041229E-5
funding kprd::fixfloat::20y => 6.172141832003208E-8
funding kprd::fixfloat::30y => 4.3474413964628145E-9
funding kprd::fixfloat::40y => -5.08413883909542E-10
funding kprd::fixfloat::50y => 8.8479935184127E-11
funding kprd::fixfloat::02y => -3.3539777368023216E-6
funding kprd::fixfloat::12y => 5.7622302899844324E-6
funding kprd::fixfloat::10y => 9.777284595443095E-5
funding kprd::futures::0 => -1.9807344698065388E-6
funding kprd::futures::p => -3.635381257874326E-6
funding kprd::futures::1 => -1.752961998127689E-7
funding kprd::futures::2 => -7.49675921909998E-7
funding kprd::futures::3 => -3.4154269793959524E-7
funding kprd::futures::4 => -3.22875455673749E-7
funding kprd::futures::5 => -6.525275136892716E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.1469844244906685E-5
funding krd::fixfloat::15y => -3.5108984729192994E-7
funding krd::fixfloat::03y => -7.636995339215663E-6
funding krd::fixfloat::25y => -1.839903482347971E-8
funding krd::fixfloat::09y => 9.684272870578402E-4
funding krd::fixfloat::07y => -3.1318926907650257E-6
funding krd::deposit::pll => 5.745182105748592E-7
funding krd::fixfloat::11y => -2.703246484699051E-5
funding krd::bump => 9.086267328651289E-4
funding krd::fixfloat::06y => -1.803877724530431E-5
funding krd::deposit::2d => 5.745182105748592E-7
funding krd::fixfloat::04y => -9.642129140868816E-6
funding krd::fixfloat::pll => 9.116828100305396E-4
funding krd::fixfloat::08y => -7.972082149041229E-5
funding krd::fixfloat::20y => 6.172141832003208E-8
funding krd::fixfloat::30y => 4.3474413964628145E-9
funding krd::fixfloat::40y => -5.08413883909542E-10
funding krd::fixfloat::50y => 8.8479935184127E-11
funding krd::fixfloat::02y => -3.3539777368023216E-6
funding krd::fixfloat::12y => 5.7622302899844324E-6
funding krd::fixfloat::10y => 9.777284595443095E-5
funding krd::futures::0 => -1.9807344698065388E-6
funding krd::futures::p => -3.635381257874326E-6
funding krd::futures::1 => -1.752961998127689E-7
funding krd::futures::2 => -7.49675921909998E-7
funding krd::futures::3 => -3.4154269793959524E-7
funding krd::futures::4 => -3.22875455673749E-7
funding krd::futures::5 => -6.525275136892716E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.0047305911023777E-4
libor krd::tenor::3 => 2.5377257736214354E-5
libor krd::tenor::2 => 2.483207096201645E-5
libor krd::tenor::1 => 4.305566944553044E-5
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libor krd::tenor::0 => 5.520518210101744E-7
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libor krd::tenor::7 => 3.225368170991019E-5
libor krd::tenor::6 => 2.4808897770386973E-5
libor krd::tenor::5 => 2.5090796149720984E-5
libor krd::tenor::4 => 2.5371887353180245E-5
libor krd::bump => 9.153085079956977E-4
libor krd::tenor::9 => 1.0051305417885584E-4
libor krd::tenor::8 => 1.008357843391948E-4
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libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 1.0039746864690113E-4
libor krd::tenor::14 => 1.0037991026518034E-4
libor krd::tenor::11 => 1.0044146095529102E-4
libor krd::tenor::12 => 1.0069191393265522E-4
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 1.0174684081841467E-5
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libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 6.292693745414517E-4
govvie kprd::tsy::10-jul-2024 => 2.690940576727252E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 8.983990543282028E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 1.0047305911023777E-4
libor kprd::tenor::3 => 2.5377257736214354E-5
libor kprd::tenor::2 => 2.483207096201645E-5
libor kprd::tenor::1 => 4.305566944553044E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.520518210101744E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.225368170991019E-5
libor kprd::tenor::6 => 2.4808897770386973E-5
libor kprd::tenor::5 => 2.5090796149720984E-5
libor kprd::tenor::4 => 2.5371887353180245E-5
libor kprd::bump => 9.153085079956977E-4
libor kprd::tenor::9 => 1.0051305417885584E-4
libor kprd::tenor::8 => 1.008357843391948E-4
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 1.0039746864690113E-4
libor kprd::tenor::14 => 1.0037991026518034E-4
libor kprd::tenor::11 => 1.0044146095529102E-4
libor kprd::tenor::12 => 1.0069191393265522E-4
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 1.0174684081841467E-5
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 6.292693745414517E-4
govvie krd::tsy::10-jul-2024 => 2.690940576727252E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 8.983990543282028E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:52:34 EST 2020
| Setup Time => Mon Jan 27 00:52:34 EST 2020
| Finish Time => Mon Jan 27 00:53:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 30 s 393 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 00:53:05 EST 2020
| Setup Time => Mon Jan 27 00:53:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-JUL-2019
Next Call Date : 15-JUL-2019 | 1.0
Maturity Date : 15-JUL-2019 | 1.0
yield to call => 0.08498676173939905
z_spread => 0.07104957594603328
market value => 7.0E8
oad mult => 0.6065196659507606
libor duration => 1.848861841317162E-4
convexity => 4.11688828809414E-8
modified convexity => 4.11688828809414E-8
effective duration => 1.8161578738725147E-4
yield to worst => 0.08498676173939905
tsy oas => 0.07104957594603328
macaulay duration => 1.8181971442392064
mod dur to worst => 1.8192518277104774E-4
price => 1.0
ytm fwdcpn => 0.08498676173939905
discount margin => 0.07224006570432227
cv01 => 1.1035546394433382E-4
effective duration adj => 1.1015354669750011E-4
yield to maturity => 0.08498676173939905
oas => 0.06864867375596777
wal_adj => 1.909668880301956
mod dur => 1.8192518277104774E-4
wal => 2.013888888888889
z_vol_oas => 0.06864867375596777
n-spread => 0.06857676173939906
yield to put => 0.08498676173939905
treasury duration => 1.8161578738768447E-4
wal4 => 2.013888888888889
accrued$ => 2.9419444444444433E7
wal3 => 1.2552681992337162
i-spread => 0.06856430087093471
j-spread => 0.07279676173939906
wal2 => 1.8891533008146106
wal to worst => 2.013888888888889
nominal yield => 0.08498676173939905
spread dur => 0.018117131100507944
funding duration => 1.81957322968318E-4
accrued => 0.04202777777777776
e-spread => 0.06908873044217802
accrued interest factor => 0.04202777777777776
spread dur $ => 1.268199177035556E7
dv01 => 1.8161578738725147E-4
yield to maturity cbe => 0.08498676173939905
funding kprd::fixfloat::05y => 2.743848262487525E-7
funding kprd::fixfloat::15y => 2.5251134516679486E-12
funding kprd::fixfloat::03y => 2.3540705343605418E-6
funding kprd::fixfloat::25y => 1.3233303342019554E-13
funding kprd::fixfloat::09y => 2.3867708365266083E-9
funding kprd::fixfloat::07y => 2.665242133104151E-8
funding kprd::deposit::pll => 4.859322314865189E-7
funding kprd::fixfloat::11y => 1.9442358278887184E-10
funding kprd::bump => 1.81957322968318E-4
funding kprd::fixfloat::06y => -8.678919261040363E-8
funding kprd::deposit::2d => 4.859322314865189E-7
funding kprd::fixfloat::04y => -8.315574518302781E-7
funding kprd::fixfloat::pll => 1.720769420143986E-4
funding kprd::fixfloat::08y => -8.052968908378588E-9
funding kprd::fixfloat::20y => -4.4390602305099946E-13
funding kprd::fixfloat::30y => -3.126943148856753E-14
funding kprd::fixfloat::40y => 3.669287096386142E-15
funding kprd::fixfloat::50y => -6.439293542825908E-16
funding kprd::fixfloat::02y => 1.7034638802773116E-4
funding kprd::fixfloat::12y => -4.144327658828217E-11
funding kprd::fixfloat::10y => -6.962934284704403E-10
funding kprd::futures::0 => 5.203849485396761E-6
funding kprd::futures::p => 9.393846230032477E-6
funding kprd::futures::1 => 4.17868284185996E-7
funding kprd::futures::2 => 1.9060616023913734E-6
funding kprd::futures::3 => 8.820399495512721E-7
funding kprd::futures::4 => 7.94032449896731E-7
funding kprd::futures::5 => 1.8998614286780403E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.743848262487525E-7
funding krd::fixfloat::15y => 2.5251134516679486E-12
funding krd::fixfloat::03y => 2.3540705343605418E-6
funding krd::fixfloat::25y => 1.3233303342019554E-13
funding krd::fixfloat::09y => 2.3867708365266083E-9
funding krd::fixfloat::07y => 2.665242133104151E-8
funding krd::deposit::pll => 4.859322314865189E-7
funding krd::fixfloat::11y => 1.9442358278887184E-10
funding krd::bump => 1.81957322968318E-4
funding krd::fixfloat::06y => -8.678919261040363E-8
funding krd::deposit::2d => 4.859322314865189E-7
funding krd::fixfloat::04y => -8.315574518302781E-7
funding krd::fixfloat::pll => 1.720769420143986E-4
funding krd::fixfloat::08y => -8.052968908378588E-9
funding krd::fixfloat::20y => -4.4390602305099946E-13
funding krd::fixfloat::30y => -3.126943148856753E-14
funding krd::fixfloat::40y => 3.669287096386142E-15
funding krd::fixfloat::50y => -6.439293542825908E-16
funding krd::fixfloat::02y => 1.7034638802773116E-4
funding krd::fixfloat::12y => -4.144327658828217E-11
funding krd::fixfloat::10y => -6.962934284704403E-10
funding krd::futures::0 => 5.203849485396761E-6
funding krd::futures::p => 9.393846230032477E-6
funding krd::futures::1 => 4.17868284185996E-7
funding krd::futures::2 => 1.9060616023913734E-6
funding krd::futures::3 => 8.820399495512721E-7
funding krd::futures::4 => 7.94032449896731E-7
funding krd::futures::5 => 1.8998614286780403E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.3584371771695477E-5
libor krd::tenor::2 => 2.3415946066374094E-5
libor krd::tenor::1 => 4.175057295930373E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.576139602336827E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.7577826009939078E-5
libor krd::tenor::6 => 2.1523160549835606E-5
libor krd::tenor::5 => 2.236604279331478E-5
libor krd::tenor::4 => 2.293055608114103E-5
libor krd::bump => 1.848861841317162E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 1.177833292625996E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 1.7913467551656237E-4
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 1.8161578738768447E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 2.481078826194194E-6
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3584371771695477E-5
libor kprd::tenor::2 => 2.3415946066374094E-5
libor kprd::tenor::1 => 4.175057295930373E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.576139602336827E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.7577826009939078E-5
libor kprd::tenor::6 => 2.1523160549835606E-5
libor kprd::tenor::5 => 2.236604279331478E-5
libor kprd::tenor::4 => 2.293055608114103E-5
libor kprd::bump => 1.848861841317162E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 1.177833292625996E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 1.7913467551656237E-4
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 1.8161578738768447E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 2.481078826194194E-6
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:53:05 EST 2020
| Setup Time => Mon Jan 27 00:53:05 EST 2020
| Finish Time => Mon Jan 27 00:53:13 EST 2020
| Setup Duration => 1 ms
| Run Duration => 8 s 543 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 00:53:13 EST 2020
| Setup Time => Mon Jan 27 00:53:13 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-NOV-2026
Next Call Date : 15-NOV-2026 | 1.0
Maturity Date : 15-NOV-2026 | 1.0
yield to call => 0.046934535208131845
z_spread => 0.023634078518475682
market value => 0.976385
oad mult => 0.5624961287071286
libor duration => 7.593304731936172E-4
convexity => 6.534480083228596E-7
modified convexity => 6.534480083228596E-7
effective duration => 7.470723309888875E-4
yield to worst => 0.046934535208131845
tsy oas => 0.023634078518475682
macaulay duration => 7.5414142872163135
mod dur to worst => 7.531394233018636E-4
price => 0.976385
ytm fwdcpn => 0.046934535208131845
discount margin => 0.03380439692706316
cv01 => 4.135646491778555E-4
effective duration adj => 4.202252940454599E-4
yield to maturity => 0.046934535208131845
oas => 0.02420395478537414
wal_adj => 8.05067594128448
mod dur => 7.531394233018636E-4
wal => 9.191666666666666
z_vol_oas => 0.02420395478537414
n-spread => 0.024055535208131845
yield to put => 0.046934535208131845
treasury duration => 7.47072331443635E-4
wal4 => 9.191666666666666
accrued$ => 0.01409722222222228
wal3 => 4.84261861589604
i-spread => 0.0239614604820892
j-spread => 0.034744535208131845
wal2 => 7.6873330828011985
wal to worst => 9.191666666666666
nominal yield => 0.043742537335650214
spread dur => 0.07388691990976048
funding duration => 7.532986812006708E-4
accrued => 0.01409722222222228
e-spread => 0.03066027112772205
accrued interest factor => 0.01409722222222228
spread dur $ => 0.07388691990976048
dv01 => 7.294302178925849E-4
yield to maturity cbe => 0.046934535208131845
funding kprd::fixfloat::05y => 9.472394271300976E-6
funding kprd::fixfloat::15y => -4.868253634299214E-7
funding kprd::fixfloat::03y => 4.807342987026009E-6
funding kprd::fixfloat::25y => -2.5513274656829842E-8
funding kprd::fixfloat::09y => 6.35926631521086E-4
funding kprd::fixfloat::07y => 2.654379990074951E-5
funding kprd::deposit::pll => 5.392911462370753E-7
funding kprd::fixfloat::11y => -3.7480212422705274E-5
funding kprd::bump => 7.566835497386709E-4
funding kprd::fixfloat::06y => 6.697578725964326E-6
funding kprd::deposit::2d => 5.392911462370753E-7
funding kprd::fixfloat::04y => 7.405475627489389E-6
funding kprd::fixfloat::pll => 7.550154019500266E-4
funding kprd::fixfloat::08y => -5.0710049258459454E-5
funding kprd::fixfloat::20y => 8.5586276196703E-8
funding kprd::fixfloat::30y => 6.028424745507799E-9
funding kprd::fixfloat::40y => -7.049872102760091E-10
funding kprd::fixfloat::50y => 1.2269041615997621E-10
funding kprd::fixfloat::02y => 5.7338220899011414E-6
funding kprd::fixfloat::12y => 7.989720352416518E-6
funding kprd::fixfloat::10y => 1.3901218476022049E-4
funding kprd::futures::0 => 7.52260535993865E-7
funding kprd::futures::p => 1.1249978875388367E-6
funding kprd::futures::1 => 1.9571611186985914E-7
funding kprd::futures::2 => 3.77160811590449E-7
funding kprd::futures::3 => -2.9207642024409174E-8
funding kprd::futures::4 => 1.1436915110241142E-7
funding kprd::futures::5 => -2.853004223840605E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 9.641749388626817E-6
funding krd::fixfloat::15y => -4.837043876499925E-7
funding krd::fixfloat::03y => 4.980181053837907E-6
funding krd::fixfloat::25y => -2.534971228373618E-8
funding krd::fixfloat::09y => 6.318817970061522E-4
funding krd::fixfloat::07y => 2.653511251832716E-5
funding krd::deposit::pll => 5.378125657133572E-7
funding krd::fixfloat::11y => -3.723993163782186E-5
funding krd::bump => 7.532986812006708E-4
funding krd::fixfloat::06y => 6.861254857729056E-6
funding krd::deposit::2d => 5.378125657133572E-7
funding krd::fixfloat::04y => 7.597596663713805E-6
funding krd::fixfloat::pll => 7.515352865942947E-4
funding krd::fixfloat::08y => -5.0288817636957404E-5
funding krd::fixfloat::20y => 8.503759341036453E-8
funding krd::fixfloat::30y => 5.989777278426266E-9
funding krd::fixfloat::40y => -7.004676254083001E-10
funding krd::fixfloat::50y => 1.2190386339611756E-10
funding krd::fixfloat::02y => 5.887710220996821E-6
funding krd::fixfloat::12y => 7.938499261672114E-6
funding krd::fixfloat::10y => 1.3812110145065777E-4
funding krd::futures::0 => 7.892401794613575E-7
funding krd::futures::p => 1.2217482346770253E-6
funding krd::futures::1 => 2.1665932542695455E-7
funding krd::futures::2 => 3.9698826407179034E-7
funding krd::futures::3 => -1.818285236844743E-8
funding krd::futures::4 => 1.2237056006291467E-7
funding krd::futures::5 => -2.8532665675628456E-7
funding krd::base => 0.0
libor krd::tenor::10 => 8.225821879558432E-5
libor krd::tenor::3 => 2.4722347937699375E-5
libor krd::tenor::2 => 2.4372163726946497E-5
libor krd::tenor::1 => 2.6960619516507667E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.539985368471274E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.464942093914077E-5
libor krd::tenor::6 => 2.3287361261223165E-5
libor krd::tenor::5 => 2.3908297565634793E-5
libor krd::tenor::4 => 2.4353347257650212E-5
libor krd::bump => 7.593304731936172E-4
libor krd::tenor::9 => 8.605049776821692E-5
libor krd::tenor::8 => 9.027838014439261E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 7.197090527380639E-5
libor krd::tenor::14 => 6.888078791528242E-5
libor krd::tenor::11 => 7.865169514894745E-5
libor krd::tenor::12 => 7.543152148497864E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 1.2957149372527454E-5
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 7.503993987463736E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 2.0215166981569498E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 5.482223816257265E-4
libor kprd::tenor::10 => 8.266948335382274E-5
libor kprd::tenor::3 => 2.4769549678332893E-5
libor kprd::tenor::2 => 2.4414741041184352E-5
libor kprd::tenor::1 => 2.6998103518494078E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.54683522235866E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.478283590355625E-5
libor kprd::tenor::6 => 2.3350283384393488E-5
libor kprd::tenor::5 => 2.3965372225048796E-5
libor kprd::tenor::4 => 2.4407797738090763E-5
libor kprd::bump => 7.62732932982646E-4
libor kprd::tenor::9 => 8.642519196524756E-5
libor kprd::tenor::8 => 9.060345582100616E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 7.241936237322444E-5
libor kprd::tenor::14 => 6.93209488153046E-5
libor kprd::tenor::11 => 7.908672384478177E-5
libor kprd::tenor::12 => 7.587982356581924E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 1.3040421275029023E-5
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 7.47072331443635E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 2.0125543079903355E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 5.457917759264755E-4
|-----------------------------------------------------------------|
| 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 00:53:13 EST 2020
| Setup Time => Mon Jan 27 00:53:13 EST 2020
| Finish Time => Mon Jan 27 00:53:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 17 s 569 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 00:53:31 EST 2020
| Setup Time => Mon Jan 27 00:53:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 31-DEC-2021
Next Call Date : 31-DEC-2021 | 1.0
Maturity Date : 31-DEC-2021 | 1.0
yield to call => 0.0549973960133185
z_spread => 0.03653530012271332
market value => 1.21913313E8
oad mult => 0.577774730635625
libor duration => 3.9976561175634193E-4
convexity => 1.764503386836623E-7
modified convexity => 1.764503386836623E-7
effective duration => 3.9432580209390334E-4
yield to worst => 0.0549973960133185
tsy oas => 0.03653530012271332
macaulay duration => 3.991319935125339
mod dur to worst => 3.9390294038677E-4
price => 1.0
ytm fwdcpn => 0.05499739601331789
discount margin => 0.04225069997824172
cv01 => 2.2874515033977083E-4
effective duration adj => 2.2783148408748178E-4
yield to maturity => 0.0549973960133185
oas => 0.03567522351825136
wal_adj => 4.087882725684989
mod dur => 3.9390294038677E-4
wal => 4.475
z_vol_oas => 0.03567522351825136
n-spread => 0.035967396013318505
yield to put => 0.0549973960133185
treasury duration => 3.943258020943308E-4
wal4 => 4.475
accrued$ => 242133.38554166543
wal3 => 2.3618956479757234
i-spread => 0.03547760255407212
j-spread => 0.042807396013318504
wal2 => 3.9920915636100465
wal to worst => 4.475
nominal yield => 0.0549973960133185
spread dur => 0.03923621625303797
funding duration => 3.939954361462966E-4
accrued => 0.001986111111111101
e-spread => 0.03907299677066275
accrued interest factor => 0.001986111111111101
spread dur $ => 4783417.112992305
dv01 => 3.9432580209390334E-4
yield to maturity cbe => 0.05537548520934843
funding kprd::fixfloat::05y => 2.2725925511186685E-4
funding kprd::fixfloat::15y => 1.7022797671462087E-9
funding kprd::fixfloat::03y => -2.2383558781052803E-5
funding kprd::fixfloat::25y => 8.920879590590403E-11
funding kprd::fixfloat::09y => 1.6090150709358041E-6
funding kprd::fixfloat::07y => 1.7967433958976375E-5
funding kprd::deposit::pll => 5.234034163359436E-7
funding kprd::fixfloat::11y => 1.3106849565680535E-7
funding kprd::bump => 3.939954361462966E-4
funding kprd::fixfloat::06y => -5.8507972475363434E-5
funding kprd::deposit::2d => 5.234034163359436E-7
funding kprd::fixfloat::04y => 2.186402023742734E-4
funding kprd::fixfloat::pll => 3.895376953440027E-4
funding kprd::fixfloat::08y => -5.428819643849003E-6
funding kprd::fixfloat::20y => -2.9925995015389617E-10
funding kprd::fixfloat::30y => -2.1078860878986916E-11
funding kprd::fixfloat::40y => 2.4650448349206046E-12
funding kprd::fixfloat::50y => -4.2900127894540673E-13
funding kprd::fixfloat::02y => 1.074308345373476E-5
funding kprd::fixfloat::12y => -2.7938512481284762E-8
funding kprd::fixfloat::10y => -4.693984750836488E-7
funding kprd::futures::0 => 2.5579492547278536E-6
funding kprd::futures::p => 3.932450960847378E-6
funding kprd::futures::1 => 1.0751985383139484E-7
funding kprd::futures::2 => 7.64433060596037E-7
funding kprd::futures::3 => 3.666401448887413E-7
funding kprd::futures::4 => 1.6157831818075507E-7
funding kprd::futures::5 => -2.5671683540062772E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.2725925511186685E-4
funding krd::fixfloat::15y => 1.7022797671462087E-9
funding krd::fixfloat::03y => -2.2383558781052803E-5
funding krd::fixfloat::25y => 8.920879590590403E-11
funding krd::fixfloat::09y => 1.6090150709358041E-6
funding krd::fixfloat::07y => 1.7967433958976375E-5
funding krd::deposit::pll => 5.234034163359436E-7
funding krd::fixfloat::11y => 1.3106849565680535E-7
funding krd::bump => 3.939954361462966E-4
funding krd::fixfloat::06y => -5.8507972475363434E-5
funding krd::deposit::2d => 5.234034163359436E-7
funding krd::fixfloat::04y => 2.186402023742734E-4
funding krd::fixfloat::pll => 3.895376953440027E-4
funding krd::fixfloat::08y => -5.428819643849003E-6
funding krd::fixfloat::20y => -2.9925995015389617E-10
funding krd::fixfloat::30y => -2.1078860878986916E-11
funding krd::fixfloat::40y => 2.4650448349206046E-12
funding krd::fixfloat::50y => -4.2900127894540673E-13
funding krd::fixfloat::02y => 1.074308345373476E-5
funding krd::fixfloat::12y => -2.7938512481284762E-8
funding krd::fixfloat::10y => -4.693984750836488E-7
funding krd::futures::0 => 2.5579492547278536E-6
funding krd::futures::p => 3.932450960847378E-6
funding krd::futures::1 => 1.0751985383139484E-7
funding krd::futures::2 => 7.64433060596037E-7
funding krd::futures::3 => 3.666401448887413E-7
funding krd::futures::4 => 1.6157831818075507E-7
funding krd::futures::5 => -2.5671683540062772E-8
funding krd::base => 0.0
libor krd::tenor::10 => 3.799515889535976E-5
libor krd::tenor::3 => 2.4293392616075992E-5
libor krd::tenor::2 => 2.4101645337026857E-5
libor krd::tenor::1 => 4.256581873972598E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.494078472501052E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.917677132960317E-5
libor krd::tenor::6 => 2.2792576024199816E-5
libor krd::tenor::5 => 2.336922094317018E-5
libor krd::tenor::4 => 2.395661847358066E-5
libor krd::bump => 3.9976561175634193E-4
libor krd::tenor::9 => 8.299696838129645E-5
libor krd::tenor::8 => 8.79623828874132E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.943258020943308E-4
govvie kprd::tsy::10-jul-2022 => 2.9115098303750253E-4
govvie kprd::tsy::10-jul-2020 => 1.0317153369050202E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 3.799515889535976E-5
libor kprd::tenor::3 => 2.4293392616075992E-5
libor kprd::tenor::2 => 2.4101645337026857E-5
libor kprd::tenor::1 => 4.256581873972598E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.494078472501052E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.917677132960317E-5
libor kprd::tenor::6 => 2.2792576024199816E-5
libor kprd::tenor::5 => 2.336922094317018E-5
libor kprd::tenor::4 => 2.395661847358066E-5
libor kprd::bump => 3.9976561175634193E-4
libor kprd::tenor::9 => 8.299696838129645E-5
libor kprd::tenor::8 => 8.79623828874132E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.943258020943308E-4
govvie krd::tsy::10-jul-2022 => 2.9115098303750253E-4
govvie krd::tsy::10-jul-2020 => 1.0317153369050202E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:53:31 EST 2020
| Setup Time => Mon Jan 27 00:53:31 EST 2020
| Finish Time => Mon Jan 27 00:53:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 38 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 00:53:40 EST 2020
| Setup Time => Mon Jan 27 00:53:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-DEC-2024
Next Call Date : 01-DEC-2024 | 1.0
Maturity Date : 01-DEC-2024 | 1.0
yield to call => 0.03547694568311005
z_spread => 0.01324286346051504
market value => 8.0E7
oad mult => 0.6026628725390641
libor duration => 6.596389152816989E-4
convexity => 4.89411447026439E-7
modified convexity => 4.89411447026439E-7
effective duration => 6.40813026530665E-4
yield to worst => 0.03547694568311005
tsy oas => 0.01324286346051504
macaulay duration => 6.494901380212373
mod dur to worst => 6.524593884723595E-4
price => 1.0
ytm fwdcpn => 0.03547694568311005
discount margin => 0.022730249648033267
cv01 => 3.887672710708445E-4
effective duration adj => 3.861942193294221E-4
yield to maturity => 0.03547694568311005
oas => 0.01354864980808166
wal_adj => 6.755916353443536
mod dur => 6.524593884723595E-4
wal => 7.391666666666667
z_vol_oas => 0.01354864980808166
n-spread => 0.013816945683110052
yield to put => 0.03547694568311005
treasury duration => 6.408130266846695E-4
wal4 => 7.391666666666667
accrued$ => 1853888.8888888934
wal3 => 4.179716272078166
i-spread => 0.013554359512430829
j-spread => 0.02328694568311005
wal2 => 6.663679933886295
wal to worst => 7.391666666666667
nominal yield => 0.03547694568311005
spread dur => 0.06351280443170404
funding duration => 6.526907125279785E-4
accrued => 0.02317361111111117
e-spread => 0.019443429482986246
accrued interest factor => 0.02317361111111117
spread dur $ => 5081024.354536323
dv01 => 6.40813026530665E-4
yield to maturity cbe => 0.03516775297284951
funding kprd::fixfloat::05y => 2.177821158635129E-5
funding kprd::fixfloat::15y => -8.280861778786618E-8
funding kprd::fixfloat::03y => 5.178335449931848E-6
funding kprd::fixfloat::25y => -4.33962603352267E-9
funding kprd::fixfloat::09y => -7.827169372106868E-5
funding kprd::fixfloat::07y => 4.4035174606980865E-4
funding kprd::deposit::pll => 5.397380603039403E-7
funding kprd::fixfloat::11y => -6.375920786069744E-6
funding kprd::bump => 6.526907125279785E-4
funding kprd::fixfloat::06y => -6.293399670358746E-5
funding kprd::deposit::2d => 5.397380603039403E-7
funding kprd::fixfloat::04y => 1.0642365543739317E-6
funding kprd::fixfloat::pll => 6.491996698173546E-4
funding kprd::fixfloat::08y => 3.037205611089083E-4
funding kprd::fixfloat::20y => 1.4557713287621788E-8
funding kprd::fixfloat::30y => 1.0253945498250872E-9
funding kprd::fixfloat::40y => -1.1991531934096856E-10
funding kprd::fixfloat::50y => 2.0869006522872267E-11
funding kprd::fixfloat::02y => 5.452466177141569E-7
funding kprd::fixfloat::12y => 1.359088931798813E-6
funding kprd::fixfloat::10y => 2.2834224431381166E-5
funding kprd::futures::0 => 1.937538175719733E-6
funding kprd::futures::p => 2.947987872656266E-6
funding kprd::futures::1 => -3.426308599369099E-7
funding kprd::futures::2 => 4.677584939632995E-7
funding kprd::futures::3 => 5.136242033104698E-7
funding kprd::futures::4 => 4.779375648550355E-7
funding kprd::futures::5 => -1.062421167236094E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.177821158635129E-5
funding krd::fixfloat::15y => -8.280861778786618E-8
funding krd::fixfloat::03y => 5.178335449931848E-6
funding krd::fixfloat::25y => -4.33962603352267E-9
funding krd::fixfloat::09y => -7.827169372106868E-5
funding krd::fixfloat::07y => 4.4035174606980865E-4
funding krd::deposit::pll => 5.397380603039403E-7
funding krd::fixfloat::11y => -6.375920786069744E-6
funding krd::bump => 6.526907125279785E-4
funding krd::fixfloat::06y => -6.293399670358746E-5
funding krd::deposit::2d => 5.397380603039403E-7
funding krd::fixfloat::04y => 1.0642365543739317E-6
funding krd::fixfloat::pll => 6.491996698173546E-4
funding krd::fixfloat::08y => 3.037205611089083E-4
funding krd::fixfloat::20y => 1.4557713287621788E-8
funding krd::fixfloat::30y => 1.0253945498250872E-9
funding krd::fixfloat::40y => -1.1991531934096856E-10
funding krd::fixfloat::50y => 2.0869006522872267E-11
funding krd::fixfloat::02y => 5.452466177141569E-7
funding krd::fixfloat::12y => 1.359088931798813E-6
funding krd::fixfloat::10y => 2.2834224431381166E-5
funding krd::futures::0 => 1.937538175719733E-6
funding krd::futures::p => 2.947987872656266E-6
funding krd::futures::1 => -3.426308599369099E-7
funding krd::futures::2 => 4.677584939632995E-7
funding krd::futures::3 => 5.136242033104698E-7
funding krd::futures::4 => 4.779375648550355E-7
funding krd::futures::5 => -1.062421167236094E-7
funding krd::base => 0.0
libor krd::tenor::10 => 8.630745276315966E-5
libor krd::tenor::3 => 2.4754133934612455E-5
libor krd::tenor::2 => 2.4222333906875893E-5
libor krd::tenor::1 => 4.336116516975852E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.57691458935583E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.0372719691773577E-5
libor krd::tenor::6 => 2.3362098802631737E-5
libor krd::tenor::5 => 2.4344375649476558E-5
libor krd::tenor::4 => 2.4748895418336138E-5
libor krd::bump => 6.596389152816989E-4
libor krd::tenor::9 => 8.944553014554046E-5
libor krd::tenor::8 => 9.29563903542735E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 3.12724139907683E-5
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 8.329258280128926E-5
libor krd::tenor::12 => 8.061560459014794E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 8.42674710534036E-5
govvie kprd::tsy::10-jul-2024 => 5.565353980505755E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 6.408130266846695E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 8.630745276315966E-5
libor kprd::tenor::3 => 2.4754133934612455E-5
libor kprd::tenor::2 => 2.4222333906875893E-5
libor kprd::tenor::1 => 4.336116516975852E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.57691458935583E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.0372719691773577E-5
libor kprd::tenor::6 => 2.3362098802631737E-5
libor kprd::tenor::5 => 2.4344375649476558E-5
libor kprd::tenor::4 => 2.4748895418336138E-5
libor kprd::bump => 6.596389152816989E-4
libor kprd::tenor::9 => 8.944553014554046E-5
libor kprd::tenor::8 => 9.29563903542735E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 3.12724139907683E-5
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 8.329258280128926E-5
libor kprd::tenor::12 => 8.061560459014794E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 8.42674710534036E-5
govvie krd::tsy::10-jul-2024 => 5.565353980505755E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 6.408130266846695E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:53:40 EST 2020
| Setup Time => Mon Jan 27 00:53:40 EST 2020
| Finish Time => Mon Jan 27 00:53:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 568 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 00:53:49 EST 2020
| Setup Time => Mon Jan 27 00:53:49 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 14-FEB-2018
Next Call Date : 15-JAN-2018 | 1.075
Maturity Date : 15-JAN-2022 | 1.0
yield to call => 0.03727507821795405
z_spread => 0.035780147867776085
market value => 5.7421875E8
oad mult => 0.32306070494032985
libor duration => 4.058219364762599E-5
convexity => 1.020132285952812E-8
modified convexity => 1.020132285952812E-8
effective duration => 8.007244136563381E-5
yield to worst => 0.02388890859197857
tsy oas => 0.05598782366169109
macaulay duration => 3.591147300357504
mod dur to worst => 4.087674350797345E-5
price => 1.09375
ytm fwdcpn => 0.0741789743165028
discount margin => 0.011268296924560446
cv01 => 2.830123144437202E-5
effective duration adj => 2.5868259353874884E-5
yield to maturity => 0.0741789743165028
oas => 0.05512458861284811
wal_adj => 0.3976986831058136
mcconvexity => 9.95530114309994E-9
mod dur => 3.531721911025037E-4
wal => 4.319444444444445
z_vol_oas => 0.03471280089828491
n-spread => 0.00747890859197857
mcoas => 0.05259498738330772
yield to put => 0.0741789743165028
treasury duration => 3.964392245907991E-5
wal4 => 4.319444444444445
accrued$ => 1.0208333333333343E7
wal3 => 0.3356674382716049
i-spread => 0.00747890859197857
j-spread => 0.011698908591978571
wal2 => 0.3976818808775996
wal to worst => 0.39999999999999997
mcduration => 7.7704449205517E-5
nominal yield => 0.09991844672530946
spread dur => 0.003960869309304981
funding duration => 4.053515087918466E-5
accrued => 0.019444444444444462
e-spread => 0.03471280089828491
accrued interest factor => 0.019444444444444462
spread dur $ => 2079456.3873851148
dv01 => 8.757923274366197E-5
yield to maturity cbe => 0.0741789743165028
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 3.632685584717688E-5
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 5.321876109532775E-5
funding kprd::futures::p => 3.632685584717688E-5
funding kprd::futures::1 => -2.1488044819836795E-5
funding kprd::futures::2 => 5.8271028977513465E-6
funding kprd::futures::3 => -1.5593286198184454E-6
funding kprd::futures::4 => 4.090214440172213E-7
funding kprd::futures::5 => -8.060136353627013E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 4.053515087918466E-5
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 5.934610832657735E-5
funding krd::futures::p => 4.053515087918466E-5
funding krd::futures::1 => -2.3938794254293936E-5
funding krd::futures::2 => 6.50107692288872E-6
funding krd::futures::3 => -1.7395393297953937E-6
funding krd::futures::4 => 4.562918188304772E-7
funding krd::futures::5 => -8.991641699144078E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 5.7764316560491934E-8
libor krd::tenor::2 => 1.7719025523531077E-7
libor krd::tenor::1 => 3.979453100393572E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.532457511949116E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 4.058219364762599E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::20-sep-2020 => 0.0
govvie kprd::tsy::20-sep-2022 => 0.0
govvie kprd::tsy::20-sep-2047 => 0.0
govvie kprd::tsy::20-sep-2024 => 0.0
govvie kprd::tsy::20-sep-2027 => 0.0
govvie kprd::tsy::20-sep-2037 => 0.0
govvie kprd::bump => 3.5527786629011014E-5
govvie kprd::tsy::20-sep-2018 => 3.5527786629011014E-5
govvie kprd::tsy::20-sep-2019 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 4.722615524199725E-8
libor kprd::tenor::2 => 1.4486476701547346E-7
libor kprd::tenor::1 => 3.568287693998251E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 4.962262889429691E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 3.637078283429684E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::20-sep-2020 => 0.0
govvie krd::tsy::20-sep-2022 => 0.0
govvie krd::tsy::20-sep-2047 => 0.0
govvie krd::tsy::20-sep-2024 => 0.0
govvie krd::tsy::20-sep-2027 => 0.0
govvie krd::tsy::20-sep-2037 => 0.0
govvie krd::bump => 3.964392245907991E-5
govvie krd::tsy::20-sep-2018 => 3.964392245907991E-5
govvie krd::tsy::20-sep-2019 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:53:49 EST 2020
| Setup Time => Mon Jan 27 00:53:49 EST 2020
| Finish Time => Mon Jan 27 00:54:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 s 709 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 00:54:05 EST 2020
| Setup Time => Mon Jan 27 00:54:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-JUL-2019
Next Call Date : 15-JUL-2019 | 1.0
Maturity Date : 15-JUL-2019 | 1.0
yield to call => 0.03620288914915652
z_spread => 0.02254264254825719
market value => 1.03344
oad mult => 0.6138959590441232
libor duration => 1.790298544139024E-4
convexity => 4.001035213307202E-8
modified convexity => 4.001035213307202E-8
effective duration => 1.7625662713492354E-4
yield to worst => 0.03620288914915652
tsy oas => 0.02254264254825719
macaulay duration => 1.7810354374519306
mod dur to worst => 1.7606233919791788E-4
price => 1.03344
ytm fwdcpn => 0.03620288914915652
discount margin => 0.02307275086808784
cv01 => 1.1201402391702864E-4
effective duration adj => 1.0820323115287632E-4
yield to maturity => 0.03620288914915652
oas => 0.020054554475180675
wal_adj => 1.7954295747278448
mod dur => 1.7606233919791788E-4
wal => 1.8583333333333334
z_vol_oas => 0.020054554475180675
n-spread => 0.01979288914915652
yield to put => 0.03620288914915652
treasury duration => 1.762566271452207E-4
wal4 => 1.8583333333333334
accrued$ => 0.00855555555555558
wal3 => 1.1655082212257104
i-spread => 0.01979288914915652
j-spread => 0.024012889149156523
wal2 => 1.7918737355519916
wal to worst => 1.8583333333333334
nominal yield => 0.05495668499184414
spread dur => 0.01758474426179612
funding duration => 1.7608524639868813E-4
accrued => 0.00855555555555558
e-spread => 0.019995443246043885
accrued interest factor => 0.00855555555555558
spread dur $ => 0.01758474426179612
dv01 => 1.8215064874631536E-4
yield to maturity cbe => 0.03620288914915652
funding kprd::fixfloat::05y => -4.74472243908175E-6
funding kprd::fixfloat::15y => -4.368218009531688E-11
funding kprd::fixfloat::03y => -4.069546980763894E-5
funding kprd::fixfloat::25y => -2.289285427892196E-12
funding kprd::fixfloat::09y => -4.128247962364995E-8
funding kprd::fixfloat::07y => -4.609281603284998E-7
funding kprd::deposit::pll => 5.035725781643574E-7
funding kprd::fixfloat::11y => -3.363048273197222E-9
funding kprd::bump => 1.7436992599262346E-4
funding kprd::fixfloat::06y => 1.5008775296754262E-6
funding kprd::deposit::2d => 5.035725781643574E-7
funding kprd::fixfloat::04y => 1.437817854802459E-5
funding kprd::fixfloat::pll => 1.6943838499255403E-4
funding kprd::fixfloat::08y => 1.3927925450185618E-7
funding kprd::fixfloat::20y => 7.679545888095162E-12
funding kprd::fixfloat::30y => 5.409062087124994E-13
funding kprd::fixfloat::40y => -6.32549568280183E-14
funding kprd::fixfloat::50y => 1.1007861289158428E-14
funding kprd::fixfloat::02y => 1.9935309728614793E-4
funding kprd::fixfloat::12y => 7.169067173240507E-10
funding kprd::fixfloat::10y => 1.2043896074898086E-8
funding kprd::futures::0 => 1.6334305875720378E-6
funding kprd::futures::p => 4.427391217043386E-6
funding kprd::futures::1 => 8.765518397679805E-7
funding kprd::futures::2 => 9.711642206033932E-7
funding kprd::futures::3 => 4.6285143243673945E-7
funding kprd::futures::4 => 4.845532927510999E-7
funding kprd::futures::5 => -1.1644556818790619E-9
funding kprd::base => 0.0
funding krd::fixfloat::05y => -4.794086723502789E-6
funding krd::fixfloat::15y => -4.413665077738802E-11
funding krd::fixfloat::03y => -4.111886646383465E-5
funding krd::fixfloat::25y => -2.3130989219461607E-12
funding krd::fixfloat::09y => -4.171198426592666E-8
funding krd::fixfloat::07y => -4.657236763316463E-7
funding krd::deposit::pll => 5.088117685756358E-7
funding krd::fixfloat::11y => -3.398037590499905E-9
funding krd::bump => 1.7608524639868813E-4
funding krd::fixfloat::06y => 1.5164927238576625E-6
funding krd::deposit::2d => 5.088117685756358E-7
funding krd::fixfloat::04y => 1.4527769799619416E-5
funding krd::fixfloat::pll => 1.7120123138282618E-4
funding krd::fixfloat::08y => 1.4072832174776051E-7
funding krd::fixfloat::20y => 7.759421599514328E-12
funding krd::fixfloat::30y => 5.465386104155076E-13
funding krd::fixfloat::40y => -6.393150274369394E-14
funding krd::fixfloat::50y => 1.1124360795008416E-14
funding krd::fixfloat::02y => 2.014271796565313E-4
funding krd::fixfloat::12y => 7.243654603991509E-10
funding krd::fixfloat::10y => 1.2169201272671413E-8
funding krd::futures::0 => 1.6082913353000334E-6
funding krd::futures::p => 4.374608651797162E-6
funding krd::futures::1 => 8.639723409483762E-7
funding krd::futures::2 => 9.630140473228292E-7
funding krd::futures::3 => 4.581343844214847E-7
funding krd::futures::4 => 4.839528734965456E-7
funding krd::futures::5 => -2.7607845447144307E-9
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.472458077032156E-5
libor krd::tenor::2 => 2.4416751696525715E-5
libor krd::tenor::1 => 2.7058396954605522E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.52268350710563E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.1069758956281065E-5
libor krd::tenor::6 => 2.312493841506846E-5
libor krd::tenor::5 => 2.3801828635608607E-5
libor krd::tenor::4 => 2.428071942603921E-5
libor krd::bump => 1.790298544139024E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 2.5343776348313308E-5
govvie kprd::tsy::06-sep-2019 => 1.4919399338212959E-4
govvie kprd::bump => 1.7453804110441616E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4487814137075238E-5
libor kprd::tenor::2 => 2.418893195783589E-5
libor kprd::tenor::1 => 2.681825201976684E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.473669367872525E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.0749948526165306E-5
libor kprd::tenor::6 => 2.288886617649588E-5
libor kprd::tenor::5 => 2.3562583394937108E-5
libor kprd::tenor::4 => 2.4040492506399724E-5
libor kprd::bump => 1.7728484802703726E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 2.5593321468212093E-5
govvie krd::tsy::06-sep-2019 => 1.506630264700127E-4
govvie krd::bump => 1.762566271452207E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:54:05 EST 2020
| Setup Time => Mon Jan 27 00:54:05 EST 2020
| Finish Time => Mon Jan 27 00:54:15 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 s 326 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 00:54:15 EST 2020
| Setup Time => Mon Jan 27 00:54:15 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 16-DEC-2050
Next Call Date : 16-DEC-2050 | 1.0
Maturity Date : 16-DEC-2050 | 1.0
yield to call => 0.03635246207402117
z_spread => 0.007082462074102369
market value => 2.6E7
oad mult => 0.5214566673458884
libor duration => 0.00187606078707101
convexity => 5.175627681941538E-6
modified convexity => 5.175627681941538E-6
effective duration => 0.0019344916956203662
yield to worst => 0.03635246207402117
tsy oas => 0.007082462074102369
macaulay duration => 19.346265603671064
mod dur to worst => 0.0019259349181783847
price => 1.0
ytm fwdcpn => 0.03635246207402117
discount margin => 0.02360576603894439
cv01 => 0.0010333641353097445
effective duration adj => 0.0010087535926064928
yield to maturity => 0.03635246207402117
oas => 0.010725178643560077
wal_adj => 25.11384061769509
mod dur => 0.0019259349181783847
wal => 33.433333333333195
z_vol_oas => 0.010725178643560077
n-spread => 0.010379462074021174
yield to put => 0.03635246207402117
treasury duration => 0.0019344916956162334
wal4 => 33.433333333333195
accrued$ => 70887.37499999742
wal3 => 16.75831671651708
i-spread => 0.01040504882147322
j-spread => 0.024162462074021174
wal2 => 21.970155076802993
wal to worst => 33.433333333333195
nominal yield => 0.03635246207402117
spread dur => 0.18627652873994704
funding duration => 0.0019261161094522971
accrued => 0.002726437499999901
e-spread => 0.0204353508740105
accrued interest factor => 0.002726437499999901
spread dur $ => 4843189.747238623
dv01 => 0.0019344916956203662
yield to maturity cbe => 0.03662888944911611
funding kprd::fixfloat::05y => 4.868862904505722E-6
funding kprd::fixfloat::15y => 1.3905925977047983E-5
funding kprd::fixfloat::03y => 2.932486442858151E-6
funding kprd::fixfloat::25y => -4.3230898326847566E-4
funding kprd::fixfloat::09y => 6.921016546462821E-6
funding kprd::fixfloat::07y => 6.438512962303466E-6
funding kprd::deposit::pll => 5.433145588873422E-7
funding kprd::fixfloat::11y => -7.285459309014364E-6
funding kprd::bump => 0.0019261161094522971
funding kprd::fixfloat::06y => 5.732127088736716E-6
funding kprd::deposit::2d => 5.433145588873422E-7
funding kprd::fixfloat::04y => 4.081563177099623E-6
funding kprd::fixfloat::pll => 0.0019244628370941042
funding kprd::fixfloat::08y => 7.47005861533867E-6
funding kprd::fixfloat::20y => 1.9054519551526817E-4
funding kprd::fixfloat::30y => 0.0016052947812370323
funding kprd::fixfloat::40y => 5.42303636669933E-4
funding kprd::fixfloat::50y => -8.256200850458306E-5
funding kprd::fixfloat::02y => 2.4179728182804893E-6
funding kprd::fixfloat::12y => 4.008032027857933E-5
funding kprd::fixfloat::10y => 1.2654070471362911E-5
funding kprd::futures::0 => 8.203012393015463E-7
funding kprd::futures::p => 1.1002648269586856E-6
funding kprd::futures::1 => 1.8604313645198546E-10
funding kprd::futures::2 => 1.9117188307937738E-7
funding kprd::futures::3 => 1.1516093920693748E-7
funding kprd::futures::4 => -1.4282953952893252E-8
funding kprd::futures::5 => -1.3103383877943742E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 4.868862904505722E-6
funding krd::fixfloat::15y => 1.3905925977047983E-5
funding krd::fixfloat::03y => 2.932486442858151E-6
funding krd::fixfloat::25y => -4.3230898326847566E-4
funding krd::fixfloat::09y => 6.921016546462821E-6
funding krd::fixfloat::07y => 6.438512962303466E-6
funding krd::deposit::pll => 5.433145588873422E-7
funding krd::fixfloat::11y => -7.285459309014364E-6
funding krd::bump => 0.0019261161094522971
funding krd::fixfloat::06y => 5.732127088736716E-6
funding krd::deposit::2d => 5.433145588873422E-7
funding krd::fixfloat::04y => 4.081563177099623E-6
funding krd::fixfloat::pll => 0.0019244628370941042
funding krd::fixfloat::08y => 7.47005861533867E-6
funding krd::fixfloat::20y => 1.9054519551526817E-4
funding krd::fixfloat::30y => 0.0016052947812370323
funding krd::fixfloat::40y => 5.42303636669933E-4
funding krd::fixfloat::50y => -8.256200850458306E-5
funding krd::fixfloat::02y => 2.4179728182804893E-6
funding krd::fixfloat::12y => 4.008032027857933E-5
funding krd::fixfloat::10y => 1.2654070471362911E-5
funding krd::futures::0 => 8.203012393015463E-7
funding krd::futures::p => 1.1002648269586856E-6
funding krd::futures::1 => 1.8604313645198546E-10
funding krd::futures::2 => 1.9117188307937738E-7
funding krd::futures::3 => 1.1516093920693748E-7
funding krd::futures::4 => -1.4282953952893252E-8
funding krd::futures::5 => -1.3103383877943742E-8
funding krd::base => 0.0
libor krd::tenor::10 => 8.344806978735908E-5
libor krd::tenor::3 => 2.4242324119383428E-5
libor krd::tenor::2 => 2.394642481998166E-5
libor krd::tenor::1 => 4.204287498732473E-5
libor krd::tenor::22 => 1.0292949057387757E-4
libor krd::tenor::0 => 5.4390711381469E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.963588739246237E-5
libor krd::tenor::6 => 2.3044342410552533E-5
libor krd::tenor::5 => 2.3523825239685213E-5
libor krd::tenor::4 => 2.4010672835481085E-5
libor krd::bump => 0.00187606078707101
libor krd::tenor::9 => 8.673137126389008E-5
libor krd::tenor::8 => 9.037971357340468E-5
libor krd::tenor::20 => 2.1046117178209756E-4
libor krd::tenor::21 => 1.7495005558326726E-4
libor krd::tenor::13 => 7.431512513284556E-5
libor krd::tenor::14 => 7.149914804022717E-5
libor krd::tenor::11 => 8.028570214884678E-5
libor krd::tenor::12 => 7.745276776847665E-5
libor krd::tenor::17 => 6.370649044316057E-5
libor krd::tenor::18 => 1.772488538150818E-4
libor krd::tenor::15 => 6.879724171692802E-5
libor krd::tenor::16 => 6.637333126901235E-5
libor krd::tenor::19 => 2.538961866776324E-4
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0019344916956162334
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 0.0019344916956162334
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 8.344806978735908E-5
libor kprd::tenor::3 => 2.4242324119383428E-5
libor kprd::tenor::2 => 2.394642481998166E-5
libor kprd::tenor::1 => 4.204287498732473E-5
libor kprd::tenor::22 => 1.0292949057387757E-4
libor kprd::tenor::0 => 5.4390711381469E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.963588739246237E-5
libor kprd::tenor::6 => 2.3044342410552533E-5
libor kprd::tenor::5 => 2.3523825239685213E-5
libor kprd::tenor::4 => 2.4010672835481085E-5
libor kprd::bump => 0.00187606078707101
libor kprd::tenor::9 => 8.673137126389008E-5
libor kprd::tenor::8 => 9.037971357340468E-5
libor kprd::tenor::20 => 2.1046117178209756E-4
libor kprd::tenor::21 => 1.7495005558326726E-4
libor kprd::tenor::13 => 7.431512513284556E-5
libor kprd::tenor::14 => 7.149914804022717E-5
libor kprd::tenor::11 => 8.028570214884678E-5
libor kprd::tenor::12 => 7.745276776847665E-5
libor kprd::tenor::17 => 6.370649044316057E-5
libor kprd::tenor::18 => 1.772488538150818E-4
libor kprd::tenor::15 => 6.879724171692802E-5
libor kprd::tenor::16 => 6.637333126901235E-5
libor kprd::tenor::19 => 2.538961866776324E-4
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0019344916956162334
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 0.0019344916956162334
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:54:15 EST 2020
| Setup Time => Mon Jan 27 00:54:15 EST 2020
| Finish Time => Mon Jan 27 00:54:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 23 s 350 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 00:54:39 EST 2020
| Setup Time => Mon Jan 27 00:54:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-APR-2022
Next Call Date : 15-APR-2022 | 1.0
Maturity Date : 15-APR-2022 | 1.0
yield to call => 0.05123068265748476
z_spread => 0.03226947745952226
market value => 8.0E8
oad mult => 0.5885957339840266
libor duration => 4.2590244473442727E-4
convexity => 2.0670005893870514E-7
modified convexity => 2.0670005893870514E-7
effective duration => 4.181859670895349E-4
yield to worst => 0.05123068265748476
tsy oas => 0.03226947745952226
macaulay duration => 4.237623216743958
mod dur to worst => 4.197778041874489E-4
price => 1.0
ytm fwdcpn => 0.05123068265748476
discount margin => 0.03848398662240798
cv01 => 2.471931211944778E-4
effective duration adj => 2.461424762408848E-4
yield to maturity => 0.05123068265748476
oas => 0.03157574151449442
wal_adj => 4.372598819711031
mod dur => 4.197778041874489E-4
wal => 4.763888888888889
z_vol_oas => 0.03157574151449442
n-spread => 0.03119568265748476
yield to put => 0.05123068265748476
treasury duration => 4.1818596650727293E-4
wal4 => 4.763888888888889
accrued$ => 1.0022222222222226E7
wal3 => 2.625404923874312
i-spread => 0.03142559137869112
j-spread => 0.03904068265748476
wal2 => 4.284101905653992
wal to worst => 4.763888888888889
nominal yield => 0.05123068265748476
spread dur => 0.04158925420695847
funding duration => 4.1988077687428184E-4
accrued => 0.012527777777777782
e-spread => 0.035276436720294194
accrued interest factor => 0.012527777777777782
spread dur $ => 3.3271403365566775E7
dv01 => 4.181859670895349E-4
yield to maturity cbe => 0.05123068265748476
funding kprd::fixfloat::05y => 3.6522412858403517E-4
funding kprd::fixfloat::15y => 1.711348796007428E-9
funding kprd::fixfloat::03y => -8.269519520676116E-6
funding kprd::fixfloat::25y => 8.968406572940069E-11
funding kprd::fixfloat::09y => 1.6175871930534935E-6
funding kprd::fixfloat::07y => 1.8063156436393112E-5
funding kprd::deposit::pll => 5.282958813968008E-7
funding kprd::fixfloat::11y => 1.3176677083892584E-7
funding kprd::bump => 4.1988077687428184E-4
funding kprd::fixfloat::06y => -5.881967827685019E-5
funding kprd::deposit::2d => 5.282958813968008E-7
funding kprd::fixfloat::04y => 9.570556975287414E-5
funding kprd::fixfloat::pll => 4.1655604907450683E-4
funding kprd::fixfloat::08y => -5.457742009901123E-6
funding kprd::fixfloat::20y => -3.008542581728335E-10
funding kprd::fixfloat::30y => -2.1191115529006766E-11
funding kprd::fixfloat::40y => 2.4782009777624127E-12
funding kprd::fixfloat::50y => -4.3126613391564206E-13
funding kprd::fixfloat::02y => 8.854531273289058E-6
funding kprd::fixfloat::12y => -2.808735659609596E-8
funding kprd::fixfloat::10y => -4.7189922326995594E-7
funding kprd::futures::0 => 2.1084216686673153E-6
funding kprd::futures::p => 2.7944119670719747E-6
funding kprd::futures::1 => 3.206163340929713E-8
funding kprd::futures::2 => 4.954133357770729E-7
funding kprd::futures::3 => 2.8446581775698474E-7
funding kprd::futures::4 => -3.7997557156277395E-8
funding kprd::futures::5 => -8.795287156915244E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.6522412858403517E-4
funding krd::fixfloat::15y => 1.711348796007428E-9
funding krd::fixfloat::03y => -8.269519520676116E-6
funding krd::fixfloat::25y => 8.968406572940069E-11
funding krd::fixfloat::09y => 1.6175871930534935E-6
funding krd::fixfloat::07y => 1.8063156436393112E-5
funding krd::deposit::pll => 5.282958813968008E-7
funding krd::fixfloat::11y => 1.3176677083892584E-7
funding krd::bump => 4.1988077687428184E-4
funding krd::fixfloat::06y => -5.881967827685019E-5
funding krd::deposit::2d => 5.282958813968008E-7
funding krd::fixfloat::04y => 9.570556975287414E-5
funding krd::fixfloat::pll => 4.1655604907450683E-4
funding krd::fixfloat::08y => -5.457742009901123E-6
funding krd::fixfloat::20y => -3.008542581728335E-10
funding krd::fixfloat::30y => -2.1191115529006766E-11
funding krd::fixfloat::40y => 2.4782009777624127E-12
funding krd::fixfloat::50y => -4.3126613391564206E-13
funding krd::fixfloat::02y => 8.854531273289058E-6
funding krd::fixfloat::12y => -2.808735659609596E-8
funding krd::fixfloat::10y => -4.7189922326995594E-7
funding krd::futures::0 => 2.1084216686673153E-6
funding krd::futures::p => 2.7944119670719747E-6
funding krd::futures::1 => 3.206163340929713E-8
funding krd::futures::2 => 4.954133357770729E-7
funding krd::futures::3 => 2.8446581775698474E-7
funding krd::futures::4 => -3.7997557156277395E-8
funding krd::futures::5 => -8.795287156915244E-8
funding krd::base => 0.0
libor krd::tenor::10 => 6.157395338914906E-5
libor krd::tenor::3 => 2.4306260580186922E-5
libor krd::tenor::2 => 2.4186556954558514E-5
libor krd::tenor::1 => 4.259217292811313E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.51507665835782E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.930489567190553E-5
libor krd::tenor::6 => 2.296540529366231E-5
libor krd::tenor::5 => 2.3423784377279988E-5
libor krd::tenor::4 => 2.409213425418888E-5
libor krd::bump => 4.2590244473442727E-4
libor krd::tenor::9 => 8.411109188994348E-5
libor krd::tenor::8 => 8.878795858394684E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 4.1818596650727293E-4
govvie kprd::tsy::10-jul-2022 => 3.689187342683531E-4
govvie kprd::tsy::10-jul-2020 => 4.9264860159564663E-5
govvie kprd::base => 0.0
libor kprd::tenor::10 => 6.157395338914906E-5
libor kprd::tenor::3 => 2.4306260580186922E-5
libor kprd::tenor::2 => 2.4186556954558514E-5
libor kprd::tenor::1 => 4.259217292811313E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.51507665835782E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.930489567190553E-5
libor kprd::tenor::6 => 2.296540529366231E-5
libor kprd::tenor::5 => 2.3423784377279988E-5
libor kprd::tenor::4 => 2.409213425418888E-5
libor kprd::bump => 4.2590244473442727E-4
libor kprd::tenor::9 => 8.411109188994348E-5
libor kprd::tenor::8 => 8.878795858394684E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 4.1818596650727293E-4
govvie krd::tsy::10-jul-2022 => 3.689187342683531E-4
govvie krd::tsy::10-jul-2020 => 4.9264860159564663E-5
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:54:39 EST 2020
| Setup Time => Mon Jan 27 00:54:39 EST 2020
| Finish Time => Mon Jan 27 00:54:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 118 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 00:54:48 EST 2020
| Setup Time => Mon Jan 27 00:54:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-JAN-2021
Next Call Date : 15-JAN-2021 | 1.0
Maturity Date : 15-JAN-2021 | 1.0
yield to call => 0.013699815100735606
z_spread => -0.0030985836347721006
market value => 1.0
oad mult => 0.6068416737352345
libor duration => 3.487667956027646E-4
convexity => 1.346896934866598E-7
modified convexity => 1.346896934866598E-7
effective duration => 3.419320755748967E-4
yield to worst => 0.013699815100735606
tsy oas => -0.0030985836347721006
macaulay duration => 3.4199264282913346
mod dur to worst => 3.4315413293661834E-4
price => 1.0
ytm fwdcpn => 0.013699815100735606
discount margin => 9.531190656588244E-4
cv01 => 2.0818605845129845E-4
effective duration adj => 2.0749863304563297E-4
yield to maturity => 0.013699815100735606
oas => -0.004816697954638787
wal_adj => 3.4438280721605548
mod dur => 3.4315413293661834E-4
wal => 3.513888888888889
z_vol_oas => -0.004816697954638787
n-spread => -0.005330184899264392
yield to put => 0.013699815100735606
treasury duration => 3.4193207757203525E-4
wal4 => 3.513888888888889
accrued$ => 4.186111111111125E-4
wal3 => 2.005983750548968
i-spread => -0.004792514584843215
j-spread => 0.0015098151007356068
wal2 => 3.4457834842503186
wal to worst => 3.513888888888889
nominal yield => 0.013699815100735606
spread dur => 0.03405541527929268
funding duration => 3.4322662970794337E-4
accrued => 4.186111111111125E-4
e-spread => -0.002285137846427213
accrued interest factor => 4.186111111111125E-4
spread dur $ => 0.03405541527929268
dv01 => 3.419320755748967E-4
yield to maturity cbe => 0.013699815100735606
funding kprd::fixfloat::05y => -6.2584176285152E-5
funding kprd::fixfloat::15y => -5.759516086278893E-10
funding kprd::fixfloat::03y => 1.6831552771705006E-4
funding kprd::fixfloat::25y => -3.018303385005083E-11
funding kprd::fixfloat::09y => -5.443963120521644E-7
funding kprd::fixfloat::07y => -6.0791256776049355E-6
funding kprd::deposit::pll => 5.570613677452485E-7
funding kprd::fixfloat::11y => -4.434589015445134E-8
funding kprd::bump => 3.4322662970794337E-4
funding kprd::fixfloat::06y => 1.979566524203391E-5
funding kprd::deposit::2d => 5.570613677452485E-7
funding kprd::fixfloat::04y => 2.4219474777553707E-4
funding kprd::fixfloat::pll => 3.433586215844109E-4
funding kprd::fixfloat::08y => 1.8367940981423025E-6
funding kprd::fixfloat::20y => 1.0125201233002202E-10
funding kprd::fixfloat::30y => 7.1318284611265884E-12
funding kprd::fixfloat::40y => -8.340383939042795E-13
funding kprd::fixfloat::50y => 1.4512835377900047E-13
funding kprd::fixfloat::02y => -1.9701430732183E-5
funding kprd::fixfloat::12y => 9.452753718663942E-9
funding kprd::fixfloat::10y => 1.5881690804686598E-7
funding kprd::futures::0 => -3.7554348884527576E-7
funding kprd::futures::p => -6.906753732105475E-7
funding kprd::futures::1 => -3.612400765184987E-8
funding kprd::futures::2 => -1.4630479810984198E-7
funding kprd::futures::3 => -6.133787989193173E-8
funding kprd::futures::4 => -6.384061621567127E-8
funding kprd::futures::5 => -7.523904416162353E-9
funding kprd::base => 0.0
funding krd::fixfloat::05y => -6.2584176285152E-5
funding krd::fixfloat::15y => -5.759516086278893E-10
funding krd::fixfloat::03y => 1.6831552771705006E-4
funding krd::fixfloat::25y => -3.018303385005083E-11
funding krd::fixfloat::09y => -5.443963120521644E-7
funding krd::fixfloat::07y => -6.0791256776049355E-6
funding krd::deposit::pll => 5.570613677452485E-7
funding krd::fixfloat::11y => -4.434589015445134E-8
funding krd::bump => 3.4322662970794337E-4
funding krd::fixfloat::06y => 1.979566524203391E-5
funding krd::deposit::2d => 5.570613677452485E-7
funding krd::fixfloat::04y => 2.4219474777553707E-4
funding krd::fixfloat::pll => 3.433586215844109E-4
funding krd::fixfloat::08y => 1.8367940981423025E-6
funding krd::fixfloat::20y => 1.0125201233002202E-10
funding krd::fixfloat::30y => 7.1318284611265884E-12
funding krd::fixfloat::40y => -8.340383939042795E-13
funding krd::fixfloat::50y => 1.4512835377900047E-13
funding krd::fixfloat::02y => -1.9701430732183E-5
funding krd::fixfloat::12y => 9.452753718663942E-9
funding krd::fixfloat::10y => 1.5881690804686598E-7
funding krd::futures::0 => -3.7554348884527576E-7
funding krd::futures::p => -6.906753732105475E-7
funding krd::futures::1 => -3.612400765184987E-8
funding krd::futures::2 => -1.4630479810984198E-7
funding krd::futures::3 => -6.133787989193173E-8
funding krd::futures::4 => -6.384061621567127E-8
funding krd::futures::5 => -7.523904416162353E-9
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.532590058437201E-5
libor krd::tenor::2 => 2.4840452318358742E-5
libor krd::tenor::1 => 4.326939726972401E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.585209244929335E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.1749991631846444E-5
libor krd::tenor::6 => 2.4479358983842124E-5
libor krd::tenor::5 => 2.4868942046812892E-5
libor krd::tenor::4 => 2.5203958660607873E-5
libor krd::bump => 3.487667956027646E-4
libor krd::tenor::9 => 5.0200636206521046E-5
libor krd::tenor::8 => 9.82664170843528E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 3.4193207757203525E-4
govvie kprd::tsy::10-jul-2022 => 8.852664610961014E-5
govvie kprd::tsy::10-jul-2020 => 2.5340311045419784E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.532590058437201E-5
libor kprd::tenor::2 => 2.4840452318358742E-5
libor kprd::tenor::1 => 4.326939726972401E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.585209244929335E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.1749991631846444E-5
libor kprd::tenor::6 => 2.4479358983842124E-5
libor kprd::tenor::5 => 2.4868942046812892E-5
libor kprd::tenor::4 => 2.5203958660607873E-5
libor kprd::bump => 3.487667956027646E-4
libor kprd::tenor::9 => 5.0200636206521046E-5
libor kprd::tenor::8 => 9.82664170843528E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 3.4193207757203525E-4
govvie krd::tsy::10-jul-2022 => 8.852664610961014E-5
govvie krd::tsy::10-jul-2020 => 2.5340311045419784E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:54:48 EST 2020
| Setup Time => Mon Jan 27 00:54:48 EST 2020
| Finish Time => Mon Jan 27 00:54:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 8 s 466 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 00:54:56 EST 2020
| Setup Time => Mon Jan 27 00:54:56 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Price In : 0.94
Yield Out : 0.1312926105503897
Price Out : 0.9400000000001336
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/30 => 2018/06/15 | ? | USD | NONE | 11.50% | 0.9583 | 0.1102 | 0.0000 | 0.9885 | 1.0000 | 100% ||
|| 2018/06/15 => 2018/12/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9800 | 1.0000 | 100% ||
|| 2018/12/15 => 2019/06/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9718 | 1.0000 | 100% ||
|| 2019/06/15 => 2019/12/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9625 | 1.0000 | 100% ||
|| 2019/12/15 => 2020/06/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9525 | 1.0000 | 100% ||
|| 2020/06/15 => 2020/12/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9421 | 1.0000 | 100% ||
|| 2020/12/15 => 2021/06/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9315 | 1.0000 | 100% ||
|| 2021/06/15 => 2021/12/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9207 | 1.0000 | 100% ||
|| 2021/12/15 => 2022/06/15 | ? | USD | NONE | 11.50% | 0.5000 | 0.0575 | 0.0000 | 0.9096 | 1.0000 | 100% ||
|| 2017/06/30 => 2022/06/15 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9096 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
Workout : 15-JUN-2022
Next Call Date : 15-JUN-2022 | 1.0
Maturity Date : 15-JUN-2022 | 1.0
yield to call => 0.1312926105503897
z_spread => 0.1122933776732917
market value => 7.05E8
oad mult => 0.5443840268555007
libor duration => 3.6457000508879667E-4
convexity => 1.5920879078851076E-7
modified convexity => 1.5920879078851076E-7
effective duration => 3.584759114691708E-4
yield to worst => 0.1312926105503897
tsy oas => 0.1122933776732917
macaulay duration => 3.742444818865516
mod dur to worst => 3.5943298898463173E-4
price => 0.94
ytm fwdcpn => 0.13129261055038946
discount margin => 0.11819372734557615
cv01 => 1.841493356156132E-4
effective duration adj => 1.9514856021628314E-4
yield to maturity => 0.1312926105503897
oas => 0.11196477171671278
wal_adj => 4.123571903601293
mod dur => 3.5943298898463173E-4
wal => 4.788888888888889
z_vol_oas => 0.11196477171671278
n-spread => 0.11125761055038971
yield to put => 0.1312926105503897
treasury duration => 3.5847591146980265E-4
wal4 => 4.788888888888889
accrued$ => 1.605208333333332E7
wal3 => 2.668239236916732
i-spread => 0.11147422271986221
j-spread => 0.1191026105503897
wal2 => 3.6828026420685083
wal to worst => 4.788888888888889
nominal yield => 0.11417111505168488
spread dur => 0.03564474648945316
funding duration => 3.594706517172423E-4
accrued => 0.02140277777777776
e-spread => 0.11508854106686775
accrued interest factor => 0.02140277777777776
spread dur $ => 2.6733559867089868E7
dv01 => 3.369673567810205E-4
yield to maturity cbe => 0.1312926105503897
funding kprd::fixfloat::05y => 2.7780156149641023E-4
funding kprd::fixfloat::15y => 1.2545533445429412E-9
funding kprd::fixfloat::03y => 8.452133432573784E-6
funding kprd::fixfloat::25y => 6.574785160751162E-11
funding kprd::fixfloat::09y => 1.1856357503114979E-6
funding kprd::fixfloat::07y => 1.3237903067525591E-5
funding kprd::deposit::pll => 1.1844089092050147E-6
funding kprd::fixfloat::11y => 9.658692136649271E-8
funding kprd::bump => 3.653427809543142E-4
funding kprd::fixfloat::06y => -4.3105393960296556E-5
funding kprd::deposit::2d => 1.1844089092050147E-6
funding kprd::fixfloat::04y => 8.273767240861707E-5
funding kprd::fixfloat::pll => 3.527305364161903E-4
funding kprd::fixfloat::08y => -4.000111986207644E-6
funding kprd::fixfloat::20y => -2.205564952895145E-10
funding kprd::fixfloat::30y => -1.5535317476889078E-11
funding kprd::fixfloat::40y => 1.8167800597268525E-12
funding kprd::fixfloat::50y => -3.161360062620133E-13
funding kprd::fixfloat::02y => 1.6686503768176265E-5
funding kprd::fixfloat::12y => -2.0589592919506572E-8
funding kprd::fixfloat::10y => -3.459014255913218E-7
funding kprd::futures::0 => 3.6489542680429033E-6
funding kprd::futures::p => 1.1426203379028E-5
funding kprd::futures::1 => 2.812285037434581E-6
funding kprd::futures::2 => 3.3277635892725588E-6
funding kprd::futures::3 => 8.055726865352497E-7
funding kprd::futures::4 => 1.009162136916819E-6
funding kprd::futures::5 => -1.7754371062217444E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.713422325002502E-4
funding krd::fixfloat::15y => 1.225345147452669E-9
funding krd::fixfloat::03y => 8.919822529727213E-6
funding krd::fixfloat::25y => 6.421712747850055E-11
funding krd::fixfloat::09y => 1.1580320666164232E-6
funding krd::fixfloat::07y => 1.2929701359543904E-5
funding krd::deposit::pll => 1.1667233663589735E-6
funding krd::fixfloat::11y => 9.433820815546328E-8
funding krd::bump => 3.594706517172423E-4
funding krd::fixfloat::06y => -4.210182555386647E-5
funding krd::deposit::2d => 1.1667233663589735E-6
funding krd::fixfloat::04y => 8.115821774339799E-5
funding krd::fixfloat::pll => 3.463070628446121E-4
funding krd::fixfloat::08y => -3.906982358697672E-6
funding krd::fixfloat::20y => -2.154215576607467E-10
funding krd::fixfloat::30y => -1.5173624768008728E-11
funding krd::fixfloat::40y => 1.7744789089649803E-12
funding krd::fixfloat::50y => -3.0877782600306154E-13
funding krd::fixfloat::02y => 1.7067122405360124E-5
funding krd::fixfloat::12y => -2.011023102476541E-8
funding krd::fixfloat::10y => -3.3784823279111614E-7
funding krd::futures::0 => 3.832331340012469E-6
funding krd::futures::p => 1.1995281897580799E-5
funding krd::futures::1 => 2.952411441747022E-6
funding krd::futures::2 => 3.4806661496196583E-6
funding krd::futures::3 => 8.518844932395829E-7
funding krd::futures::4 => 1.0527604991543987E-6
funding krd::futures::5 => -1.7478160419856917E-7
funding krd::base => 0.0
libor krd::tenor::10 => 4.677507336301138E-5
libor krd::tenor::3 => 2.4605864562735475E-5
libor krd::tenor::2 => 2.4077249855223398E-5
libor krd::tenor::1 => 2.756372975885141E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.352712833197745E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.739215150336616E-5
libor krd::tenor::6 => 2.0316681186406466E-5
libor krd::tenor::5 => 2.1790927106458054E-5
libor krd::tenor::4 => 2.203505000229844E-5
libor krd::bump => 3.6457000508879667E-4
libor krd::tenor::9 => 6.560918241712294E-5
libor krd::tenor::8 => 7.386469006449405E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 0.0
govvie kprd::bump => 3.643244354979591E-4
govvie kprd::tsy::01-sep-2020 => 3.892719969015856E-5
govvie kprd::tsy::01-sep-2022 => 3.2539556428557435E-4
govvie kprd::base => 0.0
libor kprd::tenor::10 => 4.7879854799948164E-5
libor kprd::tenor::3 => 2.477499239525449E-5
libor kprd::tenor::2 => 2.4242744265462468E-5
libor kprd::tenor::1 => 2.7753188418327968E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.389504568409364E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.799496183689022E-5
libor kprd::tenor::6 => 2.0622666839631433E-5
libor kprd::tenor::5 => 2.206010363134947E-5
libor kprd::tenor::4 => 2.2307242101832216E-5
libor kprd::bump => 3.705311150072055E-4
libor kprd::tenor::9 => 6.7068598744624E-5
libor kprd::tenor::8 => 7.528350667957429E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 0.0
govvie krd::bump => 3.5847591146980265E-4
govvie krd::tsy::01-sep-2020 => 3.830231127291535E-5
govvie krd::tsy::01-sep-2022 => 3.201719893047082E-4
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:54:56 EST 2020
| Setup Time => Mon Jan 27 00:54:56 EST 2020
| Finish Time => Mon Jan 27 00:55:10 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 188 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 00:55:10 EST 2020
| Setup Time => Mon Jan 27 00:55:10 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-OCT-2023
Next Call Date : 01-OCT-2023 | 1.0
Maturity Date : 01-OCT-2023 | 1.0
yield to call => 0.056848471403283474
z_spread => 0.03607532502659445
market value => 1.13006
oad mult => 0.6112841479807496
libor duration => 4.922237815990056E-4
convexity => 2.786660584611842E-7
modified convexity => 2.786660584611842E-7
effective duration => 4.838998696457404E-4
yield to worst => 0.056848471403283474
tsy oas => 0.03607532502659445
macaulay duration => 4.824757870739269
mod dur to worst => 4.8594062435848416E-4
price => 1.13006
ytm fwdcpn => 0.056848471403283474
discount margin => 0.04371833312221479
cv01 => 3.359923007890675E-4
effective duration adj => 2.958003195243922E-4
yield to maturity => 0.056848471403283474
oas => 0.036261368573174795
wal_adj => 5.211147118898564
mod dur => 4.8594062435848416E-4
wal => 6.069444444444445
z_vol_oas => 0.036261368573174795
n-spread => 0.03594647140328347
yield to put => 0.056848471403283474
treasury duration => 4.8389986965108E-4
wal4 => 6.069444444444445
accrued$ => 0.036666666666666674
wal3 => 3.282259089753369
i-spread => 0.03589572799382079
j-spread => 0.044658471403283474
wal2 => 4.973046911932684
wal to worst => 6.069444444444445
nominal yield => 0.08247869113498034
spread dur => 0.04803882595570198
funding duration => 4.860252776536057E-4
accrued => 0.036666666666666674
e-spread => 0.04058785196593664
accrued interest factor => 0.036666666666666674
spread dur $ => 0.04803882595570198
dv01 => 5.468358866918654E-4
yield to maturity cbe => 0.056848471403283474
funding kprd::fixfloat::05y => 6.7609230701898285E-6
funding kprd::fixfloat::15y => 2.209197921820838E-9
funding kprd::fixfloat::03y => 1.1628771166330432E-5
funding kprd::fixfloat::25y => 1.1577843961330103E-10
funding kprd::fixfloat::09y => 2.087834781613895E-6
funding kprd::fixfloat::07y => 2.3422911805201506E-5
funding kprd::deposit::pll => 5.075416434047187E-7
funding kprd::fixfloat::11y => 1.7008399869899993E-7
funding kprd::bump => 4.722492977739162E-4
funding kprd::fixfloat::06y => 3.9546420227178634E-4
funding kprd::deposit::2d => 5.075416434047187E-7
funding kprd::fixfloat::04y => 2.1653544328117947E-5
funding kprd::fixfloat::pll => 4.680504205764963E-4
funding kprd::fixfloat::08y => -7.043958619881719E-6
funding kprd::fixfloat::20y => -3.883877969235172E-10
funding kprd::fixfloat::30y => -2.7356814036316734E-11
funding kprd::fixfloat::40y => 3.1991881366266737E-12
funding kprd::fixfloat::50y => -5.567907246373238E-13
funding kprd::fixfloat::02y => 1.4540878371469001E-5
funding kprd::fixfloat::12y => -3.625709489030182E-8
funding kprd::fixfloat::10y => -6.091122800172544E-7
funding kprd::futures::0 => 1.6999729501615545E-6
funding kprd::futures::p => 3.6890793676164212E-6
funding kprd::futures::1 => 1.1400525903509927E-6
funding kprd::futures::2 => 6.479999857617047E-7
funding kprd::futures::3 => 5.149865428183409E-7
funding kprd::futures::4 => -8.159346754077479E-8
funding kprd::futures::5 => -2.3234001143845884E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 6.325139476440008E-6
funding krd::fixfloat::15y => 2.3027578237643317E-9
funding krd::fixfloat::03y => 1.0899187835403097E-5
funding krd::fixfloat::25y => 1.2068167800037088E-10
funding krd::fixfloat::09y => 2.1762549302210167E-6
funding krd::fixfloat::07y => 2.441477701332509E-5
funding krd::deposit::pll => 5.186271496935671E-7
funding krd::fixfloat::11y => 1.7728708388703276E-7
funding krd::bump => 4.860252776536057E-4
funding krd::fixfloat::06y => 4.1175642751563617E-4
funding krd::deposit::2d => 5.186271496935671E-7
funding krd::fixfloat::04y => 2.125004659448844E-5
funding krd::fixfloat::pll => 4.8242958825678664E-4
funding krd::fixfloat::08y => -7.342271370073786E-6
funding krd::fixfloat::20y => -4.0483608733185534E-10
funding krd::fixfloat::30y => -2.8515379770084965E-11
funding krd::fixfloat::40y => 3.3346774539088047E-12
funding krd::fixfloat::50y => -5.803702011991089E-13
funding krd::fixfloat::02y => 1.3434111685149746E-5
funding krd::fixfloat::12y => -3.7792588785814925E-8
funding krd::fixfloat::10y => -6.349082843074457E-7
funding krd::futures::0 => 1.4623079192834388E-6
funding krd::futures::p => 3.0746973182958256E-6
funding krd::futures::1 => 9.73060240436678E-7
funding krd::futures::2 => 5.454471320666399E-7
funding krd::futures::3 => 4.2760885254130897E-7
funding krd::futures::4 => -9.859656910123378E-8
funding krd::futures::5 => -2.3513071991363682E-7
funding krd::base => 0.0
libor krd::tenor::10 => 7.182993034866538E-5
libor krd::tenor::3 => 2.414211344783846E-5
libor krd::tenor::2 => 2.433113926746235E-5
libor krd::tenor::1 => 2.6729699120979547E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.607034958960778E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.251253449434442E-5
libor krd::tenor::6 => 2.259622268943777E-5
libor krd::tenor::5 => 2.3003227183101595E-5
libor krd::tenor::4 => 2.3973110510302883E-5
libor krd::bump => 4.922237815990056E-4
libor krd::tenor::9 => 7.766852955624108E-5
libor krd::tenor::8 => 8.409900738334266E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 6.633837811238578E-5
libor krd::tenor::12 => 4.427269938890905E-6
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 4.702364282833632E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 2.1935353803770042E-4
govvie kprd::tsy::06-sep-2024 => 2.5087397492780936E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 6.913566789252534E-5
libor kprd::tenor::3 => 2.3749304449560694E-5
libor kprd::tenor::2 => 2.4017814262905502E-5
libor kprd::tenor::1 => 2.641439213423302E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.55996803602854E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.1485458227655256E-5
libor kprd::tenor::6 => 2.2122772303156955E-5
libor kprd::tenor::5 => 2.2537440386960485E-5
libor kprd::tenor::4 => 2.35639309995872E-5
libor kprd::bump => 4.782843983336921E-4
libor kprd::tenor::9 => 7.503641715738973E-5
libor kprd::tenor::8 => 8.168237733525985E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 6.372056836258244E-5
libor kprd::tenor::12 => 4.251069932365015E-6
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 4.8389986965108E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 2.2572704476517264E-4
govvie krd::tsy::06-sep-2024 => 2.5816334961829043E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:55:10 EST 2020
| Setup Time => Mon Jan 27 00:55:10 EST 2020
| Finish Time => Mon Jan 27 00:55:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 853 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 00:55:26 EST 2020
| Setup Time => Mon Jan 27 00:55:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-MAR-2020
Next Call Date : 01-MAR-2018 | 1.0275
Maturity Date : 01-MAR-2023 | 1.0
yield to call => 0.10999999800726115
z_spread => 0.040094999999999416
market value => 5.25E8
oad mult => 0.6023250936055373
libor duration => 2.3485484079024954E-4
convexity => 7.971373612557187E-8
modified convexity => 7.971373612557187E-8
effective duration => 2.3063058326353025E-4
yield to worst => 0.05499999657754504
tsy oas => 0.03497519835609783
macaulay duration => 4.691034629386241
mod dur to worst => 2.310109377632319E-4
price => 1.0
ytm fwdcpn => 0.0549999999999982
discount margin => 0.041907435643006787
cv01 => 1.3923182743913465E-4
effective duration adj => 1.3891458765250553E-4
yield to maturity => 0.0549999999999982
oas => 0.03471617547999917
wal_adj => 2.384789249901285
mcconvexity => 7.97137361255719E-8
mod dur => 4.711450636942782E-4
wal => 5.5
z_vol_oas => 0.03789395923905638
n-spread => 0.03858999657754504
mcoas => 0.04009499999999938
yield to put => 0.0549999999999982
treasury duration => 2.3063058100059597E-4
wal4 => 5.5
accrued$ => 401041.66666666785
wal3 => 1.5
i-spread => 0.037858383139744455
j-spread => 0.04280999657754504
wal2 => 2.3683884749566837
wal to worst => 2.5
mcduration => 2.2441668735732068E-4
nominal yield => 0.0549999999999982
spread dur => 0.023023604079221993
funding duration => 2.3106581790695578E-4
accrued => 7.638888888888911E-4
e-spread => 0.038727441453297144
accrued interest factor => 7.638888888888911E-4
spread dur $ => 1.2087392141591547E7
dv01 => 2.3063058326353025E-4
yield to maturity cbe => 0.0549999999999982
funding kprd::fixfloat::05y => 1.6027091063736122E-5
funding kprd::fixfloat::15y => 1.4755206501071428E-10
funding kprd::fixfloat::03y => 1.6795369888941702E-4
funding kprd::fixfloat::25y => 7.732808837701554E-12
funding kprd::fixfloat::09y => 1.3944654693176516E-7
funding kprd::fixfloat::07y => 1.5569544762727983E-6
funding kprd::deposit::pll => 1.327641580084471E-6
funding kprd::fixfloat::11y => 1.1359903856478226E-8
funding kprd::bump => 2.3106581790695578E-4
funding kprd::fixfloat::06y => -5.069772160293251E-6
funding kprd::deposit::2d => 1.327641580084471E-6
funding kprd::fixfloat::04y => -4.8567848331204645E-5
funding kprd::fixfloat::pll => 2.2448429930932434E-4
funding kprd::fixfloat::08y => -4.704665194921187E-7
funding kprd::fixfloat::20y => -2.594037207259703E-11
funding kprd::fixfloat::30y => -1.8271550938919744E-12
funding kprd::fixfloat::40y => 2.1367352331935762E-13
funding kprd::fixfloat::50y => -3.718692020981962E-14
funding kprd::fixfloat::02y => 9.294672323855723E-5
funding kprd::fixfloat::12y => -2.4216090965811786E-9
funding kprd::fixfloat::10y => -4.068260452405603E-8
funding kprd::futures::0 => 1.6399243272846586E-6
funding kprd::futures::p => 5.252981807446488E-6
funding kprd::futures::1 => 1.155632008026375E-6
funding kprd::futures::2 => 8.879521383176048E-7
funding kprd::futures::3 => 8.165581285801693E-7
funding kprd::futures::4 => 4.166128631966082E-7
funding kprd::futures::5 => 3.3629550518221586E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.6027091063736122E-5
funding krd::fixfloat::15y => 1.4755206501071428E-10
funding krd::fixfloat::03y => 1.6795369888941702E-4
funding krd::fixfloat::25y => 7.732808837701554E-12
funding krd::fixfloat::09y => 1.3944654693176516E-7
funding krd::fixfloat::07y => 1.5569544762727983E-6
funding krd::deposit::pll => 1.327641580084471E-6
funding krd::fixfloat::11y => 1.1359903856478226E-8
funding krd::bump => 2.3106581790695578E-4
funding krd::fixfloat::06y => -5.069772160293251E-6
funding krd::deposit::2d => 1.327641580084471E-6
funding krd::fixfloat::04y => -4.8567848331204645E-5
funding krd::fixfloat::pll => 2.2448429930932434E-4
funding krd::fixfloat::08y => -4.704665194921187E-7
funding krd::fixfloat::20y => -2.594037207259703E-11
funding krd::fixfloat::30y => -1.8271550938919744E-12
funding krd::fixfloat::40y => 2.1367352331935762E-13
funding krd::fixfloat::50y => -3.718692020981962E-14
funding krd::fixfloat::02y => 9.294672323855723E-5
funding krd::fixfloat::12y => -2.4216090965811786E-9
funding krd::fixfloat::10y => -4.068260452405603E-8
funding krd::futures::0 => 1.6399243272846586E-6
funding krd::futures::p => 5.252981807446488E-6
funding krd::futures::1 => 1.155632008026375E-6
funding krd::futures::2 => 8.879521383176048E-7
funding krd::futures::3 => 8.165581285801693E-7
funding krd::futures::4 => 4.166128631966082E-7
funding krd::futures::5 => 3.3629550518221586E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4306131125617635E-5
libor krd::tenor::2 => 2.433724890482658E-5
libor krd::tenor::1 => 2.8249689862980265E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.507896495726694E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.227717074912762E-5
libor krd::tenor::6 => 2.3028012431891566E-5
libor krd::tenor::5 => 2.3387215234760284E-5
libor krd::tenor::4 => 2.4201805597562354E-5
libor krd::bump => 2.3485484079024954E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 4.451555177860667E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::31-aug-2027 => 0.0
govvie kprd::tsy::31-aug-2047 => 0.0
govvie kprd::tsy::31-aug-2037 => 0.0
govvie kprd::tsy::31-aug-2018 => 0.0
govvie kprd::tsy::31-aug-2019 => 1.1531473257807012E-4
govvie kprd::bump => 2.3063058100059597E-4
govvie kprd::tsy::31-aug-2020 => 1.1531473257807012E-4
govvie kprd::tsy::31-aug-2024 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::31-aug-2022 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4306131125617635E-5
libor kprd::tenor::2 => 2.433724890482658E-5
libor kprd::tenor::1 => 2.8249689862980265E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.507896495726694E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.227717074912762E-5
libor kprd::tenor::6 => 2.3028012431891566E-5
libor kprd::tenor::5 => 2.3387215234760284E-5
libor kprd::tenor::4 => 2.4201805597562354E-5
libor kprd::bump => 2.3485484079024954E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 4.451555177860667E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::31-aug-2027 => 0.0
govvie krd::tsy::31-aug-2047 => 0.0
govvie krd::tsy::31-aug-2037 => 0.0
govvie krd::tsy::31-aug-2018 => 0.0
govvie krd::tsy::31-aug-2019 => 1.1531473257807012E-4
govvie krd::bump => 2.3063058100059597E-4
govvie krd::tsy::31-aug-2020 => 1.1531473257807012E-4
govvie krd::tsy::31-aug-2024 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::31-aug-2022 => 0.0
|-----------------------------------------------------------------|
| 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 00:55:26 EST 2020
| Setup Time => Mon Jan 27 00:55:26 EST 2020
| Finish Time => Mon Jan 27 00:55:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 105 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 00:55:40 EST 2020
| Setup Time => Mon Jan 27 00:55:40 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 06-OCT-2017
Next Call Date : 06-OCT-2017 | 1.02313
Maturity Date : 15-MAR-2020 | 1.0
yield to call => -0.2262128143448517
z_spread => -0.9539854791141064
market value => 6.16666575E8
oad mult => 0.10896401523203769
libor duration => 1.959923625550578E-5
convexity => 6.854731498543456E-9
modified convexity => 6.854731498543456E-9
effective duration => 6.072722448892003E-5
yield to worst => -0.2262128143448517
tsy oas => 0.006481276121752552
macaulay duration => 2.2581593624519702
mod dur to worst => 1.1663252956488197E-5
price => 1.174603
ytm fwdcpn => 0.021462396046868514
discount margin => -0.23930537527938994
cv01 => 7.772717464327172E-6
effective duration adj => 6.617082214210055E-6
yield to maturity => 0.021462396046868514
oas => 0.004384492053033906
wal_adj => 0.09699582038844672
mcconvexity => 6.865186379694164E-9
mod dur => 2.3193622328042214E-4
wal => 2.5388888888888888
z_vol_oas => -0.9363873912222656
n-spread => -0.2426228143448517
mcoas => -0.39810211225286773
yield to put => 0.021462396046868514
treasury duration => 1.9347596961705514E-5
wal4 => 2.5388888888888888
accrued$ => 2.306718749999995E7
wal3 => 0.07388888888888888
i-spread => -0.2426228143448517
j-spread => -0.2384028143448517
wal2 => 0.0970427039427287
wal to worst => 0.0972222222222222
mcduration => 5.7810163171469246E-5
nominal yield => 0.0924659785492467
spread dur => 0.0019512695165154277
funding duration => 1.9576996849741133E-5
accrued => 0.04393749999999991
e-spread => -0.9363873912222656
accrued interest factor => 0.04393749999999991
spread dur $ => 1024416.4961705996
dv01 => 7.133038006635894E-5
yield to maturity cbe => 0.021462396046868514
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 8.914902967027682E-6
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 1.1564177048739577E-5
funding kprd::futures::p => 8.914902967027682E-6
funding kprd::futures::1 => -3.374937876798878E-6
funding kprd::futures::2 => 9.192368279120622E-7
funding kprd::futures::3 => -2.4526835855076533E-7
funding kprd::futures::4 => 6.459871926822735E-8
funding kprd::futures::5 => -1.2902580248663753E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.9576996849741133E-5
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 2.506539296946648E-5
funding krd::futures::p => 1.9576996849741133E-5
funding krd::futures::1 => -7.048182051205803E-6
funding krd::futures::2 => 1.975894599603246E-6
funding krd::futures::3 => -5.272029667435692E-7
funding krd::futures::4 => 1.3885458917500434E-7
funding krd::futures::5 => -2.773402460752582E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 0.0
libor krd::tenor::2 => 4.1782088848422725E-7
libor krd::tenor::1 => 1.810874115205279E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 1.0727098866147096E-6
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 1.959923625550578E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::31-aug-2027 => 0.0
govvie kprd::tsy::31-aug-2047 => 0.0
govvie kprd::tsy::31-aug-2037 => 0.0
govvie kprd::tsy::31-aug-2018 => 8.60999331164236E-6
govvie kprd::tsy::31-aug-2019 => 0.0
govvie kprd::bump => 8.60999331164236E-6
govvie kprd::tsy::31-aug-2020 => 0.0
govvie kprd::tsy::31-aug-2024 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::31-aug-2022 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 0.0
libor kprd::tenor::2 => 9.84432684869585E-8
libor kprd::tenor::1 => 8.329383598359997E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 4.990059734255592E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 8.92682726083005E-6
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::31-aug-2027 => 0.0
govvie krd::tsy::31-aug-2047 => 0.0
govvie krd::tsy::31-aug-2037 => 0.0
govvie krd::tsy::31-aug-2018 => 1.9347596961705514E-5
govvie krd::tsy::31-aug-2019 => 0.0
govvie krd::bump => 1.9347596961705514E-5
govvie krd::tsy::31-aug-2020 => 0.0
govvie krd::tsy::31-aug-2024 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::31-aug-2022 => 0.0
|-----------------------------------------------------------------|
| 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 00:55:40 EST 2020
| Setup Time => Mon Jan 27 00:55:40 EST 2020
| Finish Time => Mon Jan 27 00:55:53 EST 2020
| Setup Duration => 1 ms
| Run Duration => 12 s 359 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 00:55:53 EST 2020
| Setup Time => Mon Jan 27 00:55:53 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 13-APR-2047
Next Call Date : 16-NOV-2017 | 1.0
Maturity Date : 15-JUN-2047 | 1.0
yield to call => 0.3991992496702052
z_spread => -6.571689727477788E-4
market value => 6.88005E8
oad mult => 0.4966388509759872
libor duration => 2.2928392621648854E-4
convexity => 4.587987290126671E-6
modified convexity => 4.587987290126671E-6
effective duration => 0.0018578865520092224
yield to worst => 0.03872131757221085
tsy oas => -7.127737909650838E-4
macaulay duration => 20.016854411382123
mod dur to worst => -7.818695759423772E-5
price => 0.91734
ytm fwdcpn => 0.027225506603194793
discount margin => 0.02440505583397444
cv01 => 8.504731328732307E-4
effective duration adj => 9.22698642433599E-4
yield to maturity => 0.03883167953989531
oas => 0.025631679539895313
wal_adj => 23.343850263459206
mcconvexity => 7.768154450133725E-8
mod dur => -7.659486352150904E-5
wal => 30.1638888888889
z_vol_oas => 0.025521317572210857
n-spread => 0.013848317572210854
mcoas => 0.0427694920231372
yield to put => 0.03883167953989531
treasury duration => 0.0021127511067027946
wal4 => 30.1638888888889
accrued$ => 531666.6666666672
wal3 => 15.524213058005126
i-spread => 0.013846565027836717
j-spread => 0.028821317572210854
wal2 => 20.164220130484647
wal to worst => 29.988888888888898
mcduration => 2.6385851982621214E-4
nominal yield => 0.034252634971979404
spread dur => 0.18119753266487773
funding duration => 2.5035329475308027E-4
accrued => 7.088888888888895E-4
e-spread => 0.01757193458910926
accrued interest factor => 7.088888888888895E-4
spread dur $ => 1.358981494986583E8
dv01 => 0.00170431364962014
yield to maturity cbe => 0.03902016695688186
funding kprd::fixfloat::05y => 2.227861088943284E-6
funding kprd::fixfloat::15y => 3.29596094796453E-5
funding kprd::fixfloat::03y => 1.4322811818729806E-6
funding kprd::fixfloat::25y => 7.56977642910349E-5
funding kprd::fixfloat::09y => 4.080000194159925E-6
funding kprd::fixfloat::07y => 3.166173637560545E-6
funding kprd::deposit::pll => 1.8686081027418384E-7
funding kprd::fixfloat::11y => 4.195126915866332E-6
funding kprd::bump => 2.5035329475308027E-4
funding kprd::fixfloat::06y => 2.68621062396612E-6
funding kprd::deposit::2d => 1.8686081027418384E-7
funding kprd::fixfloat::04y => 1.7128030029296564E-6
funding kprd::fixfloat::pll => 2.300165151185099E-4
funding kprd::fixfloat::08y => 3.6574825861988815E-6
funding kprd::fixfloat::20y => 5.1728063746777656E-5
funding kprd::fixfloat::30y => 3.3735858169857626E-5
funding kprd::fixfloat::40y => -2.343143879035763E-6
funding kprd::fixfloat::50y => 4.1044449077708184E-7
funding kprd::fixfloat::02y => 4.4097097870102375E-7
funding kprd::fixfloat::12y => 9.283419452314173E-6
funding kprd::fixfloat::10y => 4.905525714910115E-6
funding kprd::futures::0 => 3.2840640023314285E-5
funding kprd::futures::p => 2.015080174367804E-5
funding kprd::futures::1 => -1.6511468185382304E-5
funding kprd::futures::2 => 4.5611719300783125E-6
funding kprd::futures::3 => -1.0907583012179992E-6
funding kprd::futures::4 => 3.6397386332316565E-7
funding kprd::futures::5 => -1.2710225842511345E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.227861088943284E-6
funding krd::fixfloat::15y => 3.29596094796453E-5
funding krd::fixfloat::03y => 1.4322811818729806E-6
funding krd::fixfloat::25y => 7.56977642910349E-5
funding krd::fixfloat::09y => 4.080000194159925E-6
funding krd::fixfloat::07y => 3.166173637560545E-6
funding krd::deposit::pll => 1.8686081027418384E-7
funding krd::fixfloat::11y => 4.195126915866332E-6
funding krd::bump => 2.5035329475308027E-4
funding krd::fixfloat::06y => 2.68621062396612E-6
funding krd::deposit::2d => 1.8686081027418384E-7
funding krd::fixfloat::04y => 1.7128030029296564E-6
funding krd::fixfloat::pll => 2.300165151185099E-4
funding krd::fixfloat::08y => 3.6574825861988815E-6
funding krd::fixfloat::20y => 5.1728063746777656E-5
funding krd::fixfloat::30y => 3.3735858169857626E-5
funding krd::fixfloat::40y => -2.343143879035763E-6
funding krd::fixfloat::50y => 4.1044449077708184E-7
funding krd::fixfloat::02y => 4.4097097870102375E-7
funding krd::fixfloat::12y => 9.283419452314173E-6
funding krd::fixfloat::10y => 4.905525714910115E-6
funding krd::futures::0 => 3.2840640023314285E-5
funding krd::futures::p => 2.015080174367804E-5
funding krd::futures::1 => -1.6511468185382304E-5
funding krd::futures::2 => 4.5611719300783125E-6
funding krd::futures::3 => -1.0907583012179992E-6
funding krd::futures::4 => 3.6397386332316565E-7
funding krd::futures::5 => -1.2710225842511345E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.4143588536445307E-5
libor krd::tenor::3 => 4.309133916650669E-6
libor krd::tenor::2 => 4.363085183875294E-6
libor krd::tenor::1 => 8.361565251664899E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 9.745169031049505E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.365068945021654E-6
libor krd::tenor::6 => 4.1510734281712986E-6
libor krd::tenor::5 => 4.111348261606622E-6
libor krd::tenor::4 => 4.2093339245931E-6
libor krd::bump => 2.2928392621648854E-4
libor krd::tenor::9 => 1.4929519183721279E-5
libor krd::tenor::8 => 1.5777862829707992E-5
libor krd::tenor::20 => 1.5432409975260874E-5
libor krd::tenor::21 => 4.451925490368539E-6
libor krd::tenor::13 => 1.1894849873847704E-5
libor krd::tenor::14 => 1.1185231110679258E-5
libor krd::tenor::11 => 1.3375923678626099E-5
libor krd::tenor::12 => 1.2660025096869E-5
libor krd::tenor::17 => 9.164093942574676E-6
libor krd::tenor::18 => 2.3763978385748374E-5
libor krd::tenor::15 => 1.0493455922461081E-5
libor krd::tenor::16 => 9.84656677325461E-6
libor krd::tenor::19 => 2.81044639162767E-5
libor krd::base => 0.0
govvie kprd::tsy::21-sep-2020 => 0.0
govvie kprd::tsy::21-mar-2018 => 0.0
govvie kprd::tsy::21-sep-2018 => 0.0
govvie kprd::tsy::21-sep-2019 => 0.0
govvie kprd::bump => 0.0021576582356546054
govvie kprd::tsy::21-oct-2017 => 0.0
govvie kprd::tsy::21-sep-2024 => 0.0
govvie kprd::tsy::21-dec-2017 => 0.0
govvie kprd::tsy::21-sep-2032 => 0.0
govvie kprd::tsy::21-sep-2022 => 0.0
govvie kprd::tsy::21-sep-2027 => 0.0
govvie kprd::tsy::21-sep-2047 => 0.0020624469174360697
govvie kprd::base => 0.0
govvie kprd::tsy::21-sep-2037 => 9.507325029571023E-5
libor kprd::tenor::10 => 1.4143588536445307E-5
libor kprd::tenor::3 => 4.309133916650669E-6
libor kprd::tenor::2 => 4.363085183875294E-6
libor kprd::tenor::1 => 8.361565251664899E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 9.745169031049505E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.365068945021654E-6
libor kprd::tenor::6 => 4.1510734281712986E-6
libor kprd::tenor::5 => 4.111348261606622E-6
libor kprd::tenor::4 => 4.2093339245931E-6
libor kprd::bump => 2.2928392621648854E-4
libor kprd::tenor::9 => 1.4929519183721279E-5
libor kprd::tenor::8 => 1.5777862829707992E-5
libor kprd::tenor::20 => 1.5432409975260874E-5
libor kprd::tenor::21 => 4.451925490368539E-6
libor kprd::tenor::13 => 1.1894849873847704E-5
libor kprd::tenor::14 => 1.1185231110679258E-5
libor kprd::tenor::11 => 1.3375923678626099E-5
libor kprd::tenor::12 => 1.2660025096869E-5
libor kprd::tenor::17 => 9.164093942574676E-6
libor kprd::tenor::18 => 2.3763978385748374E-5
libor kprd::tenor::15 => 1.0493455922461081E-5
libor kprd::tenor::16 => 9.84656677325461E-6
libor kprd::tenor::19 => 2.81044639162767E-5
libor kprd::base => 0.0
govvie krd::tsy::21-sep-2020 => 0.0
govvie krd::tsy::21-mar-2018 => 0.0
govvie krd::tsy::21-sep-2018 => 0.0
govvie krd::tsy::21-sep-2019 => 0.0
govvie krd::bump => 0.0021127511067027946
govvie krd::tsy::21-oct-2017 => 0.0
govvie krd::tsy::21-sep-2024 => 0.0
govvie krd::tsy::21-dec-2017 => 0.0
govvie krd::tsy::21-sep-2032 => 0.0
govvie krd::tsy::21-sep-2022 => 0.0
govvie krd::tsy::21-sep-2027 => 0.0
govvie krd::tsy::21-sep-2047 => 0.002019522428352366
govvie krd::base => 0.0
govvie krd::tsy::21-sep-2037 => 9.309504233207701E-5
||----------------------------------------------------------------------------------------------------------------------||
Price In : 0.91734
Yield Out : 0.03883167953989531
Price Out : 0.9173400000000137
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2007/04/30 => 2007/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.3833 | 0.0038 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2007/09/15 => 2007/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2007/12/15 => 2008/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/03/15 => 2008/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/06/15 => 2008/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/09/15 => 2008/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/12/15 => 2009/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/03/15 => 2009/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/06/15 => 2009/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/09/15 => 2009/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/12/15 => 2010/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/03/15 => 2010/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/06/15 => 2010/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/09/15 => 2010/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/12/15 => 2011/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/03/15 => 2011/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/06/15 => 2011/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/09/15 => 2011/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/12/15 => 2012/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/03/15 => 2012/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/06/15 => 2012/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/09/15 => 2012/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/12/15 => 2013/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/03/15 => 2013/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/06/15 => 2013/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/09/15 => 2013/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/12/15 => 2014/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/03/15 => 2014/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/06/15 => 2014/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/09/15 => 2014/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/12/15 => 2015/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/03/15 => 2015/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/06/15 => 2015/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/09/15 => 2015/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/12/15 => 2016/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/03/15 => 2016/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/06/15 => 2016/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/09/15 => 2016/12/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2528 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/12/15 => 2017/03/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2500 | 0.0025 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2017/03/15 => 2017/06/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2017/06/15 => 2017/09/15 | ? | USD | USD-LIBOR-3M | 1.00% | 0.2556 | 0.0026 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2017/09/15 => 2017/12/15 | ? | USD | USD-LIBOR-3M | 2.32% | 0.2528 | 0.0059 | 0.0000 | 0.9966 | 0.9941 | 40% ||
|| 2017/12/15 => 2018/03/15 | ? | USD | USD-LIBOR-3M | 2.49% | 0.2500 | 0.0062 | 0.0000 | 0.9929 | 0.9879 | 40% ||
|| 2018/03/15 => 2018/06/15 | ? | USD | USD-LIBOR-3M | 2.59% | 0.2556 | 0.0066 | 0.0000 | 0.9889 | 0.9816 | 40% ||
|| 2018/06/15 => 2018/09/15 | ? | USD | USD-LIBOR-3M | 2.67% | 0.2556 | 0.0068 | 0.0000 | 0.9847 | 0.9753 | 40% ||
|| 2018/09/15 => 2018/12/15 | ? | USD | USD-LIBOR-3M | 2.74% | 0.2528 | 0.0069 | 0.0000 | 0.9803 | 0.9691 | 40% ||
|| 2018/12/15 => 2019/03/15 | ? | USD | USD-LIBOR-3M | 2.83% | 0.2500 | 0.0071 | 0.0000 | 0.9759 | 0.9630 | 40% ||
|| 2019/03/15 => 2019/06/15 | ? | USD | USD-LIBOR-3M | 2.88% | 0.2556 | 0.0073 | 0.0000 | 0.9712 | 0.9569 | 40% ||
|| 2019/06/15 => 2019/09/15 | ? | USD | USD-LIBOR-3M | 2.69% | 0.2556 | 0.0069 | 0.0000 | 0.9670 | 0.9508 | 40% ||
|| 2019/09/15 => 2019/12/15 | ? | USD | USD-LIBOR-3M | 2.90% | 0.2528 | 0.0073 | 0.0000 | 0.9624 | 0.9447 | 40% ||
|| 2019/12/15 => 2020/03/15 | ? | USD | USD-LIBOR-3M | 2.96% | 0.2528 | 0.0075 | 0.0000 | 0.9577 | 0.9388 | 40% ||
|| 2020/03/15 => 2020/06/15 | ? | USD | USD-LIBOR-3M | 3.00% | 0.2556 | 0.0077 | 0.0000 | 0.9528 | 0.9328 | 40% ||
|| 2020/06/15 => 2020/09/15 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2556 | 0.0078 | 0.0000 | 0.9479 | 0.9268 | 40% ||
|| 2020/09/15 => 2020/12/15 | ? | USD | USD-LIBOR-3M | 3.07% | 0.2528 | 0.0078 | 0.0000 | 0.9429 | 0.9209 | 40% ||
|| 2020/12/15 => 2021/03/15 | ? | USD | USD-LIBOR-3M | 3.09% | 0.2500 | 0.0077 | 0.0000 | 0.9380 | 0.9152 | 40% ||
|| 2021/03/15 => 2021/06/15 | ? | USD | USD-LIBOR-3M | 3.12% | 0.2556 | 0.0080 | 0.0000 | 0.9330 | 0.9093 | 40% ||
|| 2021/06/15 => 2021/09/15 | ? | USD | USD-LIBOR-3M | 3.15% | 0.2556 | 0.0080 | 0.0000 | 0.9279 | 0.9035 | 40% ||
|| 2021/09/15 => 2021/12/15 | ? | USD | USD-LIBOR-3M | 3.18% | 0.2528 | 0.0080 | 0.0000 | 0.9228 | 0.8978 | 40% ||
|| 2021/12/15 => 2022/03/15 | ? | USD | USD-LIBOR-3M | 3.21% | 0.2500 | 0.0080 | 0.0000 | 0.9178 | 0.8922 | 40% ||
|| 2022/03/15 => 2022/06/15 | ? | USD | USD-LIBOR-3M | 3.24% | 0.2556 | 0.0083 | 0.0000 | 0.9125 | 0.8865 | 40% ||
|| 2022/06/15 => 2022/09/15 | ? | USD | USD-LIBOR-3M | 3.26% | 0.2556 | 0.0083 | 0.0000 | 0.9073 | 0.8808 | 40% ||
|| 2022/09/15 => 2022/12/15 | ? | USD | USD-LIBOR-3M | 3.29% | 0.2528 | 0.0083 | 0.0000 | 0.9021 | 0.8752 | 40% ||
|| 2022/12/15 => 2023/03/15 | ? | USD | USD-LIBOR-3M | 3.31% | 0.2500 | 0.0083 | 0.0000 | 0.8969 | 0.8698 | 40% ||
|| 2023/03/15 => 2023/06/15 | ? | USD | USD-LIBOR-3M | 3.34% | 0.2556 | 0.0085 | 0.0000 | 0.8915 | 0.8642 | 40% ||
|| 2023/06/15 => 2023/09/15 | ? | USD | USD-LIBOR-3M | 3.38% | 0.2556 | 0.0086 | 0.0000 | 0.8862 | 0.8587 | 40% ||
|| 2023/09/15 => 2023/12/15 | ? | USD | USD-LIBOR-3M | 3.41% | 0.2528 | 0.0086 | 0.0000 | 0.8808 | 0.8532 | 40% ||
|| 2023/12/15 => 2024/03/15 | ? | USD | USD-LIBOR-3M | 3.44% | 0.2528 | 0.0087 | 0.0000 | 0.8754 | 0.8478 | 40% ||
|| 2024/03/15 => 2024/06/15 | ? | USD | USD-LIBOR-3M | 3.47% | 0.2556 | 0.0089 | 0.0000 | 0.8699 | 0.8424 | 40% ||
|| 2024/06/15 => 2024/09/15 | ? | USD | USD-LIBOR-3M | 3.49% | 0.2556 | 0.0089 | 0.0000 | 0.8644 | 0.8370 | 40% ||
|| 2024/09/15 => 2024/12/15 | ? | USD | USD-LIBOR-3M | 3.51% | 0.2528 | 0.0089 | 0.0000 | 0.8590 | 0.8317 | 40% ||
|| 2024/12/15 => 2025/03/15 | ? | USD | USD-LIBOR-3M | 3.52% | 0.2500 | 0.0088 | 0.0000 | 0.8536 | 0.8265 | 40% ||
|| 2025/03/15 => 2025/06/15 | ? | USD | USD-LIBOR-3M | 3.53% | 0.2556 | 0.0090 | 0.0000 | 0.8481 | 0.8212 | 40% ||
|| 2025/06/15 => 2025/09/15 | ? | USD | USD-LIBOR-3M | 3.54% | 0.2556 | 0.0090 | 0.0000 | 0.8426 | 0.8160 | 40% ||
|| 2025/09/15 => 2025/12/15 | ? | USD | USD-LIBOR-3M | 3.55% | 0.2528 | 0.0090 | 0.0000 | 0.8372 | 0.8108 | 40% ||
|| 2025/12/15 => 2026/03/15 | ? | USD | USD-LIBOR-3M | 3.56% | 0.2500 | 0.0089 | 0.0000 | 0.8319 | 0.8057 | 40% ||
|| 2026/03/15 => 2026/06/15 | ? | USD | USD-LIBOR-3M | 3.57% | 0.2556 | 0.0091 | 0.0000 | 0.8265 | 0.8006 | 40% ||
|| 2026/06/15 => 2026/09/15 | ? | USD | USD-LIBOR-3M | 3.58% | 0.2556 | 0.0092 | 0.0000 | 0.8211 | 0.7955 | 40% ||
|| 2026/09/15 => 2026/12/15 | ? | USD | USD-LIBOR-3M | 3.60% | 0.2528 | 0.0091 | 0.0000 | 0.8157 | 0.7904 | 40% ||
|| 2026/12/15 => 2027/03/15 | ? | USD | USD-LIBOR-3M | 3.62% | 0.2500 | 0.0090 | 0.0000 | 0.8104 | 0.7855 | 40% ||
|| 2027/03/15 => 2027/06/15 | ? | USD | USD-LIBOR-3M | 3.63% | 0.2556 | 0.0093 | 0.0000 | 0.8050 | 0.7805 | 40% ||
|| 2027/06/15 => 2027/09/15 | ? | USD | USD-LIBOR-3M | 3.64% | 0.2556 | 0.0093 | 0.0000 | 0.7996 | 0.7755 | 40% ||
|| 2027/09/15 => 2027/12/15 | ? | USD | USD-LIBOR-3M | 3.66% | 0.2528 | 0.0092 | 0.0000 | 0.7943 | 0.7706 | 40% ||
|| 2027/12/15 => 2028/03/15 | ? | USD | USD-LIBOR-3M | 3.67% | 0.2528 | 0.0093 | 0.0000 | 0.7889 | 0.7657 | 40% ||
|| 2028/03/15 => 2028/06/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.7836 | 0.7608 | 40% ||
|| 2028/06/15 => 2028/09/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.7782 | 0.7559 | 40% ||
|| 2028/09/15 => 2028/12/15 | ? | USD | USD-LIBOR-3M | 3.70% | 0.2528 | 0.0094 | 0.0000 | 0.7730 | 0.7512 | 40% ||
|| 2028/12/15 => 2029/03/15 | ? | USD | USD-LIBOR-3M | 3.71% | 0.2500 | 0.0093 | 0.0000 | 0.7678 | 0.7465 | 40% ||
|| 2029/03/15 => 2029/06/15 | ? | USD | USD-LIBOR-3M | 3.71% | 0.2556 | 0.0095 | 0.0000 | 0.7625 | 0.7417 | 40% ||
|| 2029/06/15 => 2029/09/15 | ? | USD | USD-LIBOR-3M | 3.71% | 0.2556 | 0.0095 | 0.0000 | 0.7572 | 0.7369 | 40% ||
|| 2029/09/15 => 2029/12/15 | ? | USD | USD-LIBOR-3M | 3.70% | 0.2528 | 0.0094 | 0.0000 | 0.7521 | 0.7323 | 40% ||
|| 2029/12/15 => 2030/03/15 | ? | USD | USD-LIBOR-3M | 3.70% | 0.2500 | 0.0092 | 0.0000 | 0.7471 | 0.7277 | 40% ||
|| 2030/03/15 => 2030/06/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.7419 | 0.7230 | 40% ||
|| 2030/06/15 => 2030/09/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.7369 | 0.7184 | 40% ||
|| 2030/09/15 => 2030/12/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2528 | 0.0093 | 0.0000 | 0.7319 | 0.7139 | 40% ||
|| 2030/12/15 => 2031/03/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2500 | 0.0092 | 0.0000 | 0.7270 | 0.7094 | 40% ||
|| 2031/03/15 => 2031/06/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.7221 | 0.7049 | 40% ||
|| 2031/06/15 => 2031/09/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.7172 | 0.7004 | 40% ||
|| 2031/09/15 => 2031/12/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.7124 | 0.6959 | 40% ||
|| 2031/12/15 => 2032/03/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.7076 | 0.6915 | 40% ||
|| 2032/03/15 => 2032/06/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.7028 | 0.6871 | 40% ||
|| 2032/06/15 => 2032/09/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6980 | 0.6827 | 40% ||
|| 2032/09/15 => 2032/12/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.6933 | 0.6784 | 40% ||
|| 2032/12/15 => 2033/03/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2500 | 0.0092 | 0.0000 | 0.6887 | 0.6741 | 40% ||
|| 2033/03/15 => 2033/06/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6840 | 0.6698 | 40% ||
|| 2033/06/15 => 2033/09/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6793 | 0.6656 | 40% ||
|| 2033/09/15 => 2033/12/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.6747 | 0.6613 | 40% ||
|| 2033/12/15 => 2034/03/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2500 | 0.0092 | 0.0000 | 0.6702 | 0.6572 | 40% ||
|| 2034/03/15 => 2034/06/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.6657 | 0.6530 | 40% ||
|| 2034/06/15 => 2034/09/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.6611 | 0.6488 | 40% ||
|| 2034/09/15 => 2034/12/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2528 | 0.0093 | 0.0000 | 0.6567 | 0.6447 | 40% ||
|| 2034/12/15 => 2035/03/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2500 | 0.0092 | 0.0000 | 0.6523 | 0.6407 | 40% ||
|| 2035/03/15 => 2035/06/15 | ? | USD | USD-LIBOR-3M | 3.69% | 0.2556 | 0.0094 | 0.0000 | 0.6478 | 0.6366 | 40% ||
|| 2035/06/15 => 2035/09/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6434 | 0.6325 | 40% ||
|| 2035/09/15 => 2035/12/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.6391 | 0.6285 | 40% ||
|| 2035/12/15 => 2036/03/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.6348 | 0.6245 | 40% ||
|| 2036/03/15 => 2036/06/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6305 | 0.6205 | 40% ||
|| 2036/06/15 => 2036/09/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2556 | 0.0094 | 0.0000 | 0.6262 | 0.6166 | 40% ||
|| 2036/09/15 => 2036/12/15 | ? | USD | USD-LIBOR-3M | 3.68% | 0.2528 | 0.0093 | 0.0000 | 0.6220 | 0.6127 | 40% ||
|| 2036/12/15 => 2037/03/15 | ? | USD | USD-LIBOR-3M | 3.67% | 0.2500 | 0.0092 | 0.0000 | 0.6179 | 0.6088 | 40% ||
|| 2037/03/15 => 2037/06/15 | ? | USD | USD-LIBOR-3M | 3.67% | 0.2556 | 0.0094 | 0.0000 | 0.6137 | 0.6049 | 40% ||
|| 2037/06/15 => 2037/09/15 | ? | USD | USD-LIBOR-3M | 3.67% | 0.2556 | 0.0094 | 0.0000 | 0.6095 | 0.6011 | 40% ||
|| 2037/09/15 => 2037/12/15 | ? | USD | USD-LIBOR-3M | 3.66% | 0.2528 | 0.0093 | 0.0000 | 0.6054 | 0.5973 | 40% ||
|| 2037/12/15 => 2038/03/15 | ? | USD | USD-LIBOR-3M | 3.66% | 0.2500 | 0.0091 | 0.0000 | 0.6014 | 0.5935 | 40% ||
|| 2038/03/15 => 2038/06/15 | ? | USD | USD-LIBOR-3M | 3.66% | 0.2556 | 0.0093 | 0.0000 | 0.5974 | 0.5897 | 40% ||
|| 2038/06/15 => 2038/09/15 | ? | USD | USD-LIBOR-3M | 3.65% | 0.2556 | 0.0093 | 0.0000 | 0.5934 | 0.5860 | 40% ||
|| 2038/09/15 => 2038/12/15 | ? | USD | USD-LIBOR-3M | 3.65% | 0.2528 | 0.0092 | 0.0000 | 0.5894 | 0.5823 | 40% ||
|| 2038/12/15 => 2039/03/15 | ? | USD | USD-LIBOR-3M | 3.64% | 0.2500 | 0.0091 | 0.0000 | 0.5855 | 0.5786 | 40% ||
|| 2039/03/15 => 2039/06/15 | ? | USD | USD-LIBOR-3M | 3.64% | 0.2556 | 0.0093 | 0.0000 | 0.5816 | 0.5749 | 40% ||
|| 2039/06/15 => 2039/09/15 | ? | USD | USD-LIBOR-3M | 3.63% | 0.2556 | 0.0093 | 0.0000 | 0.5777 | 0.5712 | 40% ||
|| 2039/09/15 => 2039/12/15 | ? | USD | USD-LIBOR-3M | 3.63% | 0.2528 | 0.0092 | 0.0000 | 0.5739 | 0.5676 | 40% ||
|| 2039/12/15 => 2040/03/15 | ? | USD | USD-LIBOR-3M | 3.62% | 0.2528 | 0.0092 | 0.0000 | 0.5701 | 0.5640 | 40% ||
|| 2040/03/15 => 2040/06/15 | ? | USD | USD-LIBOR-3M | 3.62% | 0.2556 | 0.0092 | 0.0000 | 0.5664 | 0.5604 | 40% ||
|| 2040/06/15 => 2040/09/15 | ? | USD | USD-LIBOR-3M | 3.61% | 0.2556 | 0.0092 | 0.0000 | 0.5626 | 0.5568 | 40% ||
|| 2040/09/15 => 2040/12/15 | ? | USD | USD-LIBOR-3M | 3.60% | 0.2528 | 0.0091 | 0.0000 | 0.5589 | 0.5533 | 40% ||
|| 2040/12/15 => 2041/03/15 | ? | USD | USD-LIBOR-3M | 3.60% | 0.2500 | 0.0090 | 0.0000 | 0.5553 | 0.5499 | 40% ||
|| 2041/03/15 => 2041/06/15 | ? | USD | USD-LIBOR-3M | 3.59% | 0.2556 | 0.0092 | 0.0000 | 0.5517 | 0.5463 | 40% ||
|| 2041/06/15 => 2041/09/15 | ? | USD | USD-LIBOR-3M | 3.58% | 0.2556 | 0.0092 | 0.0000 | 0.5481 | 0.5429 | 40% ||
|| 2041/09/15 => 2041/12/15 | ? | USD | USD-LIBOR-3M | 3.57% | 0.2528 | 0.0090 | 0.0000 | 0.5445 | 0.5394 | 40% ||
|| 2041/12/15 => 2042/03/15 | ? | USD | USD-LIBOR-3M | 3.56% | 0.2500 | 0.0089 | 0.0000 | 0.5411 | 0.5360 | 40% ||
|| 2042/03/15 => 2042/06/15 | ? | USD | USD-LIBOR-3M | 3.56% | 0.2556 | 0.0091 | 0.0000 | 0.5375 | 0.5326 | 40% ||
|| 2042/06/15 => 2042/09/15 | ? | USD | USD-LIBOR-3M | 3.55% | 0.2556 | 0.0091 | 0.0000 | 0.5341 | 0.5292 | 40% ||
|| 2042/09/15 => 2042/12/15 | ? | USD | USD-LIBOR-3M | 3.54% | 0.2528 | 0.0089 | 0.0000 | 0.5307 | 0.5259 | 40% ||
|| 2042/12/15 => 2043/03/15 | ? | USD | USD-LIBOR-3M | 3.53% | 0.2500 | 0.0088 | 0.0000 | 0.5273 | 0.5226 | 40% ||
|| 2043/03/15 => 2043/06/15 | ? | USD | USD-LIBOR-3M | 3.52% | 0.2556 | 0.0090 | 0.0000 | 0.5240 | 0.5192 | 40% ||
|| 2043/06/15 => 2043/09/15 | ? | USD | USD-LIBOR-3M | 3.51% | 0.2556 | 0.0090 | 0.0000 | 0.5206 | 0.5159 | 40% ||
|| 2043/09/15 => 2043/12/15 | ? | USD | USD-LIBOR-3M | 3.51% | 0.2528 | 0.0089 | 0.0000 | 0.5173 | 0.5126 | 40% ||
|| 2043/12/15 => 2044/03/15 | ? | USD | USD-LIBOR-3M | 3.50% | 0.2528 | 0.0088 | 0.0000 | 0.5141 | 0.5094 | 40% ||
|| 2044/03/15 => 2044/06/15 | ? | USD | USD-LIBOR-3M | 3.49% | 0.2556 | 0.0089 | 0.0000 | 0.5108 | 0.5061 | 40% ||
|| 2044/06/15 => 2044/09/15 | ? | USD | USD-LIBOR-3M | 3.48% | 0.2556 | 0.0089 | 0.0000 | 0.5076 | 0.5029 | 40% ||
|| 2044/09/15 => 2044/12/15 | ? | USD | USD-LIBOR-3M | 3.48% | 0.2528 | 0.0088 | 0.0000 | 0.5045 | 0.4997 | 40% ||
|| 2044/12/15 => 2045/03/15 | ? | USD | USD-LIBOR-3M | 3.47% | 0.2500 | 0.0087 | 0.0000 | 0.5014 | 0.4966 | 40% ||
|| 2045/03/15 => 2045/06/15 | ? | USD | USD-LIBOR-3M | 3.47% | 0.2556 | 0.0089 | 0.0000 | 0.4982 | 0.4934 | 40% ||
|| 2045/06/15 => 2045/09/15 | ? | USD | USD-LIBOR-3M | 3.46% | 0.2556 | 0.0088 | 0.0000 | 0.4951 | 0.4903 | 40% ||
|| 2045/09/15 => 2045/12/15 | ? | USD | USD-LIBOR-3M | 3.46% | 0.2528 | 0.0087 | 0.0000 | 0.4920 | 0.4872 | 40% ||
|| 2045/12/15 => 2046/03/15 | ? | USD | USD-LIBOR-3M | 3.45% | 0.2500 | 0.0086 | 0.0000 | 0.4890 | 0.4841 | 40% ||
|| 2046/03/15 => 2046/06/15 | ? | USD | USD-LIBOR-3M | 3.45% | 0.2556 | 0.0088 | 0.0000 | 0.4860 | 0.4810 | 40% ||
|| 2046/06/15 => 2046/09/15 | ? | USD | USD-LIBOR-3M | 3.45% | 0.2556 | 0.0088 | 0.0000 | 0.4830 | 0.4779 | 40% ||
|| 2046/09/15 => 2046/12/15 | ? | USD | USD-LIBOR-3M | 3.44% | 0.2528 | 0.0087 | 0.0000 | 0.4800 | 0.4749 | 40% ||
|| 2046/12/15 => 2047/03/15 | ? | USD | USD-LIBOR-3M | 3.44% | 0.2500 | 0.0086 | 0.0000 | 0.4771 | 0.4719 | 40% ||
|| 2047/03/15 => 2047/06/15 | ? | USD | USD-LIBOR-3M | 3.44% | 0.2556 | 0.0088 | 0.0000 | 0.4741 | 0.4689 | 40% ||
|| 2007/04/30 => 2047/06/15 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.4741 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:55:53 EST 2020
| Setup Time => Mon Jan 27 00:55:53 EST 2020
| Finish Time => Mon Jan 27 00:57:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 m 32 s 970 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 00:57:26 EST 2020
| Setup Time => Mon Jan 27 00:57:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-MAY-2023
Next Call Date : 15-MAY-2023 | 1.0
Maturity Date : 15-MAY-2023 | 1.0
yield to call => 0.04250185348303349
z_spread => 0.02222880210027436
market value => 0.98116
oad mult => 0.5829728408747201
libor duration => 5.138092704492855E-4
convexity => 2.9229316395663834E-7
modified convexity => 2.9229316395663834E-7
effective duration => 5.050170800422787E-4
yield to worst => 0.04250185348303349
tsy oas => 0.02222880210027436
macaulay duration => 5.095314505394317
mod dur to worst => 5.070932441746055E-4
price => 0.98116
ytm fwdcpn => 0.04250185348303349
discount margin => 0.029371715201964806
cv01 => 2.903470322450641E-4
effective duration adj => 2.944112418425031E-4
yield to maturity => 0.04250185348303349
oas => 0.02199183406739637
wal_adj => 5.250039777067772
mod dur => 5.070932441746055E-4
wal => 5.691666666666666
z_vol_oas => 0.02199183406739637
n-spread => 0.021599853483033487
yield to put => 0.04250185348303349
treasury duration => 5.050170823120175E-4
wal4 => 5.691666666666666
accrued$ => 0.01248611111111106
wal3 => 3.09064177647633
i-spread => 0.021862329378301824
j-spread => 0.030311853483033488
wal2 => 5.16443243487897
wal to worst => 5.691666666666666
nominal yield => 0.03874131788694415
spread dur => 0.05017427448028193
funding duration => 5.072343134895723E-4
accrued => 0.01248611111111106
e-spread => 0.026241771155377843
accrued interest factor => 0.01248611111111106
spread dur $ => 0.05017427448028193
dv01 => 4.955025582542821E-4
yield to maturity cbe => 0.04250185348303349
funding kprd::fixfloat::05y => 1.6093331646847842E-4
funding kprd::fixfloat::15y => -7.389508246968823E-9
funding kprd::fixfloat::03y => 1.0141449527831247E-5
funding kprd::fixfloat::25y => -3.872652781788943E-10
funding kprd::fixfloat::09y => -6.983562914078534E-6
funding kprd::fixfloat::07y => -7.797305139347344E-5
funding kprd::deposit::pll => 5.414781046236828E-7
funding kprd::fixfloat::11y => -5.689110594370161E-7
funding kprd::bump => 5.087798866741128E-4
funding kprd::fixfloat::06y => 4.154957903516693E-4
funding kprd::deposit::2d => 5.414781046236828E-7
funding kprd::fixfloat::04y => -2.3659039508047707E-5
funding kprd::fixfloat::pll => 5.073147828855845E-4
funding kprd::fixfloat::08y => 2.3561216181286482E-5
funding kprd::fixfloat::20y => 1.2991116099536626E-9
funding kprd::fixfloat::30y => 9.150531166124409E-11
funding kprd::fixfloat::40y => -1.0700998420709595E-11
funding kprd::fixfloat::50y => 1.862285325948676E-12
funding kprd::fixfloat::02y => 4.206033873563331E-6
funding kprd::fixfloat::12y => 1.212757368723727E-7
funding kprd::fixfloat::10y => 2.0374092465885728E-6
funding kprd::futures::0 => 6.456499271251248E-7
funding kprd::futures::p => 9.211043473317248E-7
funding kprd::futures::1 => 1.5581617498205968E-7
funding kprd::futures::2 => 3.2214626081994435E-7
funding kprd::futures::3 => -3.843109923351573E-8
funding kprd::futures::4 => 9.549934445185481E-8
funding kprd::futures::5 => -2.5957557779621165E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.6035918400646173E-4
funding krd::fixfloat::15y => -7.361353334783227E-9
funding krd::fixfloat::03y => 1.019771349677577E-5
funding krd::fixfloat::25y => -3.857897570737786E-10
funding krd::fixfloat::09y => -6.956954701610854E-6
funding krd::fixfloat::07y => -7.767596520135942E-5
funding krd::deposit::pll => 5.400662857610061E-7
funding krd::fixfloat::11y => -5.667434397901828E-7
funding krd::bump => 5.072343134895723E-4
funding krd::fixfloat::06y => 4.139136002550408E-4
funding krd::deposit::2d => 5.400662857610061E-7
funding krd::fixfloat::04y => -2.3482718200902894E-5
funding krd::fixfloat::pll => 5.057085206218113E-4
funding krd::fixfloat::08y => 2.347144507161492E-5
funding krd::fixfloat::20y => 1.294161840353327E-9
funding krd::fixfloat::30y => 9.11566642083871E-11
funding krd::fixfloat::40y => -1.0660227598488634E-11
funding krd::fixfloat::50y => 1.855195845288926E-12
funding krd::fixfloat::02y => 4.295693240739196E-6
funding krd::fixfloat::12y => 1.2081366170977176E-7
funding krd::fixfloat::10y => 2.029646471614513E-6
funding krd::futures::0 => 6.696970344241303E-7
funding krd::futures::p => 9.832191542492907E-7
funding krd::futures::1 => 1.6919442112406687E-7
funding krd::futures::2 => 3.347842773713408E-7
funding krd::futures::3 => -3.149956142822804E-8
funding krd::futures::4 => 1.0051807859926261E-7
funding krd::futures::5 => -2.5947445223192745E-7
funding krd::base => 0.0
libor krd::tenor::10 => 8.437238834695928E-5
libor krd::tenor::3 => 2.481113497159799E-5
libor krd::tenor::2 => 2.4437998513136395E-5
libor krd::tenor::1 => 2.6983804795042053E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.540348201398447E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.509132962506536E-5
libor krd::tenor::6 => 2.347616196180402E-5
libor krd::tenor::5 => 2.4058139625675133E-5
libor krd::tenor::4 => 2.4484426465845817E-5
libor krd::bump => 5.138092704492855E-4
libor krd::tenor::9 => 8.775205609141314E-5
libor krd::tenor::8 => 9.154323773606479E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 5.6232742163962407E-5
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 5.065522828960695E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 3.3261505058904405E-4
govvie kprd::tsy::06-sep-2024 => 1.7392857713513233E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 8.468574602240875E-5
libor kprd::tenor::3 => 2.4862735100888987E-5
libor kprd::tenor::2 => 2.448617078641968E-5
libor kprd::tenor::1 => 2.7030312459147555E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.549303591034782E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.521607944446282E-5
libor kprd::tenor::6 => 2.3537064048578803E-5
libor kprd::tenor::5 => 2.4115735160562535E-5
libor kprd::tenor::4 => 2.454067870065191E-5
libor kprd::bump => 5.153737976653167E-4
libor kprd::tenor::9 => 8.805739848405658E-5
libor kprd::tenor::8 => 9.182815936752687E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 5.6446883676655736E-5
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 5.050170823120175E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 3.316070189073164E-4
govvie krd::tsy::06-sep-2024 => 1.7340147046471105E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:57:26 EST 2020
| Setup Time => Mon Jan 27 00:57:26 EST 2020
| Finish Time => Mon Jan 27 00:57:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 14 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 00:57:40 EST 2020
| Setup Time => Mon Jan 27 00:57:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 06-JUN-2024
Next Call Date : 06-JUN-2024 | 1.0
Maturity Date : 06-JUN-2024 | 1.0
yield to call => 0.04124459684527849
z_spread => 0.0193669224267687
market value => 1.0E9
oad mult => 0.5845219415217613
libor duration => 6.066047140540959E-4
convexity => 4.117811949848496E-7
modified convexity => 4.117811949848496E-7
effective duration => 5.957406862629133E-4
yield to worst => 0.04124459684527849
tsy oas => 0.0193669224267687
macaulay duration => 6.056454316838028
mod dur to worst => 5.995276969598118E-4
price => 1.0
ytm fwdcpn => 0.04124459684527849
discount margin => 0.028497900810201704
cv01 => 3.503710638274038E-4
effective duration adj => 3.482235025779046E-4
yield to maturity => 0.04124459684527849
oas => 0.019808858019659384
wal_adj => 6.239369784806831
mod dur => 5.995276969598118E-4
wal => 6.905555555555555
z_vol_oas => 0.019808858019659384
n-spread => 0.01958459684527849
yield to put => 0.04124459684527849
treasury duration => 5.957406862625192E-4
wal4 => 6.905555555555555
accrued$ => 4239583.333333312
wal3 => 3.7000044694734955
i-spread => 0.019653945334868233
j-spread => 0.029054596845278488
wal2 => 6.103609799207896
wal to worst => 6.905555555555555
nominal yield => 0.04124459684527849
spread dur => 0.05909766208691991
funding duration => 5.997125143142407E-4
accrued => 0.004239583333333311
e-spread => 0.02527825354318716
accrued interest factor => 0.004239583333333311
spread dur $ => 5.909766208691991E7
dv01 => 5.957406862629133E-4
yield to maturity cbe => 0.04124459684527849
funding kprd::fixfloat::05y => -1.887705170575127E-6
funding kprd::fixfloat::15y => 1.3453278349673247E-8
funding kprd::fixfloat::03y => 4.963405225191786E-6
funding kprd::fixfloat::25y => 7.050256128904308E-10
funding kprd::fixfloat::09y => 1.271619848327299E-5
funding kprd::fixfloat::07y => 5.591295643802924E-4
funding kprd::deposit::pll => 5.361453281255147E-7
funding kprd::fixfloat::11y => 1.0358467381427206E-6
funding kprd::bump => 5.997125143142407E-4
funding kprd::fixfloat::06y => 5.5099733859850786E-5
funding kprd::deposit::2d => 5.361453281255147E-7
funding kprd::fixfloat::04y => 9.074534187161754E-6
funding kprd::fixfloat::pll => 5.968537047574302E-4
funding kprd::fixfloat::08y => -4.290447672758713E-5
funding kprd::fixfloat::20y => -2.3650795849539107E-9
funding kprd::fixfloat::30y => -1.665879573176099E-10
funding kprd::fixfloat::40y => 1.9481752322469958E-11
funding kprd::fixfloat::50y => -3.3904351548486034E-12
funding kprd::fixfloat::02y => 3.5286816862406535E-6
funding kprd::fixfloat::12y => -2.2080071115648802E-7
funding kprd::fixfloat::10y => -3.7097006237912788E-6
funding kprd::futures::0 => 1.5392174694345285E-6
funding kprd::futures::p => 2.3196190872126765E-6
funding kprd::futures::1 => -1.9140586490773437E-8
funding kprd::futures::2 => 5.500577835576559E-7
funding kprd::futures::3 => 1.278179882574504E-7
funding kprd::futures::4 => 2.0047091979502607E-7
funding kprd::futures::5 => -7.880547359395695E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.887705170575127E-6
funding krd::fixfloat::15y => 1.3453278349673247E-8
funding krd::fixfloat::03y => 4.963405225191786E-6
funding krd::fixfloat::25y => 7.050256128904308E-10
funding krd::fixfloat::09y => 1.271619848327299E-5
funding krd::fixfloat::07y => 5.591295643802924E-4
funding krd::deposit::pll => 5.361453281255147E-7
funding krd::fixfloat::11y => 1.0358467381427206E-6
funding krd::bump => 5.997125143142407E-4
funding krd::fixfloat::06y => 5.5099733859850786E-5
funding krd::deposit::2d => 5.361453281255147E-7
funding krd::fixfloat::04y => 9.074534187161754E-6
funding krd::fixfloat::pll => 5.968537047574302E-4
funding krd::fixfloat::08y => -4.290447672758713E-5
funding krd::fixfloat::20y => -2.3650795849539107E-9
funding krd::fixfloat::30y => -1.665879573176099E-10
funding krd::fixfloat::40y => 1.9481752322469958E-11
funding krd::fixfloat::50y => -3.3904351548486034E-12
funding krd::fixfloat::02y => 3.5286816862406535E-6
funding krd::fixfloat::12y => -2.2080071115648802E-7
funding krd::fixfloat::10y => -3.7097006237912788E-6
funding krd::futures::0 => 1.5392174694345285E-6
funding krd::futures::p => 2.3196190872126765E-6
funding krd::futures::1 => -1.9140586490773437E-8
funding krd::futures::2 => 5.500577835576559E-7
funding krd::futures::3 => 1.278179882574504E-7
funding krd::futures::4 => 2.0047091979502607E-7
funding krd::futures::5 => -7.880547359395695E-8
funding krd::base => 0.0
libor krd::tenor::10 => 8.369686125860032E-5
libor krd::tenor::3 => 2.472072053101293E-5
libor krd::tenor::2 => 2.4237891386802436E-5
libor krd::tenor::1 => 4.284548479314698E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.500006198977391E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.003287341943328E-5
libor krd::tenor::6 => 2.3238651570051118E-5
libor krd::tenor::5 => 2.3943638401741076E-5
libor krd::tenor::4 => 2.4260815064580666E-5
libor krd::bump => 6.066047140540959E-4
libor krd::tenor::9 => 8.725910459984887E-5
libor krd::tenor::8 => 9.123038147898777E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 8.029508431540988E-5
libor krd::tenor::12 => 7.027270521638151E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 5.680300088287876E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 5.957406862625192E-4
govvie kprd::tsy::10-jul-2022 => 2.7707900405868345E-5
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 8.369686125860032E-5
libor kprd::tenor::3 => 2.472072053101293E-5
libor kprd::tenor::2 => 2.4237891386802436E-5
libor kprd::tenor::1 => 4.284548479314698E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.500006198977391E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.003287341943328E-5
libor kprd::tenor::6 => 2.3238651570051118E-5
libor kprd::tenor::5 => 2.3943638401741076E-5
libor kprd::tenor::4 => 2.4260815064580666E-5
libor kprd::bump => 6.066047140540959E-4
libor kprd::tenor::9 => 8.725910459984887E-5
libor kprd::tenor::8 => 9.123038147898777E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 8.029508431540988E-5
libor kprd::tenor::12 => 7.027270521638151E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 5.680300088287876E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 5.957406862625192E-4
govvie krd::tsy::10-jul-2022 => 2.7707900405868345E-5
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:57:40 EST 2020
| Setup Time => Mon Jan 27 00:57:40 EST 2020
| Finish Time => Mon Jan 27 00:57:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 939 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 00:57:50 EST 2020
| Setup Time => Mon Jan 27 00:57:50 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 16-MAY-2018
Next Call Date : 15-SEP-2017 | 1.02313
Maturity Date : 15-MAY-2021 | 1.0
yield to call => 0.059436580247699766
z_spread => 0.032094594592082165
market value => 5.315625E8
oad mult => 0.36411416196813656
libor duration => 7.01955591145077E-5
convexity => 1.936536006775284E-8
modified convexity => 1.936536006775284E-8
effective duration => 1.172473521287103E-4
yield to worst => 0.026218440107181825
tsy oas => 0.025429074770039823
macaulay duration => 3.405463369363474
mod dur to worst => 7.058653963554207E-5
price => 1.0125
ytm fwdcpn => 0.04255070491132869
discount margin => 0.01312587917264357
cv01 => 4.32538785053449E-5
effective duration adj => 4.2691421363328366E-5
yield to maturity => 0.04255070491132869
oas => 0.023947674904155846
wal_adj => 0.7037641628629154
mod dur => 3.386770986725775E-4
wal => 3.7055555555555557
z_vol_oas => 0.029593375190399732
n-spread => 0.009808440107181824
yield to put => 0.04255070491132869
treasury duration => 6.911751530765308E-5
wal4 => 3.7055555555555557
accrued$ => 7486718.7500000205
wal3 => 0.5604684095860565
i-spread => 0.009808440107181824
j-spread => 0.014028440107181826
wal2 => 0.7035847979529815
wal to worst => 0.7083333333333333
nominal yield => 0.04623100432814805
spread dur => 0.006931679336171137
funding duration => 7.0188110126316E-5
accrued => 0.014260416666666706
e-spread => 0.029593375190399732
accrued interest factor => 0.014260416666666706
spread dur $ => 3639131.6514898473
dv01 => 1.1871294403031918E-4
yield to maturity cbe => 0.04255070491132869
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 6.957802431122872E-5
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 2.9999378216444273E-5
funding kprd::futures::p => 6.957802431122872E-5
funding kprd::futures::1 => 2.397060216035585E-5
funding kprd::futures::2 => 1.7758054494571018E-5
funding kprd::futures::3 => -2.7273645363534715E-6
funding kprd::futures::4 => 7.211928561401404E-7
funding kprd::futures::5 => -1.4387094128820445E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 7.0188110126316E-5
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 3.0259235221924488E-5
funding krd::futures::p => 7.0188110126316E-5
funding krd::futures::1 => 2.4183214425166905E-5
funding krd::futures::2 => 1.791454570472717E-5
funding krd::futures::3 => -2.7513366553713578E-6
funding krd::futures::4 => 7.275570669605538E-7
funding krd::futures::5 => -1.4513898858068174E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 1.6745358740028534E-5
libor krd::tenor::2 => 2.4321477203430396E-5
libor krd::tenor::1 => 2.857068462837599E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.530544502363455E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 1.9987180580015738E-9
libor krd::tenor::4 => 3.015098146461368E-9
libor krd::bump => 7.01955591145077E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::31-aug-2027 => 0.0
govvie kprd::tsy::31-aug-2047 => 0.0
govvie kprd::tsy::31-aug-2037 => 0.0
govvie kprd::tsy::31-aug-2018 => 6.851424735209721E-5
govvie kprd::tsy::31-aug-2019 => 0.0
govvie kprd::bump => 6.851424735209721E-5
govvie kprd::tsy::31-aug-2020 => 0.0
govvie kprd::tsy::31-aug-2024 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::31-aug-2022 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 1.6598837481845984E-5
libor kprd::tenor::2 => 2.410867783622095E-5
libor kprd::tenor::1 => 2.8324711192972974E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.483237650427686E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 1.964083123917604E-9
libor kprd::tenor::4 => 2.9628507924872593E-9
libor kprd::bump => 6.95854474302926E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::31-aug-2027 => 0.0
govvie krd::tsy::31-aug-2047 => 0.0
govvie krd::tsy::31-aug-2037 => 0.0
govvie krd::tsy::31-aug-2018 => 6.911751530765308E-5
govvie krd::tsy::31-aug-2019 => 0.0
govvie krd::bump => 6.911751530765308E-5
govvie krd::tsy::31-aug-2020 => 0.0
govvie krd::tsy::31-aug-2024 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::31-aug-2022 => 0.0
|-----------------------------------------------------------------|
| 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 00:57:50 EST 2020
| Setup Time => Mon Jan 27 00:57:50 EST 2020
| Finish Time => Mon Jan 27 00:58:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 18 s 267 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 00:58:08 EST 2020
| Setup Time => Mon Jan 27 00:58:08 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/08/19 => 2016/11/21 | ? | USD | NONE | 1.13% | 0.2611 | 0.0030 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/11/21 => 2017/05/20 | ? | USD | NONE | 1.13% | 0.5000 | 0.0056 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/05/20 => 2017/08/20 | ? | USD | NONE | 2.45% | 0.2556 | 0.0063 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/08/20 => 2017/11/20 | ? | USD | NONE | 2.45% | 0.2556 | 0.0063 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/11/20 => 2018/02/20 | ? | USD | NONE | 2.57% | 0.2556 | 0.0066 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/02/20 => 2018/05/20 | ? | USD | NONE | 2.68% | 0.2472 | 0.0066 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/05/20 => 2018/08/20 | ? | USD | NONE | 2.77% | 0.2556 | 0.0071 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/08/20 => 2018/11/20 | ? | USD | NONE | 2.85% | 0.2556 | 0.0073 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/11/20 => 2019/02/20 | ? | USD | NONE | 2.95% | 0.2556 | 0.0075 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/02/20 => 2019/05/20 | ? | USD | NONE | 2.98% | 0.2472 | 0.0074 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/05/20 => 2019/08/19 | ? | USD | NONE | 3.01% | 0.2528 | 0.0076 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/08/19 => 2019/08/19 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 100.00% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:58:08 EST 2020
| Setup Time => Mon Jan 27 00:58:08 EST 2020
| Finish Time => Mon Jan 27 00:58:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 100 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 00:58:09 EST 2020
| Setup Time => Mon Jan 27 00:58:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-JUL-2053
Next Call Date : 01-JUL-2053 | 1.0
Maturity Date : 01-JUL-2053 | 1.0
yield to call => 0.025776269139929982
z_spread => -0.003493731045391337
market value => 361373.44
oad mult => 0.33737784208999544
libor duration => 0.003431118037667085
convexity => 1.2650504735978174E-5
modified convexity => 1.2650504735978174E-5
effective duration => 0.0035348088089297044
yield to worst => 0.025776269139929982
tsy oas => -0.003493731045391337
macaulay duration => 35.772623905500524
mod dur to worst => 0.0035790658393849983
price => 0.4
ytm fwdcpn => 0.025776269139929982
discount margin => 0.0130295731048532
cv01 => 4.98671792583838E-4
effective duration adj => 0.0011925661681574107
yield to maturity => 0.025776269139929982
oas => -4.8777763914479476E-4
wal_adj => 35.77988357677527
mod dur => 0.0035790658393849983
wal => 35.686966435607445
z_vol_oas => -4.8777763914479476E-4
n-spread => -6.17308600700181E-5
yield to put => 0.025776269139929982
treasury duration => 0.003534808832394702
wal4 => 35.686966435607445
accrued$ => 0.0
wal3 => 0.0
i-spread => -1.3789418640927295E-4
j-spread => 0.013586269139929982
wal2 => 35.7805895162915
wal to worst => 35.686966435607445
nominal yield => 0.025776269139929982
spread dur => 0.34082773105999703
funding duration => 0.0035880965067710026
accrued => 0.0
e-spread => 0.009804367782367339
accrued interest factor => 0.0
spread dur $ => 307915.22405136493
dv01 => 0.001413923523571882
yield to maturity cbe => 0.025776269139929982
funding kprd::fixfloat::05y => -1.4550111467660082E-5
funding kprd::fixfloat::15y => -3.0998402729801727E-4
funding kprd::fixfloat::03y => -9.131244736566846E-6
funding kprd::fixfloat::25y => -0.0018474897677621706
funding kprd::fixfloat::09y => -2.892577545659039E-5
funding kprd::fixfloat::07y => -2.0732652885716712E-5
funding kprd::deposit::pll => 5.776846910693356E-7
funding kprd::fixfloat::11y => -6.433228376415828E-5
funding kprd::bump => 0.0035880965067710026
funding kprd::fixfloat::06y => -1.7500178594601068E-5
funding kprd::deposit::2d => 5.776846910693356E-7
funding kprd::fixfloat::04y => -1.127018197019311E-5
funding kprd::fixfloat::pll => 0.0035918175433472463
funding kprd::fixfloat::08y => -2.3377257556599085E-5
funding kprd::fixfloat::20y => -1.5883546878377175E-5
funding kprd::fixfloat::30y => 0.0028003999539928798
funding kprd::fixfloat::40y => 0.0036019423186160852
funding kprd::fixfloat::50y => -4.232450525219131E-4
funding kprd::fixfloat::02y => -3.978871981408921E-6
funding kprd::fixfloat::12y => -4.7539344055075317E-8
funding kprd::fixfloat::10y => -2.2881137321250494E-5
funding kprd::futures::0 => -2.3653752170699205E-6
funding kprd::futures::p => -4.318940860434384E-6
funding kprd::futures::1 => -2.0720601396490013E-7
funding kprd::futures::2 => -8.818883044901804E-7
funding kprd::futures::3 => -4.1128449647376275E-7
funding kprd::futures::4 => -3.8067943098143986E-7
funding kprd::futures::5 => -7.676241079238033E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.4550111467660082E-5
funding krd::fixfloat::15y => -3.0998402729801727E-4
funding krd::fixfloat::03y => -9.131244736566846E-6
funding krd::fixfloat::25y => -0.0018474897677621706
funding krd::fixfloat::09y => -2.892577545659039E-5
funding krd::fixfloat::07y => -2.0732652885716712E-5
funding krd::deposit::pll => 5.776846910693356E-7
funding krd::fixfloat::11y => -6.433228376415828E-5
funding krd::bump => 0.0035880965067710026
funding krd::fixfloat::06y => -1.7500178594601068E-5
funding krd::deposit::2d => 5.776846910693356E-7
funding krd::fixfloat::04y => -1.127018197019311E-5
funding krd::fixfloat::pll => 0.0035918175433472463
funding krd::fixfloat::08y => -2.3377257556599085E-5
funding krd::fixfloat::20y => -1.5883546878377175E-5
funding krd::fixfloat::30y => 0.0028003999539928798
funding krd::fixfloat::40y => 0.0036019423186160852
funding krd::fixfloat::50y => -4.232450525219131E-4
funding krd::fixfloat::02y => -3.978871981408921E-6
funding krd::fixfloat::12y => -4.7539344055075317E-8
funding krd::fixfloat::10y => -2.2881137321250494E-5
funding krd::futures::0 => -2.3653752170699205E-6
funding krd::futures::p => -4.318940860434384E-6
funding krd::futures::1 => -2.0720601396490013E-7
funding krd::futures::2 => -8.818883044901804E-7
funding krd::futures::3 => -4.1128449647376275E-7
funding krd::futures::4 => -3.8067943098143986E-7
funding krd::futures::5 => -7.676241079238033E-8
funding krd::base => 0.0
libor krd::tenor::10 => 9.56755128970789E-5
libor krd::tenor::3 => 2.4165504309881652E-5
libor krd::tenor::2 => 2.364634997559581E-5
libor krd::tenor::1 => 4.0999779283592414E-5
libor krd::tenor::22 => 5.522292298499668E-4
libor krd::tenor::0 => 5.256915777858417E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.071358192429513E-5
libor krd::tenor::6 => 2.36242832941623E-5
libor krd::tenor::5 => 2.3892721144041368E-5
libor krd::tenor::4 => 2.4160390360610656E-5
libor krd::bump => 0.003431118037667085
libor krd::tenor::9 => 9.57135982183159E-5
libor krd::tenor::8 => 9.602091815110597E-5
libor krd::tenor::20 => 4.7804216371668054E-4
libor krd::tenor::21 => 4.782111785866863E-4
libor krd::tenor::13 => 9.560353184628889E-5
libor krd::tenor::14 => 9.558681186944834E-5
libor krd::tenor::11 => 9.564542354065925E-5
libor krd::tenor::12 => 9.588391749518546E-5
libor krd::tenor::17 => 9.556963554193873E-5
libor krd::tenor::18 => 2.869177649664177E-4
libor krd::tenor::15 => 9.557927499734276E-5
libor krd::tenor::16 => 9.58243305069495E-5
libor krd::tenor::19 => 4.779906409186595E-4
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.003534808832394702
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 0.003534808832394702
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.56755128970789E-5
libor kprd::tenor::3 => 2.4165504309881652E-5
libor kprd::tenor::2 => 2.364634997559581E-5
libor kprd::tenor::1 => 4.0999779283592414E-5
libor kprd::tenor::22 => 5.522292298499668E-4
libor kprd::tenor::0 => 5.256915777858417E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.071358192429513E-5
libor kprd::tenor::6 => 2.36242832941623E-5
libor kprd::tenor::5 => 2.3892721144041368E-5
libor kprd::tenor::4 => 2.4160390360610656E-5
libor kprd::bump => 0.003431118037667085
libor kprd::tenor::9 => 9.57135982183159E-5
libor kprd::tenor::8 => 9.602091815110597E-5
libor kprd::tenor::20 => 4.7804216371668054E-4
libor kprd::tenor::21 => 4.782111785866863E-4
libor kprd::tenor::13 => 9.560353184628889E-5
libor kprd::tenor::14 => 9.558681186944834E-5
libor kprd::tenor::11 => 9.564542354065925E-5
libor kprd::tenor::12 => 9.588391749518546E-5
libor kprd::tenor::17 => 9.556963554193873E-5
libor kprd::tenor::18 => 2.869177649664177E-4
libor kprd::tenor::15 => 9.557927499734276E-5
libor kprd::tenor::16 => 9.58243305069495E-5
libor kprd::tenor::19 => 4.779906409186595E-4
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.003534808832394702
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 0.003534808832394702
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:58:09 EST 2020
| Setup Time => Mon Jan 27 00:58:09 EST 2020
| Finish Time => Mon Jan 27 00:58:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 385 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 00:58:24 EST 2020
| Setup Time => Mon Jan 27 00:58:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-JUN-2022
Next Call Date : 15-JUN-2022 | 1.0
Maturity Date : 15-JUN-2022 | 1.0
yield to call => 0.021483456587732
z_spread => 0.0022322939815998194
market value => 4.5E8
oad mult => 0.5786088854508054
libor duration => 4.971647200989564E-4
convexity => 2.795305952140047E-7
modified convexity => 2.795305952140047E-7
effective duration => 4.8782582990800993E-4
yield to worst => 0.021483456587732
tsy oas => 0.0022322939815998194
macaulay duration => 4.930555555555555
mod dur to worst => 4.900732252734032E-4
price => 0.9
ytm fwdcpn => 0.021483456587732
discount margin => 0.008736760552655218
cv01 => 2.552401862504494E-4
effective duration adj => 2.822603597371878E-4
yield to maturity => 0.021483456587732
oas => 0.001426661269759127
wal_adj => 4.930555555555555
mod dur => 4.900732252734032E-4
wal => 4.930555555555555
z_vol_oas => 0.001426661269759127
n-spread => 0.0014484565877319992
yield to put => 0.021483456587732
treasury duration => 4.878258252493291E-4
wal4 => 4.930555555555555
accrued$ => 0.0
wal3 => 0.0
i-spread => 0.0015180520657498836
j-spread => 0.009293456587732
wal2 => 4.930555555555555
wal to worst => 4.930555555555555
nominal yield => 0.021483456587732
spread dur => 0.048520483663979895
funding duration => 4.902247654237048E-4
accrued => 0.0
e-spread => 0.005510674579702191
accrued interest factor => 0.0
spread dur $ => 2.4260241831989948E7
dv01 => 4.39043246917209E-4
yield to maturity cbe => 0.021483456587732
funding kprd::fixfloat::05y => 5.111797414600328E-4
funding kprd::fixfloat::15y => 9.142627087498232E-10
funding kprd::fixfloat::03y => -1.2015988901508E-5
funding kprd::fixfloat::25y => 4.791237160104187E-11
funding kprd::fixfloat::09y => 8.641719864575946E-7
funding kprd::fixfloat::07y => 9.649973737628029E-6
funding kprd::deposit::pll => 5.721362081076739E-7
funding kprd::fixfloat::11y => 7.039444456976204E-8
funding kprd::bump => 4.902247654237048E-4
funding kprd::fixfloat::06y => -3.142354009718567E-5
funding kprd::deposit::2d => 5.721362081076739E-7
funding kprd::fixfloat::04y => 1.9692077904741466E-5
funding kprd::fixfloat::pll => 4.927525521358316E-4
funding kprd::fixfloat::08y => -2.915717776145558E-6
funding kprd::fixfloat::20y => -1.6072693484778552E-10
funding kprd::fixfloat::30y => -1.1321055204405184E-11
funding kprd::fixfloat::40y => 1.32395637662973E-12
funding kprd::fixfloat::50y => -2.3044529247802836E-13
funding kprd::fixfloat::02y => -2.0890446954647935E-6
funding kprd::fixfloat::12y => -1.5005254017714304E-8
funding kprd::fixfloat::10y => -2.521051664927665E-7
funding kprd::futures::0 => -1.690337936190013E-6
funding kprd::futures::p => -3.1023960748690872E-6
funding kprd::futures::1 => -1.4959593037470556E-7
funding kprd::futures::2 => -6.397655340834646E-7
funding kprd::futures::3 => -2.914689420097094E-7
funding kprd::futures::4 => -2.7553851258348907E-7
funding kprd::futures::5 => -5.568601065141108E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 5.111797414600328E-4
funding krd::fixfloat::15y => 9.142627087498232E-10
funding krd::fixfloat::03y => -1.2015988901508E-5
funding krd::fixfloat::25y => 4.791237160104187E-11
funding krd::fixfloat::09y => 8.641719864575946E-7
funding krd::fixfloat::07y => 9.649973737628029E-6
funding krd::deposit::pll => 5.721362081076739E-7
funding krd::fixfloat::11y => 7.039444456976204E-8
funding krd::bump => 4.902247654237048E-4
funding krd::fixfloat::06y => -3.142354009718567E-5
funding krd::deposit::2d => 5.721362081076739E-7
funding krd::fixfloat::04y => 1.9692077904741466E-5
funding krd::fixfloat::pll => 4.927525521358316E-4
funding krd::fixfloat::08y => -2.915717776145558E-6
funding krd::fixfloat::20y => -1.6072693484778552E-10
funding krd::fixfloat::30y => -1.1321055204405184E-11
funding krd::fixfloat::40y => 1.32395637662973E-12
funding krd::fixfloat::50y => -2.3044529247802836E-13
funding krd::fixfloat::02y => -2.0890446954647935E-6
funding krd::fixfloat::12y => -1.5005254017714304E-8
funding krd::fixfloat::10y => -2.521051664927665E-7
funding krd::futures::0 => -1.690337936190013E-6
funding krd::futures::p => -3.1023960748690872E-6
funding krd::futures::1 => -1.4959593037470556E-7
funding krd::futures::2 => -6.397655340834646E-7
funding krd::futures::3 => -2.914689420097094E-7
funding krd::futures::4 => -2.7553851258348907E-7
funding krd::futures::5 => -5.568601065141108E-8
funding krd::base => 0.0
libor krd::tenor::10 => 9.375596644919628E-5
libor krd::tenor::3 => 2.5421898512697123E-5
libor krd::tenor::2 => 2.4875752708156426E-5
libor krd::tenor::1 => 4.313140807433847E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.530229274766343E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.231041870888074E-5
libor krd::tenor::6 => 2.4852538752796592E-5
libor krd::tenor::5 => 2.5134933015720968E-5
libor krd::tenor::4 => 2.5416518682813075E-5
libor krd::bump => 4.971647200989564E-4
libor krd::tenor::9 => 1.0068986538712565E-4
libor krd::tenor::8 => 1.0101316325851638E-4
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 4.878258252493291E-4
govvie kprd::tsy::10-jul-2022 => 4.7111879480453265E-4
govvie kprd::tsy::10-jul-2020 => 1.6706013179064914E-5
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.375596644919628E-5
libor kprd::tenor::3 => 2.5421898512697123E-5
libor kprd::tenor::2 => 2.4875752708156426E-5
libor kprd::tenor::1 => 4.313140807433847E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.530229274766343E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.231041870888074E-5
libor kprd::tenor::6 => 2.4852538752796592E-5
libor kprd::tenor::5 => 2.5134933015720968E-5
libor kprd::tenor::4 => 2.5416518682813075E-5
libor kprd::bump => 4.971647200989564E-4
libor kprd::tenor::9 => 1.0068986538712565E-4
libor kprd::tenor::8 => 1.0101316325851638E-4
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 4.878258252493291E-4
govvie krd::tsy::10-jul-2022 => 4.7111879480453265E-4
govvie krd::tsy::10-jul-2020 => 1.6706013179064914E-5
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:58:24 EST 2020
| Setup Time => Mon Jan 27 00:58:24 EST 2020
| Finish Time => Mon Jan 27 00:58:33 EST 2020
| Setup Duration => 0 ms
| Run Duration => 9 s 31 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 00:58:33 EST 2020
| Setup Time => Mon Jan 27 00:58:33 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-JUN-2025
Next Call Date : 15-JUN-2020 | 1.03875
Maturity Date : 15-JUN-2025 | 1.0
yield to call => 0.10128184103520567
z_spread => 0.06018400755337257
market value => 5.0925E8
oad mult => 0.5355196018115624
libor duration => 5.892541101594499E-4
convexity => 4.240396434870508E-7
modified convexity => 4.240396434870508E-7
effective duration => 5.796647102709341E-4
yield to worst => 0.08273670158491347
tsy oas => 0.06018400755337257
macaulay duration => 6.022837760990707
mod dur to worst => 5.833004162445064E-4
price => 0.97
ytm fwdcpn => 0.08273670158491347
discount margin => 0.0699900055498367
cv01 => 3.030377710747656E-4
effective duration adj => 3.1042181482850536E-4
yield to maturity => 0.08273670158491347
oas => 0.06099704008199261
wal_adj => 6.681610870354646
mcconvexity => 3.5012090003054993E-7
mod dur => 5.833004162445064E-4
wal => 7.930555555555555
z_vol_oas => 0.06099704008199261
n-spread => 0.060429701584913474
mcoas => 0.06176129438798023
yield to put => 0.08273670158491347
treasury duration => 5.796647101334897E-4
wal4 => 7.930555555555555
accrued$ => 1469270.833333338
wal3 => 4.213392683401439
i-spread => 0.06047497662394391
j-spread => 0.07054670158491347
wal2 => 5.910037163847621
wal to worst => 7.930555555555555
mcduration => 5.242809769897454E-4
nominal yield => 0.07750279143223011
spread dur => 0.05739673022548311
funding duration => 5.832109937447463E-4
accrued => 0.0027986111111111198
e-spread => 0.06678100761932097
accrued interest factor => 0.0027986111111111198
spread dur $ => 3.013328336837863E7
dv01 => 5.622747689628061E-4
yield to maturity cbe => 0.08273670158491347
funding kprd::fixfloat::05y => 2.0912403334991114E-5
funding kprd::fixfloat::15y => -3.0276198784151553E-8
funding kprd::fixfloat::03y => 1.3943547271980106E-5
funding kprd::fixfloat::25y => -1.5866389729835007E-9
funding kprd::fixfloat::09y => -2.8617424406987558E-5
funding kprd::fixfloat::07y => 5.247141383344645E-5
funding kprd::deposit::pll => 5.004593330276697E-7
funding kprd::fixfloat::11y => -2.3311419810129187E-6
funding kprd::bump => 5.879029102755201E-4
funding kprd::fixfloat::06y => 1.4999688175867942E-5
funding kprd::deposit::2d => 5.004593330276697E-7
funding kprd::fixfloat::04y => 1.6009367193445255E-5
funding kprd::fixfloat::pll => 5.805685392374887E-4
funding kprd::fixfloat::08y => 4.765598247632646E-4
funding kprd::fixfloat::20y => 5.322540511110141E-9
funding kprd::fixfloat::30y => 3.7490117399396896E-10
funding kprd::fixfloat::40y => -4.384298757376115E-11
funding kprd::fixfloat::50y => 7.630032716754443E-12
funding kprd::fixfloat::02y => 7.782277431581109E-6
funding kprd::fixfloat::12y => 4.969053678832713E-7
funding kprd::fixfloat::10y => 8.348569703273135E-6
funding kprd::futures::0 => 4.0565359625738265E-6
funding kprd::futures::p => 6.831008589799903E-6
funding kprd::futures::1 => 1.5937332736581932E-7
funding kprd::futures::2 => 1.5497112910684008E-6
funding kprd::futures::3 => 4.948532760590263E-7
funding kprd::futures::4 => 6.278460558700738E-7
funding kprd::futures::5 => -5.731599594105408E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.105206148962975E-5
funding krd::fixfloat::15y => -2.991502184284718E-8
funding krd::fixfloat::03y => 1.4245456562448573E-5
funding krd::fixfloat::25y => -1.5677113215842509E-9
funding krd::fixfloat::09y => -2.827603578918724E-5
funding krd::fixfloat::07y => 5.199189621535374E-5
funding krd::deposit::pll => 4.976867128351547E-7
funding krd::fixfloat::11y => -2.3033328522728405E-6
funding krd::bump => 5.832109937447463E-4
funding krd::fixfloat::06y => 1.510800190780861E-5
funding krd::deposit::2d => 4.976867128351547E-7
funding krd::fixfloat::04y => 1.624915342326175E-5
funding krd::fixfloat::pll => 5.756412235495456E-4
funding krd::fixfloat::08y => 4.708568743590572E-4
funding krd::fixfloat::20y => 5.259045784766312E-9
funding krd::fixfloat::30y => 3.70428833655122E-10
funding krd::fixfloat::40y => -4.331996960462096E-11
funding krd::fixfloat::50y => 7.539015231109894E-12
funding krd::fixfloat::02y => 7.984123757953311E-6
funding krd::fixfloat::12y => 4.909775840185016E-7
funding krd::fixfloat::10y => 8.248976249978843E-6
funding krd::futures::0 => 4.198995786905327E-6
funding krd::futures::p => 7.069214342565901E-6
funding krd::futures::1 => 1.651183973770919E-7
funding krd::futures::2 => 1.6017442193041535E-6
funding krd::futures::3 => 5.123811973503674E-7
funding krd::futures::4 => 6.48075939654336E-7
funding krd::futures::5 => -5.7105980047804107E-8
funding krd::base => 0.0
libor krd::tenor::10 => 6.999057036038066E-5
libor krd::tenor::3 => 2.3864132621138027E-5
libor krd::tenor::2 => 2.3351452744822366E-5
libor krd::tenor::1 => 4.197576220753414E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.382054587280224E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.780169240531434E-5
libor krd::tenor::6 => 2.156259690635556E-5
libor krd::tenor::5 => 2.2684021214735774E-5
libor krd::tenor::4 => 2.2938149410854087E-5
libor krd::bump => 5.892541101594499E-4
libor krd::tenor::9 => 7.573029982088528E-5
libor krd::tenor::8 => 8.219056922595535E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 5.184177710808556E-5
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 6.471869580313417E-5
libor krd::tenor::12 => 6.004310154810086E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 1.8141941190446542E-4
govvie kprd::tsy::10-jul-2024 => 4.028639346734558E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 5.842983959258918E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 7.069006675826106E-5
libor kprd::tenor::3 => 2.394708261765355E-5
libor kprd::tenor::2 => 2.3432620702801276E-5
libor kprd::tenor::1 => 4.2078693398533984E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.395252226758629E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.7961225634270947E-5
libor kprd::tenor::6 => 2.168210103554724E-5
libor kprd::tenor::5 => 2.278693601156512E-5
libor kprd::tenor::4 => 2.3042217158308897E-5
libor kprd::bump => 5.939866514599352E-4
libor kprd::tenor::9 => 7.638569487094793E-5
libor kprd::tenor::8 => 8.276876335298888E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 5.2468153020776565E-5
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 6.543246259293201E-5
libor kprd::tenor::12 => 6.07476544687513E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 1.7998074349467188E-4
govvie krd::tsy::10-jul-2024 => 3.996691498927717E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 5.796647101334897E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/30 => 2017/12/15 | ? | USD | NONE | 7.75% | 0.4583 | 0.0355 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/12/15 => 2018/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/06/15 => 2018/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/12/15 => 2019/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/06/15 => 2019/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/12/15 => 2020/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/06/15 => 2020/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/12/15 => 2021/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/06/15 => 2021/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/12/15 => 2022/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/06/15 => 2022/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2022/12/15 => 2023/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/06/15 => 2023/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2023/12/15 => 2024/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/06/15 => 2024/12/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2024/12/15 => 2025/06/15 | ? | USD | NONE | 7.75% | 0.5000 | 0.0388 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/06/30 => 2025/06/15 | ? | USD | NONE | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8377 | 1.0000 | 100.00% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:58:33 EST 2020
| Setup Time => Mon Jan 27 00:58:33 EST 2020
| Finish Time => Mon Jan 27 00:58:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 18 s 738 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 00:58:52 EST 2020
| Setup Time => Mon Jan 27 00:58:52 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-OCT-2025
Next Call Date : 01-OCT-2025 | 1.0
Maturity Date : 01-OCT-2025 | 1.0
yield to call => 0.04249981035759408
z_spread => 0.019771554649883744
market value => 2.6E7
oad mult => 0.5639590718194781
libor duration => 6.987924993117484E-4
convexity => 5.402800255561988E-7
modified convexity => 5.402800255561988E-7
effective duration => 6.931346237585096E-4
yield to worst => 0.04249981035759408
tsy oas => 0.019771554649883744
macaulay duration => 6.948218488970607
mod dur to worst => 6.920352275611164E-4
price => 1.0
ytm fwdcpn => 0.04249981035759408
discount margin => 0.029753114322517295
cv01 => 3.9372499354473067E-4
effective duration adj => 3.9089955906079223E-4
yield to maturity => 0.04249981035759408
oas => 0.02035962883008444
wal_adj => 7.248146138263323
mod dur => 6.920352275611164E-4
wal => 8.22499999999999
z_vol_oas => 0.02035962883008444
n-spread => 0.020192810357594078
yield to put => 0.04249981035759408
treasury duration => 6.931346237577796E-4
wal4 => 8.22499999999999
accrued$ => 36833.33333333448
wal3 => 4.154078014184395
i-spread => 0.02005861045518422
j-spread => 0.03030981035759408
wal2 => 7.00133909771083
wal to worst => 8.22499999999999
nominal yield => 0.04249981035759408
spread dur => 0.0686592233445088
funding duration => 6.922448429250522E-4
accrued => 0.0014166666666667106
e-spread => 0.026585187828118917
accrued interest factor => 0.0014166666666667106
spread dur $ => 1785139.8069572288
dv01 => 6.931346237585096E-4
yield to maturity cbe => 0.042877890767683544
funding kprd::fixfloat::05y => 5.293890783200639E-6
funding kprd::fixfloat::15y => 1.6049940691209575E-7
funding kprd::fixfloat::03y => 5.505440260902828E-6
funding kprd::fixfloat::25y => 8.41104967619355E-9
funding kprd::fixfloat::09y => 1.591854248117447E-4
funding kprd::fixfloat::07y => -5.200110576330796E-5
funding kprd::deposit::pll => 5.344154659497891E-7
funding kprd::fixfloat::11y => 1.2357789899439254E-5
funding kprd::bump => 6.922448429250522E-4
funding kprd::fixfloat::06y => 2.4751633791850193E-5
funding kprd::deposit::2d => 5.344154659497891E-7
funding kprd::fixfloat::04y => 7.838685860270255E-6
funding kprd::fixfloat::pll => 6.890435051507687E-4
funding kprd::fixfloat::08y => 5.694537416890827E-4
funding kprd::fixfloat::20y => -2.8215714789614487E-8
funding kprd::fixfloat::30y => -1.9874163453836856E-9
funding kprd::fixfloat::40y => 2.324196030079051E-10
funding kprd::fixfloat::50y => -4.04483530003219E-11
funding kprd::fixfloat::02y => 3.3819805738327657E-6
funding kprd::fixfloat::12y => -2.634181968205751E-6
funding kprd::fixfloat::10y => -4.425722390261344E-5
funding kprd::futures::0 => 1.6551272624315549E-6
funding kprd::futures::p => 2.6633436991246873E-6
funding kprd::futures::1 => 6.82605635543565E-8
funding kprd::futures::2 => 4.962104991707017E-7
funding kprd::futures::3 => 2.7810032767472406E-7
funding kprd::futures::4 => 1.2430281847441992E-7
funding kprd::futures::5 => 4.1340264197997634E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 5.293890783200639E-6
funding krd::fixfloat::15y => 1.6049940691209575E-7
funding krd::fixfloat::03y => 5.505440260902828E-6
funding krd::fixfloat::25y => 8.41104967619355E-9
funding krd::fixfloat::09y => 1.591854248117447E-4
funding krd::fixfloat::07y => -5.200110576330796E-5
funding krd::deposit::pll => 5.344154659497891E-7
funding krd::fixfloat::11y => 1.2357789899439254E-5
funding krd::bump => 6.922448429250522E-4
funding krd::fixfloat::06y => 2.4751633791850193E-5
funding krd::deposit::2d => 5.344154659497891E-7
funding krd::fixfloat::04y => 7.838685860270255E-6
funding krd::fixfloat::pll => 6.890435051507687E-4
funding krd::fixfloat::08y => 5.694537416890827E-4
funding krd::fixfloat::20y => -2.8215714789614487E-8
funding krd::fixfloat::30y => -1.9874163453836856E-9
funding krd::fixfloat::40y => 2.324196030079051E-10
funding krd::fixfloat::50y => -4.04483530003219E-11
funding krd::fixfloat::02y => 3.3819805738327657E-6
funding krd::fixfloat::12y => -2.634181968205751E-6
funding krd::fixfloat::10y => -4.425722390261344E-5
funding krd::futures::0 => 1.6551272624315549E-6
funding krd::futures::p => 2.6633436991246873E-6
funding krd::futures::1 => 6.82605635543565E-8
funding krd::futures::2 => 4.962104991707017E-7
funding krd::futures::3 => 2.7810032767472406E-7
funding krd::futures::4 => 1.2430281847441992E-7
funding krd::futures::5 => 4.1340264197997634E-8
funding krd::base => 0.0
libor krd::tenor::10 => 8.299881313882096E-5
libor krd::tenor::3 => 2.456965557640356E-5
libor krd::tenor::2 => 2.430190883908612E-5
libor krd::tenor::1 => 4.274497387869447E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.527369479951805E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.987358494357939E-5
libor krd::tenor::6 => 2.3261879806402153E-5
libor krd::tenor::5 => 2.377742588054732E-5
libor krd::tenor::4 => 2.4302190714436955E-5
libor krd::bump => 6.987924993117484E-4
libor krd::tenor::9 => 8.66857149821515E-5
libor krd::tenor::8 => 9.078953914913312E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 7.29306161741411E-5
libor krd::tenor::14 => 1.6155173158616254E-5
libor krd::tenor::11 => 7.948065067599208E-5
libor krd::tenor::12 => 7.633409991045781E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 2.8357387737354135E-4
govvie kprd::tsy::10-jul-2024 => 4.0953952331143905E-4
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 6.931346237577796E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 8.299881313882096E-5
libor kprd::tenor::3 => 2.456965557640356E-5
libor kprd::tenor::2 => 2.430190883908612E-5
libor kprd::tenor::1 => 4.274497387869447E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.527369479951805E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.987358494357939E-5
libor kprd::tenor::6 => 2.3261879806402153E-5
libor kprd::tenor::5 => 2.377742588054732E-5
libor kprd::tenor::4 => 2.4302190714436955E-5
libor kprd::bump => 6.987924993117484E-4
libor kprd::tenor::9 => 8.66857149821515E-5
libor kprd::tenor::8 => 9.078953914913312E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 7.29306161741411E-5
libor kprd::tenor::14 => 1.6155173158616254E-5
libor kprd::tenor::11 => 7.948065067599208E-5
libor kprd::tenor::12 => 7.633409991045781E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 2.8357387737354135E-4
govvie krd::tsy::10-jul-2024 => 4.0953952331143905E-4
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 6.931346237577796E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:58:52 EST 2020
| Setup Time => Mon Jan 27 00:58:52 EST 2020
| Finish Time => Mon Jan 27 00:59:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 12 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 00:59:04 EST 2020
| Setup Time => Mon Jan 27 00:59:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-OCT-2018
Next Call Date : 15-OCT-2017 | 1.03063
Maturity Date : 15-OCT-2021 | 1.0
yield to call => 0.05000140679306487
z_spread => 0.03277075361599504
market value => 5.4140625E8
oad mult => 0.6214637009857747
libor duration => 1.0465322512591019E-4
convexity => 1.5554841815188252E-8
modified convexity => 1.5554841815188252E-8
effective duration => 1.029505504541526E-4
yield to worst => 0.045085604527755146
tsy oas => 0.03485000064274775
macaulay duration => 3.57999706196135
mod dur to worst => 1.0460709161959137E-4
price => 1.03125
ytm fwdcpn => 0.05260619008971052
discount margin => 0.03246499286033702
cv01 => 6.604547008803863E-5
effective duration adj => 6.398003010376041E-5
yield to maturity => 0.05260619008971052
oas => 0.03367165396129584
wal_adj => 1.0516662748907062
mcconvexity => 4.8297454756629284E-8
mod dur => 3.5881635151318306E-4
wal => 4.069444444444445
z_vol_oas => 0.03053488534288101
n-spread => 0.028675604527755146
mcoas => 0.03119067949027993
yield to put => 0.05260619008971052
treasury duration => 1.0296733738527589E-4
wal4 => 4.069444444444445
accrued$ => 1.429166666666662E7
wal3 => 0.7707431457431457
i-spread => 0.028675604527755146
j-spread => 0.03289560452775515
wal2 => 1.0508113583922158
wal to worst => 1.0694444444444444
mcduration => 1.8853741587415246E-4
nominal yield => 0.061234405108622866
spread dur => 0.01028090070686608
funding duration => 1.0461517414785959E-4
accrued => 0.027222222222222134
e-spread => 0.03053488534288101
accrued interest factor => 0.027222222222222134
spread dur $ => 5397472.871104692
dv01 => 1.0616775515584487E-4
yield to maturity cbe => 0.05260619008971052
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 1.0307689178476187E-4
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 6.31976320486255E-5
funding kprd::futures::p => 1.0307689178476187E-4
funding kprd::futures::1 => 3.5240887090420834E-6
funding kprd::futures::2 => 3.165976399211179E-5
funding kprd::futures::3 => 5.723006351962545E-6
funding kprd::futures::4 => -1.279832229764133E-6
funding kprd::futures::5 => 2.5220248008051005E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.0461517414785959E-4
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 6.412049801131519E-5
funding krd::futures::p => 1.0461517414785959E-4
funding krd::futures::1 => 3.5887190579931064E-6
funding krd::futures::2 => 3.2138452702005924E-5
funding krd::futures::3 => 5.810909523948781E-6
funding krd::futures::4 => -1.2995216532546597E-6
funding krd::futures::5 => 2.560824585919683E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.424329160445831E-5
libor krd::tenor::2 => 2.450229111760778E-5
libor krd::tenor::1 => 4.744574930084242E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.593296861685772E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 7.903747266430565E-6
libor krd::bump => 1.0465322512591019E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::20-sep-2020 => 0.0
govvie kprd::tsy::20-sep-2022 => 0.0
govvie kprd::tsy::20-sep-2047 => 0.0
govvie kprd::tsy::20-sep-2024 => 0.0
govvie kprd::tsy::20-sep-2027 => 0.0
govvie kprd::tsy::20-sep-2037 => 0.0
govvie kprd::bump => 1.0145347928196825E-4
govvie kprd::tsy::20-sep-2018 => 9.450458592865918E-5
govvie kprd::tsy::20-sep-2019 => 6.948854664348692E-6
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3880019323965773E-5
libor kprd::tenor::2 => 2.41387772831253E-5
libor kprd::tenor::1 => 4.67602384780802E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.516462434906888E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 7.785314025654522E-6
libor kprd::bump => 1.0311484666775395E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::20-sep-2020 => 0.0
govvie krd::tsy::20-sep-2022 => 0.0
govvie krd::tsy::20-sep-2047 => 0.0
govvie krd::tsy::20-sep-2024 => 0.0
govvie krd::tsy::20-sep-2027 => 0.0
govvie krd::tsy::20-sep-2037 => 0.0
govvie krd::bump => 1.0296733738527589E-4
govvie krd::tsy::20-sep-2018 => 9.591475399512591E-5
govvie krd::tsy::20-sep-2019 => 7.052542952834529E-6
govvie krd::base => 0.0
||--------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2013/09/12 => 2014/04/15 | 2014/04/15 | ? | USD | ? | 6.125% | 0.5917 | 0.036240 | 0.0000 | 1.0000 | 100.00% ||
|| 2014/04/15 => 2014/10/15 | 2014/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2014/10/15 => 2015/04/15 | 2015/04/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/04/15 => 2015/10/15 | 2015/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2015/10/15 => 2016/04/15 | 2016/04/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/04/15 => 2016/10/15 | 2016/10/17 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2016/10/15 => 2017/04/15 | 2017/04/17 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/04/15 => 2017/10/15 | 2017/10/16 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2017/10/15 => 2018/04/15 | 2018/04/16 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/04/15 => 2018/10/15 | 2018/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2018/10/15 => 2019/04/15 | 2019/04/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/04/15 => 2019/10/15 | 2019/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2019/10/15 => 2020/04/15 | 2020/04/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/04/15 => 2020/10/15 | 2020/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2020/10/15 => 2021/04/15 | 2021/04/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2021/04/15 => 2021/10/15 | 2021/10/15 | ? | USD | ? | 6.125% | 0.5000 | 0.030625 | 0.0000 | 1.0000 | 100.00% ||
|| 2013/09/12 => 2021/10/15 | 2021/10/15 | ? | USD | ? | 0.000% | 0.0000 | 0.000000 | 1.0000 | 1.0000 | 100.00% ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:59:04 EST 2020
| Setup Time => Mon Jan 27 00:59:04 EST 2020
| Finish Time => Mon Jan 27 00:59:18 EST 2020
| Setup Duration => 1 ms
| Run Duration => 13 s 798 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 00:59:18 EST 2020
| Setup Time => Mon Jan 27 00:59:18 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-JUN-2019
Next Call Date : 15-JUN-2019 | 1.0
Maturity Date : 15-JUN-2019 | 1.0
yield to call => 0.02038126645265765
z_spread => 0.006862390157975136
market value => 1.12504
oad mult => 0.6352989433513692
libor duration => 1.6957987404033235E-4
convexity => 3.756444357512834E-8
modified convexity => 3.756444357512834E-8
effective duration => 1.6690143773151136E-4
yield to worst => 0.02038126645265765
tsy oas => 0.006862390157975136
macaulay duration => 1.6553922658624642
mod dur to worst => 1.668244030392243E-4
price => 1.12504
ytm fwdcpn => 0.02038126645265765
discount margin => 0.007251128171588968
cv01 => 1.1948382337712005E-4
effective duration adj => 1.060323070346535E-4
yield to maturity => 0.02038126645265765
oas => 0.004345780578039457
wal_adj => 1.6830378015463694
mod dur => 1.668244030392243E-4
wal => 1.775
z_vol_oas => 0.004345780578039457
n-spread => 0.0039712664526576485
yield to put => 0.02038126645265765
treasury duration => 1.669014375775511E-4
wal4 => 1.775
accrued$ => 0.022097222222222178
wal3 => 1.1200704225352114
i-spread => 0.0039712664526576485
j-spread => 0.00819126645265765
wal2 => 1.6820168712129129
wal to worst => 1.775
nominal yield => 0.09233900883280505
spread dur => 0.016652424386110334
funding duration => 1.668450354968801E-4
accrued => 0.022097222222222178
e-spread => 0.0041903853673736
accrued interest factor => 0.022097222222222178
spread dur $ => 0.016652424386110334
dv01 => 1.8777079350545955E-4
yield to maturity cbe => 0.02038126645265765
funding kprd::fixfloat::05y => -6.452582866856016E-6
funding kprd::fixfloat::15y => -5.940553049477159E-11
funding kprd::fixfloat::03y => -5.5343786998002244E-5
funding kprd::fixfloat::25y => -3.1132707523084944E-12
funding kprd::fixfloat::09y => -5.614208675730481E-8
funding kprd::fixfloat::07y => -6.268390132568858E-7
funding kprd::deposit::pll => 4.6430258207608155E-7
funding kprd::fixfloat::11y => -4.573575784760919E-9
funding kprd::bump => 1.6059044866759687E-4
funding kprd::fixfloat::06y => 2.041117614531851E-6
funding kprd::deposit::2d => 4.6430258207608155E-7
funding kprd::fixfloat::04y => 1.955359609849272E-5
funding kprd::fixfloat::pll => 1.525832810388539E-4
funding kprd::fixfloat::08y => 1.894127499679765E-7
funding kprd::fixfloat::20y => 1.0443790277037124E-11
funding kprd::fixfloat::30y => 7.356226738863824E-13
funding kprd::fixfloat::40y => -8.602563106308026E-14
funding kprd::fixfloat::50y => 1.4976908602193362E-14
funding kprd::fixfloat::02y => 1.932657735176535E-4
funding kprd::fixfloat::12y => 9.749569207517794E-10
funding kprd::fixfloat::10y => 1.6379090217455426E-8
funding kprd::futures::0 => 2.9812288823594104E-6
funding kprd::futures::p => 7.5423737426028035E-6
funding kprd::futures::1 => 1.4341954946872626E-6
funding kprd::futures::2 => 1.7637469898246216E-6
funding kprd::futures::3 => 6.744988015394693E-7
funding kprd::futures::4 => 8.387520857244812E-7
funding kprd::futures::5 => -1.500546318922158E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -6.725454982286514E-6
funding krd::fixfloat::15y => -6.191773926007345E-11
funding krd::fixfloat::03y => -5.76842051528107E-5
funding krd::fixfloat::25y => -3.2449431671084323E-12
funding krd::fixfloat::09y => -5.851626994728928E-8
funding krd::fixfloat::07y => -6.533473013297073E-7
funding krd::deposit::pll => 4.839373952017867E-7
funding krd::fixfloat::11y => -4.766986939699749E-9
funding krd::bump => 1.668450354968801E-4
funding krd::fixfloat::06y => 2.1274340976614113E-6
funding krd::deposit::2d => 4.839373952017867E-7
funding krd::fixfloat::04y => 2.0380495371745297E-5
funding krd::fixfloat::pll => 1.590358551620948E-4
funding krd::fixfloat::08y => 1.9742279367764075E-7
funding krd::fixfloat::20y => 1.0885443470626117E-11
funding krd::fixfloat::30y => 7.667371679611461E-13
funding krd::fixfloat::40y => -8.96633577627833E-14
funding krd::fixfloat::50y => 1.5611647807695703E-14
funding krd::fixfloat::02y => 2.0143877329181306E-4
funding krd::fixfloat::12y => 1.016186708128922E-9
funding krd::fixfloat::10y => 1.7071742785492403E-8
funding krd::futures::0 => 2.85494722565588E-6
funding krd::futures::p => 7.324691132939624E-6
funding krd::futures::1 => 1.3951926864198905E-6
funding krd::futures::2 => 1.7252602020102623E-6
funding krd::futures::3 => 6.67416141661059E-7
funding krd::futures::4 => 8.382357426983158E-7
funding krd::futures::5 => -1.5636780845555862E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.482122546304511E-5
libor krd::tenor::2 => 2.4287984087116185E-5
libor krd::tenor::1 => 2.7562642619115457E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.625601239171101E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.2769581390465784E-5
libor krd::tenor::6 => 2.2264365899819553E-5
libor krd::tenor::5 => 2.3523739220419555E-5
libor krd::tenor::4 => 2.3787274746573712E-5
libor krd::bump => 1.6957987404033235E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 3.652835670625021E-5
govvie kprd::tsy::06-sep-2019 => 1.241086449942086E-4
govvie kprd::bump => 1.606373174299791E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3920857852682832E-5
libor kprd::tenor::2 => 2.3406959334776324E-5
libor kprd::tenor::1 => 2.6675620526506184E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.444557973577346E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.184617865637617E-5
libor kprd::tenor::6 => 2.1361451795187668E-5
libor kprd::tenor::5 => 2.260410521680023E-5
libor kprd::tenor::4 => 2.285733811577262E-5
libor kprd::bump => 1.632174087549787E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 3.795278543384158E-5
govvie krd::tsy::06-sep-2019 => 1.2894829967299924E-4
govvie krd::bump => 1.669014375775511E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:59:18 EST 2020
| Setup Time => Mon Jan 27 00:59:18 EST 2020
| Finish Time => Mon Jan 27 00:59:28 EST 2020
| Setup Duration => 0 ms
| Run Duration => 10 s 300 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 00:59:28 EST 2020
| Setup Time => Mon Jan 27 00:59:28 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-MAR-2020
Next Call Date : 15-MAR-2020 | 1.0
Maturity Date : 15-MAR-2020 | 1.0
yield to call => 0.04353097507077988
z_spread => 0.028582480080798625
market value => 1.04784
oad mult => 0.6143702109389854
libor duration => 2.3652018417339482E-4
convexity => 7.936215143891397E-8
modified convexity => 7.936215143891397E-8
effective duration => 2.325830211854388E-4
yield to worst => 0.04353097507077988
tsy oas => 0.028582480080798625
macaulay duration => 2.30969022081413
mod dur to worst => 2.3265339235180627E-4
price => 1.04784
ytm fwdcpn => 0.04353097507077988
discount margin => 0.0304008367897112
cv01 => 1.5007405439737553E-4
effective duration adj => 1.4289207978652454E-4
yield to maturity => 0.04353097507077988
oas => 0.026445883620453626
wal_adj => 2.3891098938693065
mod dur => 2.3265339235180627E-4
wal => 2.525
z_vol_oas => 0.026445883620453626
n-spread => 0.02566797507077988
yield to put => 0.04353097507077988
treasury duration => 2.32583019649643E-4
wal4 => 2.525
accrued$ => 0.031166666666666763
wal3 => 1.510148514851485
i-spread => 0.02634519583580193
j-spread => 0.03134097507077988
wal2 => 2.375784761708404
wal to worst => 2.525
nominal yield => 0.06373961950908952
spread dur => 0.023188637058979233
funding duration => 2.3269919197596247E-4
accrued => 0.031166666666666763
e-spread => 0.02729690268849832
accrued interest factor => 0.031166666666666763
spread dur $ => 0.023188637058979233
dv01 => 2.4370979291895022E-4
yield to maturity cbe => 0.04353097507077988
funding kprd::fixfloat::05y => 1.613650681811518E-5
funding kprd::fixfloat::15y => 1.485603584594486E-10
funding kprd::fixfloat::03y => 1.7409798780905207E-4
funding kprd::fixfloat::25y => 7.785683209249327E-12
funding kprd::fixfloat::09y => 1.4039915597896523E-7
funding kprd::fixfloat::07y => 1.5675881191778983E-6
funding kprd::deposit::pll => 5.181039240353957E-7
funding kprd::fixfloat::11y => 1.143751888754707E-8
funding kprd::bump => 2.300295211686343E-4
funding kprd::fixfloat::06y => -5.104391539717534E-6
funding kprd::deposit::2d => 5.181039240353957E-7
funding kprd::fixfloat::04y => -4.8899297533738784E-5
funding kprd::fixfloat::pll => 2.2284076943810405E-4
funding kprd::fixfloat::08y => -4.736801174687333E-7
funding kprd::fixfloat::20y => -2.6117635831823804E-11
funding kprd::fixfloat::30y => -1.8396340006887613E-12
funding kprd::fixfloat::40y => 2.151279154816166E-13
funding kprd::fixfloat::50y => -3.7414515929867775E-14
funding kprd::fixfloat::02y => 8.540739172934187E-5
funding kprd::fixfloat::12y => -2.438155366490946E-9
funding kprd::fixfloat::10y => -4.0960544517298915E-8
funding kprd::futures::0 => 1.9283618258869595E-6
funding kprd::futures::p => 6.669772593004275E-6
funding kprd::futures::1 => 1.5185338147816196E-6
funding kprd::futures::2 => 1.0988014116752876E-6
funding kprd::futures::3 => 1.0719143760551386E-6
funding kprd::futures::4 => 5.232389112930225E-7
funding kprd::futures::5 => 5.289133886809961E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.634430068169063E-5
funding krd::fixfloat::15y => 1.5047340547364514E-10
funding krd::fixfloat::03y => 1.763403539483041E-4
funding krd::fixfloat::25y => 7.885937962256502E-12
funding krd::fixfloat::09y => 1.4220711041036226E-7
funding krd::fixfloat::07y => 1.5877743374399608E-6
funding krd::deposit::pll => 5.246269770395325E-7
funding krd::fixfloat::11y => 1.158480262102665E-8
funding krd::bump => 2.3269919197596247E-4
funding krd::fixfloat::06y => -5.17012203291537E-6
funding krd::deposit::2d => 5.246269770395325E-7
funding krd::fixfloat::04y => -4.9528984757722867E-5
funding krd::fixfloat::pll => 2.2565801864616103E-4
funding krd::fixfloat::08y => -4.79779812605853E-7
funding krd::fixfloat::20y => -2.6453963508650374E-11
funding krd::fixfloat::30y => -1.8633457122670522E-12
funding krd::fixfloat::40y => 2.1789864495465582E-13
funding krd::fixfloat::50y => -3.7915455543032544E-14
funding krd::fixfloat::02y => 8.645441040079425E-5
funding krd::fixfloat::12y => -2.4695520702191887E-9
funding krd::fixfloat::10y => -4.148800351340295E-8
funding krd::futures::0 => 1.8744783454639518E-6
funding krd::futures::p => 6.51564415914864E-6
funding krd::futures::1 => 1.477555002238382E-6
funding krd::futures::2 => 1.0758478159821996E-6
funding krd::futures::3 => 1.0499769190930852E-6
funding krd::futures::4 => 5.15893142939209E-7
funding krd::futures::5 => 5.218839008069329E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4330182487622994E-5
libor krd::tenor::2 => 2.4539769241628248E-5
libor krd::tenor::1 => 2.678753452096915E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.621636973645503E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.351423955862545E-5
libor krd::tenor::6 => 2.306907582912593E-5
libor krd::tenor::5 => 2.3331204970123527E-5
libor krd::tenor::4 => 2.4325033688800256E-5
libor krd::bump => 2.3652018417339482E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 4.6059786424870375E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 1.0993003496149179E-4
govvie kprd::bump => 2.299119623728918E-4
govvie kprd::tsy::06-sep-2020 => 1.1998081491954582E-4
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4063209888486314E-5
libor kprd::tenor::2 => 2.4298217120161114E-5
libor kprd::tenor::1 => 2.6526582781549733E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.574090369997453E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.2973695884118704E-5
libor kprd::tenor::6 => 2.2796029788429983E-5
libor kprd::tenor::5 => 2.30550563627141E-5
libor kprd::tenor::4 => 2.4058117586961414E-5
libor kprd::bump => 2.3380400566079264E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 4.54745350544683E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 1.1120716202215727E-4
govvie krd::bump => 2.32583019649643E-4
govvie krd::tsy::06-sep-2020 => 1.2137470898464047E-4
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:59:28 EST 2020
| Setup Time => Mon Jan 27 00:59:28 EST 2020
| Finish Time => Mon Jan 27 00:59:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 s 764 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 00:59:39 EST 2020
| Setup Time => Mon Jan 27 00:59:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-OCT-2019
Next Call Date : 15-OCT-2019 | 1.0
Maturity Date : 15-OCT-2019 | 1.0
yield to call => 0.02179038544665513
z_spread => 0.00766833637758893
market value => 1.10647
oad mult => 0.6300272766750354
libor duration => 2.0109777329304764E-4
convexity => 4.924784637257857E-8
modified convexity => 4.924784637257857E-8
effective duration => 1.9773789980065317E-4
yield to worst => 0.02179038544665513
tsy oas => 0.00766833637758893
macaulay duration => 1.94805683450654
mod dur to worst => 1.977533535967774E-4
price => 1.10647
ytm fwdcpn => 0.02179038544665513
discount margin => 0.008660247165586447
cv01 => 1.381081668827555E-4
effective duration adj => 1.2458027050684655E-4
yield to maturity => 0.02179038544665513
oas => 0.005311097679527723
wal_adj => 1.9994626618738474
mod dur => 1.977533535967774E-4
wal => 2.1083333333333334
z_vol_oas => 0.005311097679527723
n-spread => 0.0053803854466551275
yield to put => 0.02179038544665513
treasury duration => 1.9773789974496993E-4
wal4 => 2.1083333333333334
accrued$ => 0.029909722222222216
wal3 => 1.2941040843214757
i-spread => 0.005226770404554323
j-spread => 0.009600385446655129
wal2 => 1.997691021603023
wal to worst => 2.1083333333333334
nominal yield => 0.0736908346156379
spread dur => 0.01972238393367323
funding duration => 1.977800818247373E-4
accrued => 0.029909722222222216
e-spread => 0.005568728945090898
accrued interest factor => 0.029909722222222216
spread dur $ => 0.01972238393367323
dv01 => 2.1879105399242872E-4
yield to maturity cbe => 0.02179038544665513
funding kprd::fixfloat::05y => 3.263725909821713E-6
funding kprd::fixfloat::15y => 3.0047428434265554E-11
funding kprd::fixfloat::03y => 2.82600339462008E-5
funding kprd::fixfloat::25y => 1.5746987047648986E-12
funding kprd::fixfloat::09y => 2.839675055377189E-8
funding kprd::fixfloat::07y => 3.1705610013810226E-7
funding kprd::deposit::pll => 5.156177427495523E-7
funding kprd::fixfloat::11y => 2.3133214149817506E-9
funding kprd::bump => 1.9223318465125537E-4
funding kprd::fixfloat::06y => -1.0324003156175764E-6
funding kprd::deposit::2d => 5.156177427495523E-7
funding kprd::fixfloat::04y => -9.89023831311775E-6
funding kprd::fixfloat::pll => 1.8781370869622448E-4
funding kprd::fixfloat::08y => -9.580524930330458E-8
funding kprd::fixfloat::20y => -5.282477233414795E-12
funding kprd::fixfloat::30y => -3.7208847114555964E-13
funding kprd::fixfloat::40y => 4.349576254725207E-14
funding kprd::fixfloat::50y => -7.57449658550513E-15
funding kprd::fixfloat::02y => 1.6696937317287885E-4
funding kprd::fixfloat::12y => -4.931346470060661E-10
funding kprd::fixfloat::10y => -8.284568089877987E-9
funding kprd::futures::0 => 1.7431282972962815E-6
funding kprd::futures::p => 3.903194859691816E-6
funding kprd::futures::1 => 1.0508194743880096E-6
funding kprd::futures::2 => 7.587105454037735E-7
funding kprd::futures::3 => 4.842743066918453E-7
funding kprd::futures::4 => 8.324374843604598E-8
funding kprd::futures::5 => -2.1698304314143878E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.3758459947558004E-6
funding krd::fixfloat::15y => 3.1079652404786504E-11
funding krd::fixfloat::03y => 2.9230112741643044E-5
funding krd::fixfloat::25y => 1.6287960212601971E-12
funding krd::fixfloat::09y => 2.9372275356331268E-8
funding krd::fixfloat::07y => 3.2794805387697673E-7
funding krd::deposit::pll => 5.314603526182848E-7
funding krd::fixfloat::11y => 2.3927918511457962E-9
funding krd::bump => 1.977800818247373E-4
funding krd::fixfloat::06y => -1.0678667700229793E-6
funding krd::deposit::2d => 5.314603526182848E-7
funding krd::fixfloat::04y => -1.023000141557092E-5
funding krd::fixfloat::pll => 1.936052155159269E-4
funding krd::fixfloat::08y => -9.909648489185658E-8
funding krd::fixfloat::20y => -5.463945452674428E-12
funding krd::fixfloat::30y => -3.8486601032142596E-13
funding krd::fixfloat::40y => 4.4992092351525136E-14
funding krd::fixfloat::50y => -7.831473702133221E-15
funding krd::fixfloat::02y => 1.7204555284285183E-4
funding krd::fixfloat::12y => -5.100754964810645E-10
funding krd::fixfloat::10y => -8.569171127258613E-9
funding krd::futures::0 => 1.6296876079211982E-6
funding krd::futures::p => 3.642686037581921E-6
funding krd::futures::1 => 9.878112560824653E-7
funding krd::futures::2 => 7.162123027608029E-7
funding krd::futures::3 => 4.5832384417543096E-7
funding krd::futures::4 => 7.180674824448438E-8
funding krd::futures::5 => -2.211574140787481E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.464751176493592E-5
libor krd::tenor::2 => 2.4660436198411813E-5
libor krd::tenor::1 => 2.7200629137782815E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.66605057594592E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.348637000183555E-5
libor krd::tenor::6 => 2.301167868109004E-5
libor krd::tenor::5 => 2.3542693009858574E-5
libor krd::tenor::4 => 2.4360640198435196E-5
libor krd::bump => 2.0109777329304764E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 9.620321077346266E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 1.7170891649495866E-4
govvie kprd::bump => 1.9218815073377137E-4
govvie kprd::tsy::06-sep-2020 => 2.0478966478040816E-5
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3977523260867996E-5
libor kprd::tenor::2 => 2.402976846941074E-5
libor kprd::tenor::1 => 2.653843090843766E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.53922015272823E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.216375830762009E-5
libor kprd::tenor::6 => 2.2328039899352502E-5
libor kprd::tenor::5 => 2.285662068229055E-5
libor kprd::tenor::4 => 2.3677850162570623E-5
libor kprd::bump => 1.9545293825624365E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 9.32621011427992E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 1.7666728460832883E-4
govvie krd::bump => 1.9773789974496993E-4
govvie krd::tsy::06-sep-2020 => 2.107032487734659E-5
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 00:59:39 EST 2020
| Setup Time => Mon Jan 27 00:59:39 EST 2020
| Finish Time => Mon Jan 27 00:59:49 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 s 484 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 00:59:49 EST 2020
| Setup Time => Mon Jan 27 00:59:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 15-MAR-2019
Next Call Date : 15-MAR-2019 | 1.0
Maturity Date : 15-MAR-2019 | 1.0
yield to call => 0.09358723394410841
z_spread => 0.08022857693858981
market value => 7.5E8
oad mult => 0.6120955068294217
libor duration => 1.5515945199322812E-4
convexity => 3.181839590119454E-8
modified convexity => 3.181839590119454E-8
effective duration => 1.5252715761615853E-4
yield to worst => 0.09358723394410841
tsy oas => 0.08022857693858981
macaulay duration => 1.5502133719183042
mod dur to worst => 1.5511252259259312E-4
price => 1.0
ytm fwdcpn => 0.09358723394410841
discount margin => 0.08084053790903163
cv01 => 9.350439196975646E-5
effective duration adj => 9.336118784631365E-5
yield to maturity => 0.09358723394410841
oas => 0.0777172741224261
wal_adj => 1.6028137577886863
mod dur => 1.5511252259259312E-4
wal => 1.6805555555555556
z_vol_oas => 0.0777172741224261
n-spread => 0.07717723394410841
yield to put => 0.09358723394410841
treasury duration => 1.5252715745141254E-4
wal4 => 1.6805555555555556
accrued$ => 2.3046875E7
wal3 => 1.0731175390266299
i-spread => 0.07717723394410841
j-spread => 0.08139723394410842
wal2 => 1.5877801706889516
wal to worst => 1.6805555555555556
nominal yield => 0.09358723394410841
spread dur => 0.015220543096364225
funding duration => 1.551290694373736E-4
accrued => 0.03072916666666667
e-spread => 0.0777172741224261
accrued interest factor => 0.03072916666666667
spread dur $ => 1.1415407322273169E7
dv01 => 1.5252715761615853E-4
yield to maturity cbe => 0.09358723394410841
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 1.551290694373736E-4
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 5.311563972832667E-5
funding kprd::futures::p => 1.551290694373736E-4
funding kprd::futures::1 => 9.81906089321527E-6
funding kprd::futures::2 => 2.6676886006912758E-5
funding kprd::futures::3 => 2.2053056960227856E-5
funding kprd::futures::4 => 2.200742227669583E-5
funding kprd::futures::5 => 2.1456684522899727E-5
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.551290694373736E-4
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 5.311563972832667E-5
funding krd::futures::p => 1.551290694373736E-4
funding krd::futures::1 => 9.81906089321527E-6
funding krd::futures::2 => 2.6676886006912758E-5
funding krd::futures::3 => 2.2053056960227856E-5
funding krd::futures::4 => 2.200742227669583E-5
funding krd::futures::5 => 2.1456684522899727E-5
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.3030370325508033E-5
libor krd::tenor::2 => 2.3593183387057848E-5
libor krd::tenor::1 => 4.1706742589661674E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.491012881053692E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 2.150552749530521E-5
libor krd::tenor::5 => 2.1749890357172787E-5
libor krd::tenor::4 => 2.302549659543851E-5
libor krd::bump => 1.5515945199322812E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 0.0
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.0
govvie kprd::tsy::10-jul-2019 => 1.0363469779635926E-4
govvie kprd::tsy::10-jul-2018 => 4.8892115353629805E-5
govvie kprd::bump => 1.5252715745141254E-4
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3030370325508033E-5
libor kprd::tenor::2 => 2.3593183387057848E-5
libor kprd::tenor::1 => 4.1706742589661674E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.491012881053692E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 2.150552749530521E-5
libor kprd::tenor::5 => 2.1749890357172787E-5
libor kprd::tenor::4 => 2.302549659543851E-5
libor kprd::bump => 1.5515945199322812E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 0.0
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.0
govvie krd::tsy::10-jul-2019 => 1.0363469779635926E-4
govvie krd::tsy::10-jul-2018 => 4.8892115353629805E-5
govvie krd::bump => 1.5252715745141254E-4
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:59:49 EST 2020
| Setup Time => Mon Jan 27 00:59:49 EST 2020
| Finish Time => Mon Jan 27 00:59:58 EST 2020
| Setup Duration => 0 ms
| Run Duration => 8 s 899 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 00:59:58 EST 2020
| Setup Time => Mon Jan 27 00:59:58 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-SEP-2044
Next Call Date : 10-SEP-2044 | 1.0
Maturity Date : 10-SEP-2044 | 1.0
yield to call => 0.009999707959219267
z_spread => -0.01856314537741222
market value => 5000000.0
oad mult => 0.6762180092460449
libor duration => 0.002380800313460496
convexity => 6.267119041026002E-6
modified convexity => 6.267119041026002E-6
effective duration => 0.0023699043421606726
yield to worst => 0.009999707959219267
tsy oas => -0.01856314537741222
macaulay duration => 23.726289476951496
mod dur to worst => 0.0024357421358194298
price => 1.0
ytm fwdcpn => 0.009999707959219267
discount margin => -0.0027469880758575153
cv01 => 0.0016445686850650176
effective duration adj => 0.0016025719963594475
yield to maturity => 0.009999707959219267
oas => -0.01643050420005283
wal_adj => 20.99281601409112
mod dur => 0.0024357421358194298
wal => 27.166666666666664
z_vol_oas => -0.01643050420005283
n-spread => -0.015906292040780732
yield to put => 0.009999707959219267
treasury duration => 0.002369904348832877
wal4 => 27.166666666666664
accrued$ => 42083.33333333337
wal3 => 14.08077709611452
i-spread => -0.015963008449152008
j-spread => -0.002190292040780733
wal2 => 25.30077728834838
wal to worst => 27.166666666666664
nominal yield => 0.009999707959219267
spread dur => 0.2300126871366448
funding duration => 0.002442743524508434
accrued => 0.008416666666666675
e-spread => -0.006037535709385576
accrued interest factor => 0.008416666666666675
spread dur $ => 1150063.435683224
dv01 => 0.0023699043421606726
yield to maturity cbe => 0.009974833632719437
funding kprd::fixfloat::05y => -8.675995469309417E-6
funding kprd::fixfloat::15y => -9.155646079117563E-7
funding kprd::fixfloat::03y => -5.576842741339405E-6
funding kprd::fixfloat::25y => 0.0019500737315878204
funding kprd::fixfloat::09y => -1.2547304594079378E-5
funding kprd::fixfloat::07y => -1.1908379867814345E-5
funding kprd::deposit::pll => 5.811514832254617E-7
funding kprd::fixfloat::11y => 3.0157089696003503E-5
funding kprd::bump => 0.002442743524508434
funding kprd::fixfloat::06y => -1.0402647014812193E-5
funding kprd::deposit::2d => 5.811514832254617E-7
funding kprd::fixfloat::04y => -6.79159462671497E-6
funding kprd::fixfloat::pll => 0.0024450112103488243
funding kprd::fixfloat::08y => -1.4532771590908266E-5
funding kprd::fixfloat::20y => -5.708407351255912E-4
funding kprd::fixfloat::30y => 0.0013513115929404186
funding kprd::fixfloat::40y => -1.2746149556123744E-4
funding kprd::fixfloat::50y => 2.2182296626660492E-5
funding kprd::fixfloat::02y => -2.247994916232399E-6
funding kprd::fixfloat::12y => -1.085126627280386E-4
funding kprd::fixfloat::10y => -2.9458226475548298E-5
funding kprd::futures::0 => -1.4712467013955344E-6
funding kprd::futures::p => -2.8596740017761134E-6
funding kprd::futures::1 => -2.2594676915566048E-7
funding kprd::futures::2 => -5.396791114775645E-7
funding kprd::futures::3 => -1.6779232537289523E-7
funding kprd::futures::4 => -3.7927513225066713E-7
funding kprd::futures::5 => -7.550737229355953E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -8.675995469309417E-6
funding krd::fixfloat::15y => -9.155646079117563E-7
funding krd::fixfloat::03y => -5.576842741339405E-6
funding krd::fixfloat::25y => 0.0019500737315878204
funding krd::fixfloat::09y => -1.2547304594079378E-5
funding krd::fixfloat::07y => -1.1908379867814345E-5
funding krd::deposit::pll => 5.811514832254617E-7
funding krd::fixfloat::11y => 3.0157089696003503E-5
funding krd::bump => 0.002442743524508434
funding krd::fixfloat::06y => -1.0402647014812193E-5
funding krd::deposit::2d => 5.811514832254617E-7
funding krd::fixfloat::04y => -6.79159462671497E-6
funding krd::fixfloat::pll => 0.0024450112103488243
funding krd::fixfloat::08y => -1.4532771590908266E-5
funding krd::fixfloat::20y => -5.708407351255912E-4
funding krd::fixfloat::30y => 0.0013513115929404186
funding krd::fixfloat::40y => -1.2746149556123744E-4
funding krd::fixfloat::50y => 2.2182296626660492E-5
funding krd::fixfloat::02y => -2.247994916232399E-6
funding krd::fixfloat::12y => -1.085126627280386E-4
funding krd::fixfloat::10y => -2.9458226475548298E-5
funding krd::futures::0 => -1.4712467013955344E-6
funding krd::futures::p => -2.8596740017761134E-6
funding krd::futures::1 => -2.2594676915566048E-7
funding krd::futures::2 => -5.396791114775645E-7
funding krd::futures::3 => -1.6779232537289523E-7
funding krd::futures::4 => -3.7927513225066713E-7
funding krd::futures::5 => -7.550737229355953E-8
funding krd::base => 0.0
libor krd::tenor::10 => 9.588950662149376E-5
libor krd::tenor::3 => 2.520640469819424E-5
libor krd::tenor::2 => 2.466488840506542E-5
libor krd::tenor::1 => 4.293471010346495E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.539661503739524E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.170720200121324E-5
libor krd::tenor::6 => 2.4388556280138805E-5
libor krd::tenor::5 => 2.4665678407542747E-5
libor krd::tenor::4 => 2.5186990933978583E-5
libor krd::bump => 0.002380800313460496
libor krd::tenor::9 => 9.694059606161486E-5
libor krd::tenor::8 => 9.82742053388136E-5
libor krd::tenor::20 => 3.975976123302971E-4
libor krd::tenor::21 => 1.666662198600316E-4
libor krd::tenor::13 => 9.28360309434162E-5
libor krd::tenor::14 => 9.184732723340195E-5
libor krd::tenor::11 => 9.485536703169318E-5
libor krd::tenor::12 => 9.409441052181111E-5
libor krd::tenor::17 => 8.898452109769306E-5
libor krd::tenor::18 => 2.616425940795558E-4
libor krd::tenor::15 => 9.087925251184681E-5
libor krd::tenor::16 => 9.016038599743703E-5
libor krd::tenor::19 => 4.182837275748391E-4
libor krd::base => 0.0
govvie kprd::tsy::10-jul-2037 => 6.70038421928243E-4
govvie kprd::tsy::10-jul-2027 => 0.0
govvie kprd::tsy::10-jul-2024 => 0.0
govvie kprd::tsy::10-jul-2047 => 0.001699141747950661
govvie kprd::tsy::10-jul-2019 => 0.0
govvie kprd::tsy::10-jul-2018 => 0.0
govvie kprd::bump => 0.002369904348832877
govvie kprd::tsy::10-jul-2022 => 0.0
govvie kprd::tsy::10-jul-2020 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 9.588950662149376E-5
libor kprd::tenor::3 => 2.520640469819424E-5
libor kprd::tenor::2 => 2.466488840506542E-5
libor kprd::tenor::1 => 4.293471010346495E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.539661503739524E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.170720200121324E-5
libor kprd::tenor::6 => 2.4388556280138805E-5
libor kprd::tenor::5 => 2.4665678407542747E-5
libor kprd::tenor::4 => 2.5186990933978583E-5
libor kprd::bump => 0.002380800313460496
libor kprd::tenor::9 => 9.694059606161486E-5
libor kprd::tenor::8 => 9.82742053388136E-5
libor kprd::tenor::20 => 3.975976123302971E-4
libor kprd::tenor::21 => 1.666662198600316E-4
libor kprd::tenor::13 => 9.28360309434162E-5
libor kprd::tenor::14 => 9.184732723340195E-5
libor kprd::tenor::11 => 9.485536703169318E-5
libor kprd::tenor::12 => 9.409441052181111E-5
libor kprd::tenor::17 => 8.898452109769306E-5
libor kprd::tenor::18 => 2.616425940795558E-4
libor kprd::tenor::15 => 9.087925251184681E-5
libor kprd::tenor::16 => 9.016038599743703E-5
libor kprd::tenor::19 => 4.182837275748391E-4
libor kprd::base => 0.0
govvie krd::tsy::10-jul-2037 => 6.70038421928243E-4
govvie krd::tsy::10-jul-2027 => 0.0
govvie krd::tsy::10-jul-2024 => 0.0
govvie krd::tsy::10-jul-2047 => 0.001699141747950661
govvie krd::tsy::10-jul-2019 => 0.0
govvie krd::tsy::10-jul-2018 => 0.0
govvie krd::bump => 0.002369904348832877
govvie krd::tsy::10-jul-2022 => 0.0
govvie krd::tsy::10-jul-2020 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 00:59:58 EST 2020
| Setup Time => Mon Jan 27 00:59:58 EST 2020
| Finish Time => Mon Jan 27 01:00:13 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 431 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 01:00:13 EST 2020
| Setup Time => Mon Jan 27 01:00:13 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Price In : 1.09683
Yield Out : 0.06100640984970507
Price Out : 1.0968300126164259
Workout : 01-JUL-2039
Next Call Date : 01-JUL-2039 | 1.0
Maturity Date : 01-JUL-2039 | 1.0
yield to call => 0.06100640984970507
z_spread => 0.03377912715425519
market value => 8.226225E8
oad mult => 0.5312609634417251
libor duration => 0.0011649639333592735
convexity => 1.9764488400214566E-6
modified convexity => 1.9764488400214566E-6
effective duration => 0.0011683594093982277
yield to worst => 0.06100640984970507
tsy oas => 0.03377912715425519
macaulay duration => 11.9122688308311
mod dur to worst => 0.0011778400101282816
price => 1.09683
ytm fwdcpn => 0.06100640984970507
discount margin => 0.04790752664489151
cv01 => 6.906684829377507E-4
effective duration adj => 6.207037454831073E-4
yield to maturity => 0.06100640984970507
oas => 0.0360803632889538
wal_adj => 16.1275733714603
mod dur => 0.0011778400101282816
wal => 21.833333333333336
z_vol_oas => 0.0360803632889538
n-spread => 0.03542540984970507
yield to put => 0.06100640984970507
treasury duration => 0.0011683593899525727
wal4 => 21.833333333333336
accrued$ => 9501250.00000002
wal3 => 11.165394402035622
i-spread => 0.03527217011795351
j-spread => 0.04881640984970507
wal2 => 12.24483223182558
wal to worst => 21.833333333333336
nominal yield => 0.06908837045850334
spread dur => 0.11353025877004219
funding duration => 0.0011746567404305195
accrued => 0.012668333333333361
e-spread => 0.04475904101843938
accrued interest factor => 0.012668333333333361
spread dur $ => 8.514769407753165E7
dv01 => 0.0012814916510102581
yield to maturity cbe => 0.06100640984970507
funding kprd::fixfloat::05y => 1.6461306420731403E-5
funding kprd::fixfloat::15y => 3.0222130055243545E-5
funding kprd::fixfloat::03y => 1.0948832658777552E-5
funding kprd::fixfloat::25y => 2.8280151892543236E-4
funding kprd::fixfloat::09y => 2.088184663424919E-5
funding kprd::fixfloat::07y => 2.0366961294962517E-5
funding kprd::deposit::pll => 1.2846929680260243E-6
funding kprd::fixfloat::11y => -1.7536891666317113E-5
funding kprd::bump => 0.0011244546786502636
funding kprd::fixfloat::06y => 1.8722867603901406E-5
funding kprd::deposit::2d => 1.2846929680260243E-6
funding kprd::fixfloat::04y => 1.4059432733690148E-5
funding kprd::fixfloat::pll => 0.0011184344860018652
funding kprd::fixfloat::08y => 2.2782474217517E-5
funding kprd::fixfloat::20y => 6.026128540206705E-4
funding kprd::fixfloat::30y => -5.8731207503540105E-5
funding kprd::fixfloat::40y => 6.868271940282944E-6
funding kprd::fixfloat::50y => -1.195262796097052E-6
funding kprd::fixfloat::02y => 8.105493918061923E-6
funding kprd::fixfloat::12y => 1.0551765467242958E-4
funding kprd::fixfloat::10y => 3.53373650148342E-5
funding kprd::futures::0 => 1.9982335895923907E-6
funding kprd::futures::p => 4.729783864557136E-6
funding kprd::futures::1 => 8.034447406463086E-7
funding kprd::futures::2 => 1.1404645564566663E-6
funding kprd::futures::3 => 3.619869179544155E-7
funding kprd::futures::4 => 5.665339020050064E-7
funding kprd::futures::5 => -1.4087902652504257E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.4905229729733575E-5
funding krd::fixfloat::15y => 2.3400949835864414E-5
funding krd::fixfloat::03y => 9.68616661735257E-6
funding krd::fixfloat::25y => 3.082121196739851E-4
funding krd::fixfloat::09y => 1.9371859280675088E-5
funding krd::fixfloat::07y => 1.8787095925145294E-5
funding krd::deposit::pll => 1.3002615859717488E-6
funding krd::fixfloat::11y => -2.0949732502388917E-5
funding krd::bump => 0.0011746567404305195
funding krd::fixfloat::06y => 1.713178018556333E-5
funding krd::deposit::2d => 1.3002615859717488E-6
funding krd::fixfloat::04y => 1.2632302752270711E-5
funding krd::fixfloat::pll => 0.0011693072531383903
funding krd::fixfloat::08y => 2.132759962094747E-5
funding krd::fixfloat::20y => 6.517959143894213E-4
funding krd::fixfloat::30y => -6.402350631003115E-5
funding krd::fixfloat::40y => 7.487176575107803E-6
funding krd::fixfloat::50y => -1.302968697605156E-6
funding krd::fixfloat::02y => 7.2646654107210925E-6
funding krd::fixfloat::12y => 1.0860817381521708E-4
funding krd::fixfloat::10y => 3.474633274773348E-5
funding krd::futures::0 => 1.7431291668921866E-6
funding krd::futures::p => 4.0432247007946E-6
funding krd::futures::1 => 6.702501999736944E-7
funding krd::futures::2 => 9.99196069490766E-7
funding krd::futures::3 => 2.8440832293464553E-7
funding krd::futures::4 => 4.990329222197044E-7
funding krd::futures::5 => -1.527900936773575E-7
funding krd::base => 0.0
libor krd::tenor::10 => 7.492617199312242E-5
libor krd::tenor::3 => 2.4320941428544717E-5
libor krd::tenor::2 => 2.39416696747397E-5
libor krd::tenor::1 => 2.8112584876682155E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.459297182169233E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.169354585904905E-5
libor krd::tenor::6 => 2.2454423809675385E-5
libor krd::tenor::5 => 2.329953184412954E-5
libor krd::tenor::4 => 2.369190147764702E-5
libor krd::bump => 0.0011649639333592735
libor krd::tenor::9 => 7.997428332714533E-5
libor krd::tenor::8 => 8.556521458228534E-5
libor krd::tenor::20 => 4.601799403700905E-5
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 6.152643937258213E-5
libor krd::tenor::14 => 5.759305698287947E-5
libor krd::tenor::11 => 7.017794272641225E-5
libor krd::tenor::12 => 6.58951487143738E-5
libor krd::tenor::17 => 4.72081475922663E-5
libor krd::tenor::18 => 1.2423243092543466E-4
libor krd::tenor::15 => 5.390671556276601E-5
libor krd::tenor::16 => 5.058097436112778E-5
libor krd::tenor::19 => 1.5881950524373114E-4
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 9.146128780515211E-4
govvie kprd::tsy::01-sep-2047 => 2.0471829249817664E-4
govvie kprd::tsy::01-sep-2027 => 0.0
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 0.0
govvie kprd::bump => 0.0011194374179912924
govvie kprd::tsy::01-sep-2020 => 0.0
govvie kprd::tsy::01-sep-2022 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 7.288310981686807E-5
libor kprd::tenor::3 => 2.418891718244942E-5
libor kprd::tenor::2 => 2.38253106579267E-5
libor kprd::tenor::1 => 2.8042442573000814E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.445675969550922E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.118366116583894E-5
libor kprd::tenor::6 => 2.221518394680544E-5
libor kprd::tenor::5 => 2.3105328147837723E-5
libor kprd::tenor::4 => 2.350671917474845E-5
libor kprd::bump => 0.0011158600728209873
libor kprd::tenor::9 => 7.822345515214879E-5
libor kprd::tenor::8 => 8.416513736932419E-5
libor kprd::tenor::20 => 4.230897317728521E-5
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 5.892280074560885E-5
libor kprd::tenor::14 => 5.489018574416638E-5
libor kprd::tenor::11 => 6.789907277426899E-5
libor kprd::tenor::12 => 6.342440715627618E-5
libor kprd::tenor::17 => 4.440527070426747E-5
libor kprd::tenor::18 => 1.1601776212961102E-4
libor kprd::tenor::15 => 5.11402296948682E-5
libor kprd::tenor::16 => 4.777508894865945E-5
libor kprd::tenor::19 => 1.4675010438334747E-4
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 9.545813004907415E-4
govvie krd::tsy::01-sep-2047 => 2.1366348529283847E-4
govvie krd::tsy::01-sep-2027 => 0.0
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 0.0
govvie krd::bump => 0.0011683593899525727
govvie krd::tsy::01-sep-2020 => 0.0
govvie krd::tsy::01-sep-2022 => 0.0
govvie krd::base => 0.0
|-----------------------------------------------------------------|
| 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 01:00:13 EST 2020
| Setup Time => Mon Jan 27 01:00:13 EST 2020
| Finish Time => Mon Jan 27 01:00:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 35 s 517 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 01:00:49 EST 2020
| Setup Time => Mon Jan 27 01:00:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 28-JUN-2037
Next Call Date : 28-JUN-2037 | 1.0
Maturity Date : 28-JUN-2037 | 1.0
yield to call => 0.027957894719293695
z_spread => -0.01086905284921189
market value => 7.5E8
oad mult => 0.5744578755336428
libor duration => 4.073433124634705E-5
convexity => 2.856488071038706E-6
modified convexity => 2.856488071038706E-6
effective duration => 0.0015639112072092897
yield to worst => 0.027957894719293695
tsy oas => -0.01086905284921189
macaulay duration => 16.80811776281687
mod dur to worst => 8.311657760495805E-6
price => 1.0
ytm fwdcpn => 0.015847744303632488
discount margin => 0.014859011514480134
cv01 => 9.130980130274136E-4
effective duration adj => 8.984011096167033E-4
yield to maturity => 0.027957894719293695
oas => 0.015009594719293695
wal_adj => 16.808859767258944
mod dur => 8.311657760495805E-6
wal => 20.11111111111112
z_vol_oas => 0.015009594719293695
n-spread => 0.002376894719293695
yield to put => 0.027957894719293695
treasury duration => 0.0017197360605833434
wal4 => 20.11111111111112
accrued$ => 2344227.7083332846
wal3 => 10.79541953548031
i-spread => 0.0023956869163276086
j-spread => 0.015767894719293695
wal2 => 16.566398075093428
wal to worst => 20.11111111111112
nominal yield => 0.027957894719293695
spread dur => 0.1535260901109703
funding duration => 4.783798917486795E-5
accrued => 0.0031256369444443797
e-spread => 0.00593952111064492
accrued interest factor => 0.0031256369444443797
spread dur $ => 1.1514456758322772E8
dv01 => 0.0015639112072092897
yield to maturity cbe => 0.02805560020390937
funding kprd::fixfloat::05y => 9.273454216487826E-7
funding kprd::fixfloat::15y => 1.5435654142705146E-5
funding kprd::fixfloat::03y => 5.024931140266461E-7
funding kprd::fixfloat::25y => -1.6951397250731782E-6
funding kprd::fixfloat::09y => 1.7563120920644908E-6
funding kprd::fixfloat::07y => 1.3346712642485826E-6
funding kprd::deposit::pll => 5.824256102173578E-8
funding kprd::fixfloat::11y => 2.364637383915892E-6
funding kprd::bump => 4.783798917486795E-5
funding kprd::fixfloat::06y => 1.1343542984453379E-6
funding kprd::deposit::2d => 5.824256102173578E-8
funding kprd::fixfloat::04y => 7.578004637456551E-7
funding kprd::fixfloat::pll => 4.0481962649929836E-5
funding kprd::fixfloat::08y => 1.5332785628740412E-6
funding kprd::fixfloat::20y => 1.0745430139602288E-5
funding kprd::fixfloat::30y => 4.0053734543825227E-7
funding kprd::fixfloat::40y => -4.68405470562382E-8
funding kprd::fixfloat::50y => 8.151505107228263E-9
funding kprd::fixfloat::02y => 4.584430594407668E-7
funding kprd::fixfloat::12y => 2.9404665063994598E-6
funding kprd::fixfloat::10y => 1.9199568458837568E-6
funding kprd::futures::0 => 9.534802279316586E-6
funding kprd::futures::p => 7.297661629973549E-6
funding kprd::futures::1 => -2.8953135175618787E-6
funding kprd::futures::2 => 8.078782832651577E-7
funding kprd::futures::3 => -1.9267016932445102E-7
funding kprd::futures::4 => 6.308071160819927E-8
funding kprd::futures::5 => -2.0115197847351354E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 9.273454216487826E-7
funding krd::fixfloat::15y => 1.5435654142705146E-5
funding krd::fixfloat::03y => 5.024931140266461E-7
funding krd::fixfloat::25y => -1.6951397250731782E-6
funding krd::fixfloat::09y => 1.7563120920644908E-6
funding krd::fixfloat::07y => 1.3346712642485826E-6
funding krd::deposit::pll => 5.824256102173578E-8
funding krd::fixfloat::11y => 2.364637383915892E-6
funding krd::bump => 4.783798917486795E-5
funding krd::fixfloat::06y => 1.1343542984453379E-6
funding krd::deposit::2d => 5.824256102173578E-8
funding krd::fixfloat::04y => 7.578004637456551E-7
funding krd::fixfloat::pll => 4.0481962649929836E-5
funding krd::fixfloat::08y => 1.5332785628740412E-6
funding krd::fixfloat::20y => 1.0745430139602288E-5
funding krd::fixfloat::30y => 4.0053734543825227E-7
funding krd::fixfloat::40y => -4.68405470562382E-8
funding krd::fixfloat::50y => 8.151505107228263E-9
funding krd::fixfloat::02y => 4.584430594407668E-7
funding krd::fixfloat::12y => 2.9404665063994598E-6
funding krd::fixfloat::10y => 1.9199568458837568E-6
funding krd::futures::0 => 9.534802279316586E-6
funding krd::futures::p => 7.297661629973549E-6
funding krd::futures::1 => -2.8953135175618787E-6
funding krd::futures::2 => 8.078782832651577E-7
funding krd::futures::3 => -1.9267016932445102E-7
funding krd::futures::4 => 6.308071160819927E-8
funding krd::futures::5 => -2.0115197847351354E-8
funding krd::base => 0.0
libor krd::tenor::10 => 3.257501800600582E-6
libor krd::tenor::3 => 1.0852784622843015E-6
libor krd::tenor::2 => 1.0791753464751367E-6
libor krd::tenor::1 => 1.28934330395474E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 2.727287245879987E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 1.8607339733970557E-6
libor krd::tenor::6 => 1.009188610314948E-6
libor krd::tenor::5 => 1.0379373224881585E-6
libor krd::tenor::4 => 1.067283100108485E-6
libor krd::bump => 4.073433124634705E-5
libor krd::tenor::9 => 3.521304562677996E-6
libor krd::tenor::8 => 3.8024771925919065E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 2.5061067720015048E-6
libor krd::tenor::14 => 2.2693728738287713E-6
libor krd::tenor::11 => 3.00044849707538E-6
libor krd::tenor::12 => 2.7574888966938384E-6
libor krd::tenor::17 => 1.598495279938765E-6
libor krd::tenor::18 => 3.55762044299461E-6
libor krd::tenor::15 => 2.0394482560146656E-6
libor krd::tenor::16 => 1.8205902986549366E-6
libor krd::tenor::19 => 2.139873745810062E-6
libor krd::base => 0.0
govvie kprd::tsy::01-sep-2024 => 0.0
govvie kprd::tsy::01-sep-2037 => 0.0016891205224640771
govvie kprd::tsy::01-sep-2047 => 0.0
govvie kprd::tsy::01-sep-2027 => 3.0592454873112905E-5
govvie kprd::tsy::01-sep-2019 => 0.0
govvie kprd::tsy::01-sep-2018 => 0.0
govvie kprd::bump => 0.0017197360605833434
govvie kprd::tsy::01-sep-2020 => 0.0
govvie kprd::tsy::01-sep-2022 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 3.257501800600582E-6
libor kprd::tenor::3 => 1.0852784622843015E-6
libor kprd::tenor::2 => 1.0791753464751367E-6
libor kprd::tenor::1 => 1.28934330395474E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 2.727287245879987E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 1.8607339733970557E-6
libor kprd::tenor::6 => 1.009188610314948E-6
libor kprd::tenor::5 => 1.0379373224881585E-6
libor kprd::tenor::4 => 1.067283100108485E-6
libor kprd::bump => 4.073433124634705E-5
libor kprd::tenor::9 => 3.521304562677996E-6
libor kprd::tenor::8 => 3.8024771925919065E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 2.5061067720015048E-6
libor kprd::tenor::14 => 2.2693728738287713E-6
libor kprd::tenor::11 => 3.00044849707538E-6
libor kprd::tenor::12 => 2.7574888966938384E-6
libor kprd::tenor::17 => 1.598495279938765E-6
libor kprd::tenor::18 => 3.55762044299461E-6
libor kprd::tenor::15 => 2.0394482560146656E-6
libor kprd::tenor::16 => 1.8205902986549366E-6
libor kprd::tenor::19 => 2.139873745810062E-6
libor kprd::base => 0.0
govvie krd::tsy::01-sep-2024 => 0.0
govvie krd::tsy::01-sep-2037 => 0.0016891205224640771
govvie krd::tsy::01-sep-2047 => 0.0
govvie krd::tsy::01-sep-2027 => 3.0592454873112905E-5
govvie krd::tsy::01-sep-2019 => 0.0
govvie krd::tsy::01-sep-2018 => 0.0
govvie krd::bump => 0.0017197360605833434
govvie krd::tsy::01-sep-2020 => 0.0
govvie krd::tsy::01-sep-2022 => 0.0
govvie krd::base => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.027957894719293695
Price Out : 1.0000000000013562
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2007/04/30 => 2007/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.4194 | 0.0012 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2007/09/28 => 2007/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2007/12/28 => 2008/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/03/28 => 2008/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/06/28 => 2008/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/09/28 => 2008/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2008/12/28 => 2009/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/03/28 => 2009/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/06/28 => 2009/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/09/28 => 2009/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2009/12/28 => 2010/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/03/28 => 2010/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/06/28 => 2010/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/09/28 => 2010/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2010/12/28 => 2011/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/03/28 => 2011/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/06/28 => 2011/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/09/28 => 2011/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2011/12/28 => 2012/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/03/28 => 2012/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/06/28 => 2012/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/09/28 => 2012/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2012/12/28 => 2013/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/03/28 => 2013/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/06/28 => 2013/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/09/28 => 2013/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2013/12/28 => 2014/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/03/28 => 2014/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/06/28 => 2014/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/09/28 => 2014/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2014/12/28 => 2015/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/03/28 => 2015/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/06/28 => 2015/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/09/28 => 2015/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/12/28 => 2016/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/03/28 => 2016/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/06/28 => 2016/09/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/09/28 => 2016/12/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2528 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/12/28 => 2017/03/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2500 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2017/03/28 => 2017/06/28 | ? | USD | USD-LIBOR-3M | 0.29% | 0.2556 | 0.0007 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2017/06/28 => 2017/09/28 | ? | USD | USD-LIBOR-3M | 1.58% | 0.2556 | 0.0041 | 0.0000 | 0.9990 | 0.9996 | 40% ||
|| 2017/09/28 => 2017/12/28 | ? | USD | USD-LIBOR-3M | 1.65% | 0.2528 | 0.0042 | 0.0000 | 0.9956 | 0.9984 | 40% ||
|| 2017/12/28 => 2018/03/28 | ? | USD | USD-LIBOR-3M | 1.78% | 0.2500 | 0.0044 | 0.0000 | 0.9919 | 0.9972 | 40% ||
|| 2018/03/28 => 2018/06/28 | ? | USD | USD-LIBOR-3M | 1.88% | 0.2556 | 0.0048 | 0.0000 | 0.9879 | 0.9960 | 40% ||
|| 2018/06/28 => 2018/09/28 | ? | USD | USD-LIBOR-3M | 1.96% | 0.2556 | 0.0050 | 0.0000 | 0.9837 | 0.9948 | 40% ||
|| 2018/09/28 => 2018/12/28 | ? | USD | USD-LIBOR-3M | 2.05% | 0.2528 | 0.0052 | 0.0000 | 0.9793 | 0.9936 | 40% ||
|| 2018/12/28 => 2019/03/28 | ? | USD | USD-LIBOR-3M | 1.86% | 0.2500 | 0.0046 | 0.0000 | 0.9755 | 0.9924 | 40% ||
|| 2019/03/28 => 2019/06/28 | ? | USD | USD-LIBOR-3M | 2.06% | 0.2556 | 0.0053 | 0.0000 | 0.9711 | 0.9912 | 40% ||
|| 2019/06/28 => 2019/09/28 | ? | USD | USD-LIBOR-3M | 2.15% | 0.2556 | 0.0055 | 0.0000 | 0.9665 | 0.9900 | 40% ||
|| 2019/09/28 => 2019/12/28 | ? | USD | USD-LIBOR-3M | 2.25% | 0.2528 | 0.0057 | 0.0000 | 0.9618 | 0.9888 | 40% ||
|| 2019/12/28 => 2020/03/28 | ? | USD | USD-LIBOR-3M | 2.33% | 0.2528 | 0.0059 | 0.0000 | 0.9568 | 0.9876 | 40% ||
|| 2020/03/28 => 2020/06/28 | ? | USD | USD-LIBOR-3M | 2.39% | 0.2556 | 0.0061 | 0.0000 | 0.9517 | 0.9864 | 40% ||
|| 2020/06/28 => 2020/09/28 | ? | USD | USD-LIBOR-3M | 2.44% | 0.2556 | 0.0062 | 0.0000 | 0.9465 | 0.9852 | 40% ||
|| 2020/09/28 => 2020/12/28 | ? | USD | USD-LIBOR-3M | 2.47% | 0.2528 | 0.0063 | 0.0000 | 0.9413 | 0.9840 | 40% ||
|| 2020/12/28 => 2021/03/28 | ? | USD | USD-LIBOR-3M | 2.51% | 0.2500 | 0.0063 | 0.0000 | 0.9361 | 0.9828 | 40% ||
|| 2021/03/28 => 2021/06/28 | ? | USD | USD-LIBOR-3M | 2.55% | 0.2556 | 0.0065 | 0.0000 | 0.9308 | 0.9816 | 40% ||
|| 2021/06/28 => 2021/09/28 | ? | USD | USD-LIBOR-3M | 2.59% | 0.2556 | 0.0066 | 0.0000 | 0.9253 | 0.9804 | 40% ||
|| 2021/09/28 => 2021/12/28 | ? | USD | USD-LIBOR-3M | 2.63% | 0.2528 | 0.0067 | 0.0000 | 0.9199 | 0.9792 | 40% ||
|| 2021/12/28 => 2022/03/28 | ? | USD | USD-LIBOR-3M | 2.67% | 0.2500 | 0.0067 | 0.0000 | 0.9144 | 0.9781 | 40% ||
|| 2022/03/28 => 2022/06/28 | ? | USD | USD-LIBOR-3M | 2.71% | 0.2556 | 0.0069 | 0.0000 | 0.9088 | 0.9769 | 40% ||
|| 2022/06/28 => 2022/09/28 | ? | USD | USD-LIBOR-3M | 2.74% | 0.2556 | 0.0070 | 0.0000 | 0.9032 | 0.9757 | 40% ||
|| 2022/09/28 => 2022/12/28 | ? | USD | USD-LIBOR-3M | 2.77% | 0.2528 | 0.0070 | 0.0000 | 0.8976 | 0.9745 | 40% ||
|| 2022/12/28 => 2023/03/28 | ? | USD | USD-LIBOR-3M | 2.80% | 0.2500 | 0.0070 | 0.0000 | 0.8920 | 0.9733 | 40% ||
|| 2023/03/28 => 2023/06/28 | ? | USD | USD-LIBOR-3M | 2.82% | 0.2556 | 0.0072 | 0.0000 | 0.8862 | 0.9721 | 40% ||
|| 2023/06/28 => 2023/09/28 | ? | USD | USD-LIBOR-3M | 2.85% | 0.2556 | 0.0073 | 0.0000 | 0.8805 | 0.9710 | 40% ||
|| 2023/09/28 => 2023/12/28 | ? | USD | USD-LIBOR-3M | 2.87% | 0.2528 | 0.0073 | 0.0000 | 0.8748 | 0.9698 | 40% ||
|| 2023/12/28 => 2024/03/28 | ? | USD | USD-LIBOR-3M | 2.89% | 0.2528 | 0.0073 | 0.0000 | 0.8691 | 0.9686 | 40% ||
|| 2024/03/28 => 2024/06/28 | ? | USD | USD-LIBOR-3M | 2.91% | 0.2556 | 0.0074 | 0.0000 | 0.8633 | 0.9674 | 40% ||
|| 2024/06/28 => 2024/09/28 | ? | USD | USD-LIBOR-3M | 2.93% | 0.2556 | 0.0075 | 0.0000 | 0.8575 | 0.9663 | 40% ||
|| 2024/09/28 => 2024/12/28 | ? | USD | USD-LIBOR-3M | 2.95% | 0.2528 | 0.0075 | 0.0000 | 0.8517 | 0.9651 | 40% ||
|| 2024/12/28 => 2025/03/28 | ? | USD | USD-LIBOR-3M | 2.97% | 0.2500 | 0.0074 | 0.0000 | 0.8461 | 0.9639 | 40% ||
|| 2025/03/28 => 2025/06/28 | ? | USD | USD-LIBOR-3M | 2.99% | 0.2556 | 0.0076 | 0.0000 | 0.8403 | 0.9628 | 40% ||
|| 2025/06/28 => 2025/09/28 | ? | USD | USD-LIBOR-3M | 3.01% | 0.2556 | 0.0077 | 0.0000 | 0.8345 | 0.9616 | 40% ||
|| 2025/09/28 => 2025/12/28 | ? | USD | USD-LIBOR-3M | 3.03% | 0.2528 | 0.0077 | 0.0000 | 0.8287 | 0.9604 | 40% ||
|| 2025/12/28 => 2026/03/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2500 | 0.0076 | 0.0000 | 0.8231 | 0.9593 | 40% ||
|| 2026/03/28 => 2026/06/28 | ? | USD | USD-LIBOR-3M | 3.05% | 0.2556 | 0.0078 | 0.0000 | 0.8173 | 0.9581 | 40% ||
|| 2026/06/28 => 2026/09/28 | ? | USD | USD-LIBOR-3M | 3.06% | 0.2556 | 0.0078 | 0.0000 | 0.8116 | 0.9569 | 40% ||
|| 2026/09/28 => 2026/12/28 | ? | USD | USD-LIBOR-3M | 3.06% | 0.2528 | 0.0077 | 0.0000 | 0.8059 | 0.9558 | 40% ||
|| 2026/12/28 => 2027/03/28 | ? | USD | USD-LIBOR-3M | 3.07% | 0.2500 | 0.0077 | 0.0000 | 0.8004 | 0.9546 | 40% ||
|| 2027/03/28 => 2027/06/28 | ? | USD | USD-LIBOR-3M | 3.08% | 0.2556 | 0.0079 | 0.0000 | 0.7947 | 0.9535 | 40% ||
|| 2027/06/28 => 2027/09/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0079 | 0.0000 | 0.7890 | 0.9523 | 40% ||
|| 2027/09/28 => 2027/12/28 | ? | USD | USD-LIBOR-3M | 3.13% | 0.2528 | 0.0079 | 0.0000 | 0.7834 | 0.9511 | 40% ||
|| 2027/12/28 => 2028/03/28 | ? | USD | USD-LIBOR-3M | 3.15% | 0.2528 | 0.0080 | 0.0000 | 0.7778 | 0.9500 | 40% ||
|| 2028/03/28 => 2028/06/28 | ? | USD | USD-LIBOR-3M | 3.15% | 0.2556 | 0.0081 | 0.0000 | 0.7721 | 0.9488 | 40% ||
|| 2028/06/28 => 2028/09/28 | ? | USD | USD-LIBOR-3M | 3.14% | 0.2556 | 0.0080 | 0.0000 | 0.7665 | 0.9477 | 40% ||
|| 2028/09/28 => 2028/12/28 | ? | USD | USD-LIBOR-3M | 3.13% | 0.2528 | 0.0079 | 0.0000 | 0.7611 | 0.9465 | 40% ||
|| 2028/12/28 => 2029/03/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2500 | 0.0078 | 0.0000 | 0.7557 | 0.9454 | 40% ||
|| 2029/03/28 => 2029/06/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0079 | 0.0000 | 0.7503 | 0.9442 | 40% ||
|| 2029/06/28 => 2029/09/28 | ? | USD | USD-LIBOR-3M | 3.10% | 0.2556 | 0.0079 | 0.0000 | 0.7450 | 0.9431 | 40% ||
|| 2029/09/28 => 2029/12/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2528 | 0.0079 | 0.0000 | 0.7397 | 0.9420 | 40% ||
|| 2029/12/28 => 2030/03/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2500 | 0.0078 | 0.0000 | 0.7345 | 0.9408 | 40% ||
|| 2030/03/28 => 2030/06/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0079 | 0.0000 | 0.7293 | 0.9397 | 40% ||
|| 2030/06/28 => 2030/09/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0080 | 0.0000 | 0.7241 | 0.9385 | 40% ||
|| 2030/09/28 => 2030/12/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2528 | 0.0079 | 0.0000 | 0.7189 | 0.9374 | 40% ||
|| 2030/12/28 => 2031/03/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2500 | 0.0078 | 0.0000 | 0.7139 | 0.9363 | 40% ||
|| 2031/03/28 => 2031/06/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0079 | 0.0000 | 0.7088 | 0.9351 | 40% ||
|| 2031/06/28 => 2031/09/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2556 | 0.0079 | 0.0000 | 0.7037 | 0.9340 | 40% ||
|| 2031/09/28 => 2031/12/28 | ? | USD | USD-LIBOR-3M | 3.11% | 0.2528 | 0.0079 | 0.0000 | 0.6988 | 0.9329 | 40% ||
|| 2031/12/28 => 2032/03/28 | ? | USD | USD-LIBOR-3M | 3.10% | 0.2528 | 0.0078 | 0.0000 | 0.6938 | 0.9317 | 40% ||
|| 2032/03/28 => 2032/06/28 | ? | USD | USD-LIBOR-3M | 3.10% | 0.2556 | 0.0079 | 0.0000 | 0.6889 | 0.9306 | 40% ||
|| 2032/06/28 => 2032/09/28 | ? | USD | USD-LIBOR-3M | 3.09% | 0.2556 | 0.0079 | 0.0000 | 0.6840 | 0.9295 | 40% ||
|| 2032/09/28 => 2032/12/28 | ? | USD | USD-LIBOR-3M | 3.09% | 0.2528 | 0.0078 | 0.0000 | 0.6792 | 0.9283 | 40% ||
|| 2032/12/28 => 2033/03/28 | ? | USD | USD-LIBOR-3M | 3.08% | 0.2500 | 0.0077 | 0.0000 | 0.6745 | 0.9272 | 40% ||
|| 2033/03/28 => 2033/06/28 | ? | USD | USD-LIBOR-3M | 3.08% | 0.2556 | 0.0079 | 0.0000 | 0.6697 | 0.9261 | 40% ||
|| 2033/06/28 => 2033/09/28 | ? | USD | USD-LIBOR-3M | 3.07% | 0.2556 | 0.0079 | 0.0000 | 0.6650 | 0.9250 | 40% ||
|| 2033/09/28 => 2033/12/28 | ? | USD | USD-LIBOR-3M | 3.07% | 0.2528 | 0.0078 | 0.0000 | 0.6603 | 0.9238 | 40% ||
|| 2033/12/28 => 2034/03/28 | ? | USD | USD-LIBOR-3M | 3.06% | 0.2500 | 0.0077 | 0.0000 | 0.6558 | 0.9227 | 40% ||
|| 2034/03/28 => 2034/06/28 | ? | USD | USD-LIBOR-3M | 3.06% | 0.2556 | 0.0078 | 0.0000 | 0.6512 | 0.9216 | 40% ||
|| 2034/06/28 => 2034/09/28 | ? | USD | USD-LIBOR-3M | 3.06% | 0.2556 | 0.0078 | 0.0000 | 0.6466 | 0.9205 | 40% ||
|| 2034/09/28 => 2034/12/28 | ? | USD | USD-LIBOR-3M | 3.05% | 0.2528 | 0.0077 | 0.0000 | 0.6421 | 0.9194 | 40% ||
|| 2034/12/28 => 2035/03/28 | ? | USD | USD-LIBOR-3M | 3.05% | 0.2500 | 0.0076 | 0.0000 | 0.6377 | 0.9183 | 40% ||
|| 2035/03/28 => 2035/06/28 | ? | USD | USD-LIBOR-3M | 3.05% | 0.2556 | 0.0078 | 0.0000 | 0.6332 | 0.9172 | 40% ||
|| 2035/06/28 => 2035/09/28 | ? | USD | USD-LIBOR-3M | 3.05% | 0.2556 | 0.0078 | 0.0000 | 0.6288 | 0.9160 | 40% ||
|| 2035/09/28 => 2035/12/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2528 | 0.0077 | 0.0000 | 0.6245 | 0.9149 | 40% ||
|| 2035/12/28 => 2036/03/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2528 | 0.0077 | 0.0000 | 0.6202 | 0.9138 | 40% ||
|| 2036/03/28 => 2036/06/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2556 | 0.0078 | 0.0000 | 0.6158 | 0.9127 | 40% ||
|| 2036/06/28 => 2036/09/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2556 | 0.0078 | 0.0000 | 0.6115 | 0.9116 | 40% ||
|| 2036/09/28 => 2036/12/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2528 | 0.0077 | 0.0000 | 0.6073 | 0.9105 | 40% ||
|| 2036/12/28 => 2037/03/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2500 | 0.0076 | 0.0000 | 0.6032 | 0.9094 | 40% ||
|| 2037/03/28 => 2037/06/28 | ? | USD | USD-LIBOR-3M | 3.04% | 0.2556 | 0.0078 | 0.0000 | 0.5990 | 0.9083 | 40% ||
|| 2007/04/30 => 2037/06/28 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.5990 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:00:49 EST 2020
| Setup Time => Mon Jan 27 01:00:49 EST 2020
| Finish Time => Mon Jan 27 01:01:06 EST 2020
| Setup Duration => 0 ms
| Run Duration => 16 s 712 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 01:01:06 EST 2020
| Setup Time => Mon Jan 27 01:01:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-FEB-2019
Next Call Date : 01-FEB-2019 | 1.0
Maturity Date : 01-FEB-2019 | 1.0
yield to call => 0.0204100747855795
z_spread => 0.007522650367435368
market value => 1.09056
oad mult => 0.6310295413228002
libor duration => 1.3678869461521386E-4
convexity => 2.5391236118262923E-8
modified convexity => 2.5391236118262923E-8
effective duration => 1.341245793419413E-4
yield to worst => 0.0204100747855795
tsy oas => 0.007522650367435368
macaulay duration => 1.3445906058854864
mod dur to worst => 1.3675941557770031E-4
price => 1.09056
ytm fwdcpn => 0.0204100747855795
discount margin => 0.007279936504510819
cv01 => 9.242114960139602E-5
effective duration adj => 8.463657178225873E-5
yield to maturity => 0.0204100747855795
oas => 0.004374605490717971
wal_adj => 1.3527260526280864
mod dur => 1.3675941557770031E-4
wal => 1.4027777777777777
z_vol_oas => 0.004374605490717971
n-spread => 0.0040000747855795
yield to put => 0.0204100747855795
treasury duration => 1.3412457928224398E-4
wal4 => 1.4027777777777777
accrued$ => 0.00958333333333335
wal3 => 0.9374312431243124
i-spread => 0.0040000747855795
j-spread => 0.008220074785579502
wal2 => 1.3522879297486412
wal to worst => 1.4027777777777777
nominal yield => 0.08614051968198977
spread dur => 0.013387047584155756
funding duration => 1.3677132440084505E-4
accrued => 0.00958333333333335
e-spread => 0.004374605490717971
accrued interest factor => 0.00958333333333335
spread dur $ => 0.013387047584155756
dv01 => 1.462709012471475E-4
yield to maturity cbe => 0.0204100747855795
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 1.3226094013083777E-4
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 2.7817421467143942E-5
funding kprd::futures::p => 1.3226094013083777E-4
funding kprd::futures::1 => 2.2779501379557866E-5
funding kprd::futures::2 => 2.4224490475879824E-5
funding kprd::futures::3 => 2.2512535801974543E-5
funding kprd::futures::4 => 2.5212503569335687E-5
funding kprd::futures::5 => 9.714263885543529E-6
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 1.3677132440084505E-4
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 2.869836871912485E-5
funding krd::futures::p => 1.3677132440084505E-4
funding krd::futures::1 => 2.353233126703009E-5
funding krd::futures::2 => 2.5061498802725997E-5
funding krd::futures::3 => 2.329987048079792E-5
funding krd::futures::4 => 2.611797448734546E-5
funding krd::futures::5 => 1.006102875168482E-5
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4597809352757965E-5
libor krd::tenor::2 => 2.4589669654906757E-5
libor krd::tenor::1 => 2.7279644499549955E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.567840646735169E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 1.231040146452204E-5
libor krd::tenor::5 => 2.3344280804063547E-5
libor krd::tenor::4 => 2.410993091013018E-5
libor krd::bump => 1.3678869461521386E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 7.71100806185948E-5
govvie kprd::tsy::06-sep-2019 => 5.259117976510186E-5
govvie kprd::bump => 1.2970151788505856E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 0.0
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.3779304028040404E-5
libor kprd::tenor::2 => 2.3803967799643223E-5
libor kprd::tenor::1 => 2.6438341069753847E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.396128664791888E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 1.188527279671614E-5
libor kprd::tenor::5 => 2.2538106890365726E-5
libor kprd::tenor::4 => 2.3293128146881224E-5
libor kprd::bump => 1.3227788443808398E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 7.973966734324967E-5
govvie krd::tsy::06-sep-2019 => 5.4384627794913135E-5
govvie krd::bump => 1.3412457928224398E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 0.0
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 0.0
|-----------------------------------------------------------------|
| 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 01:01:06 EST 2020
| Setup Time => Mon Jan 27 01:01:06 EST 2020
| Finish Time => Mon Jan 27 01:01:15 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 162 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 01:01:15 EST 2020
| Setup Time => Mon Jan 27 01:01:15 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-FEB-2025
Next Call Date : 15-FEB-2025 | 1.0
Maturity Date : 15-FEB-2025 | 1.0
yield to call => 0.0319956010127103
z_spread => 0.009732258547076707
market value => 0.78961
oad mult => 0.5325419251243684
libor duration => 7.4657434700741E-4
convexity => 5.725292666430766E-7
modified convexity => 5.725292666430766E-7
effective duration => 7.324808059598252E-4
yield to worst => 0.0319956010127103
tsy oas => 0.009732258547076707
macaulay duration => 7.441666666666666
mod dur to worst => 7.387018510034785E-4
price => 0.78961
ytm fwdcpn => 0.0319956010127103
discount margin => 0.018865462731641615
cv01 => 3.102416931060059E-4
effective duration adj => 3.9007673852249424E-4
yield to maturity => 0.0319956010127103
oas => 0.009857499705493886
wal_adj => 7.441666666666666
mod dur => 7.387018510034785E-4
wal => 7.441666666666666
z_vol_oas => 0.009857499705493886
n-spread => 0.010335601012710298
yield to put => 0.0319956010127103
treasury duration => 7.324808059591433E-4
wal4 => 7.441666666666666
accrued$ => 0.0
wal3 => 0.0
i-spread => 0.010040899813064687
j-spread => 0.019805601012710297
wal2 => 7.441666666666666
wal to worst => 7.441666666666666
nominal yield => -9.931881458191916E-13
spread dur => 0.07267553916678406
funding duration => 7.390246195266611E-4
accrued => 0.0
e-spread => 0.015706264467371483
accrued interest factor => 0.0
spread dur $ => 0.07267553916678406
dv01 => 5.783741691939376E-4
yield to maturity cbe => 0.0319956010127103
funding kprd::fixfloat::05y => 8.82819975615845E-6
funding kprd::fixfloat::15y => -1.1821419213797757E-7
funding kprd::fixfloat::03y => -6.495427921565655E-6
funding kprd::fixfloat::25y => -6.195304089184894E-9
funding kprd::fixfloat::09y => -1.1172004677626191E-4
funding kprd::fixfloat::07y => 5.096009840519749E-4
funding kprd::deposit::pll => 5.80628210872236E-7
funding kprd::fixfloat::11y => -9.101195751795576E-6
funding kprd::bump => 7.508484510170915E-4
funding kprd::fixfloat::06y => -1.0465724005248033E-4
funding kprd::deposit::2d => 5.80628210872236E-7
funding kprd::fixfloat::04y => -1.357634667992491E-5
funding kprd::fixfloat::pll => 7.537377388359828E-4
funding kprd::fixfloat::08y => 4.4975473249705413E-4
funding kprd::fixfloat::20y => 2.078263224292165E-8
funding kprd::fixfloat::30y => 1.4638625034368857E-9
funding kprd::fixfloat::40y => -1.711897429368392E-10
funding kprd::fixfloat::50y => 2.979244628775746E-11
funding kprd::fixfloat::02y => -3.3555830537324026E-6
funding kprd::fixfloat::12y => 1.9401173649985504E-6
funding kprd::fixfloat::10y => 3.2593602007871536E-5
funding kprd::futures::0 => -9.823515308676756E-7
funding kprd::futures::p => -3.4738713822868304E-6
funding kprd::futures::1 => -8.059664983295356E-7
funding kprd::futures::2 => -5.827527294582913E-7
funding kprd::futures::3 => -5.641665039274324E-7
funding kprd::futures::4 => -2.8120779483054027E-7
funding kprd::futures::5 => -2.5742132509221084E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 8.689191761581572E-6
funding krd::fixfloat::15y => -1.1635280321486657E-7
funding krd::fixfloat::03y => -6.393151581306593E-6
funding krd::fixfloat::25y => -6.097753446384476E-9
funding krd::fixfloat::09y => -1.0996092150290073E-4
funding krd::fixfloat::07y => 5.015768642037741E-4
funding krd::deposit::pll => 5.714856967029756E-7
funding krd::fixfloat::11y => -8.957889267795054E-6
funding krd::bump => 7.390246195266611E-4
funding krd::fixfloat::06y => -1.0300932403318745E-4
funding krd::deposit::2d => 5.714856967029756E-7
funding krd::fixfloat::04y => -1.3362574963299477E-5
funding krd::fixfloat::pll => 7.418684813583918E-4
funding krd::fixfloat::08y => 4.426729323781144E-4
funding krd::fixfloat::20y => 2.04553909823402E-8
funding krd::fixfloat::30y => 1.4408126728082908E-9
funding krd::fixfloat::40y => -1.6849420772153128E-10
funding krd::fixfloat::50y => 2.9323338026081596E-11
funding krd::fixfloat::02y => -3.3027463798162903E-6
funding krd::fixfloat::12y => 1.909568467873764E-6
funding krd::fixfloat::10y => 3.208038590403667E-5
funding krd::futures::0 => -9.66883521364347E-7
funding krd::futures::p => -3.4191721541270497E-6
funding krd::futures::1 => -7.932758299578231E-7
funding krd::futures::2 => -5.735767628928587E-7
funding krd::futures::3 => -5.552831942162246E-7
funding krd::futures::4 => -2.7677992482373765E-7
funding krd::futures::5 => -2.53367994470929E-7
funding krd::base => 0.0
libor krd::tenor::10 => 1.0016242784878301E-4
libor krd::tenor::3 => 2.5298808541893435E-5
libor krd::tenor::2 => 2.475530711464667E-5
libor krd::tenor::1 => 2.6964174814511545E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.50345253240684E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.8112495376656324E-5
libor krd::tenor::6 => 2.473220555866571E-5
libor krd::tenor::5 => 2.5013232499955404E-5
libor krd::tenor::4 => 2.5293454760564573E-5
libor krd::bump => 7.4657434700741E-4
libor krd::tenor::9 => 1.0020230960713565E-4
libor krd::tenor::8 => 1.0052406752623078E-4
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.442216107276763E-5
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 1.0013091858279653E-4
libor krd::tenor::12 => 1.0038060944767872E-4
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::06-sep-2018 => 0.0
govvie kprd::tsy::06-sep-2019 => 0.0
govvie kprd::bump => 7.441999269650667E-4
govvie kprd::tsy::06-sep-2020 => 0.0
govvie kprd::tsy::06-sep-2022 => 0.0
govvie kprd::tsy::06-sep-2024 => 6.34091350633259E-4
govvie kprd::tsy::06-sep-2047 => 0.0
govvie kprd::tsy::06-sep-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::06-sep-2027 => 1.1009599811247217E-4
libor kprd::tenor::10 => 1.0176254181970268E-4
libor kprd::tenor::3 => 2.5702961116794155E-5
libor kprd::tenor::2 => 2.5150777163204797E-5
libor kprd::tenor::1 => 2.7394931895655118E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.591371060070793E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.8881100593201054E-5
libor kprd::tenor::6 => 2.5127306555949857E-5
libor kprd::tenor::5 => 2.541282294969416E-5
libor kprd::tenor::4 => 2.5697521807893642E-5
libor kprd::bump => 7.585020764081351E-4
libor kprd::tenor::9 => 1.0180306069941803E-4
libor kprd::tenor::8 => 1.0212995878179365E-4
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 4.51318125260225E-5
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 1.0173052918508452E-4
libor kprd::tenor::12 => 1.0198420892345572E-4
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::06-sep-2018 => 0.0
govvie krd::tsy::06-sep-2019 => 0.0
govvie krd::bump => 7.324808059591433E-4
govvie krd::tsy::06-sep-2020 => 0.0
govvie krd::tsy::06-sep-2022 => 0.0
govvie krd::tsy::06-sep-2024 => 6.241063784650286E-4
govvie krd::tsy::06-sep-2047 => 0.0
govvie krd::tsy::06-sep-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::06-sep-2027 => 1.0836243414360238E-4
|-----------------------------------------------------------------|
| 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 01:01:15 EST 2020
| Setup Time => Mon Jan 27 01:01:15 EST 2020
| Finish Time => Mon Jan 27 01:01:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 17 s 698 ms
|-----------------------------------------------------------------|