|-----------------------------------------------------------------|
| 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 00:37:12 EST 2020
| Setup Time => Mon Jan 27 00:37:12 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 31-JAN-2021
Next Call Date : 31-JAN-2021 | 1.0
Maturity Date : 31-JAN-2021 | 1.0
yield to call => 0.022901585475988296
z_spread => 0.006645078662152794
market value => 1.075498
oad mult => 0.6535167036525446
libor duration => 2.5359082420612614E-4
convexity => 8.216499404257684E-8
modified convexity => 8.216499404257684E-8
effective duration => 2.491923731965456E-4
yield to worst => 0.022901585475988296
tsy oas => 0.006645078662152794
macaulay duration => 2.4847229042250722
mod dur to worst => 2.4964006166920075E-4
price => 1.075498
ytm fwdcpn => 0.022901585475988296
discount margin => 0.009887147772736794
cv01 => 1.756203555449698E-4
effective duration adj => 1.6285137830676115E-4
yield to maturity => 0.022901585475988296
oas => 0.005272508948340663
wal_adj => 2.540838905856929
mod dur => 2.4964006166920075E-4
wal => 2.4397624129191473
z_vol_oas => 0.005272508948340663
n-spread => 0.005038585475988296
yield to put => 0.022901585475988296
treasury duration => 2.4919237316724414E-4
wal4 => 2.4397624129191473
accrued$ => 0.008249692734500033
wal3 => 1.7009342382081012
i-spread => 0.0047893650469295265
j-spread => 0.010711585475988297
wal2 => 2.5297861038682905
wal to worst => 2.4397624129191473
nominal yield => 0.05246611842370909
spread dur => 0.02482089964933117
funding duration => 2.496847227716211E-4
accrued => 0.008249692734500033
e-spread => 0.006803790917483934
accrued interest factor => 0.008249692734500033
spread dur $ => 0.02482089964933117
dv01 => 2.680058989881384E-4
yield to maturity cbe => 0.022901585475988296
funding kprd::fixfloat::05y => -1.3061964920196844E-5
funding kprd::fixfloat::15y => -1.2025016815631063E-10
funding kprd::fixfloat::03y => 1.692078803325947E-4
funding kprd::fixfloat::25y => -6.301950628007092E-12
funding kprd::fixfloat::09y => -1.1364561611215684E-7
funding kprd::fixfloat::07y => -1.2688901148194542E-6
funding kprd::deposit::pll => 8.864084983878362E-7
funding kprd::fixfloat::11y => -9.25800798801113E-9
funding kprd::bump => 2.4369596633466993E-4
funding kprd::fixfloat::06y => 4.131796394740705E-6
funding kprd::deposit::2d => 8.864084983878362E-7
funding kprd::fixfloat::04y => 4.119969592274175E-5
funding kprd::fixfloat::pll => 2.2635772407023636E-4
funding kprd::fixfloat::08y => 3.83420240751553E-7
funding kprd::fixfloat::20y => 2.1140486583526298E-11
funding kprd::fixfloat::30y => 1.4890394472999447E-12
funding kprd::fixfloat::40y => -1.741301547397711E-13
funding kprd::fixfloat::50y => 3.029798634202052E-14
funding kprd::fixfloat::02y => 2.5853178309595548E-5
funding kprd::fixfloat::12y => 1.9735410888843673E-9
funding kprd::fixfloat::10y => 3.3155269138496204E-8
funding kprd::futures::0 => 6.648125897912305E-6
funding kprd::futures::p => 1.6450856082328436E-5
funding kprd::futures::1 => 3.732063139991193E-6
funding kprd::futures::2 => 3.39239454326401E-6
funding kprd::futures::3 => 1.8951687908552728E-6
funding kprd::futures::4 => 1.0863570647334786E-6
funding kprd::futures::5 => -3.03267794446449E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.3529627146192946E-5
funding krd::fixfloat::15y => -1.2455553338490643E-10
funding krd::fixfloat::03y => 1.750369625986628E-4
funding krd::fixfloat::25y => -6.527586735052234E-12
funding krd::fixfloat::09y => -1.1771451288345794E-7
funding krd::fixfloat::07y => -1.3143206633730638E-6
funding krd::deposit::pll => 9.098309123670453E-7
funding krd::fixfloat::11y => -9.589475935637242E-9
funding krd::bump => 2.496847227716211E-4
funding krd::fixfloat::06y => 4.279728677686188E-6
funding krd::deposit::2d => 9.098309123670453E-7
funding krd::fixfloat::04y => 4.267413222761872E-5
funding krd::fixfloat::pll => 2.3291919985726344E-4
funding krd::fixfloat::08y => 3.971479801856576E-7
funding krd::fixfloat::20y => 2.1897391123689687E-11
funding krd::fixfloat::30y => 1.5423560754532464E-12
funding krd::fixfloat::40y => -1.8036125298467067E-13
funding krd::fixfloat::50y => 3.138669812842784E-14
funding krd::fixfloat::02y => 2.5465676487550904E-5
funding krd::fixfloat::12y => 2.0442005209327875E-9
funding krd::fixfloat::10y => 3.43423397221965E-8
funding krd::futures::0 => 6.389946693113508E-6
funding krd::futures::p => 1.5854661764902853E-5
funding krd::futures::1 => 3.5984584196553286E-6
funding krd::futures::2 => 3.2756490898211956E-6
funding krd::futures::3 => 1.840842814736232E-6
funding krd::futures::4 => 1.0517895672813642E-6
funding krd::futures::5 => -3.0203948767761123E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.39251670913581E-5
libor krd::tenor::2 => 2.5135615991178807E-5
libor krd::tenor::1 => 3.219273401836463E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.600805523393081E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.1939516900657985E-5
libor krd::tenor::6 => 2.0443374604634138E-5
libor krd::tenor::5 => 2.1160137772890966E-5
libor krd::tenor::4 => 2.2469563985009225E-5
libor krd::bump => 2.5359082420612614E-4
libor krd::tenor::9 => 1.1682213539344545E-5
libor krd::tenor::8 => 6.408100701420314E-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::17-nov-2022 => 2.4987067122952954E-5
govvie kprd::tsy::17-nov-2020 => 2.182218439457928E-4
govvie kprd::tsy::17-nov-2037 => 0.0
govvie kprd::tsy::17-nov-2047 => 0.0
govvie kprd::tsy::17-nov-2024 => 0.0
govvie kprd::bump => 2.4320947657251456E-4
govvie kprd::tsy::17-nov-2019 => 0.0
govvie kprd::tsy::17-nov-2018 => 0.0
govvie kprd::tsy::17-nov-2027 => 0.0
govvie kprd::base => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.35019096672312E-5
libor kprd::tenor::2 => 2.4758541905323118E-5
libor kprd::tenor::1 => 3.174343472140129E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.526002715944279E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.103716072195839E-5
libor kprd::tenor::6 => 1.992102436939036E-5
libor kprd::tenor::5 => 2.067616318653931E-5
libor kprd::tenor::4 => 2.2005226604179807E-5
libor kprd::bump => 2.4749392756205635E-4
libor kprd::tenor::9 => 1.1282876274099073E-5
libor kprd::tenor::8 => 6.201366903723637E-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::17-nov-2022 => 2.5601735600514472E-5
govvie krd::tsy::17-nov-2020 => 2.2359003756846087E-4
govvie krd::tsy::17-nov-2037 => 0.0
govvie krd::tsy::17-nov-2047 => 0.0
govvie krd::tsy::17-nov-2024 => 0.0
govvie krd::bump => 2.4919237316724414E-4
govvie krd::tsy::17-nov-2019 => 0.0
govvie krd::tsy::17-nov-2018 => 0.0
govvie krd::tsy::17-nov-2027 => 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 00:37:12 EST 2020
| Setup Time => Mon Jan 27 00:37:12 EST 2020
| Finish Time => Mon Jan 27 00:37:24 EST 2020
| Setup Duration => 1 ms
| Run Duration => 12 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 00:37:24 EST 2020
| Setup Time => Mon Jan 27 00:37:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-JAN-2032
Next Call Date : 10-JAN-2032 | 1.0
Maturity Date : 10-JAN-2032 | 1.0
yield to call => 0.04192657336454471
z_spread => 0.016700274431778274
market value => 1.233069
oad mult => 0.6182027764703079
libor duration => 6.619586308146757E-4
convexity => 6.150029938527324E-7
modified convexity => 6.150029938527324E-7
effective duration => 6.615604008888046E-4
yield to worst => 0.04192657336454471
tsy oas => 0.016700274431778274
macaulay duration => 6.604763135080582
mod dur to worst => 6.575181177914229E-4
price => 1.233069
ytm fwdcpn => 0.04192657336454471
discount margin => 0.028768254747494906
cv01 => 5.085500279740085E-4
effective duration adj => 4.089784766322689E-4
yield to maturity => 0.04192657336454471
oas => 0.01932043141905135
wal_adj => 7.636123063460668
mod dur => 6.575181177914229E-4
wal => 8.62239362396152
z_vol_oas => 0.01932043141905135
n-spread => 0.016992573364544707
yield to put => 0.04192657336454471
treasury duration => 6.615604008906954E-4
wal4 => 8.62239362396152
accrued$ => 8.609992603997243E-4
wal3 => 5.361732866264243
i-spread => 0.01703964835133154
j-spread => 0.02973657336454471
wal2 => 6.85797339167269
wal to worst => 8.62239362396152
nominal yield => 0.075070000000001
spread dur => 0.06499971944187949
funding duration => 6.575070360143471E-4
accrued => 8.609992603997243E-4
e-spread => 0.025686241653793452
accrued interest factor => 8.609992603997243E-4
spread dur $ => 0.06499971944187949
dv01 => 8.157496219635574E-4
yield to maturity cbe => 0.04229450001941558
funding kprd::fixfloat::05y => 3.455208220795869E-5
funding kprd::fixfloat::15y => 7.68424124344691E-5
funding kprd::fixfloat::03y => 2.2705826761579283E-5
funding kprd::fixfloat::25y => 2.096391597281033E-6
funding kprd::fixfloat::09y => 4.751417658371004E-5
funding kprd::fixfloat::07y => 4.341936461500495E-5
funding kprd::deposit::pll => 9.601423807154008E-7
funding kprd::fixfloat::11y => 2.665554475325682E-6
funding kprd::bump => 5.989705774781917E-4
funding kprd::fixfloat::06y => 3.953216147608851E-5
funding kprd::deposit::2d => 9.601423807154008E-7
funding kprd::fixfloat::04y => 2.938408347087085E-5
funding kprd::fixfloat::pll => 5.88161540055121E-4
funding kprd::fixfloat::08y => 4.821390933828218E-5
funding kprd::fixfloat::20y => -7.032483985661142E-6
funding kprd::fixfloat::30y => -4.953524933820619E-7
funding kprd::fixfloat::40y => 5.792958595318698E-8
funding kprd::fixfloat::50y => -1.0081450430021732E-8
funding kprd::fixfloat::02y => 1.65731276251857E-5
funding kprd::fixfloat::12y => 1.6492394541983701E-4
funding kprd::fixfloat::10y => 6.718229874683735E-5
funding kprd::futures::0 => 3.3917562082819153E-6
funding kprd::futures::p => 9.845856764051364E-6
funding kprd::futures::1 => 2.32427028474258E-6
funding kprd::futures::2 => 1.947338235755436E-6
funding kprd::futures::3 => 1.2359035655135076E-6
funding kprd::futures::4 => 8.458848088754856E-7
funding kprd::futures::5 => 1.0069357990472039E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.218692174928064E-5
funding krd::fixfloat::15y => 9.953831830903273E-5
funding krd::fixfloat::03y => 1.951703566137211E-5
funding krd::fixfloat::25y => 2.690843349964954E-6
funding krd::fixfloat::09y => 5.0920168257802094E-5
funding krd::fixfloat::07y => 4.363282173065757E-5
funding krd::deposit::pll => 9.9380790143815E-7
funding krd::fixfloat::11y => -2.4998263803649295E-6
funding krd::bump => 6.575070360143471E-4
funding krd::fixfloat::06y => 3.829811430509885E-5
funding krd::deposit::2d => 9.9380790143815E-7
funding krd::fixfloat::04y => 2.635257800079254E-5
funding krd::fixfloat::pll => 6.488124170132352E-4
funding krd::fixfloat::08y => 5.055526528519505E-5
funding krd::fixfloat::20y => -9.026611301322824E-6
funding krd::fixfloat::30y => -6.358143928467898E-7
funding krd::fixfloat::40y => 7.435606983643295E-8
funding krd::fixfloat::50y => -1.294014137027447E-8
funding krd::fixfloat::02y => 1.3925872808500395E-5
funding krd::fixfloat::12y => 2.057138336255167E-4
funding krd::fixfloat::10y => 7.753803666627035E-5
funding krd::futures::0 => 2.6738797005875253E-6
funding krd::futures::p => 7.6974327105183E-6
funding krd::futures::1 => 1.8082930051493766E-6
funding krd::futures::2 => 1.5460999273654993E-6
funding krd::futures::3 => 9.546095158148155E-7
funding krd::futures::4 => 6.733346177662239E-7
funding krd::futures::5 => 4.120828462052978E-8
funding krd::base => 0.0
libor krd::tenor::10 => 6.286415632871164E-5
libor krd::tenor::3 => 2.380568317759539E-5
libor krd::tenor::2 => 2.4645448513289197E-5
libor krd::tenor::1 => 2.6043570672290356E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.520991908936868E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.126070726790044E-5
libor krd::tenor::6 => 2.236061495730642E-5
libor krd::tenor::5 => 2.2926138154067E-5
libor krd::tenor::4 => 2.2988956885410407E-5
libor krd::bump => 6.619586308146757E-4
libor krd::tenor::9 => 7.081833962866761E-5
libor krd::tenor::8 => 7.933080303426203E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.1058823147852335E-5
libor krd::tenor::14 => 3.4443419897305784E-5
libor krd::tenor::11 => 5.525843656277222E-5
libor krd::tenor::12 => 4.811582401728959E-5
libor krd::tenor::17 => 1.6402473991136972E-5
libor krd::tenor::18 => 1.8714386932001827E-5
libor krd::tenor::15 => 2.813823259475921E-5
libor krd::tenor::16 => 2.2179010958336383E-5
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 3.1142907950107435E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 2.9177840593495874E-4
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 6.03235466302815E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 5.722880212984671E-5
libor kprd::tenor::3 => 2.3461162453530803E-5
libor kprd::tenor::2 => 2.441646123549912E-5
libor kprd::tenor::1 => 2.5935329265219797E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.506636585911328E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.972757451557451E-5
libor kprd::tenor::6 => 2.169312937012613E-5
libor kprd::tenor::5 => 2.235872933255556E-5
libor kprd::tenor::4 => 2.253889592424285E-5
libor kprd::bump => 6.03405703057211E-4
libor kprd::tenor::9 => 6.579014863516419E-5
libor kprd::tenor::8 => 7.52247564732994E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 3.523292590235927E-5
libor kprd::tenor::14 => 2.899690738018268E-5
libor kprd::tenor::11 => 4.930901383874975E-5
libor kprd::tenor::12 => 4.209666243456256E-5
libor kprd::tenor::17 => 1.3060590753699585E-5
libor kprd::tenor::18 => 1.4506905687314275E-5
libor kprd::tenor::15 => 2.324731587470541E-5
libor kprd::tenor::16 => 1.798683657504574E-5
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 3.4153883565525713E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 3.1998822921643647E-4
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 6.615604008906954E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:37:24 EST 2020
| Setup Time => Mon Jan 27 00:37:24 EST 2020
| Finish Time => Mon Jan 27 00:37:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 31 s 828 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 00:37:56 EST 2020
| Setup Time => Mon Jan 27 00:37:56 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-AUG-2022
Next Call Date : 10-AUG-2022 | 1.0
Maturity Date : 10-AUG-2022 | 1.0
yield to call => 0.032271964026042335
z_spread => 0.012351498909771044
market value => 1.147226
oad mult => 0.6501196054107719
libor duration => 3.975099881012116E-4
convexity => 1.9716471298954875E-7
modified convexity => 1.9716471298954875E-7
effective duration => 3.9046366182757497E-4
yield to worst => 0.032271964026042335
tsy oas => 0.012351498909771044
macaulay duration => 3.9480025496820277
mod dur to worst => 3.920056437885762E-4
price => 1.147226
ytm fwdcpn => 0.032271964026042335
discount margin => 0.019113645408992533
cv01 => 2.924899468350617E-4
effective duration adj => 2.538480817545881E-4
yield to maturity => 0.032271964026042335
oas => 0.012605198060527775
wal_adj => 4.079329635743646
mod dur => 3.920056437885762E-4
wal => 4.248688575889536
z_vol_oas => 0.012605198060527775
n-spread => 0.012236964026042334
yield to put => 0.032271964026042335
treasury duration => 3.9046366182755556E-4
wal4 => 4.248688575889536
accrued$ => 0.0032115046338909775
wal3 => 2.695195160906871
i-spread => 0.011867729537836512
j-spread => 0.020081964026042336
wal2 => 4.0000102808599935
wal to worst => 4.248688575889536
nominal yield => 0.06818886366181469
spread dur => 0.03878700472231764
funding duration => 3.921086959057428E-4
accrued => 0.0032115046338909775
e-spread => 0.01598194226537095
accrued interest factor => 0.0032115046338909775
spread dur $ => 0.03878700472231764
dv01 => 4.4795006490380154E-4
yield to maturity cbe => 0.032271964026042335
funding kprd::fixfloat::05y => 1.8800876554829759E-4
funding kprd::fixfloat::15y => -2.845780064375525E-9
funding kprd::fixfloat::03y => 3.578829846377085E-5
funding kprd::fixfloat::25y => -1.491386403262851E-10
funding kprd::fixfloat::09y => -2.6897406410042455E-6
funding kprd::fixfloat::07y => -3.003461688247666E-5
funding kprd::deposit::pll => 9.302278499045968E-7
funding kprd::fixfloat::11y => -2.1910774292976943E-7
funding kprd::bump => 3.7598312050689253E-4
funding kprd::fixfloat::06y => 1.1476529178456873E-4
funding kprd::deposit::2d => 9.302278499045968E-7
funding kprd::fixfloat::04y => 2.9614925403148586E-5
funding kprd::fixfloat::pll => 3.5989527922346E-4
funding kprd::fixfloat::08y => 9.075058630891863E-6
funding kprd::fixfloat::20y => 5.002954300836748E-10
funding kprd::fixfloat::30y => 3.523969172025687E-11
funding kprd::fixfloat::40y => -4.121142316293458E-12
funding kprd::fixfloat::50y => 7.17198522792728E-13
funding kprd::fixfloat::02y => 1.4752950875354665E-5
funding kprd::fixfloat::12y => 4.670529473727036E-8
funding kprd::fixfloat::10y => 7.846879373135663E-7
funding kprd::futures::0 => 3.999404328658418E-6
funding kprd::futures::p => 1.5155884874362702E-5
funding kprd::futures::1 => 3.270527674958945E-6
funding kprd::futures::2 => 3.1024830181636264E-6
funding kprd::futures::3 => 2.3938626403929852E-6
funding kprd::futures::4 => 1.6229856221100513E-6
funding kprd::futures::5 => 7.666015868573739E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.0085516392736815E-4
funding krd::fixfloat::15y => -3.0557537586265718E-9
funding krd::fixfloat::03y => 3.5343874177582695E-5
funding krd::fixfloat::25y => -1.6014272724293225E-10
funding krd::fixfloat::09y => -2.8882010737134314E-6
funding krd::fixfloat::07y => -3.225069623439997E-5
funding krd::deposit::pll => 9.648000431801003E-7
funding krd::fixfloat::11y => -2.3527443919195519E-7
funding krd::bump => 3.921086959057428E-4
funding krd::fixfloat::06y => 1.2321537245170165E-4
funding krd::deposit::2d => 9.648000431801003E-7
funding krd::fixfloat::04y => 2.8951896847841158E-5
funding krd::fixfloat::pll => 3.774185641382633E-4
funding krd::fixfloat::08y => 9.744654985286925E-6
funding krd::fixfloat::20y => 5.372093491863707E-10
funding krd::fixfloat::30y => 3.7839819647352065E-11
funding krd::fixfloat::40y => -4.425220424688509E-12
funding krd::fixfloat::50y => 7.701223479649635E-13
funding krd::fixfloat::02y => 1.3786665757572874E-5
funding krd::fixfloat::12y => 5.015140899546252E-8
funding krd::fixfloat::10y => 8.425855344409907E-7
funding krd::futures::0 => 3.599230651549543E-6
funding krd::futures::p => 1.3723472219073883E-5
funding krd::futures::1 => 2.9426302688960542E-6
funding krd::futures::2 => 2.8229519143493424E-6
funding krd::futures::3 => 2.171428648973533E-6
funding krd::futures::4 => 1.4945100837715755E-6
funding krd::futures::5 => 6.927013939606008E-7
funding krd::base => 0.0
libor krd::tenor::10 => 5.164632943482736E-5
libor krd::tenor::3 => 2.439716079033406E-5
libor krd::tenor::2 => 2.5124540827586557E-5
libor krd::tenor::1 => 2.6252640023512712E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.527424537325107E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.06331395657978E-5
libor krd::tenor::6 => 2.246334772914827E-5
libor krd::tenor::5 => 2.3124071680463737E-5
libor krd::tenor::4 => 2.3574763259980753E-5
libor krd::bump => 3.975099881012116E-4
libor krd::tenor::9 => 6.506387964678655E-5
libor krd::tenor::8 => 7.654747487535511E-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 => 1.8123600412212525E-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::10-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 7.836460154393154E-5
govvie kprd::tsy::10-mar-2022 => 2.9604726904009784E-4
govvie kprd::bump => 3.7441534686993296E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 4.832907207242554E-5
libor kprd::tenor::3 => 2.389686529487012E-5
libor kprd::tenor::2 => 2.4668793828452884E-5
libor kprd::tenor::1 => 2.5815204180090755E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.435323593400155E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.914351271529226E-5
libor kprd::tenor::6 => 2.1770448236346772E-5
libor kprd::tenor::5 => 2.2478478666590472E-5
libor kprd::tenor::4 => 2.3029837260685193E-5
libor kprd::bump => 3.811558488559047E-4
libor kprd::tenor::9 => 6.148127190900576E-5
libor kprd::tenor::8 => 7.309810935250127E-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 => 1.6895019063462025E-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::10-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 8.172341571307763E-5
govvie krd::tsy::10-mar-2022 => 3.087364337494658E-4
govvie krd::bump => 3.9046366182755556E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:37:56 EST 2020
| Setup Time => Mon Jan 27 00:37:56 EST 2020
| Finish Time => Mon Jan 27 00:38:10 EST 2020
| Setup Duration => 0 ms
| Run Duration => 14 s 167 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 00:38:10 EST 2020
| Setup Time => Mon Jan 27 00:38:10 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-OCT-2028
Next Call Date : 15-OCT-2028 | 1.0
Maturity Date : 15-OCT-2028 | 1.0
yield to call => 0.037827626396037026
z_spread => 0.013568800489119135
market value => 0.9629359
oad mult => 0.5769247633506366
libor duration => 7.123142553438012E-4
convexity => 6.700897206922342E-7
modified convexity => 6.700897206922342E-7
effective duration => 7.035910291066598E-4
yield to worst => 0.037827626396037026
tsy oas => 0.013568800489119135
macaulay duration => 7.064492978732906
mod dur to worst => 7.07349265231948E-4
price => 0.9629359
ytm fwdcpn => 0.037827626396037026
discount margin => 0.024669307778987223
cv01 => 3.942896339085289E-4
effective duration adj => 4.0591908796299054E-4
yield to maturity => 0.037827626396037026
oas => 0.014918736524832672
wal_adj => 7.923267752340534
mod dur => 7.07349265231948E-4
wal => 8.124932423222221
z_vol_oas => 0.014918736524832672
n-spread => 0.013655626396037027
yield to put => 0.037827626396037026
treasury duration => 7.035910310381327E-4
wal4 => 8.124932423222221
accrued$ => 0.014625000000000075
wal3 => 5.279700469826781
i-spread => 0.013828880232450623
j-spread => 0.025637626396037026
wal2 => 7.369252355693853
wal to worst => 8.124932423222221
nominal yield => 0.032496644432464014
spread dur => 0.0692418093222962
funding duration => 7.074084070522697E-4
accrued => 0.014625000000000075
e-spread => 0.021530179239994913
accrued interest factor => 0.014625000000000075
spread dur $ => 0.0692418093222962
dv01 => 6.775130608447477E-4
yield to maturity cbe => 0.037827626396037026
funding kprd::fixfloat::05y => 2.5852575428411682E-5
funding kprd::fixfloat::15y => -9.279966500799763E-6
funding kprd::fixfloat::03y => 1.4332487942533833E-5
funding kprd::fixfloat::25y => -4.863347302791476E-7
funding kprd::fixfloat::09y => 5.1201681415166676E-5
funding kprd::fixfloat::07y => 3.4101995164934065E-5
funding kprd::deposit::pll => 1.041138974586242E-6
funding kprd::fixfloat::11y => 2.5591053159762235E-4
funding kprd::bump => 7.17449876133186E-4
funding kprd::fixfloat::06y => 2.9649913677817775E-5
funding kprd::deposit::2d => 1.041138974586242E-6
funding kprd::fixfloat::04y => 2.1967158682309475E-5
funding kprd::fixfloat::pll => 7.123966536986242E-4
funding kprd::fixfloat::08y => 3.4906066926596034E-5
funding kprd::fixfloat::20y => 1.6314418541801823E-6
funding kprd::fixfloat::30y => 1.1491513220718285E-7
funding kprd::fixfloat::40y => -1.3438886711791831E-8
funding kprd::fixfloat::50y => 2.3387612096970047E-9
funding kprd::fixfloat::02y => 1.5633826766117686E-5
funding kprd::fixfloat::12y => 2.388939471092394E-4
funding kprd::fixfloat::10y => -2.0694484933553304E-6
funding kprd::futures::0 => 1.5982062507607919E-6
funding kprd::futures::p => 4.008366672883512E-6
funding kprd::futures::1 => 1.354906045056281E-6
funding kprd::futures::2 => 7.980469597795858E-7
funding kprd::futures::3 => 4.98656862477076E-7
funding kprd::futures::4 => 6.827740582082687E-8
funding kprd::futures::5 => -3.0972845893317834E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.62741276649025E-5
funding krd::fixfloat::15y => -9.041686372470377E-6
funding krd::fixfloat::03y => 1.4778042559552199E-5
funding krd::fixfloat::25y => -4.738471933467318E-7
funding krd::fixfloat::09y => 5.053756579651647E-5
funding krd::fixfloat::07y => 3.419883658216037E-5
funding krd::deposit::pll => 1.0348834635689227E-6
funding krd::fixfloat::11y => 2.495070552080868E-4
funding krd::bump => 7.074084070522697E-4
funding krd::fixfloat::06y => 2.9953032168274273E-5
funding krd::deposit::2d => 1.0348834635689227E-6
funding krd::fixfloat::04y => 2.2476969639593898E-5
funding krd::fixfloat::pll => 7.021153026103182E-4
funding krd::fixfloat::08y => 3.4860172093703805E-5
funding krd::fixfloat::20y => 1.5895515865881925E-6
funding krd::fixfloat::30y => 1.1196447518682773E-7
funding krd::fixfloat::40y => -1.3093818635369091E-8
funding krd::fixfloat::50y => 2.27870922361064E-9
funding krd::fixfloat::02y => 1.612948625760325E-5
funding krd::fixfloat::12y => 2.327642277202162E-4
funding krd::fixfloat::10y => -1.5850348023106596E-6
funding krd::futures::0 => 1.6818207165318233E-6
funding krd::futures::p => 4.254571012389092E-6
funding krd::futures::1 => 1.4271298002461492E-6
funding krd::futures::2 => 8.423636429110191E-7
funding krd::futures::3 => 5.324039820462703E-7
funding krd::futures::4 => 8.014066670386107E-8
funding krd::futures::5 => -3.0928957521438735E-7
funding krd::base => 0.0
libor krd::tenor::10 => 6.7581802103375E-5
libor krd::tenor::3 => 2.413109780445148E-5
libor krd::tenor::2 => 2.5159971447487306E-5
libor krd::tenor::1 => 2.615627007759463E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.570491068611488E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.233686717613016E-5
libor krd::tenor::6 => 2.2982444748972176E-5
libor krd::tenor::5 => 2.33337447502148E-5
libor krd::tenor::4 => 2.3496688923857137E-5
libor krd::bump => 7.123142553438012E-4
libor krd::tenor::9 => 7.455719845038965E-5
libor krd::tenor::8 => 8.223875420229162E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.906964840021827E-5
libor krd::tenor::14 => 4.3652494513785465E-5
libor krd::tenor::11 => 6.09643725130572E-5
libor krd::tenor::12 => 5.4966623303277686E-5
libor krd::tenor::17 => 1.8358839526007594E-5
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 3.865758294121538E-5
libor krd::tenor::16 => 3.406238732934167E-5
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 5.991893598219583E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 1.1424661806709035E-4
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 7.134567007728825E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 6.857376456989306E-5
libor kprd::tenor::3 => 2.4222614396313125E-5
libor kprd::tenor::2 => 2.522869667404004E-5
libor kprd::tenor::1 => 2.622155366460155E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.582081337718314E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.263639114748807E-5
libor kprd::tenor::6 => 2.311623300370047E-5
libor kprd::tenor::5 => 2.3457581916952463E-5
libor kprd::tenor::4 => 2.3598635943905544E-5
libor kprd::bump => 7.223752706063985E-4
libor kprd::tenor::9 => 7.545255537546869E-5
libor kprd::tenor::8 => 8.299454131754646E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 5.013035517816289E-5
libor kprd::tenor::14 => 4.467515148263712E-5
libor kprd::tenor::11 => 6.201379624603542E-5
libor kprd::tenor::12 => 5.604051416656097E-5
libor kprd::tenor::17 => 1.8841013978943E-5
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 3.961874294877155E-5
libor kprd::tenor::16 => 3.494312174928682E-5
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 5.909039300040146E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 1.1266691361033162E-4
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 7.035910310381327E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:38:10 EST 2020
| Setup Time => Mon Jan 27 00:38:10 EST 2020
| Finish Time => Mon Jan 27 00:38:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 22 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 00:38:32 EST 2020
| Setup Time => Mon Jan 27 00:38:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-JAN-2028
Next Call Date : 15-JAN-2028 | 1.0
Maturity Date : 15-JAN-2028 | 1.0
yield to call => 0.03808556987137304
z_spread => 0.0140510137955471
market value => 1.019933
oad mult => 0.5946510867787759
libor duration => 6.90128054811227E-4
convexity => 6.210838146280178E-7
modified convexity => 6.210838146280178E-7
effective duration => 6.811110308529941E-4
yield to worst => 0.03808556987137304
tsy oas => 0.0140510137955471
macaulay duration => 6.89800537681648
mod dur to worst => 6.848385845421902E-4
price => 1.019933
ytm fwdcpn => 0.03808556987137304
discount margin => 0.02492725125432324
cv01 => 4.1650104322710213E-4
effective duration adj => 4.0502341471374524E-4
yield to maturity => 0.03808556987137304
oas => 0.015409371718591003
wal_adj => 7.583521950376097
mod dur => 6.848385845421902E-4
wal => 7.97322112825484
z_vol_oas => 0.015409371718591003
n-spread => 0.014265569871373042
yield to put => 0.03808556987137304
treasury duration => 6.811110365725095E-4
wal4 => 7.97322112825484
accrued$ => 0.006500380287333321
wal3 => 5.032352704916955
i-spread => 0.014326054060079644
j-spread => 0.025895569871373043
wal2 => 7.110251830805436
wal to worst => 7.97322112825484
nominal yield => 0.040993483302705906
spread dur => 0.06710987998078455
funding duration => 6.849236391705596E-4
accrued => 0.006500380287333321
e-spread => 0.021786568179515364
accrued interest factor => 0.006500380287333321
spread dur $ => 0.06710987998078455
dv01 => 6.946876170309868E-4
yield to maturity cbe => 0.03808556987137304
funding kprd::fixfloat::05y => 2.757059758808078E-5
funding kprd::fixfloat::15y => 1.8531837876312185E-6
funding kprd::fixfloat::03y => 1.8292209499609637E-5
funding kprd::fixfloat::25y => 9.71197092941578E-8
funding kprd::fixfloat::09y => 2.694795573430775E-5
funding kprd::fixfloat::07y => 3.4392283818196476E-5
funding kprd::deposit::pll => 1.0228549578078504E-6
funding kprd::fixfloat::11y => 3.8113047804286536E-4
funding kprd::bump => 6.801754033098351E-4
funding kprd::fixfloat::06y => 3.18955273520688E-5
funding kprd::deposit::2d => 1.0228549578078504E-6
funding kprd::fixfloat::04y => 2.3069338733594514E-5
funding kprd::fixfloat::pll => 6.719650267710487E-4
funding kprd::fixfloat::08y => 4.1956411726587485E-5
funding kprd::fixfloat::20y => -3.257944569956539E-7
funding kprd::fixfloat::30y => -2.294823616688646E-8
funding kprd::fixfloat::40y => 2.6837087691022887E-9
funding kprd::fixfloat::50y => -4.670442005361153E-10
funding kprd::fixfloat::02y => 1.206194910843561E-5
funding kprd::fixfloat::12y => -3.0414682809140613E-5
funding kprd::fixfloat::10y => 1.0342076587905314E-4
funding kprd::futures::0 => 2.120595899388067E-6
funding kprd::futures::p => 7.184034169338549E-6
funding kprd::futures::1 => 1.5142267805329235E-6
funding kprd::futures::2 => 1.7622050546672874E-6
funding kprd::futures::3 => 8.817717783354828E-7
funding kprd::futures::4 => 8.908235671151177E-7
funding kprd::futures::5 => 1.4402799955459678E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.7364355606368128E-5
funding krd::fixfloat::15y => 1.877014602557904E-6
funding krd::fixfloat::03y => 1.8024246555822493E-5
funding krd::fixfloat::25y => 9.836860956724477E-8
funding krd::fixfloat::09y => 2.7028956628549114E-5
funding krd::fixfloat::07y => 3.4364526914916245E-5
funding krd::deposit::pll => 1.0262782288643307E-6
funding krd::fixfloat::11y => 3.8603107397964224E-4
funding krd::bump => 6.849236391705596E-4
funding krd::fixfloat::06y => 3.177341270310312E-5
funding krd::deposit::2d => 1.0262782288643307E-6
funding krd::fixfloat::04y => 2.2821395669265026E-5
funding krd::fixfloat::pll => 6.768770639573328E-4
funding krd::fixfloat::08y => 4.211694828981884E-5
funding krd::fixfloat::20y => -3.299839750636045E-7
funding krd::fixfloat::30y => -2.324333648136776E-8
funding krd::fixfloat::40y => 2.7182196251561502E-9
funding krd::fixfloat::50y => -4.730501042504081E-10
funding krd::fixfloat::02y => 1.1865248519283437E-5
funding krd::fixfloat::12y => -3.080579694685982E-5
funding krd::fixfloat::10y => 1.0462930560264014E-4
funding krd::futures::0 => 2.0716374146107986E-6
funding krd::futures::p => 7.016777221557212E-6
funding krd::futures::1 => 1.4767204732827714E-6
funding krd::futures::2 => 1.7259511047844772E-6
funding krd::futures::3 => 8.59439843957314E-7
funding krd::futures::4 => 8.734901457844472E-7
funding krd::futures::5 => 9.53010591474087E-9
funding krd::base => 0.0
libor krd::tenor::10 => 6.77985854010643E-5
libor krd::tenor::3 => 2.4612808542976828E-5
libor krd::tenor::2 => 2.5053732087153573E-5
libor krd::tenor::1 => 2.622878673448413E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.522402291156741E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.287035247333892E-5
libor krd::tenor::6 => 2.3065067572257157E-5
libor krd::tenor::5 => 2.3790153975327643E-5
libor krd::tenor::4 => 2.3642766475540607E-5
libor krd::bump => 6.90128054811227E-4
libor krd::tenor::9 => 7.505454365691712E-5
libor krd::tenor::8 => 8.299700277841827E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.8702680314534236E-5
libor krd::tenor::14 => 4.3161688431143664E-5
libor krd::tenor::11 => 6.100056131806885E-5
libor krd::tenor::12 => 5.478166952084045E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 3.800531889636929E-5
libor krd::tenor::16 => 2.876664580662147E-5
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 6.188451731833188E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 5.758549020365988E-5
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 6.764407004609646E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 6.728846705878478E-5
libor kprd::tenor::3 => 2.4571437569215205E-5
libor kprd::tenor::2 => 2.5014755965735436E-5
libor kprd::tenor::1 => 2.6194633250695154E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.515211366768913E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.271960161804089E-5
libor kprd::tenor::6 => 2.299552133232796E-5
libor kprd::tenor::5 => 2.373104016919203E-5
libor kprd::tenor::4 => 2.3590758085803577E-5
libor kprd::bump => 6.853646538705127E-4
libor kprd::tenor::9 => 7.459391712815732E-5
libor kprd::tenor::8 => 8.261007816367239E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 4.8169017612137435E-5
libor kprd::tenor::14 => 4.265347983820056E-5
libor kprd::tenor::11 => 6.0463528141468934E-5
libor kprd::tenor::12 => 5.4236142931490815E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 3.7535412610387174E-5
libor kprd::tenor::16 => 2.8402478933001185E-5
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 6.231178128024634E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 5.798305342114472E-5
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 6.811110365725095E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:38:32 EST 2020
| Setup Time => Mon Jan 27 00:38:32 EST 2020
| Finish Time => Mon Jan 27 00:38:51 EST 2020
| Setup Duration => 1 ms
| Run Duration => 19 s 398 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 00:38:51 EST 2020
| Setup Time => Mon Jan 27 00:38:51 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 22-SEP-2023
Next Call Date : 22-SEP-2023 | 1.0
Maturity Date : 22-SEP-2023 | 1.0
yield to call => 0.04441945092273697
z_spread => 0.02303107868016212
market value => 0.9981809
oad mult => 0.6034846322288602
libor duration => 4.3743961597005965E-4
convexity => 2.510923952867767E-7
modified convexity => 2.510923952867767E-7
effective duration => 4.303827239686455E-4
yield to worst => 0.04441945092273697
tsy oas => 0.02303107868016212
macaulay duration => 4.310621883197308
mod dur to worst => 4.3190413255047406E-4
price => 0.9981809
ytm fwdcpn => 0.04441945092273697
discount margin => 0.03126113230568717
cv01 => 2.6059677144385507E-4
effective duration adj => 2.597293598918731E-4
yield to maturity => 0.04441945092273697
oas => 0.02395712943320466
wal_adj => 4.717316201877996
mod dur => 4.3190413255047406E-4
wal => 4.722332184574636
z_vol_oas => 0.02395712943320466
n-spread => 0.02275945092273697
yield to put => 0.04441945092273697
treasury duration => 4.303827243510274E-4
wal4 => 4.722332184574636
accrued$ => 0.018758178334500015
wal3 => 3.1872625571093
i-spread => 0.023105828796260507
j-spread => 0.03222945092273697
wal2 => 4.428676445528127
wal to worst => 4.722332184574636
nominal yield => 0.04399653063819399
spread dur => 0.042663839629111494
funding duration => 4.3197152554322744E-4
accrued => 0.018758178334500015
e-spread => 0.02814103061662915
accrued interest factor => 0.018758178334500015
spread dur $ => 0.042663839629111494
dv01 => 4.2959981475547415E-4
yield to maturity cbe => 0.04441945092273697
funding kprd::fixfloat::05y => 2.720270111677969E-6
funding kprd::fixfloat::15y => 1.4709472709317772E-8
funding kprd::fixfloat::03y => 1.9069892284862E-5
funding kprd::fixfloat::25y => 7.708785831894716E-10
funding kprd::fixfloat::09y => 1.3902924700781583E-5
funding kprd::fixfloat::07y => 2.0220687382287717E-4
funding kprd::deposit::pll => 9.64345946105616E-7
funding kprd::fixfloat::11y => 1.132539863857307E-6
funding kprd::bump => 4.3227194835949724E-4
funding kprd::fixfloat::06y => 1.7916871555617996E-4
funding kprd::deposit::2d => 9.64345946105616E-7
funding kprd::fixfloat::04y => 2.6025313836688935E-5
funding kprd::fixfloat::pll => 4.2273436706972425E-4
funding kprd::fixfloat::08y => -4.690781920247411E-5
funding kprd::fixfloat::20y => -2.5859629576574505E-9
funding kprd::fixfloat::30y => -1.8214945940453476E-10
funding kprd::fixfloat::40y => 2.1301679864471624E-11
funding kprd::fixfloat::50y => -3.7071179459502446E-12
funding kprd::fixfloat::02y => 2.969149243175484E-5
funding kprd::fixfloat::12y => -2.414136876821571E-7
funding kprd::fixfloat::10y => -4.0559514867172245E-6
funding kprd::futures::0 => 3.134425920722772E-6
funding kprd::futures::p => 8.571131592663429E-6
funding kprd::futures::1 => 2.846759328128945E-6
funding kprd::futures::2 => 1.4948110080903464E-6
funding kprd::futures::3 => 1.436977642718662E-6
funding kprd::futures::4 => -1.0903249572091767E-7
funding kprd::futures::5 => -2.3281487340487405E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.738347498113314E-6
funding krd::fixfloat::15y => 1.4693215105515143E-8
funding krd::fixfloat::03y => 1.908112035495807E-5
funding krd::fixfloat::25y => 7.70026573888535E-10
funding krd::fixfloat::09y => 1.3887558526650207E-5
funding krd::fixfloat::07y => 2.0198383983156994E-4
funding krd::deposit::pll => 9.638963812796997E-7
funding krd::fixfloat::11y => 1.1312881270956399E-6
funding krd::bump => 4.3197152554322744E-4
funding krd::fixfloat::06y => 1.789803513980828E-4
funding krd::deposit::2d => 9.638963812796997E-7
funding krd::fixfloat::04y => 2.602407639519963E-5
funding krd::fixfloat::pll => 4.2241897696233593E-4
funding krd::fixfloat::08y => -4.6855974500057734E-5
funding krd::fixfloat::20y => -2.5831048203276478E-9
funding krd::fixfloat::30y => -1.8194813650381962E-10
funding krd::fixfloat::40y => 2.1278145059831917E-11
funding krd::fixfloat::50y => -3.703029452336895E-12
funding krd::fixfloat::02y => 2.9719483148884996E-5
funding krd::fixfloat::12y => -2.411468658338434E-7
funding krd::fixfloat::10y => -4.05146865716604E-6
funding krd::futures::0 => 3.1397451694679794E-6
funding krd::futures::p => 8.586550672596844E-6
funding krd::futures::1 => 2.8515690419244253E-6
funding krd::futures::2 => 1.4973466272181875E-6
funding krd::futures::3 => 1.4393983672813308E-6
funding krd::futures::4 => -1.0878939433288224E-7
funding krd::futures::5 => -2.327242082472114E-7
funding krd::base => 0.0
libor krd::tenor::10 => 5.477742044956506E-5
libor krd::tenor::3 => 2.331635834525474E-5
libor krd::tenor::2 => 2.511008930515259E-5
libor krd::tenor::1 => 2.5997247427543015E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.581435210429327E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.831793192246563E-5
libor krd::tenor::6 => 2.1579138992224466E-5
libor krd::tenor::5 => 2.172531475211977E-5
libor krd::tenor::4 => 2.2930475954025225E-5
libor krd::bump => 4.3743961597005965E-4
libor krd::tenor::9 => 6.100220764474451E-5
libor krd::tenor::8 => 7.057566409010387E-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 => 4.7752642874683486E-5
libor krd::tenor::12 => 2.3786604266191974E-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-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 3.305187468280263E-4
govvie kprd::tsy::10-mar-2022 => 1.0015574060911193E-4
govvie kprd::bump => 4.3068075203799017E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 5.483195529865925E-5
libor kprd::tenor::3 => 2.3323663608165733E-5
libor kprd::tenor::2 => 2.511534857927711E-5
libor kprd::tenor::1 => 2.6002583696324577E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.582386573416143E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.8339492641459304E-5
libor kprd::tenor::6 => 2.1588884032403E-5
libor kprd::tenor::5 => 2.1734895753269812E-5
libor kprd::tenor::4 => 2.2937872822642592E-5
libor kprd::bump => 4.377435250130679E-4
libor kprd::tenor::9 => 6.105692407113727E-5
libor kprd::tenor::8 => 7.06268619532574E-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 => 4.780373224413936E-5
libor kprd::tenor::12 => 2.3812680371207427E-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-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 3.302900329421725E-4
govvie krd::tsy::10-mar-2022 => 1.0008643535708841E-4
govvie krd::bump => 4.303827243510274E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:38:51 EST 2020
| Setup Time => Mon Jan 27 00:38:51 EST 2020
| Finish Time => Mon Jan 27 00:39:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 13 s 575 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 00:39:05 EST 2020
| Setup Time => Mon Jan 27 00:39:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 19-APR-2022
Next Call Date : 19-APR-2022 | 1.0
Maturity Date : 19-APR-2022 | 1.0
yield to call => 0.028674236952914454
z_spread => 0.00916032334578699
market value => 1.1175
oad mult => 0.6628180164427022
libor duration => 3.68823749857286E-4
convexity => 1.6351042891801032E-7
modified convexity => 1.6351042891801032E-7
effective duration => 3.62216090531216E-4
yield to worst => 0.028674236952914454
tsy oas => 0.00916032334578699
macaulay duration => 3.5985728169823075
mod dur to worst => 3.6330202768610035E-4
price => 1.1175
ytm fwdcpn => 0.028674236952914454
discount margin => 0.015515918335864654
cv01 => 2.6937397865700596E-4
effective duration adj => 2.4008335064953085E-4
yield to maturity => 0.028674236952914454
oas => 0.00950734766161199
wal_adj => 3.7356725122397743
mod dur => 3.6330202768610035E-4
wal => 3.639952921243835
z_vol_oas => 0.00950734766161199
n-spread => 0.008639236952914454
yield to put => 0.028674236952914454
treasury duration => 3.6221609245465873E-4
wal4 => 3.639952921243835
accrued$ => 0.01787420020726167
wal3 => 2.407998374387483
i-spread => 0.008547778218522272
j-spread => 0.016484236952914455
wal2 => 3.696562927511485
wal to worst => 3.639952921243835
nominal yield => 0.059808649374863854
spread dur => 0.036017120090412184
funding duration => 3.6338898782136504E-4
accrued => 0.01787420020726167
e-spread => 0.01238941785967445
accrued interest factor => 0.01787420020726167
spread dur $ => 0.036017120090412184
dv01 => 4.0477648116863383E-4
yield to maturity cbe => 0.028674236952914454
funding kprd::fixfloat::05y => 1.6025608680528546E-4
funding kprd::fixfloat::15y => 2.889088163149367E-10
funding kprd::fixfloat::03y => 2.8618391351137307E-5
funding kprd::fixfloat::25y => 1.5140844134009513E-11
funding kprd::fixfloat::09y => 2.730674145773326E-7
funding kprd::fixfloat::07y => 3.049169198088286E-6
funding kprd::deposit::pll => 9.946401289762098E-7
funding kprd::fixfloat::11y => 2.224422107066637E-8
funding kprd::bump => 3.526012517813232E-4
funding kprd::fixfloat::06y => -9.839011271309261E-6
funding kprd::deposit::2d => 9.946401289762098E-7
funding kprd::fixfloat::04y => 1.4466811153751314E-4
funding kprd::fixfloat::pll => 3.452028993828016E-4
funding kprd::fixfloat::08y => -9.2131667293327E-7
funding kprd::fixfloat::20y => -5.079090759085858E-11
funding kprd::fixfloat::30y => -3.5775882256672275E-12
funding kprd::fixfloat::40y => 4.18376444599744E-13
funding kprd::fixfloat::50y => -7.282507930028715E-14
funding kprd::fixfloat::02y => 1.915721611574217E-5
funding kprd::fixfloat::12y => -4.741607417813043E-9
funding kprd::fixfloat::10y => -7.966296291239682E-8
funding kprd::futures::0 => 2.4164232903106653E-6
funding kprd::futures::p => 6.402083633927358E-6
funding kprd::futures::1 => 1.9173178237602563E-6
funding kprd::futures::2 => 1.2685060116118806E-6
funding kprd::futures::3 => 8.297601897078178E-7
funding kprd::futures::4 => 2.576257788183822E-7
funding kprd::futures::5 => -2.875531749380045E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.689334645606101E-4
funding krd::fixfloat::15y => 2.9929813040082943E-10
funding krd::fixfloat::03y => 2.824987081720689E-5
funding krd::fixfloat::25y => 1.568531037095743E-11
funding krd::fixfloat::09y => 2.8288706619054447E-7
funding krd::fixfloat::07y => 3.1588190578483883E-6
funding krd::deposit::pll => 1.0203770768667215E-6
funding krd::fixfloat::11y => 2.3044135205559307E-8
funding krd::bump => 3.6338898782136504E-4
funding krd::fixfloat::06y => -1.0190516305477768E-5
funding krd::deposit::2d => 1.0203770768667215E-6
funding krd::fixfloat::04y => 1.4890054337648293E-4
funding krd::fixfloat::pll => 3.566283464176305E-4
funding krd::fixfloat::08y => -9.544477056674089E-7
funding krd::fixfloat::20y => -5.2617363610593804E-11
funding krd::fixfloat::30y => -3.70624237241164E-12
funding krd::fixfloat::40y => 4.3342411439650465E-13
funding krd::fixfloat::50y => -7.544052382542396E-14
funding krd::fixfloat::02y => 1.8308501289707794E-5
funding krd::fixfloat::12y => -4.912118159406787E-9
funding krd::fixfloat::10y => -8.25276857540843E-8
funding krd::futures::0 => 2.1803762476696327E-6
funding krd::futures::p => 5.738543253000227E-6
funding krd::futures::1 => 1.7300602616530485E-6
funding krd::futures::2 => 1.1479340622833987E-6
funding krd::futures::3 => 7.454035308558664E-7
funding krd::futures::4 => 2.232308881319203E-7
funding krd::futures::5 => -2.8846521138461837E-7
funding krd::base => 0.0
libor krd::tenor::10 => 3.256592427772712E-5
libor krd::tenor::3 => 2.4157916535199755E-5
libor krd::tenor::2 => 2.5184896053945803E-5
libor krd::tenor::1 => 2.6293887701303843E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.624411308851131E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.1861134577590795E-5
libor krd::tenor::6 => 2.2787198975971422E-5
libor krd::tenor::5 => 2.3238005603286413E-5
libor krd::tenor::4 => 2.3446966451578026E-5
libor krd::bump => 3.68823749857286E-4
libor krd::tenor::9 => 6.65026974333919E-5
libor krd::tenor::8 => 8.044312622336661E-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 => 1.7750799301234519E-6
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-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 1.923203094832404E-5
govvie kprd::tsy::10-mar-2022 => 3.322379123720909E-4
govvie kprd::bump => 3.514707871475731E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 3.094131103260067E-5
libor kprd::tenor::3 => 2.3707192118613273E-5
libor kprd::tenor::2 => 2.4789720859536013E-5
libor kprd::tenor::1 => 2.591279329543228E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.552730019092734E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.0693476645811685E-5
libor kprd::tenor::6 => 2.2220926262433992E-5
libor kprd::tenor::5 => 2.270004604659204E-5
libor kprd::tenor::4 => 2.2965932070131977E-5
libor kprd::bump => 3.5787435782716205E-4
libor kprd::tenor::9 => 6.388913830122633E-5
libor kprd::tenor::8 => 7.782241014357983E-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 => 1.6719943167264883E-6
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-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 1.981998780357964E-5
govvie krd::tsy::10-mar-2022 => 3.423951995351913E-4
govvie krd::bump => 3.6221609245465873E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:39:05 EST 2020
| Setup Time => Mon Jan 27 00:39:05 EST 2020
| Finish Time => Mon Jan 27 00:39:18 EST 2020
| Setup Duration => 1 ms
| Run Duration => 13 s 401 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 00:39:18 EST 2020
| Setup Time => Mon Jan 27 00:39:18 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-MAR-2038
Next Call Date : 01-MAR-2038 | 1.0
Maturity Date : 01-MAR-2038 | 1.0
yield to call => 0.046894442670593645
z_spread => 0.01988074058939138
market value => 0.9467973
oad mult => 0.5351134641969041
libor duration => 9.618780133169316E-4
convexity => 1.2823859841534118E-6
modified convexity => 1.2823859841534118E-6
effective duration => 9.581465445404479E-4
yield to worst => 0.046894442670593645
tsy oas => 0.01988074058939138
macaulay duration => 9.794072982718054
mod dur to worst => 9.629012192749443E-4
price => 0.9467973
ytm fwdcpn => 0.046894442670593645
discount margin => 0.03373612405354384
cv01 => 4.91278121023897E-4
effective duration adj => 5.127171166573323E-4
yield to maturity => 0.046894442670593645
oas => 0.022767745555936674
wal_adj => 11.854182739911652
mod dur => 9.629012192749443E-4
wal => 12.779499999999999
z_vol_oas => 0.022767745555936674
n-spread => 0.021313442670593645
yield to put => 0.046894442670593645
treasury duration => 9.581465445423796E-4
wal4 => 12.779499999999999
accrued$ => 0.0016041666666666585
wal3 => 7.957265411707917
i-spread => 0.02122663431374127
j-spread => 0.034704442670593645
wal2 => 10.094374768993298
wal to worst => 12.779499999999999
nominal yield => 0.04124898145302811
spread dur => 0.09354802970859508
funding duration => 9.624046852458786E-4
accrued => 0.0016041666666666585
e-spread => 0.03059030598762978
accrued interest factor => 0.0016041666666666585
spread dur $ => 0.09354802970859508
dv01 => 9.071705613752257E-4
yield to maturity cbe => 0.046894442670593645
funding kprd::fixfloat::05y => 2.223290831863678E-5
funding kprd::fixfloat::15y => 3.1023279542590485E-4
funding kprd::fixfloat::03y => 1.4036032288761158E-5
funding kprd::fixfloat::25y => -2.058262000623756E-5
funding kprd::fixfloat::09y => 4.047224414092665E-5
funding kprd::fixfloat::07y => 3.216045595471617E-5
funding kprd::deposit::pll => 1.0739696733819138E-6
funding kprd::fixfloat::11y => 4.601890622330518E-5
funding kprd::bump => 9.836387566000998E-4
funding kprd::fixfloat::06y => 2.7477937300268705E-5
funding kprd::deposit::2d => 1.0739696733819138E-6
funding kprd::fixfloat::04y => 1.776098135223836E-5
funding kprd::fixfloat::pll => 9.80106655364088E-4
funding kprd::fixfloat::08y => 3.5099925804882305E-5
funding kprd::fixfloat::20y => 3.3252886355417957E-4
funding kprd::fixfloat::30y => 4.960378760382467E-6
funding kprd::fixfloat::40y => -5.800975051817315E-7
funding kprd::fixfloat::50y => 1.0095400964083012E-7
funding kprd::fixfloat::02y => 3.828118333465413E-6
funding kprd::fixfloat::12y => 7.00735945204034E-5
funding kprd::fixfloat::10y => 4.416091460553995E-5
funding kprd::futures::0 => 7.284876790802919E-7
funding kprd::futures::p => 2.4530700235225745E-6
funding kprd::futures::1 => 5.93528599435178E-7
funding kprd::futures::2 => 4.2003882537167135E-7
funding kprd::futures::3 => 3.7331349280189664E-7
funding kprd::futures::4 => 2.0545614312639238E-7
funding kprd::futures::5 => 1.322397736147618E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.317436874747884E-5
funding krd::fixfloat::15y => 2.9963728803993615E-4
funding krd::fixfloat::03y => 1.4869608201028609E-5
funding krd::fixfloat::25y => -1.981692128833789E-5
funding krd::fixfloat::09y => 4.086947562205762E-5
funding krd::fixfloat::07y => 3.29967846350278E-5
funding krd::deposit::pll => 1.0674759320615538E-6
funding krd::fixfloat::11y => 4.4729170481087165E-5
funding krd::bump => 9.624046852458786E-4
funding krd::fixfloat::06y => 2.84073706253626E-5
funding krd::deposit::2d => 1.0674759320615538E-6
funding krd::fixfloat::04y => 1.8642345062436146E-5
funding krd::fixfloat::pll => 9.585737298213543E-4
funding krd::fixfloat::08y => 3.579143701749251E-5
funding krd::fixfloat::20y => 3.147721430974497E-4
funding krd::fixfloat::30y => 4.7733701878741205E-6
funding krd::fixfloat::40y => -5.582275951697971E-7
funding krd::fixfloat::50y => 9.714800144857095E-8
funding krd::fixfloat::02y => 4.141367161322113E-6
funding krd::fixfloat::12y => 7.126901544428555E-5
funding krd::fixfloat::10y => 4.4659337081695775E-5
funding krd::futures::0 => 8.151594662173094E-7
funding krd::futures::p => 2.7585440463641533E-6
funding krd::futures::1 => 6.690393391956144E-7
funding krd::futures::2 => 4.7048623802118497E-7
funding krd::futures::3 => 4.2101059228672E-7
funding krd::futures::4 => 2.2967246429933491E-7
funding krd::futures::5 => 1.5317018189494085E-7
funding krd::base => 0.0
libor krd::tenor::10 => 7.613975708124861E-5
libor krd::tenor::3 => 2.429809055738992E-5
libor krd::tenor::2 => 2.5028476211089054E-5
libor krd::tenor::1 => 2.5937438513402106E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.461059691424154E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.493407947978571E-5
libor krd::tenor::6 => 2.394164767578469E-5
libor krd::tenor::5 => 2.4026388377190403E-5
libor krd::tenor::4 => 2.394557956102576E-5
libor krd::bump => 9.618780133169316E-4
libor krd::tenor::9 => 8.270388281238394E-5
libor krd::tenor::8 => 8.963525350208795E-5
libor krd::tenor::20 => 2.291805792999709E-6
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 5.779899566500583E-5
libor krd::tenor::14 => 5.230085203144004E-5
libor krd::tenor::11 => 6.988798601929198E-5
libor krd::tenor::12 => 6.390288603261268E-5
libor krd::tenor::17 => 3.715041179284411E-5
libor krd::tenor::18 => 8.492788063009055E-5
libor krd::tenor::15 => 4.692388525780008E-5
libor krd::tenor::16 => 4.195640974869367E-5
libor krd::tenor::19 => 6.33899723275559E-5
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 9.541676746014915E-5
govvie kprd::tsy::10-mar-2037 => 8.83511838379536E-4
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 9.78965902372561E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 7.724804388761497E-5
libor kprd::tenor::3 => 2.4388029571237312E-5
libor kprd::tenor::2 => 2.5097488813285995E-5
libor kprd::tenor::1 => 2.6004656495698387E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.475212257549655E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.519808448434082E-5
libor kprd::tenor::6 => 2.4059822988867218E-5
libor kprd::tenor::5 => 2.4141231785990146E-5
libor kprd::tenor::4 => 2.4038157436176433E-5
libor kprd::bump => 9.828131317556692E-4
libor kprd::tenor::9 => 8.362251882009231E-5
libor kprd::tenor::8 => 9.032709722334997E-5
libor kprd::tenor::20 => 2.4434586694516145E-6
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 5.924078533408317E-5
libor kprd::tenor::14 => 5.3781967232474634E-5
libor kprd::tenor::11 => 7.114326522556779E-5
libor kprd::tenor::12 => 6.527344293572046E-5
libor kprd::tenor::17 => 3.857581521768127E-5
libor kprd::tenor::18 => 8.870815343720029E-5
libor kprd::tenor::15 => 4.8413913643874375E-5
libor kprd::tenor::16 => 4.343038374106933E-5
libor kprd::tenor::19 => 6.690853510315508E-5
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 9.338787030418566E-5
govvie krd::tsy::10-mar-2037 => 8.647229937743056E-4
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 9.581465445423796E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:39:18 EST 2020
| Setup Time => Mon Jan 27 00:39:18 EST 2020
| Finish Time => Mon Jan 27 00:39:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 33 s 487 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 00:39:52 EST 2020
| Setup Time => Mon Jan 27 00:39:52 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 02-JAN-2023
Next Call Date : 02-JAN-2023 | 1.0
Maturity Date : 02-JAN-2023 | 1.0
yield to call => 0.028611776185089255
z_spread => 0.008187619767829411
market value => 1.1275
oad mult => 0.6803697158144821
libor duration => 3.2333383720460987E-4
convexity => 1.480610131484074E-7
modified convexity => 1.480610131484074E-7
effective duration => 3.1763794568852083E-4
yield to worst => 0.028611776185089255
tsy oas => 0.008187619767829411
macaulay duration => 3.1833142830413106
mod dur to worst => 3.1866531516643715E-4
price => 1.1275
ytm fwdcpn => 0.028611776185089255
discount margin => 0.01602985506504618
cv01 => 2.4456225841462675E-4
effective duration adj => 2.1611123883999482E-4
yield to maturity => 0.028611776185089255
oas => 0.00993616150562263
wal_adj => 3.2822327805665483
mod dur => 3.1866531516643715E-4
wal => 3.035715343337158
z_vol_oas => 0.00993616150562263
n-spread => 0.0077097761850892545
yield to put => 0.028611776185089255
treasury duration => 3.1763794266581434E-4
wal4 => 3.035715343337158
accrued$ => 0.004595810065140668
wal3 => 2.199830633956735
i-spread => 0.007876023349022494
j-spread => 0.016421776185089255
wal2 => 3.24207444187699
wal to worst => 3.035715343337158
nominal yield => 0.06713624765325209
spread dur => 0.03158018706777518
funding duration => 3.187466866921704E-4
accrued => 0.004595810065140668
e-spread => 0.012827844244908494
accrued interest factor => 0.004595810065140668
spread dur $ => 0.03158018706777518
dv01 => 3.581367837638072E-4
yield to maturity cbe => 0.028611776185089255
funding kprd::fixfloat::05y => 8.86956548045964E-5
funding kprd::fixfloat::15y => 2.024764272912094E-10
funding kprd::fixfloat::03y => 8.78250094962174E-5
funding kprd::fixfloat::25y => 1.0610762268825624E-11
funding kprd::fixfloat::09y => 1.9138672237295484E-7
funding kprd::fixfloat::07y => 2.1371918501822408E-6
funding kprd::deposit::pll => 4.4827858257379116E-7
funding kprd::fixfloat::11y => 1.5590007040877653E-8
funding kprd::bump => 3.065265656345156E-4
funding kprd::fixfloat::06y => 2.1840818688612097E-7
funding kprd::deposit::2d => 4.4827858257379116E-7
funding kprd::fixfloat::04y => 9.358235091611877E-5
funding kprd::fixfloat::pll => 2.8629004898876874E-4
funding kprd::fixfloat::08y => -6.457429269163262E-7
funding kprd::fixfloat::20y => -3.5595001945942786E-11
funding kprd::fixfloat::30y => -2.5071750231475676E-12
funding kprd::fixfloat::40y => 2.932043496883807E-13
funding kprd::fixfloat::50y => -5.10258502117722E-14
funding kprd::fixfloat::02y => 1.4327137063818718E-5
funding kprd::fixfloat::12y => -3.323149544431914E-9
funding kprd::fixfloat::10y => -5.5833048118181236E-8
funding kprd::futures::0 => 1.195079130613952E-5
funding kprd::futures::p => 1.9786922619172142E-5
funding kprd::futures::1 => -1.8248995496683573E-7
funding kprd::futures::2 => 4.3327155902661564E-6
funding kprd::futures::3 => 3.3790874014227867E-6
funding kprd::futures::4 => 4.2739510890121846E-7
funding kprd::futures::5 => -1.2058699209172019E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 9.641920669666148E-5
funding krd::fixfloat::15y => 2.1501207810989427E-10
funding krd::fixfloat::03y => 8.896602633553477E-5
funding krd::fixfloat::25y => 1.1267685478914772E-11
funding krd::fixfloat::09y => 2.0323579220633113E-7
funding krd::fixfloat::07y => 2.269509102180886E-6
funding krd::deposit::pll => 4.650785249746461E-7
funding krd::fixfloat::11y => 1.6555210166530905E-8
funding krd::bump => 3.187466866921704E-4
funding krd::fixfloat::06y => 6.786351828803776E-7
funding krd::deposit::2d => 4.650785249746461E-7
funding krd::fixfloat::04y => 9.822759069778758E-5
funding krd::fixfloat::pll => 2.9978168845833575E-4
funding krd::fixfloat::08y => -6.857219258048204E-7
funding krd::fixfloat::20y => -3.7798746640678405E-11
funding krd::fixfloat::30y => -2.6623985105740465E-12
funding krd::fixfloat::40y => 3.1135478526516586E-13
funding krd::fixfloat::50y => -5.41867610156296E-14
funding krd::fixfloat::02y => 1.3746982510956794E-5
funding krd::fixfloat::12y => -3.528891231952115E-9
funding krd::fixfloat::10y => -5.9289764381643295E-8
funding krd::futures::0 => 1.1110488358405758E-5
funding krd::futures::p => 1.84985021717007E-5
funding krd::futures::1 => -1.3516526538578016E-7
funding krd::futures::2 => 4.053632864916219E-6
funding krd::futures::3 => 3.1969923992234915E-6
funding krd::futures::4 => 3.8684145289877535E-7
funding krd::futures::5 => -1.1429833975072274E-7
funding krd::base => 0.0
libor krd::tenor::10 => 2.0858740613005808E-5
libor krd::tenor::3 => 2.3756478951983326E-5
libor krd::tenor::2 => 2.4612662308760174E-5
libor krd::tenor::1 => 5.0112723514422836E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.574629109400013E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 1.975732372941506E-5
libor krd::tenor::6 => 2.0481748944160208E-5
libor krd::tenor::5 => 2.134285357623859E-5
libor krd::tenor::4 => 2.413123702494861E-5
libor krd::bump => 3.2333383720460987E-4
libor krd::tenor::9 => 4.3633552192385615E-5
libor krd::tenor::8 => 7.201876810277787E-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 => 2.066544918322587E-6
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::15-mar-2019 => 0.0
govvie kprd::tsy::15-mar-2027 => 0.0
govvie kprd::tsy::15-mar-2037 => 0.0
govvie kprd::tsy::15-mar-2018 => 0.0
govvie kprd::bump => 3.054504024269128E-4
govvie kprd::tsy::15-mar-2022 => 1.8301798692783034E-4
govvie kprd::tsy::15-mar-2047 => 0.0
govvie kprd::tsy::15-mar-2024 => 1.2242952118420857E-4
govvie kprd::base => 0.0
govvie kprd::tsy::15-mar-2020 => 0.0
libor kprd::tenor::10 => 1.9240076641019454E-5
libor kprd::tenor::3 => 2.321462061968538E-5
libor kprd::tenor::2 => 2.410776184098018E-5
libor kprd::tenor::1 => 4.918462427478676E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.478947967069159E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 1.9009873475109296E-5
libor kprd::tenor::6 => 1.974270204275208E-5
libor kprd::tenor::5 => 2.0629277107322984E-5
libor kprd::tenor::4 => 2.356656084549491E-5
libor kprd::bump => 3.10922803750488E-4
libor kprd::tenor::9 => 4.0980279262725626E-5
libor kprd::tenor::8 => 6.885704457195996E-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 => 1.8387243832851396E-6
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::15-mar-2019 => 0.0
govvie krd::tsy::15-mar-2027 => 0.0
govvie krd::tsy::15-mar-2037 => 0.0
govvie krd::tsy::15-mar-2018 => 0.0
govvie krd::bump => 3.1763794266581434E-4
govvie krd::tsy::15-mar-2022 => 1.9032035281385602E-4
govvie krd::tsy::15-mar-2047 => 0.0
govvie krd::tsy::15-mar-2024 => 1.2731440513031198E-4
govvie krd::base => 0.0
govvie krd::tsy::15-mar-2020 => 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 00:39:52 EST 2020
| Setup Time => Mon Jan 27 00:39:52 EST 2020
| Finish Time => Mon Jan 27 00:40:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 225 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 00:40:06 EST 2020
| Setup Time => Mon Jan 27 00:40:06 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-MAY-2037
Next Call Date : 10-MAY-2037 | 1.0
Maturity Date : 10-MAY-2037 | 1.0
yield to call => 0.05038694181042502
z_spread => 0.02357518422935192
market value => 1.0887
oad mult => 0.5751170334191233
libor duration => 9.533532194192787E-4
convexity => 1.2212857050859427E-6
modified convexity => 1.2212857050859427E-6
effective duration => 9.47831349838747E-4
yield to worst => 0.05038694181042502
tsy oas => 0.02357518422935192
macaulay duration => 9.54196951312901
mod dur to worst => 9.535360115600302E-4
price => 1.0887
ytm fwdcpn => 0.05038694181042502
discount margin => 0.03722862319337522
cv01 => 6.003357897417239E-4
effective duration adj => 5.451139541009034E-4
yield to maturity => 0.05038694181042502
oas => 0.02629687940389085
wal_adj => 11.660205784699123
mod dur => 9.535360115600302E-4
wal => 13.525725166666664
z_vol_oas => 0.02629687940389085
n-spread => 0.024805941810425024
yield to put => 0.05038694181042502
treasury duration => 9.478313454073132E-4
wal4 => 13.525725166666664
accrued$ => 0.02066319444444443
wal3 => 7.892249678147737
i-spread => 0.02479101932984675
j-spread => 0.038196941810425024
wal2 => 9.97897763982197
wal to worst => 13.525725166666664
nominal yield => 0.05949941812828619
spread dur => 0.09269363072013502
funding duration => 9.53057147756639E-4
accrued => 0.02066319444444443
e-spread => 0.03408478408262774
accrued interest factor => 0.02066319444444443
spread dur $ => 0.09269363072013502
dv01 => 0.0010319039905694438
yield to maturity cbe => 0.05038694181042502
funding kprd::fixfloat::05y => 1.5692459567381856E-5
funding kprd::fixfloat::15y => 3.127092447171548E-4
funding kprd::fixfloat::03y => 8.081238002952129E-6
funding kprd::fixfloat::25y => -3.072187955238392E-5
funding kprd::fixfloat::09y => 4.700356689325835E-5
funding kprd::fixfloat::07y => 3.935849530015967E-5
funding kprd::deposit::pll => 1.0532238616495216E-6
funding kprd::fixfloat::11y => 4.927971388993535E-5
funding kprd::bump => 9.223920342717268E-4
funding kprd::fixfloat::06y => 3.49495636342817E-5
funding kprd::deposit::2d => 1.0532238616495216E-6
funding kprd::fixfloat::04y => 1.174316602040315E-5
funding kprd::fixfloat::pll => 9.189738017580135E-4
funding kprd::fixfloat::08y => 4.355587769208913E-5
funding kprd::fixfloat::20y => 2.3538369561315885E-4
funding kprd::fixfloat::30y => 7.259528798944648E-6
funding kprd::fixfloat::40y => -8.48974346576159E-7
funding kprd::fixfloat::50y => 1.4774648135207346E-7
funding kprd::fixfloat::02y => 8.836140337611931E-6
funding kprd::fixfloat::12y => 8.426991043523346E-5
funding kprd::fixfloat::10y => 5.217218281746982E-5
funding kprd::futures::0 => 1.2085878627693392E-6
funding kprd::futures::p => 2.360295120470979E-6
funding kprd::futures::1 => 5.378441189779481E-7
funding kprd::futures::2 => 6.260633754001654E-7
funding kprd::futures::3 => 1.2975074224208517E-7
funding kprd::futures::4 => 1.853421476655237E-7
funding kprd::futures::5 => -3.2729689985744325E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.4565284626675444E-5
funding krd::fixfloat::15y => 3.3204135449455355E-4
funding krd::fixfloat::03y => 7.198990982846066E-6
funding krd::fixfloat::25y => -3.329751442040975E-5
funding krd::fixfloat::09y => 4.655565009889095E-5
funding krd::fixfloat::07y => 3.805836565363082E-5
funding krd::deposit::pll => 1.0639042962544832E-6
funding krd::fixfloat::11y => 5.171520903870599E-5
funding krd::bump => 9.53057147756639E-4
funding krd::fixfloat::06y => 3.341277800747144E-5
funding krd::deposit::2d => 1.0639042962544832E-6
funding krd::fixfloat::04y => 1.0701952298088586E-5
funding krd::fixfloat::pll => 9.500756140487993E-4
funding krd::fixfloat::08y => 4.254474941488345E-5
funding krd::fixfloat::20y => 2.5679153056630864E-4
funding krd::fixfloat::30y => 7.86815530541325E-6
funding krd::fixfloat::40y => -9.201508731398903E-7
funding krd::fixfloat::50y => 1.6013328964889115E-7
funding krd::fixfloat::02y => 8.060801320889732E-6
funding krd::fixfloat::12y => 8.28746737205914E-5
funding krd::fixfloat::10y => 5.163401983697715E-5
funding krd::futures::0 => 1.0451879416858141E-6
funding krd::futures::p => 1.91273199303053E-6
funding krd::futures::1 => 4.3198707680605855E-7
funding krd::futures::2 => 5.361395004103279E-7
funding krd::futures::3 => 7.694707084847449E-8
funding krd::futures::4 => 1.5004110674983023E-7
funding krd::futures::5 => -3.275744258121081E-7
funding krd::base => 0.0
libor krd::tenor::10 => 7.830592331669467E-5
libor krd::tenor::3 => 2.4291772126914047E-5
libor krd::tenor::2 => 2.48222780868556E-5
libor krd::tenor::1 => 2.6077500970935896E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.546789444327334E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.4100203675449446E-5
libor krd::tenor::6 => 2.347732682645874E-5
libor krd::tenor::5 => 2.3881263180461708E-5
libor krd::tenor::4 => 2.3617455349845104E-5
libor krd::bump => 9.533532194192787E-4
libor krd::tenor::9 => 8.288220040382182E-5
libor krd::tenor::8 => 8.7929285105341E-5
libor krd::tenor::20 => 2.6919685852682383E-7
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 6.003142807329394E-5
libor krd::tenor::14 => 5.3713124617603595E-5
libor krd::tenor::11 => 7.347463693458318E-5
libor krd::tenor::12 => 6.687261695818725E-5
libor krd::tenor::17 => 3.6706886921382295E-5
libor krd::tenor::18 => 8.079735770528281E-5
libor krd::tenor::15 => 4.773184825670368E-5
libor krd::tenor::16 => 4.217200281431296E-5
libor krd::tenor::19 => 5.145906755804426E-5
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 1.5327196616030102E-5
govvie kprd::tsy::10-mar-2037 => 9.02405148004079E-4
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 9.177380822241093E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 7.66004426087874E-5
libor kprd::tenor::3 => 2.4148568442261543E-5
libor kprd::tenor::2 => 2.4697349247476687E-5
libor kprd::tenor::1 => 2.598443753782931E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.531817474202505E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.3615187815815304E-5
libor kprd::tenor::6 => 2.3253447833770924E-5
libor kprd::tenor::5 => 2.3686194152722216E-5
libor kprd::tenor::4 => 2.3444743529299485E-5
libor kprd::bump => 9.230456833751899E-4
libor kprd::tenor::9 => 8.138386769957485E-5
libor kprd::tenor::8 => 8.668967396167626E-5
libor kprd::tenor::20 => 2.4363140877503577E-7
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 5.785348323479878E-5
libor kprd::tenor::14 => 5.147884893708654E-5
libor kprd::tenor::11 => 7.159772916737195E-5
libor kprd::tenor::12 => 6.480853419048583E-5
libor kprd::tenor::17 => 3.4617903537137454E-5
libor kprd::tenor::18 => 7.546427891376161E-5
libor kprd::tenor::15 => 4.549764156328573E-5
libor kprd::tenor::16 => 3.998251662424845E-5
libor kprd::tenor::19 => 4.727202545625198E-5
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 1.5829715711188767E-5
govvie krd::tsy::10-mar-2037 => 9.319954967165915E-4
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 9.478313454073132E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:40:06 EST 2020
| Setup Time => Mon Jan 27 00:40:06 EST 2020
| Finish Time => Mon Jan 27 00:40:39 EST 2020
| Setup Duration => 0 ms
| Run Duration => 32 s 817 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 00:40:39 EST 2020
| Setup Time => Mon Jan 27 00:40:39 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 20-SEP-2021
Next Call Date : 20-SEP-2021 | 1.0
Maturity Date : 20-SEP-2021 | 1.0
yield to call => 0.03309841971884835
z_spread => 0.014541255220014078
market value => 1.00125
oad mult => 0.6289951610268867
libor duration => 2.542326259792849E-4
convexity => 8.165623680723169E-8
modified convexity => 8.165623680723169E-8
effective duration => 2.5089012616122934E-4
yield to worst => 0.03309841971884835
tsy oas => 0.014541255220014078
macaulay duration => 2.4963633025213783
mod dur to worst => 2.504018173938006E-4
price => 1.00125
ytm fwdcpn => 0.0330984197188491
discount margin => 0.01994010110179855
cv01 => 1.5847728216988877E-4
effective duration adj => 1.5780867530483837E-4
yield to maturity => 0.03309841971884835
oas => 0.015249417667240469
wal_adj => 2.594761552709493
mod dur => 2.504018173938006E-4
wal => 2.418402777777778
z_vol_oas => 0.015249417667240469
n-spread => 0.013063419718848352
yield to put => 0.03309841971884835
treasury duration => 2.508901262565616E-4
wal4 => 2.418402777777778
accrued$ => 0.0138133333333334
wal3 => 1.7005526468877254
i-spread => 0.013528922820739052
j-spread => 0.020908419718848353
wal2 => 2.541847962341949
wal to worst => 2.418402777777778
nominal yield => 0.033596436753578617
spread dur => 0.02497110210140626
funding duration => 2.504561970032719E-4
accrued => 0.0138133333333334
e-spread => 0.016895372570506797
accrued interest factor => 0.0138133333333334
spread dur $ => 0.02497110210140626
dv01 => 2.5120373881893087E-4
yield to maturity cbe => 0.03323535789226592
funding kprd::fixfloat::05y => 1.801655901441934E-5
funding kprd::fixfloat::15y => 1.251605680208101E-10
funding kprd::fixfloat::03y => 6.616936667963869E-5
funding kprd::fixfloat::25y => 6.559275345097148E-12
funding kprd::fixfloat::09y => 1.1829777169791723E-7
funding kprd::fixfloat::07y => 1.320955612163499E-6
funding kprd::deposit::pll => 8.742275271061972E-7
funding kprd::fixfloat::11y => 9.636601208673489E-9
funding kprd::bump => 2.5035803367281226E-4
funding kprd::fixfloat::06y => -4.30136723016672E-6
funding kprd::deposit::2d => 8.742275271061972E-7
funding kprd::fixfloat::04y => 9.249252045237244E-5
funding kprd::fixfloat::pll => 2.2975369071950025E-4
funding kprd::fixfloat::08y => -3.991311375711737E-7
funding kprd::fixfloat::20y => -2.2003543431736715E-11
funding kprd::fixfloat::30y => -1.5498713423767185E-12
funding kprd::fixfloat::40y => 1.8124945988517993E-13
funding kprd::fixfloat::50y => -3.15414361296007E-14
funding kprd::fixfloat::02y => 5.63623038966593E-5
funding kprd::fixfloat::12y => -2.054150602393001E-9
funding kprd::fixfloat::10y => -3.451144463817446E-8
funding kprd::futures::0 => 5.495662613505537E-6
funding kprd::futures::p => 1.9729090579959085E-5
funding kprd::futures::1 => 4.758372364196961E-6
funding kprd::futures::2 => 4.865536173945251E-6
funding kprd::futures::3 => 3.109858339475635E-6
funding kprd::futures::4 => 1.6340125254893368E-6
funding kprd::futures::5 => -1.3437304275665252E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.803907958384479E-5
funding krd::fixfloat::15y => 1.2532317810780924E-10
funding krd::fixfloat::03y => 6.61960728977657E-5
funding krd::fixfloat::25y => 6.5678022044378264E-12
funding krd::fixfloat::09y => 1.184514707265811E-7
funding krd::fixfloat::07y => 1.3226718710940852E-6
funding krd::deposit::pll => 8.745352466945811E-7
funding krd::fixfloat::11y => 9.64912161823696E-9
funding krd::bump => 2.504561970032719E-4
funding krd::fixfloat::06y => -4.306955802627684E-6
funding krd::deposit::2d => 8.745352466945811E-7
funding krd::fixfloat::04y => 9.257086918147388E-5
funding krd::fixfloat::pll => 2.2986563888238555E-4
funding krd::fixfloat::08y => -3.996497108557959E-7
funding krd::fixfloat::20y => -2.203213059350476E-11
funding krd::fixfloat::30y => -1.5518949698623025E-12
funding krd::fixfloat::40y => 1.8147780407018852E-13
funding krd::fixfloat::50y => -3.157967714489334E-14
funding krd::fixfloat::02y => 5.635094743072472E-5
funding krd::fixfloat::12y => -2.05681946713727E-9
funding krd::fixfloat::10y => -3.455628381030213E-8
funding krd::futures::0 => 5.491537683747712E-6
funding krd::futures::p => 1.9714997298013474E-5
funding krd::futures::1 => 4.754872821264843E-6
funding krd::futures::2 => 4.862172266859244E-6
funding krd::futures::3 => 3.1077979720049263E-6
funding krd::futures::4 => 1.633050978295434E-6
funding krd::futures::5 => -1.34456021835861E-7
funding krd::base => 0.0
libor krd::tenor::10 => 4.5581841380244755E-6
libor krd::tenor::3 => 2.464725186595595E-5
libor krd::tenor::2 => 2.5134093354388344E-5
libor krd::tenor::1 => 2.6199463789200923E-5
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libor krd::tenor::0 => 5.588223754344278E-7
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libor krd::tenor::7 => 3.3184067733676984E-5
libor krd::tenor::6 => 1.9803464172178246E-5
libor krd::tenor::5 => 2.1509644260842565E-5
libor krd::tenor::4 => 2.2739560688632726E-5
libor krd::bump => 2.542326259792849E-4
libor krd::tenor::9 => 2.584437714220698E-5
libor krd::tenor::8 => 5.005191461131467E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
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libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 1.9204380212941297E-4
govvie kprd::bump => 2.507915389232701E-4
govvie kprd::tsy::10-mar-2020 => 5.874658542874556E-5
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 4.553342098800872E-6
libor kprd::tenor::3 => 2.4643757565737112E-5
libor kprd::tenor::2 => 2.513074225955758E-5
libor kprd::tenor::1 => 2.619624112269181E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.5876253106657E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.316966091267137E-5
libor kprd::tenor::6 => 1.9796767284638306E-5
libor kprd::tenor::5 => 2.1503796589864012E-5
libor kprd::tenor::4 => 2.273489539683926E-5
libor kprd::bump => 2.5413272583022227E-4
libor kprd::tenor::9 => 2.5822000802946943E-5
libor kprd::tenor::8 => 5.002097910169201E-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-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 1.921192950966993E-4
govvie krd::bump => 2.508901262565616E-4
govvie krd::tsy::10-mar-2020 => 5.876967874006311E-5
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:40:39 EST 2020
| Setup Time => Mon Jan 27 00:40:39 EST 2020
| Finish Time => Mon Jan 27 00:40:51 EST 2020
| Setup Duration => 0 ms
| Run Duration => 11 s 954 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 00:40:51 EST 2020
| Setup Time => Mon Jan 27 00:40:51 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 31-JAN-2021
Next Call Date : 31-JAN-2021 | 1.0
Maturity Date : 31-JAN-2021 | 1.0
yield to call => 0.0326791619266959
z_spread => 0.016898779413034783
market value => 1.048
oad mult => 0.643791300866304
libor duration => 2.4253630183625863E-4
convexity => 7.399770669613423E-8
modified convexity => 7.399770669613423E-8
effective duration => 2.3841545395863285E-4
yield to worst => 0.0326791619266959
tsy oas => 0.016898779413034783
macaulay duration => 2.4160318486092285
mod dur to worst => 2.38802070942051E-4
price => 1.048
ytm fwdcpn => 0.0326791619266959
discount margin => 0.01962539224646237
cv01 => 1.6126414482742213E-4
effective duration adj => 1.5348979525065865E-4
yield to maturity => 0.0326791619266959
oas => 0.015303174201977696
wal_adj => 2.4482650580156076
mod dur => 2.38802070942051E-4
wal => 2.3626961851151673
z_vol_oas => 0.015303174201977696
n-spread => 0.014816161926695898
yield to put => 0.0326791619266959
treasury duration => 2.3841545395863285E-4
wal4 => 2.3626961851151673
accrued$ => 0.0017832467380000073
wal3 => 1.606636270713572
i-spread => 0.014910822356707695
j-spread => 0.0204891619266959
wal2 => 2.426808264287356
wal to worst => 2.3626961851151673
nominal yield => 0.05248513627488345
spread dur => 0.02375720373482311
funding duration => 2.3884573911974442E-4
accrued => 0.0017832467380000073
e-spread => 0.016545728496736297
accrued interest factor => 0.0017832467380000073
spread dur $ => 0.02375720373482311
dv01 => 2.4985939574864724E-4
yield to maturity cbe => 0.0326791619266959
funding kprd::fixfloat::05y => 5.186329527598343E-6
funding kprd::fixfloat::15y => 4.7746631648415415E-11
funding kprd::fixfloat::03y => 1.9222785796273455E-4
funding kprd::fixfloat::25y => 2.5022595107060395E-12
funding kprd::fixfloat::09y => 4.512402659584414E-8
funding kprd::fixfloat::07y => 5.038228963749614E-7
funding kprd::deposit::pll => 8.794893247898728E-7
funding kprd::fixfloat::11y => 3.675983248352388E-9
funding kprd::bump => 2.3545715869484617E-4
funding kprd::fixfloat::06y => -1.6405589904705532E-6
funding kprd::deposit::2d => 8.794893247898728E-7
funding kprd::fixfloat::04y => -1.571655066009703E-5
funding kprd::fixfloat::pll => 2.1265925177529622E-4
funding kprd::fixfloat::08y => -1.5224030243954356E-7
funding kprd::fixfloat::20y => -8.39407987562879E-12
funding kprd::fixfloat::30y => -5.912548228792503E-13
funding kprd::fixfloat::40y => 6.913636330097006E-14
funding kprd::fixfloat::50y => -1.2012613126444194E-14
funding kprd::fixfloat::02y => 3.2215424347367685E-5
funding kprd::fixfloat::12y => -7.83614481636441E-10
funding kprd::fixfloat::10y => -1.3164615017546844E-8
funding kprd::futures::0 => 6.641432742171549E-6
funding kprd::futures::p => 2.1917518522099332E-5
funding kprd::futures::1 => 4.132610182358554E-6
funding kprd::futures::2 => 4.852797022272815E-6
funding kprd::futures::3 => 3.1911250707339358E-6
funding kprd::futures::4 => 2.242518132050675E-6
funding kprd::futures::5 => 8.57005231202912E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 5.281527027602755E-6
funding krd::fixfloat::15y => 4.86230436744885E-11
funding krd::fixfloat::03y => 1.9599188689013543E-4
funding krd::fixfloat::25y => 2.5481949036000563E-12
funding krd::fixfloat::09y => 4.5952299021701884E-8
funding krd::fixfloat::07y => 5.130707993745404E-7
funding krd::deposit::pll => 8.942722975992382E-7
funding krd::fixfloat::11y => 3.743457621917531E-9
funding krd::bump => 2.3884573911974442E-4
funding krd::fixfloat::06y => -1.6706722095232553E-6
funding krd::deposit::2d => 8.942722975992382E-7
funding krd::fixfloat::04y => -1.6005035066342134E-5
funding krd::fixfloat::pll => 2.1639962877962726E-4
funding krd::fixfloat::08y => -1.5503474375789965E-7
funding krd::fixfloat::20y => -8.548161118728277E-12
funding krd::fixfloat::30y => -6.021053036984293E-13
funding krd::fixfloat::40y => 7.04112340951441E-14
funding krd::fixfloat::50y => -1.224105634498443E-14
funding krd::fixfloat::02y => 3.240806448903825E-5
funding krd::fixfloat::12y => -7.979980861855887E-10
funding krd::fixfloat::10y => -1.3406257629679621E-8
funding krd::futures::0 => 6.51367861553503E-6
funding krd::futures::p => 2.1550908185425455E-5
funding krd::futures::1 => 4.057439185524732E-6
funding krd::futures::2 => 4.773142637334627E-6
funding krd::futures::3 => 3.141328162149676E-6
funding krd::futures::4 => 2.219933497766869E-6
funding krd::futures::5 => 8.453554951786259E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.4438931597144244E-5
libor krd::tenor::2 => 2.5026414112869613E-5
libor krd::tenor::1 => 3.058147543655002E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.510728536557124E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.4027026660068004E-5
libor krd::tenor::6 => 2.1030756885906916E-5
libor krd::tenor::5 => 2.2201216663204447E-5
libor krd::tenor::4 => 2.2998485528386057E-5
libor krd::bump => 2.4253630183625863E-4
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 6.167974029667978E-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::22-feb-2038 => 0.0
govvie kprd::tsy::22-feb-2028 => 0.0
govvie kprd::tsy::22-feb-2019 => 0.0
govvie kprd::bump => 2.3502661525418855E-4
govvie kprd::tsy::22-feb-2020 => 1.41271773979601E-5
govvie kprd::tsy::22-feb-2021 => 2.208991393405635E-4
govvie kprd::tsy::22-feb-2023 => 0.0
govvie kprd::tsy::22-feb-2025 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::22-feb-2048 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.4182631234134776E-5
libor kprd::tenor::2 => 2.477628907416318E-5
libor kprd::tenor::1 => 3.0290533632629234E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.458301350125261E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.345663243678465E-5
libor kprd::tenor::6 => 2.0713505733904736E-5
libor kprd::tenor::5 => 2.1894638967148717E-5
libor kprd::tenor::4 => 2.272281655882613E-5
libor kprd::bump => 2.3908468518914205E-4
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 6.050067402441073E-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::22-feb-2038 => 0.0
govvie krd::tsy::22-feb-2028 => 0.0
govvie krd::tsy::22-feb-2019 => 0.0
govvie krd::bump => 2.3841545395863285E-4
govvie krd::tsy::22-feb-2020 => 1.4330874142465423E-5
govvie krd::tsy::22-feb-2021 => 2.2408427014318464E-4
govvie krd::tsy::22-feb-2023 => 0.0
govvie krd::tsy::22-feb-2025 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::22-feb-2048 => 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 00:40:51 EST 2020
| Setup Time => Mon Jan 27 00:40:51 EST 2020
| Finish Time => Mon Jan 27 00:41:02 EST 2020
| Setup Duration => 0 ms
| Run Duration => 11 s 294 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 00:41:02 EST 2020
| Setup Time => Mon Jan 27 00:41:02 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 02-JUL-2022
Next Call Date : 02-JUL-2022 | 1.0
Maturity Date : 02-JUL-2022 | 1.0
yield to call => 0.04518222848285542
z_spread => 0.025402077997673675
market value => 1.078125
oad mult => 0.6378027695617108
libor duration => 3.666539568297274E-4
convexity => 1.7125997139478897E-7
modified convexity => 1.7125997139478897E-7
effective duration => 3.602796864493102E-4
yield to worst => 0.04518222848285542
tsy oas => 0.025402077997673675
macaulay duration => 3.641781925472546
mod dur to worst => 3.6142905439094755E-4
price => 1.078125
ytm fwdcpn => 0.04518222848285542
discount margin => 0.03202390986580562
cv01 => 2.48761487250837E-4
effective duration adj => 2.297873818341948E-4
yield to maturity => 0.04518222848285542
oas => 0.02579893523684199
wal_adj => 3.848119517357678
mod dur => 3.6142905439094755E-4
wal => 3.8652683680730853
z_vol_oas => 0.02579893523684199
n-spread => 0.02514722848285542
yield to put => 0.04518222848285542
treasury duration => 3.602796864603184E-4
wal4 => 3.8652683680730853
accrued$ => 0.006888936505205999
wal3 => 2.561291435302367
i-spread => 0.02487234306830947
j-spread => 0.03299222848285542
wal2 => 3.694256022544884
wal to worst => 3.8652683680730853
nominal yield => 0.06632381808731214
spread dur => 0.0357940155371443
funding duration => 3.615127780658712E-4
accrued => 0.006888936505205999
e-spread => 0.028904505037182348
accrued interest factor => 0.006888936505205999
spread dur $ => 0.0357940155371443
dv01 => 3.884265369531625E-4
yield to maturity cbe => 0.04518222848285542
funding kprd::fixfloat::05y => 1.8359621408733928E-4
funding kprd::fixfloat::15y => -1.643410404983392E-9
funding kprd::fixfloat::03y => 4.087519768198322E-5
funding kprd::fixfloat::25y => -8.612611734903907E-11
funding kprd::fixfloat::09y => -1.5532991496619575E-6
funding kprd::fixfloat::07y => -1.734469985996412E-5
funding kprd::deposit::pll => 9.447489521058339E-7
funding kprd::fixfloat::11y => -1.2653259796602255E-7
funding kprd::bump => 3.52569834660485E-4
funding kprd::fixfloat::06y => 6.207858251273125E-5
funding kprd::deposit::2d => 9.447489521058339E-7
funding kprd::fixfloat::04y => 4.2048697764837664E-5
funding kprd::fixfloat::pll => 3.3995847770066924E-4
funding kprd::fixfloat::08y => 5.2407584228642E-6
funding kprd::fixfloat::20y => 2.889157690866284E-10
funding kprd::fixfloat::30y => 2.035056567706306E-11
funding kprd::fixfloat::40y => -2.3799184845074707E-12
funding kprd::fixfloat::50y => 4.141742504515378E-13
funding kprd::fixfloat::02y => 2.4661123224495318E-5
funding kprd::fixfloat::12y => 2.697185503830468E-8
funding kprd::fixfloat::10y => 4.531496788251488E-7
funding kprd::futures::0 => 3.8008153007834666E-6
funding kprd::futures::p => 1.1664999195259985E-5
funding kprd::futures::1 => 2.6970689137317816E-6
funding kprd::futures::2 => 3.0292124243241903E-6
funding kprd::futures::3 => 1.116885107588228E-6
funding kprd::futures::4 => 1.0664304609664388E-6
funding kprd::futures::5 => -4.5423894981522214E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.914754625608224E-4
funding krd::fixfloat::15y => -1.7203291802375595E-9
funding krd::fixfloat::03y => 4.077116532412845E-5
funding krd::fixfloat::25y => -9.015719443147869E-11
funding krd::fixfloat::09y => -1.6260003209503342E-6
funding krd::fixfloat::07y => -1.815650699718571E-5
funding krd::deposit::pll => 9.640286926740793E-7
funding krd::fixfloat::11y => -1.3245487536799873E-7
funding krd::bump => 3.615127780658712E-4
funding krd::fixfloat::06y => 6.497656733656179E-5
funding krd::deposit::2d => 9.640286926740793E-7
funding krd::fixfloat::04y => 4.2307693652211076E-5
funding krd::fixfloat::pll => 3.4954670119223E-4
funding krd::fixfloat::08y => 5.486048810002535E-6
funding krd::fixfloat::20y => 3.024382831130345E-10
funding krd::fixfloat::30y => 2.130307009700619E-11
funding krd::fixfloat::40y => -2.4913069996662246E-12
funding krd::fixfloat::50y => 4.3357523690497475E-13
funding krd::fixfloat::02y => 2.393963887309247E-5
funding krd::fixfloat::12y => 2.823425548753669E-8
funding krd::fixfloat::10y => 4.743590604091687E-7
funding krd::futures::0 => 3.5808572664862686E-6
funding krd::futures::p => 1.1000367732568368E-5
funding krd::futures::1 => 2.5397030883898768E-6
funding krd::futures::2 => 2.8713123497876836E-6
funding krd::futures::3 => 1.048546738991551E-6
funding krd::futures::4 => 1.0156897594724285E-6
funding krd::futures::5 => -5.57521096496934E-8
funding krd::base => 0.0
libor krd::tenor::10 => 4.3126343244127416E-5
libor krd::tenor::3 => 2.4381510077159627E-5
libor krd::tenor::2 => 2.479711410587796E-5
libor krd::tenor::1 => 2.6257325696296887E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.528411103823502E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.966508637464882E-5
libor krd::tenor::6 => 2.1701176546604285E-5
libor krd::tenor::5 => 2.2675729055855965E-5
libor krd::tenor::4 => 2.257167377230885E-5
libor krd::bump => 3.666539568297274E-4
libor krd::tenor::9 => 5.792661153693841E-5
libor krd::tenor::8 => 7.216750144488493E-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 => 1.0825907910690565E-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::10-mar-2027 => 0.0
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 5.479607263059461E-5
govvie kprd::tsy::10-mar-2022 => 2.9657524412884386E-4
govvie kprd::bump => 3.513737085286461E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 4.13603939354773E-5
libor kprd::tenor::3 => 2.410092888480708E-5
libor kprd::tenor::2 => 2.4521878684102826E-5
libor kprd::tenor::1 => 2.6011776010040344E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.476711277041524E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.880898525664423E-5
libor kprd::tenor::6 => 2.128350771561094E-5
libor kprd::tenor::5 => 2.229533569225173E-5
libor kprd::tenor::4 => 2.221842378872796E-5
libor kprd::bump => 3.5758291041435296E-4
libor kprd::tenor::9 => 5.590015880097277E-5
libor kprd::tenor::8 => 7.017369347923075E-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 => 1.035531977582882E-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::10-mar-2027 => 0.0
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 5.618491391567843E-5
govvie krd::tsy::10-mar-2022 => 3.040922440712249E-4
govvie krd::bump => 3.602796864603184E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:41:02 EST 2020
| Setup Time => Mon Jan 27 00:41:02 EST 2020
| Finish Time => Mon Jan 27 00:41:16 EST 2020
| Setup Duration => 0 ms
| Run Duration => 14 s 328 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 00:41:16 EST 2020
| Setup Time => Mon Jan 27 00:41:17 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 10-MAY-2028
Next Call Date : 10-MAY-2028 | 1.0
Maturity Date : 10-MAY-2028 | 1.0
yield to call => 0.04870432077910659
z_spread => 0.02457481900343312
market value => 1.00005
oad mult => 0.5758914541789645
libor duration => 6.684755454495439E-4
convexity => 5.824508799952928E-7
modified convexity => 5.824508799952928E-7
effective duration => 6.602666049000416E-4
yield to worst => 0.04870432077910659
tsy oas => 0.02457481900343312
macaulay duration => 6.50578293972564
mod dur to worst => 6.6359641584489E-4
price => 1.00005
ytm fwdcpn => 0.04870432077910659
discount margin => 0.035546002162056785
cv01 => 3.833582856632711E-4
effective duration adj => 3.8024189524169276E-4
yield to maturity => 0.04870432077910659
oas => 0.026055217952326955
wal_adj => 7.681933786409454
mod dur => 6.6359641584489E-4
wal => 8.10593792601536
z_vol_oas => 0.026055217952326955
n-spread => 0.024884320779106586
yield to put => 0.04870432077910659
treasury duration => 6.60266604877744E-4
wal4 => 8.10593792601536
accrued$ => 0.039264587786531316
wal3 => 5.158878756193165
i-spread => 0.024833958218840047
j-spread => 0.03651432077910659
wal2 => 6.8456508556786
wal to worst => 8.10593792601536
nominal yield => 0.04871189384985264
spread dur => 0.06501105051813628
funding duration => 6.634491502827189E-4
accrued => 0.039264587786531316
e-spread => 0.03241135593079216
accrued interest factor => 0.039264587786531316
spread dur $ => 0.06501105051813628
dv01 => 6.602996182302867E-4
yield to maturity cbe => 0.04870432077910659
funding kprd::fixfloat::05y => 2.8206537580593993E-5
funding kprd::fixfloat::15y => -2.37878148844628E-6
funding kprd::fixfloat::03y => 1.74759114399875E-5
funding kprd::fixfloat::25y => -1.246646800318052E-7
funding kprd::fixfloat::09y => 4.784175983808814E-5
funding kprd::fixfloat::07y => 3.576043747535174E-5
funding kprd::deposit::pll => 1.01580534030421E-6
funding kprd::fixfloat::11y => 3.6587698654588774E-4
funding kprd::bump => 6.634361445815057E-4
funding kprd::fixfloat::06y => 3.2160023150326623E-5
funding kprd::deposit::2d => 1.01580534030421E-6
funding kprd::fixfloat::04y => 2.4618610977117373E-5
funding kprd::fixfloat::pll => 6.56118985621093E-4
funding kprd::fixfloat::08y => 3.640453369883889E-5
funding kprd::fixfloat::20y => 4.181958724952528E-7
funding kprd::fixfloat::30y => 2.9456786221349063E-8
funding kprd::fixfloat::40y => -3.444858878709489E-9
funding kprd::fixfloat::50y => 5.995066970632124E-10
funding kprd::fixfloat::02y => 1.6497824911151927E-5
funding kprd::fixfloat::12y => 4.0508096147742755E-5
funding kprd::fixfloat::10y => 1.2788891393220037E-5
funding kprd::futures::0 => 2.620910299033774E-6
funding kprd::futures::p => 6.297972162744303E-6
funding kprd::futures::1 => 1.484119892247726E-6
funding kprd::futures::2 => 1.4298207497737136E-6
funding kprd::futures::3 => 6.010682576412795E-7
funding kprd::futures::4 => 5.027452387590392E-7
funding kprd::futures::5 => -3.406961910756845E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.8206044025948337E-5
funding krd::fixfloat::15y => -2.3788693849582853E-6
funding krd::fixfloat::03y => 1.747528165021519E-5
funding krd::fixfloat::25y => -1.2466928643260018E-7
funding krd::fixfloat::09y => 4.784274525098181E-5
funding krd::fixfloat::07y => 3.5760454501240026E-5
funding krd::deposit::pll => 1.0158142747375232E-6
funding krd::fixfloat::11y => 3.6589035944561185E-4
funding krd::bump => 6.634491502827189E-4
funding krd::fixfloat::06y => 3.215973576055089E-5
funding krd::deposit::2d => 1.0158142747375232E-6
funding krd::fixfloat::04y => 2.4617962598678255E-5
funding krd::fixfloat::pll => 6.561323853109563E-4
funding krd::fixfloat::08y => 3.6404806837908475E-5
funding krd::fixfloat::20y => 4.182113249221787E-7
funding krd::fixfloat::30y => 2.9457874662093803E-8
funding krd::fixfloat::40y => -3.4449861592468975E-9
funding krd::fixfloat::50y => 5.995288483673577E-10
funding krd::fixfloat::02y => 1.6497177044609392E-5
funding krd::fixfloat::12y => 4.050959261814346E-5
funding krd::fixfloat::10y => 1.278892760206892E-5
funding krd::futures::0 => 2.620760487054808E-6
funding krd::futures::p => 6.297569152915012E-6
funding krd::futures::1 => 1.4840245506751621E-6
funding krd::futures::2 => 1.429739368456062E-6
funding krd::futures::3 => 6.010223055815503E-7
funding krd::futures::4 => 5.027139842515887E-7
funding krd::futures::5 => -3.4069545922839917E-7
funding krd::base => 0.0
libor krd::tenor::10 => 6.456725538006835E-5
libor krd::tenor::3 => 2.418045299809477E-5
libor krd::tenor::2 => 2.491054622733072E-5
libor krd::tenor::1 => 2.649448740591077E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.676441714083231E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.170375443451688E-5
libor krd::tenor::6 => 2.2547160279036347E-5
libor krd::tenor::5 => 2.3253252493715503E-5
libor krd::tenor::4 => 2.3193173323607507E-5
libor krd::bump => 6.684755454495439E-4
libor krd::tenor::9 => 7.20394802856814E-5
libor krd::tenor::8 => 8.030883465173986E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.538630097869283E-5
libor krd::tenor::14 => 3.996709702523115E-5
libor krd::tenor::11 => 5.765482814861149E-5
libor krd::tenor::12 => 5.140504336726521E-5
libor krd::tenor::17 => 4.777933365055804E-6
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 3.498707552823874E-5
libor krd::tenor::16 => 3.0488755479262486E-5
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 5.830683226337979E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 7.717231435679373E-5
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 6.602538072919967E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 6.456588488472915E-5
libor kprd::tenor::3 => 2.4180335022092048E-5
libor kprd::tenor::2 => 2.4910445831896612E-5
libor kprd::tenor::1 => 2.6494418079031634E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.676431533763182E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.1703336670015356E-5
libor kprd::tenor::6 => 2.254696765249531E-5
libor kprd::tenor::5 => 2.325308612712018E-5
libor kprd::tenor::4 => 2.3193027087289876E-5
libor kprd::bump => 6.684625019079237E-4
libor kprd::tenor::9 => 7.203823272882992E-5
libor kprd::tenor::8 => 8.030777609999707E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 4.538489088337927E-5
libor kprd::tenor::14 => 3.996575812134362E-5
libor kprd::tenor::11 => 5.765339499469446E-5
libor kprd::tenor::12 => 5.1403595614102346E-5
libor kprd::tenor::17 => 4.777757888940748E-6
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 3.498583889136597E-5
libor kprd::tenor::16 => 3.0487643892548876E-5
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 5.83079624001552E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 7.717381008843108E-5
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 6.60266604877744E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:41:16 EST 2020
| Setup Time => Mon Jan 27 00:41:17 EST 2020
| Finish Time => Mon Jan 27 00:41:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 14 s 634 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 00:41:31 EST 2020
| Setup Time => Mon Jan 27 00:41:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 20-DEC-2027
Next Call Date : 20-DEC-2027 | 1.0
Maturity Date : 20-DEC-2027 | 1.0
yield to call => 0.04352229624786713
z_spread => 0.01950902222651873
market value => 1.058939
oad mult => 0.5998966235371751
libor duration => 5.090475867528462E-4
convexity => 3.57686067220785E-7
modified convexity => 3.57686067220785E-7
effective duration => 5.05094472934775E-4
yield to worst => 0.04352229624786713
tsy oas => 0.01950902222651873
macaulay duration => 5.047441454596364
mod dur to worst => 5.037237531448546E-4
price => 1.058939
ytm fwdcpn => 0.04352229624786713
discount margin => 0.03036397763081733
cv01 => 3.2294312978953243E-4
effective duration adj => 3.0300446888086057E-4
yield to maturity => 0.04352229624786713
oas => 0.022176232517712217
wal_adj => 5.688594534143685
mod dur => 5.037237531448546E-4
wal => 5.80818250444449
z_vol_oas => 0.022176232517712217
n-spread => 0.01970229624786713
yield to put => 0.04352229624786713
treasury duration => 5.050944729346544E-4
wal4 => 5.80818250444449
accrued$ => 0.010312143257777724
wal3 => 3.93161078360023
i-spread => 0.019792021243645864
j-spread => 0.03133229624786713
wal2 => 5.18472032135805
wal to worst => 5.80818250444449
nominal yield => 0.05499811579526745
spread dur => 0.04986169618203718
funding duration => 5.037726873250129E-4
accrued => 0.010312143257777724
e-spread => 0.027270509553435525
accrued interest factor => 0.010312143257777724
spread dur $ => 0.04986169618203718
dv01 => 5.348642360750777E-4
yield to maturity cbe => 0.043759070031703796
funding kprd::fixfloat::05y => 4.344997665863826E-5
funding kprd::fixfloat::15y => 2.479804011190634E-7
funding kprd::fixfloat::03y => 2.562876066597164E-5
funding kprd::fixfloat::25y => 1.2995896375711525E-8
funding kprd::fixfloat::09y => 6.948188344677587E-5
funding kprd::fixfloat::07y => 5.775967330448884E-5
funding kprd::deposit::pll => 9.605436434134696E-7
funding kprd::fixfloat::11y => 3.171567174352352E-5
funding kprd::bump => 4.916594516809231E-4
funding kprd::fixfloat::06y => 5.118032496773117E-5
funding kprd::deposit::2d => 9.605436434134696E-7
funding kprd::fixfloat::04y => 3.678785069016477E-5
funding kprd::fixfloat::pll => 4.817753921295187E-4
funding kprd::fixfloat::08y => 6.478073918128324E-5
funding kprd::fixfloat::20y => -4.359558981592571E-8
funding kprd::fixfloat::30y => -3.070776269376019E-9
funding kprd::fixfloat::40y => 3.5911557061396593E-10
funding kprd::fixfloat::50y => -6.24966606244115E-11
funding kprd::fixfloat::02y => 2.289541251867533E-5
funding kprd::fixfloat::12y => -4.0698852425830045E-6
funding kprd::fixfloat::10y => 8.19331715064403E-5
funding kprd::futures::0 => 3.3791671079336226E-6
funding kprd::futures::p => 8.921073363468702E-6
funding kprd::futures::1 => 2.302208875029632E-6
funding kprd::futures::2 => 1.829887376356143E-6
funding kprd::futures::3 => 1.0486924260894038E-6
funding kprd::futures::4 => 5.622838737590064E-7
funding kprd::futures::5 => -2.011733059609222E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 4.339449272163397E-5
funding krd::fixfloat::15y => 2.655090470445852E-7
funding krd::fixfloat::03y => 2.4951812998713387E-5
funding krd::fixfloat::25y => 1.3914519209668095E-8
funding krd::fixfloat::09y => 7.284913578308953E-5
funding krd::fixfloat::07y => 5.913668242519045E-5
funding krd::deposit::pll => 9.716960109675019E-7
funding krd::fixfloat::11y => 3.394749714040923E-5
funding krd::bump => 5.037726873250129E-4
funding krd::fixfloat::06y => 5.1754234792668034E-5
funding krd::deposit::2d => 9.716960109675019E-7
funding krd::fixfloat::04y => 3.625546694082461E-5
funding krd::fixfloat::pll => 4.9441504673592E-4
funding krd::fixfloat::08y => 6.715492455825034E-5
funding krd::fixfloat::20y => -4.667717059215251E-8
funding krd::fixfloat::30y => -3.2878359531095903E-9
funding krd::fixfloat::40y => 3.84499882283745E-10
funding krd::fixfloat::50y => -6.691427029720266E-11
funding krd::fixfloat::02y => 2.2043618435662295E-5
funding krd::fixfloat::12y => -4.3575674934734145E-6
funding krd::fixfloat::10y => 8.70368523147417E-5
funding krd::futures::0 => 3.185338039389217E-6
funding krd::futures::p => 8.383425017665902E-6
funding krd::futures::1 => 2.1646203147845175E-6
funding krd::futures::2 => 1.728015147197285E-6
funding krd::futures::3 => 9.822263697831996E-7
funding krd::futures::4 => 5.283376349820376E-7
funding krd::futures::5 => -2.051190592199881E-7
funding krd::base => 0.0
libor krd::tenor::10 => 5.3534393971028604E-5
libor krd::tenor::3 => 2.3580058073375974E-5
libor krd::tenor::2 => 2.4571583482151164E-5
libor krd::tenor::1 => 2.6125344023817688E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.566044342060991E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.953546096051898E-5
libor krd::tenor::6 => 2.1686362540904428E-5
libor krd::tenor::5 => 2.2397055721420356E-5
libor krd::tenor::4 => 2.2612658886127166E-5
libor krd::bump => 5.090475867528462E-4
libor krd::tenor::9 => 6.350454681515095E-5
libor krd::tenor::8 => 7.413367880662178E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 2.633936658900865E-5
libor krd::tenor::14 => 1.8132649420719985E-5
libor krd::tenor::11 => 4.402515319524785E-5
libor krd::tenor::12 => 3.50508704497895E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 1.0329719273420967E-5
libor krd::tenor::16 => 2.9114841576138507E-6
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 4.545593354875588E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 3.8463527807250374E-5
govvie kprd::tsy::10-mar-2024 => 0.0
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 4.93026997914664E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 5.1893941581313E-5
libor kprd::tenor::3 => 2.343575798683939E-5
libor kprd::tenor::2 => 2.4461777731712987E-5
libor kprd::tenor::1 => 2.605115254102619E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.554059903933872E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.900464874496967E-5
libor kprd::tenor::6 => 2.1447009970315677E-5
libor kprd::tenor::5 => 2.2186412797220445E-5
libor kprd::tenor::4 => 2.2437094748686824E-5
libor kprd::bump => 4.968553350900295E-4
libor kprd::tenor::9 => 6.195237777648909E-5
libor kprd::tenor::8 => 7.279019329964609E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 2.5063456091936608E-5
libor kprd::tenor::14 => 1.715209580186172E-5
libor kprd::tenor::11 => 4.2408830139853415E-5
libor kprd::tenor::12 => 3.355578148616645E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 9.715075918448334E-6
libor kprd::tenor::16 => 2.72471315630185E-6
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 4.6568520022941304E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 3.94049364210585E-5
govvie krd::tsy::10-mar-2024 => 0.0
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 5.050944729346544E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:41:31 EST 2020
| Setup Time => Mon Jan 27 00:41:31 EST 2020
| Finish Time => Mon Jan 27 00:41:53 EST 2020
| Setup Duration => 0 ms
| Run Duration => 21 s 660 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 00:41:53 EST 2020
| Setup Time => Mon Jan 27 00:41:53 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 03-SEP-2026
Next Call Date : 03-SEP-2026 | 1.0
Maturity Date : 03-SEP-2026 | 1.0
yield to call => 0.035672670316742504
z_spread => 0.012198277644308933
market value => 1.01114
oad mult => 0.6011045524381874
libor duration => 6.16547864639682E-4
convexity => 4.925561251443739E-7
modified convexity => 4.925561251443739E-7
effective duration => 6.077734727345855E-4
yield to worst => 0.035672670316742504
tsy oas => 0.012198277644308933
macaulay duration => 6.18137190738024
mod dur to worst => 6.107762944307513E-4
price => 1.01114
ytm fwdcpn => 0.035672670316742504
discount margin => 0.0225143516996927
cv01 => 3.720893978735873E-4
effective duration adj => 3.653354013119259E-4
yield to maturity => 0.035672670316742504
oas => 0.013630679787343837
wal_adj => 6.6296389237868425
mod dur => 6.107762944307513E-4
wal => 6.826488329727102
z_vol_oas => 0.013630679787343837
n-spread => 0.012793670316742504
yield to put => 0.035672670316742504
treasury duration => 6.077734726280227E-4
wal4 => 6.826488329727102
accrued$ => 0.0011066220262500024
wal3 => 4.3784913290037935
i-spread => 0.012560622351915938
j-spread => 0.023482670316742504
wal2 => 6.316012692298915
wal to worst => 6.826488329727102
nominal yield => 0.03749892802520822
spread dur => 0.06000812124139804
funding duration => 6.109101991010935E-4
accrued => 0.0011066220262500024
e-spread => 0.019372711469191867
accrued interest factor => 0.0011066220262500024
spread dur $ => 0.06000812124139804
dv01 => 6.145440692208487E-4
yield to maturity cbe => 0.035672670316742504
funding kprd::fixfloat::05y => 3.265620686064563E-5
funding kprd::fixfloat::15y => -5.966565861020845E-7
funding kprd::fixfloat::03y => 2.2402876458588184E-5
funding kprd::fixfloat::25y => -3.126895147809172E-8
funding kprd::fixfloat::09y => 2.471360172379922E-4
funding kprd::fixfloat::07y => 4.971971818691912E-5
funding kprd::deposit::pll => 1.0091893679814445E-6
funding kprd::fixfloat::11y => -4.5938927391031556E-5
funding kprd::bump => 6.086290541992695E-4
funding kprd::fixfloat::06y => 3.461372992182576E-5
funding kprd::deposit::2d => 1.0091893679814445E-6
funding kprd::fixfloat::04y => 2.6270281682638787E-5
funding kprd::fixfloat::pll => 5.977782793227249E-4
funding kprd::fixfloat::08y => 7.176353165500027E-6
funding kprd::fixfloat::20y => 1.048937556369367E-7
funding kprd::fixfloat::30y => 7.388482614612002E-9
funding kprd::fixfloat::40y => -8.640548776472912E-10
funding kprd::fixfloat::50y => 1.503709462502556E-10
funding kprd::fixfloat::02y => 1.0940223440630836E-5
funding kprd::fixfloat::12y => 9.792401705449593E-6
funding kprd::fixfloat::10y => 2.0349958573920857E-4
funding kprd::futures::0 => 2.3343143502857487E-6
funding kprd::futures::p => 9.838494212488502E-6
funding kprd::futures::1 => 2.0741718391503738E-6
funding kprd::futures::2 => 1.946572707964278E-6
funding kprd::futures::3 => 1.773784702688297E-6
funding kprd::futures::4 => 9.322085827295767E-7
funding kprd::futures::5 => 7.774269909222031E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.2577049928792434E-5
funding krd::fixfloat::15y => -6.007995205371488E-7
funding krd::fixfloat::03y => 2.2247774757412273E-5
funding krd::fixfloat::25y => -3.148607003401335E-8
funding krd::fixfloat::09y => 2.4880173235770805E-4
funding krd::fixfloat::07y => 4.985114304577297E-5
funding krd::deposit::pll => 1.0112849774656866E-6
funding krd::fixfloat::11y => -4.6257907900692114E-5
funding krd::bump => 6.109101991010935E-4
funding krd::fixfloat::06y => 3.4585020016540666E-5
funding krd::deposit::2d => 1.0112849774656866E-6
funding krd::fixfloat::04y => 2.6149226400197326E-5
funding krd::fixfloat::pll => 6.001663239173429E-4
funding krd::fixfloat::08y => 7.087560127844375E-6
funding krd::fixfloat::20y => 1.056220941300632E-7
funding krd::fixfloat::30y => 7.4397851515182E-9
funding krd::fixfloat::40y => -8.700545124883315E-10
funding krd::fixfloat::50y => 1.5141506187249048E-10
funding krd::fixfloat::02y => 1.0846350508144672E-5
funding krd::fixfloat::12y => 9.860396066165996E-6
funding krd::fixfloat::10y => 2.0491154152882507E-4
funding krd::futures::0 => 2.3068739944201103E-6
funding krd::futures::p => 9.729482705135328E-6
funding krd::futures::1 => 2.0496474482470685E-6
funding krd::futures::2 => 1.926077502310519E-6
funding krd::futures::3 => 1.7547857392273879E-6
funding krd::futures::4 => 9.228843332271809E-7
funding krd::futures::5 => 7.691987621349996E-7
funding krd::base => 0.0
libor krd::tenor::10 => 6.505390800028194E-5
libor krd::tenor::3 => 2.4544098004533323E-5
libor krd::tenor::2 => 2.522270056563865E-5
libor krd::tenor::1 => 2.6115689044715314E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.498589867715898E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.27539494497302E-5
libor krd::tenor::6 => 2.3417952634748375E-5
libor krd::tenor::5 => 2.3578943399908923E-5
libor krd::tenor::4 => 2.41095113446017E-5
libor krd::bump => 6.16547864639682E-4
libor krd::tenor::9 => 7.315366613888618E-5
libor krd::tenor::8 => 8.201992747611205E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 4.387268829373093E-5
libor krd::tenor::14 => 3.778187353294897E-5
libor krd::tenor::11 => 5.748703323167337E-5
libor krd::tenor::12 => 5.056737687926142E-5
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 1.6289019288430993E-5
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-mar-2027 => 5.01553623700407E-4
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 1.039569927604983E-4
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 6.055235046519336E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 6.476242063548632E-5
libor kprd::tenor::3 => 2.451761309817113E-5
libor kprd::tenor::2 => 2.519967938299783E-5
libor kprd::tenor::1 => 2.6092492569806947E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.493705912129609E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.266525044206437E-5
libor kprd::tenor::6 => 2.3379699131381715E-5
libor kprd::tenor::5 => 2.3541848426941736E-5
libor kprd::tenor::4 => 2.4081975301729063E-5
libor kprd::bump => 6.142534667586824E-4
libor kprd::tenor::9 => 7.288615354511252E-5
libor kprd::tenor::8 => 8.179289897975451E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 4.3592639007525305E-5
libor kprd::tenor::14 => 3.752742581667745E-5
libor kprd::tenor::11 => 5.718672165294925E-5
libor kprd::tenor::12 => 5.027067492205106E-5
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 1.617716018407489E-5
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-mar-2027 => 5.034172379062578E-4
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 1.043432515280887E-4
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 6.077734726280227E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:41:53 EST 2020
| Setup Time => Mon Jan 27 00:41:53 EST 2020
| Finish Time => Mon Jan 27 00:42:10 EST 2020
| Setup Duration => 1 ms
| Run Duration => 17 s 224 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 00:42:10 EST 2020
| Setup Time => Mon Jan 27 00:42:10 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 30-MAR-2024
Next Call Date : 30-MAR-2024 | 1.0
Maturity Date : 30-MAR-2024 | 1.0
yield to call => 0.04138353905500526
z_spread => 0.019351027639521498
market value => 1.102304
oad mult => 0.6074586054803985
libor duration => 5.040079124968517E-4
convexity => 3.1141797105157045E-7
modified convexity => 3.1141797105157045E-7
effective duration => 4.984637532844428E-4
yield to worst => 0.04138353905500526
tsy oas => 0.019351027639521498
macaulay duration => 4.982282758907267
mod dur to worst => 4.97878071484607E-4
price => 1.102304
ytm fwdcpn => 0.04138353905500526
discount margin => 0.02822522043795546
cv01 => 3.3566828286635264E-4
effective duration adj => 3.027960964526931E-4
yield to maturity => 0.04138353905500526
oas => 0.02048874903800329
wal_adj => 5.341292169586195
mod dur => 4.97878071484607E-4
wal => 5.836326728669038
z_vol_oas => 0.02048874903800329
n-spread => 0.019723539055005262
yield to put => 0.04138353905500526
treasury duration => 4.984637532841961E-4
wal4 => 5.836326728669038
accrued$ => 0.012126776517741638
wal3 => 3.407010402878678
i-spread => 0.019693043342805923
j-spread => 0.029193539055005262
wal2 => 5.083537619129535
wal to worst => 5.836326728669038
nominal yield => 0.06118585830951244
spread dur => 0.04940445285869896
funding duration => 4.979795600733444E-4
accrued => 0.012126776517741638
e-spread => 0.02513064913124057
accrued interest factor => 0.012126776517741638
spread dur $ => 0.04940445285869896
dv01 => 5.494585891004545E-4
yield to maturity cbe => 0.041597613718096636
funding kprd::fixfloat::05y => 3.2324679394621356E-5
funding kprd::fixfloat::15y => -3.5771605205736633E-9
funding kprd::fixfloat::03y => 1.9366758469660515E-5
funding kprd::fixfloat::25y => -1.874680383151528E-10
funding kprd::fixfloat::09y => -3.3810181850196797E-6
funding kprd::fixfloat::07y => 3.423270450138044E-4
funding kprd::deposit::pll => 9.909943329139415E-7
funding kprd::fixfloat::11y => -2.75419589251813E-7
funding kprd::bump => 4.8474478049284896E-4
funding kprd::fixfloat::06y => 2.716177510993789E-5
funding kprd::deposit::2d => 9.909943329139415E-7
funding kprd::fixfloat::04y => 2.7189967163418482E-5
funding kprd::fixfloat::pll => 4.769119320831461E-4
funding kprd::fixfloat::08y => 1.1438742485039844E-5
funding kprd::fixfloat::20y => 6.288739751170169E-10
funding kprd::fixfloat::30y => 4.429646927039954E-11
funding kprd::fixfloat::40y => -5.180303408458542E-12
funding kprd::fixfloat::50y => 9.015177493409964E-13
funding kprd::fixfloat::02y => 1.9705555878898882E-5
funding kprd::fixfloat::12y => 5.870880196157113E-8
funding kprd::fixfloat::10y => 9.863568780160704E-7
funding kprd::futures::0 => 2.5902557858115126E-6
funding kprd::futures::p => 6.839441328543306E-6
funding kprd::futures::1 => 1.9804905278364425E-6
funding kprd::futures::2 => 1.3253077837310777E-6
funding kprd::futures::3 => 8.955440585184383E-7
funding kprd::futures::4 => 2.6094307070678724E-7
funding kprd::futures::5 => -2.1310453969525245E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.236240403498531E-5
funding krd::fixfloat::15y => -3.7503234493704405E-9
funding krd::fixfloat::03y => 1.8484259599100857E-5
funding krd::fixfloat::25y => -1.965429712791338E-10
funding krd::fixfloat::09y => -3.5446862589685238E-6
funding krd::fixfloat::07y => 3.582599029058963E-4
funding krd::deposit::pll => 1.007239354284903E-6
funding krd::fixfloat::11y => -2.8875208091708365E-7
funding krd::bump => 4.979795600733444E-4
funding krd::fixfloat::06y => 2.7570897962799324E-5
funding krd::deposit::2d => 1.007239354284903E-6
funding krd::fixfloat::04y => 2.6476549932180833E-5
funding krd::fixfloat::pll => 4.908739705961933E-4
funding krd::fixfloat::08y => 1.1992419442701886E-5
funding krd::fixfloat::20y => 6.59316457772424E-10
funding krd::fixfloat::30y => 4.644076879635657E-11
funding krd::fixfloat::40y => -5.431073890226375E-12
funding krd::fixfloat::50y => 9.451566352418356E-13
funding krd::fixfloat::02y => 1.845603372401724E-5
funding krd::fixfloat::12y => 6.155077344915687E-8
funding krd::fixfloat::10y => 1.0341043721746615E-6
funding krd::futures::0 => 2.3281791218374326E-6
funding krd::futures::p => 6.095847658908045E-6
funding krd::futures::1 => 1.7741091707822283E-6
funding krd::futures::2 => 1.1917280338667126E-6
funding krd::futures::3 => 7.955903512509483E-7
funding krd::futures::4 => 2.2437403180025312E-7
funding krd::futures::5 => -2.181371053461065E-7
funding krd::base => 0.0
libor krd::tenor::10 => 6.258596307026034E-5
libor krd::tenor::3 => 2.3872754603917565E-5
libor krd::tenor::2 => 2.4944798377139875E-5
libor krd::tenor::1 => 2.613573574126405E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.564665600586739E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.121419543983577E-5
libor krd::tenor::6 => 2.249008579007219E-5
libor krd::tenor::5 => 2.2906141722277123E-5
libor krd::tenor::4 => 2.3189672777626545E-5
libor krd::bump => 5.040079124968517E-4
libor krd::tenor::9 => 7.040536823703804E-5
libor krd::tenor::8 => 7.903431559833906E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 2.538127717198973E-6
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 5.534359477499754E-5
libor krd::tenor::12 => 4.877614879806249E-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-mar-2027 => 8.86350921750767E-6
govvie kprd::tsy::10-mar-2047 => 0.0
govvie kprd::tsy::10-mar-2037 => 0.0
govvie kprd::tsy::10-mar-2024 => 4.7642677306259653E-4
govvie kprd::tsy::10-mar-2022 => 0.0
govvie kprd::bump => 4.8529103030233166E-4
govvie kprd::tsy::10-mar-2020 => 0.0
govvie kprd::tsy::10-mar-2018 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-mar-2019 => 0.0
libor kprd::tenor::10 => 6.0228112510357645E-5
libor kprd::tenor::3 => 2.3650024643695476E-5
libor kprd::tenor::2 => 2.478815816162605E-5
libor kprd::tenor::1 => 2.6007682717155145E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.543624444881435E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.043147369320876E-5
libor kprd::tenor::6 => 2.214193826440003E-5
libor kprd::tenor::5 => 2.2587049512370894E-5
libor kprd::tenor::4 => 2.293553838622897E-5
libor kprd::bump => 4.906322954714409E-4
libor kprd::tenor::9 => 6.815920706285949E-5
libor kprd::tenor::8 => 7.707086852915268E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 2.424565458353234E-6
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 5.302417616871446E-5
libor kprd::tenor::12 => 4.6615298570401584E-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-mar-2027 => 9.104094293626661E-6
govvie krd::tsy::10-mar-2047 => 0.0
govvie krd::tsy::10-mar-2037 => 0.0
govvie krd::tsy::10-mar-2024 => 4.893588738348021E-4
govvie krd::tsy::10-mar-2022 => 0.0
govvie krd::bump => 4.984637532841961E-4
govvie krd::tsy::10-mar-2020 => 0.0
govvie krd::tsy::10-mar-2018 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-mar-2019 => 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 00:42:10 EST 2020
| Setup Time => Mon Jan 27 00:42:10 EST 2020
| Finish Time => Mon Jan 27 00:42:28 EST 2020
| Setup Duration => 0 ms
| Run Duration => 17 s 926 ms
|-----------------------------------------------------------------|