|-----------------------------------------------------------------|
| 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|----------------------------------------|
| FIX-FLOAT CMS FAIR PREMIUM: 3M ADVANCE |
|----------------------------------------|
| MATURITY | 3M | 6M | 12M |
|----------------------------------------|
| 24M | 2.25% | 2.22% | 2.19% |
| 60M | 2.76% | 2.72% | 2.65% |
| 10Y | 3.42% | 3.40% | 3.37% |
| 20Y | 3.78% | 3.78% | 3.80% |
| 30Y | 3.44% | 3.45% | 3.47% |
|----------------------------------------|
|----------------------------------------|
| FIX-FLOAT CMS FAIR PREMIUM: 3M ARREARS |
|----------------------------------------|
| MATURITY | 3M | 6M | 12M |
|----------------------------------------|
| 24M | 2.33% | 2.35% | 2.41% |
| 60M | 2.85% | 2.90% | 3.00% |
| 10Y | 3.49% | 3.54% | 3.64% |
| 20Y | 3.81% | 3.84% | 3.90% |
| 30Y | 3.46% | 3.48% | 3.53% |
|----------------------------------------|
|-----------------------------------------------------------------|
| 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Finish Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 199 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------|
| CMS FIX-FLOAT IN-ADVANCE & IN-ARREARS ANALYSIS|
|-----------------------------------------------|
| INPUTS: L -> R |
| |
| Forward State Volatility |
| Funding State Volatility |
| Forward-Funding Correlation |
| |
|-----------------------------------------------|
| OUTPUTS: L -> R |
| |
| In Advance Fair Premium (%) |
| In Advance Fair Premium Basis (bp) |
| In Arrears Fair Premium (%) |
| In Arrears Fair Premium Basis (bp) |
| |
|-----------------------------------------------|
[ 10%, 10%,-10%] = 2.71% | -01 || 2.89% | 17 |
[ 10%, 10%, 25%] = 2.73% | 02 || 2.92% | 20 |
[ 10%, 30%,-10%] = 2.70% | -02 || 2.87% | 16 |
[ 10%, 30%, 25%] = 2.77% | 05 || 2.96% | 24 |
[ 10%, 50%,-10%] = 2.69% | -03 || 2.86% | 14 |
[ 10%, 50%, 25%] = 2.80% | 08 || 3.00% | 29 |
[ 30%, 10%,-10%] = 2.70% | -02 || 2.87% | 16 |
[ 30%, 10%, 25%] = 2.77% | 05 || 2.96% | 24 |
[ 30%, 30%,-10%] = 2.66% | -06 || 2.83% | 11 |
[ 30%, 30%, 25%] = 2.87% | 15 || 3.09% | 37 |
[ 30%, 50%,-10%] = 2.62% | -09 || 2.78% | 06 |
[ 30%, 50%, 25%] = 2.97% | 26 || 3.23% | 51 |
[ 50%, 10%,-10%] = 2.69% | -03 || 2.86% | 14 |
[ 50%, 10%, 25%] = 2.80% | 08 || 3.00% | 29 |
[ 50%, 30%,-10%] = 2.62% | -09 || 2.78% | 06 |
[ 50%, 30%, 25%] = 2.97% | 26 || 3.23% | 51 |
[ 50%, 50%,-10%] = 2.56% | -15 || 2.70% | -02 |
[ 50%, 50%, 25%] = 3.16% | 44 || 3.48% | 76 |
|-----------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Finish Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 160 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|----------------------------------------|
| FLOAT-FLOAT CMS PAR SPREAD: 3M ADVANCE |
|----------------------------------------|
| MATURITY | 3M | 6M | 12M |
|----------------------------------------|
| 24M | -00.0 | -03.0 | -05.8 |
| 60M | -00.0 | -03.8 | -10.0 |
| 10Y | -00.0 | -02.0 | -05.5 |
| 20Y | -00.0 | 00.5 | 01.6 |
| 30Y | -00.0 | 00.8 | 02.6 |
|----------------------------------------|
|----------------------------------------|
| FLOAT-FLOAT CMS PAR SPREAD: 3M ARREARS |
|----------------------------------------|
| MATURITY | 3M | 6M | 12M |
|----------------------------------------|
| 24M | 08.1 | 09.8 | 16.3 |
| 60M | 09.7 | 14.3 | 24.8 |
| 10Y | 07.2 | 11.8 | 21.5 |
| 20Y | 03.1 | 06.0 | 12.1 |
| 30Y | 01.8 | 03.9 | 08.5 |
|----------------------------------------|
|-----------------------------------------------------------------|
| 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 00:42:32 EST 2020
| Setup Time => Mon Jan 27 00:42:32 EST 2020
| Finish Time => Mon Jan 27 00:42:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 255 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 00:42:33 EST 2020
| Setup Time => Mon Jan 27 00:42:33 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|--------------------------------------------------|
| CMS FLOAT-FLOAT IN-ADVANCE & IN-ARREARS ANALYSIS |
|--------------------------------------------------|
| INPUTS: L -> R |
| |
| Forward State Volatility |
| Funding State Volatility |
| Forward-Funding Correlation |
| |
|--------------------------------------------------|
| OUTPUTS: L -> R |
| |
| In Advance Reference Par Basis Spread |
| In Advance Reference Par Basis Spread Change |
| In Arrears Reference Par Basis Spread |
| In Arrears Reference Par Basis Spread Change |
| |
|--------------------------------------------------|
[ 10%, 10%,-10%] = -04.4 | -00.6 || 13.5 | 17.3 |
[ 10%, 10%, 25%] = -02.2 | 01.6 || 16.4 | 20.1 |
[ 10%, 30%,-10%] = -05.7 | -01.9 || 11.8 | 15.6 |
[ 10%, 30%, 25%] = 01.1 | 04.9 || 20.6 | 24.3 |
[ 10%, 50%,-10%] = -06.9 | -03.2 || 10.2 | 14.0 |
[ 10%, 50%, 25%] = 04.4 | 08.2 || 24.8 | 28.6 |
[ 30%, 10%,-10%] = -05.7 | -01.9 || 11.8 | 15.6 |
[ 30%, 10%, 25%] = 01.1 | 04.9 || 20.6 | 24.3 |
[ 30%, 30%,-10%] = -09.5 | -05.7 || 07.0 | 10.8 |
[ 30%, 30%, 25%] = 11.2 | 14.9 || 33.6 | 37.4 |
[ 30%, 50%,-10%] = -13.1 | -09.4 || 02.3 | 06.0 |
[ 30%, 50%, 25%] = 21.8 | 25.5 || 47.4 | 51.1 |
[ 50%, 10%,-10%] = -06.9 | -03.2 || 10.2 | 14.0 |
[ 50%, 10%, 25%] = 04.4 | 08.2 || 24.8 | 28.6 |
[ 50%, 30%,-10%] = -13.1 | -09.4 || 02.3 | 06.0 |
[ 50%, 30%, 25%] = 21.8 | 25.5 || 47.4 | 51.1 |
[ 50%, 50%,-10%] = -19.2 | -15.4 || -05.4 | -01.6 |
[ 50%, 50%, 25%] = 40.6 | 44.4 || 72.0 | 75.8 |
|--------------------------------------------------|
|-----------------------------------------------------------------|
| 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 00:42:33 EST 2020
| Setup Time => Mon Jan 27 00:42:33 EST 2020
| Finish Time => Mon Jan 27 00:42:33 EST 2020
| Setup Duration => 0 ms
| Run Duration => 161 ms
|-----------------------------------------------------------------|