|-----------------------------------------------------------------|
| 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 00:42:28 EST 2020
| Setup Time => Mon Jan 27 00:42:28 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------
Cap ATM Price : 2.73%
Floor ATM Price : 2.99%
-------------------------------------------------------------
atmfairpremium => 0.026384336754967194
calctime => 0.0178219
flatvolatility => 0.5000001179933549
price => 0.036737487008523605
pv => 0.036737487008523605
upfront => 0.036737487008523605
-------------------------------------------------------------
-------------------------------------------------------------
atmfairpremium => 0.026384336754967194
calctime => 0.013057000000000001
flatvolatility => 0.5000001179933549
price => 0.01481322100390819
pv => 0.01481322100390819
upfront => 0.01481322100390819
-------------------------------------------------------------
-------------------------------------------------------------
Price Implied Cap Volatility : 50.00%
Price Implied ATM Cap Volatility : 50.00%
Price Implied FRA Floor Volatility : 50.00%
Price Implied ATM Floor Volatility : 50.00%
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:42:28 EST 2020
| Setup Time => Mon Jan 27 00:42:28 EST 2020
| Finish Time => Mon Jan 27 00:42:29 EST 2020
| Setup Duration => 0 ms
| Run Duration => 990 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 00:42:29 EST 2020
| Setup Time => Mon Jan 27 00:42:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Printing the Cap/Floor Output in Order (Left -> Right):
Cap Price
Cap Flat Price Vol (%)
Floor Price
Floor Flat Price Vol (%)
-------------------------------------------------------------
-------------------------------------------------------------
[ 10%, 10%,-99%] = 0.0206 | 10.0% | 0.0009 | 10.0% ||
[ 10%, 10%,-50%] = 0.0216 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 10%, 00%] = 0.0227 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 10%, 50%] = 0.0238 | 10.0% | 0.0007 | 10.0% ||
[ 10%, 10%, 99%] = 0.0249 | 10.0% | 0.0007 | 10.0% ||
[ 10%, 15%,-99%] = 0.0196 | 10.0% | 0.0009 | 10.0% ||
[ 10%, 15%,-50%] = 0.0211 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 15%, 00%] = 0.0227 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 15%, 50%] = 0.0243 | 10.0% | 0.0007 | 10.0% ||
[ 10%, 15%, 99%] = 0.0260 | 10.0% | 0.0006 | 10.0% ||
[ 10%, 20%,-99%] = 0.0186 | 10.0% | 0.0010 | 10.0% ||
[ 10%, 20%,-50%] = 0.0206 | 10.0% | 0.0009 | 10.0% ||
[ 10%, 20%, 00%] = 0.0227 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 20%, 50%] = 0.0249 | 10.0% | 0.0007 | 10.0% ||
[ 10%, 20%, 99%] = 0.0271 | 10.0% | 0.0006 | 10.0% ||
[ 10%, 25%,-99%] = 0.0176 | 10.0% | 0.0011 | 10.0% ||
[ 10%, 25%,-50%] = 0.0200 | 10.0% | 0.0009 | 10.0% ||
[ 10%, 25%, 00%] = 0.0227 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 25%, 50%] = 0.0255 | 10.0% | 0.0007 | 10.0% ||
[ 10%, 25%, 99%] = 0.0283 | 10.0% | 0.0006 | 10.0% ||
[ 10%, 30%,-99%] = 0.0166 | 10.0% | 0.0011 | 10.0% ||
[ 10%, 30%,-50%] = 0.0195 | 10.0% | 0.0009 | 10.0% ||
[ 10%, 30%, 00%] = 0.0227 | 10.0% | 0.0008 | 10.0% ||
[ 10%, 30%, 50%] = 0.0260 | 10.0% | 0.0006 | 10.0% ||
[ 10%, 30%, 99%] = 0.0295 | 10.0% | 0.0006 | 10.0% ||
[ 20%, 10%,-99%] = 0.0212 | 20.0% | 0.0037 | 20.0% ||
[ 20%, 10%,-50%] = 0.0230 | 20.0% | 0.0033 | 20.0% ||
[ 20%, 10%, 00%] = 0.0249 | 20.0% | 0.0030 | 20.0% ||
[ 20%, 10%, 50%] = 0.0270 | 20.0% | 0.0027 | 20.0% ||
[ 20%, 10%, 99%] = 0.0290 | 20.0% | 0.0025 | 20.0% ||
[ 20%, 15%,-99%] = 0.0195 | 20.0% | 0.0040 | 20.0% ||
[ 20%, 15%,-50%] = 0.0221 | 20.0% | 0.0035 | 20.0% ||
[ 20%, 15%, 00%] = 0.0249 | 20.0% | 0.0030 | 20.0% ||
[ 20%, 15%, 50%] = 0.0280 | 20.0% | 0.0026 | 20.0% ||
[ 20%, 15%, 99%] = 0.0312 | 20.0% | 0.0023 | 20.0% ||
[ 20%, 20%,-99%] = 0.0179 | 20.0% | 0.0044 | 20.0% ||
[ 20%, 20%,-50%] = 0.0212 | 20.0% | 0.0037 | 20.0% ||
[ 20%, 20%, 00%] = 0.0249 | 20.0% | 0.0030 | 20.0% ||
[ 20%, 20%, 50%] = 0.0291 | 20.0% | 0.0025 | 20.0% ||
[ 20%, 20%, 99%] = 0.0335 | 20.0% | 0.0020 | 20.0% ||
[ 20%, 25%,-99%] = 0.0163 | 20.0% | 0.0049 | 20.0% ||
[ 20%, 25%,-50%] = 0.0203 | 20.0% | 0.0038 | 20.0% ||
[ 20%, 25%, 00%] = 0.0249 | 20.0% | 0.0030 | 20.0% ||
[ 20%, 25%, 50%] = 0.0301 | 20.0% | 0.0024 | 20.0% ||
[ 20%, 25%, 99%] = 0.0358 | 20.0% | 0.0019 | 20.0% ||
[ 20%, 30%,-99%] = 0.0149 | 20.0% | 0.0053 | 20.0% ||
[ 20%, 30%,-50%] = 0.0195 | 20.0% | 0.0040 | 20.0% ||
[ 20%, 30%, 00%] = 0.0249 | 20.0% | 0.0030 | 20.0% ||
[ 20%, 30%, 50%] = 0.0313 | 20.0% | 0.0022 | 20.0% ||
[ 20%, 30%, 99%] = 0.0383 | 20.0% | 0.0017 | 20.0% ||
[ 30%, 10%,-99%] = 0.0234 | 30.0% | 0.0079 | 30.0% ||
[ 30%, 10%,-50%] = 0.0258 | 30.0% | 0.0072 | 30.0% ||
[ 30%, 10%, 00%] = 0.0285 | 30.0% | 0.0066 | 30.0% ||
[ 30%, 10%, 50%] = 0.0314 | 30.0% | 0.0060 | 30.0% ||
[ 30%, 10%, 99%] = 0.0344 | 30.0% | 0.0054 | 30.0% ||
[ 30%, 15%,-99%] = 0.0211 | 30.0% | 0.0086 | 30.0% ||
[ 30%, 15%,-50%] = 0.0246 | 30.0% | 0.0076 | 30.0% ||
[ 30%, 15%, 00%] = 0.0285 | 30.0% | 0.0066 | 30.0% ||
[ 30%, 15%, 50%] = 0.0329 | 30.0% | 0.0057 | 30.0% ||
[ 30%, 15%, 99%] = 0.0376 | 30.0% | 0.0049 | 30.0% ||
[ 30%, 20%,-99%] = 0.0190 | 30.0% | 0.0094 | 30.0% ||
[ 30%, 20%,-50%] = 0.0233 | 30.0% | 0.0079 | 30.0% ||
[ 30%, 20%, 00%] = 0.0285 | 30.0% | 0.0066 | 30.0% ||
[ 30%, 20%, 50%] = 0.0344 | 30.0% | 0.0054 | 30.0% ||
[ 30%, 20%, 99%] = 0.0410 | 30.0% | 0.0045 | 30.0% ||
[ 30%, 25%,-99%] = 0.0170 | 30.0% | 0.0103 | 30.0% ||
[ 30%, 25%,-50%] = 0.0222 | 30.0% | 0.0083 | 30.0% ||
[ 30%, 25%, 00%] = 0.0285 | 30.0% | 0.0066 | 30.0% ||
[ 30%, 25%, 50%] = 0.0360 | 30.0% | 0.0052 | 30.0% ||
[ 30%, 25%, 99%] = 0.0447 | 30.0% | 0.0040 | 30.0% ||
[ 30%, 30%,-99%] = 0.0152 | 30.0% | 0.0111 | 30.0% ||
[ 30%, 30%,-50%] = 0.0210 | 30.0% | 0.0087 | 30.0% ||
[ 30%, 30%, 00%] = 0.0285 | 30.0% | 0.0066 | 30.0% ||
[ 30%, 30%, 50%] = 0.0377 | 30.0% | 0.0049 | 30.0% ||
[ 30%, 30%, 99%] = 0.0486 | 30.0% | 0.0036 | 30.0% ||
[ 40%, 10%,-99%] = 0.0260 | 40.0% | 0.0126 | 40.0% ||
[ 40%, 10%,-50%] = 0.0291 | 40.0% | 0.0116 | 40.0% ||
[ 40%, 10%, 00%] = 0.0325 | 40.0% | 0.0106 | 40.0% ||
[ 40%, 10%, 50%] = 0.0363 | 40.0% | 0.0097 | 40.0% ||
[ 40%, 10%, 99%] = 0.0403 | 40.0% | 0.0089 | 40.0% ||
[ 40%, 15%,-99%] = 0.0232 | 40.0% | 0.0136 | 40.0% ||
[ 40%, 15%,-50%] = 0.0275 | 40.0% | 0.0121 | 40.0% ||
[ 40%, 15%, 00%] = 0.0325 | 40.0% | 0.0106 | 40.0% ||
[ 40%, 15%, 50%] = 0.0383 | 40.0% | 0.0093 | 40.0% ||
[ 40%, 15%, 99%] = 0.0447 | 40.0% | 0.0081 | 40.0% ||
[ 40%, 20%,-99%] = 0.0206 | 40.0% | 0.0147 | 40.0% ||
[ 40%, 20%,-50%] = 0.0260 | 40.0% | 0.0126 | 40.0% ||
[ 40%, 20%, 00%] = 0.0325 | 40.0% | 0.0106 | 40.0% ||
[ 40%, 20%, 50%] = 0.0404 | 40.0% | 0.0089 | 40.0% ||
[ 40%, 20%, 99%] = 0.0494 | 40.0% | 0.0074 | 40.0% ||
[ 40%, 25%,-99%] = 0.0183 | 40.0% | 0.0159 | 40.0% ||
[ 40%, 25%,-50%] = 0.0245 | 40.0% | 0.0131 | 40.0% ||
[ 40%, 25%, 00%] = 0.0325 | 40.0% | 0.0106 | 40.0% ||
[ 40%, 25%, 50%] = 0.0426 | 40.0% | 0.0085 | 40.0% ||
[ 40%, 25%, 99%] = 0.0545 | 40.0% | 0.0067 | 40.0% ||
[ 40%, 30%,-99%] = 0.0161 | 40.0% | 0.0170 | 40.0% ||
[ 40%, 30%,-50%] = 0.0231 | 40.0% | 0.0137 | 40.0% ||
[ 40%, 30%, 00%] = 0.0325 | 40.0% | 0.0106 | 40.0% ||
[ 40%, 30%, 50%] = 0.0448 | 40.0% | 0.0081 | 40.0% ||
[ 40%, 30%, 99%] = 0.0601 | 40.0% | 0.0061 | 40.0% ||
[ 50%, 10%,-99%] = 0.0288 | 50.0% | 0.0173 | 50.0% ||
[ 50%, 10%,-50%] = 0.0325 | 50.0% | 0.0160 | 50.0% ||
[ 50%, 10%, 00%] = 0.0367 | 50.0% | 0.0148 | 50.0% ||
[ 50%, 10%, 50%] = 0.0414 | 50.0% | 0.0136 | 50.0% ||
[ 50%, 10%, 99%] = 0.0465 | 50.0% | 0.0126 | 50.0% ||
[ 50%, 15%,-99%] = 0.0253 | 50.0% | 0.0186 | 50.0% ||
[ 50%, 15%,-50%] = 0.0305 | 50.0% | 0.0167 | 50.0% ||
[ 50%, 15%, 00%] = 0.0367 | 50.0% | 0.0148 | 50.0% ||
[ 50%, 15%, 50%] = 0.0440 | 50.0% | 0.0131 | 50.0% ||
[ 50%, 15%, 99%] = 0.0522 | 50.0% | 0.0115 | 50.0% ||
[ 50%, 20%,-99%] = 0.0223 | 50.0% | 0.0199 | 50.0% ||
[ 50%, 20%,-50%] = 0.0287 | 50.0% | 0.0173 | 50.0% ||
[ 50%, 20%, 00%] = 0.0367 | 50.0% | 0.0148 | 50.0% ||
[ 50%, 20%, 50%] = 0.0466 | 50.0% | 0.0125 | 50.0% ||
[ 50%, 20%, 99%] = 0.0584 | 50.0% | 0.0105 | 50.0% ||
[ 50%, 25%,-99%] = 0.0196 | 50.0% | 0.0213 | 50.0% ||
[ 50%, 25%,-50%] = 0.0269 | 50.0% | 0.0179 | 50.0% ||
[ 50%, 25%, 00%] = 0.0367 | 50.0% | 0.0148 | 50.0% ||
[ 50%, 25%, 50%] = 0.0494 | 50.0% | 0.0120 | 50.0% ||
[ 50%, 25%, 99%] = 0.0652 | 50.0% | 0.0096 | 50.0% ||
[ 50%, 30%,-99%] = 0.0171 | 50.0% | 0.0226 | 50.0% ||
[ 50%, 30%,-50%] = 0.0253 | 50.0% | 0.0186 | 50.0% ||
[ 50%, 30%, 00%] = 0.0367 | 50.0% | 0.0148 | 50.0% ||
[ 50%, 30%, 50%] = 0.0524 | 50.0% | 0.0115 | 50.0% ||
[ 50%, 30%, 99%] = 0.0727 | 50.0% | 0.0088 | 50.0% ||
-------------------------------------------------------------
-------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 00:42:29 EST 2020
| Setup Time => Mon Jan 27 00:42:29 EST 2020
| Finish Time => Mon Jan 27 00:42:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 s 589 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
|-----------------------------------------------------------------|
---------------------------------------------------
---------------------------------------------------
Cap 03-FEB-1995 | 7.14% | 7.35% | 7.88% | 15.50% | 11 ||
Cap 03-FEB-1995 | 8.07% | 8.26% | 8.39% | 17.75% | 105 ||
Cap 03-FEB-1995 | 8.35% | 8.55% | 8.64% | 18.00% | 165 ||
Cap 03-FEB-1995 | 8.45% | 8.65% | 8.69% | 17.75% | 213 ||
Cap 03-FEB-1995 | 8.56% | 8.77% | 8.79% | 17.75% | 257 ||
Cap 03-FEB-1995 | 8.69% | 8.91% | 8.90% | 16.50% | 278 ||
Cap 03-FEB-1995 | 8.70% | 8.92% | 8.89% | 15.50% | 247 ||
---------------------------------------------------
---------------------------------------------------
Cap 03-FEB-1995 | 7.14% | 7.35% | 7.88% | 15.50% | 284 ||
Cap 03-FEB-1995 | 8.07% | 8.26% | 8.39% | 17.75% | 1069 ||
Cap 03-FEB-1995 | 8.35% | 8.55% | 8.64% | 18.00% | 1965 ||
Cap 03-FEB-1995 | 8.45% | 8.65% | 8.69% | 17.75% | 2890 ||
Cap 03-FEB-1995 | 8.56% | 8.77% | 8.79% | 17.75% | 3880 ||
Cap 03-FEB-1995 | 8.69% | 8.91% | 8.90% | 16.50% | 5463 ||
Cap 03-FEB-1995 | 8.70% | 8.92% | 8.89% | 15.50% | 7632 ||
---------------------------------------------------
----- CALIBRATED FORWARD VOLATILITY NODES --------
---------------------------------------------------
03-FEB-1995 => 15.50% | 15.50% ||
03-MAY-1995 => 15.50% | 15.50% ||
03-AUG-1995 => 17.93% | 18.27% ||
03-NOV-1995 => 17.93% | 18.27% ||
05-FEB-1996 => 17.93% | 18.27% ||
03-MAY-1996 => 17.93% | 18.27% ||
05-AUG-1996 => 18.04% | 17.99% ||
04-NOV-1996 => 18.04% | 17.99% ||
03-FEB-1997 => 18.04% | 17.99% ||
05-MAY-1997 => 18.04% | 17.99% ||
04-AUG-1997 => 17.45% | 17.43% ||
03-NOV-1997 => 17.45% | 17.43% ||
03-FEB-1998 => 17.45% | 17.43% ||
05-MAY-1998 => 17.45% | 17.43% ||
03-AUG-1998 => 17.80% | 17.79% ||
03-NOV-1998 => 17.80% | 17.79% ||
03-FEB-1999 => 17.80% | 17.79% ||
04-MAY-1999 => 17.80% | 17.79% ||
03-AUG-1999 => 13.67% | 14.45% ||
03-NOV-1999 => 13.67% | 14.45% ||
03-FEB-2000 => 13.67% | 14.45% ||
03-MAY-2000 => 13.67% | 14.45% ||
03-AUG-2000 => 13.67% | 14.45% ||
03-NOV-2000 => 13.67% | 14.45% ||
05-FEB-2001 => 13.67% | 14.45% ||
03-MAY-2001 => 13.67% | 14.45% ||
03-AUG-2001 => 13.67% | 13.80% ||
---------------------------------------------------
---------------------------------------------------
|-----------------------------------------------------------------|
| 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 => 135 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
|-----------------------------------------------------------------|
Cap 03-FEB-1995 | 7.14% | 7.35% | 7.88% | 15.50% | 11 ||
Cap 03-FEB-1995 | 8.07% | 8.26% | 8.39% | 17.75% | 105 ||
Cap 03-FEB-1995 | 8.35% | 8.55% | 8.64% | 18.00% | 165 ||
Cap 03-FEB-1995 | 8.45% | 8.65% | 8.69% | 17.75% | 213 ||
Cap 03-FEB-1995 | 8.56% | 8.77% | 8.79% | 17.75% | 257 ||
Cap 03-FEB-1995 | 8.69% | 8.91% | 8.90% | 16.50% | 278 ||
Cap 03-FEB-1995 | 8.70% | 8.92% | 8.89% | 15.50% | 247 ||
---------------------------------------------------
----- CALIBRATED FORWARD VOLATILITY NODES --------
---------------------------------------------------
03-FEB-1995 => 15.50% ||
03-MAY-1995 => 15.50% ||
03-AUG-1995 => 17.93% ||
03-NOV-1995 => 17.93% ||
05-FEB-1996 => 17.93% ||
03-MAY-1996 => 17.93% ||
05-AUG-1996 => 18.04% ||
04-NOV-1996 => 18.04% ||
03-FEB-1997 => 18.04% ||
05-MAY-1997 => 18.04% ||
04-AUG-1997 => 17.45% ||
03-NOV-1997 => 17.45% ||
03-FEB-1998 => 17.45% ||
05-MAY-1998 => 17.45% ||
03-AUG-1998 => 17.80% ||
03-NOV-1998 => 17.80% ||
03-FEB-1999 => 17.80% ||
04-MAY-1999 => 17.80% ||
03-AUG-1999 => 13.67% ||
03-NOV-1999 => 13.67% ||
03-FEB-2000 => 13.67% ||
03-MAY-2000 => 13.67% ||
03-AUG-2000 => 13.67% ||
03-NOV-2000 => 13.67% ||
05-FEB-2001 => 13.67% ||
03-MAY-2001 => 13.67% ||
03-AUG-2001 => 13.67% ||
---------------------------------------------------
---------------------------------------------------------------
Cap ATM Volatility 03-FEB-1995 | 00.27% | 07.14% | 13.14% ||
Cap ATM Volatility 03-FEB-1995 | 01.00% | 08.07% | 10.48% ||
Cap ATM Volatility 03-FEB-1995 | 01.85% | 08.35% | 16.63% ||
Cap ATM Volatility 03-FEB-1995 | 02.67% | 08.45% | 18.98% ||
Cap ATM Volatility 03-FEB-1995 | 03.60% | 08.56% | 20.75% ||
Cap ATM Volatility 03-FEB-1995 | 05.11% | 08.69% | 22.31% ||
Cap ATM Volatility 03-FEB-1995 | 07.03% | 08.70% | 24.67% ||
---------------------------------------------------------------
---------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 => 245 ms
|-----------------------------------------------------------------|