Standard output
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:48 EST 2020
| Setup Time => Mon Jan 27 01:15:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
FairPremium[0] = 99.99999998077129
FairPremium[1] = 99.99999999999041
FairPremium[2] = 99.99999999998552
FairPremium[3] = 99.99999999998658
FairPremium[4] = 99.99999999998535
------------------------------------------------------------------
atmmanifestmeasure => 100.04068705784779
atmprice => 0.0028622502653300663
calctime => 0.005637700000000001
charm => 3.672654041422951E-5
color => -4.22374421038905E-5
delta => -2.2817911798232948E-4
effectivevolatility => 0.4
expectedatmpayoff => 6.135252183032575
expectedpayoff => 6.618073262644941
forwardatmintrinsic => 6.135252183032575
forwardintrinsic => 6.618073262644941
fpgcharm => 0.07872357982842276
fpgcolor => -0.09053623368036381
fpgdelta => -0.4891034332953754
fpggamma => 0.026161855737669732
fpgrho => -8.060399148279059
fpgspeed => -3.083959437800156E-4
fpgtheta => -19.987892446945214
fpgultima => -1.2306973863341317
fpgvanna => 0.12467692733744193
fpgvega => 15.197337708526591
fpgveta => -52.14038973835409
fpgvomma => -0.12978939418264407
gamma => 1.220516717043227E-5
integratedsurfacevariance => 0.023216974674880226
manifestmeasureintrinsic => -1.0004068705784732
manifestmeasureintrinsicvalue => -4.6671509912342467E-4
manifestmeasurepricetransformer => 4.6652528371136866E-4
moneynessfactor => 0.9900990099009901
price => 0.0030874985064780545
prob1 => 0.4891034332953754
prob2 => 0.5497596533467352
pv => 0.0030874985064780545
rho => -0.003760379999477762
speed => -1.4387450516740708E-7
spotprice => 0.0030874985064780545
theta => -0.009324857194603438
ultima => -5.741514473223707E-4
upfront => 0.0030874985064780545
vanna => 5.816493889836179E-5
vega => 0.007089942286127849
veta => -0.024324810115506974
vomma => -6.055003394378469E-5
------------------------------------------------------------------
atmmanifestmeasure => 100.04068705784779
atmprice => 0.0028622502653300663
calctime => 0.0055868
charm => 3.672654041422951E-5
color => -4.22374421038905E-5
delta => 2.3834616572903917E-4
effectivevolatility => 0.4
expectedatmpayoff => 6.135252183032575
expectedpayoff => 5.617666392066468
forwardatmintrinsic => 6.135252183032575
forwardintrinsic => 5.617666392066468
fpgcharm => 0.07872357982842276
fpgcolor => -0.09053623368036381
fpgdelta => 0.5108965667046246
fpggamma => 0.026161855737669732
fpgrho => 6.6012790945863555
fpgspeed => -3.083959437800156E-4
fpgtheta => -21.731612243593283
fpgultima => -1.2306973863341317
fpgvanna => 0.12467692733744193
fpgvega => 15.197337708526591
fpgveta => -52.14038973835409
fpgvomma => -0.12978939418264407
gamma => 1.220516717043227E-5
integratedsurfacevariance => 0.023216974674880226
manifestmeasureintrinsic => 1.0004068705784732
manifestmeasureintrinsicvalue => 4.6671509912342467E-4
manifestmeasurepricetransformer => 4.6652528371136866E-4
moneynessfactor => 0.9900990099009901
price => 0.00262078340735463
prob1 => 0.5108965667046246
prob2 => 0.4502403466532649
pv => 0.00262078340735463
rho => 0.0030796636024598262
speed => -1.4387450516740708E-7
spotprice => 0.00262078340735463
theta => -0.010138346567447809
ultima => -5.741514473223707E-4
upfront => 0.00262078340735463
vanna => 5.816493889836179E-5
vega => 0.007089942286127849
veta => -0.024324810115506974
vomma => -6.055003394378469E-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 01:15:48 EST 2020
| Setup Time => Mon Jan 27 01:15:48 EST 2020
| Finish Time => Mon Jan 27 01:15:48 EST 2020
| Setup Duration => 0 ms
| Run Duration => 709 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:48 EST 2020
| Setup Time => Mon Jan 27 01:15:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|------------------------||
| CDS=2021/03/20 = 100.0 ||
| CDS=2022/03/20 = 100.0 ||
| CDS=2023/03/20 = 100.0 ||
| CDS=2024/03/20 = 100.0 ||
| CDS=2025/03/20 = 100.0 ||
|------------------------||
||-------------------------------------------------------------------||----------------------------------------------------------|||
|| |||
|| CDS Payer Receiver Option Analysis |||
|| --- ----- -------- ------ -------- |||
|| L -> R: |||
|| Forward CDS Fair Premium Log-normal Volatility |||
|| Receiver ATM Fair Premium (bp) |||
|| Receiver Clean DV01 |||
|| Receiver Manifest Measure Intrinsic |||
|| Receiver Manifest Measure Intrinsic Value |||
|| Receiver Moneyness Factor |||
|| Receiver Option Price |||
|| Payer ATM Fair Premium (bp) |||
|| Payer Clean DV01 |||
|| Payer Manifest Measure Intrinsic |||
|| Payer Manifest Measure Intrinsic Value |||
|| Payer Moneyness Factor |||
|| Payer Option Price |||
|| |||
||-------------------------------------------------------------------||----------------------------------------------------------|||
|| 10.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0008 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0006 |||
|| 15.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0012 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0010 |||
|| 20.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0015 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0013 |||
|| 25.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0019 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0017 |||
|| 30.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0023 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0020 |||
|| 35.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0026 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0024 |||
|| 40.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0030 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0027 |||
|| 45.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0033 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0031 |||
|| 50.0% => 100.04 | 0.05 | -50.0203 | -0.02 | 0.9950 | 0.0037 || 100.04 | 0.05 | 50.0203 | 0.02 | 0.9950 | 0.0034 |||
||-------------------------------------------------------------------||----------------------------------------------------------|||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:48 EST 2020
| Setup Time => Mon Jan 27 01:15:48 EST 2020
| Finish Time => Mon Jan 27 01:15:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 801 ms
|-----------------------------------------------------------------|