|-----------------------------------------------------------------|
| 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 01:15:49 EST 2020
| Setup Time => Mon Jan 27 01:15:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.3360%
[11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.3770%
[11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.7634%
[11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 1.1594%
[11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.7238%
[11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.3278%
[11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 3.0811%
[11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 3.0870%
[11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.6980%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 18.758, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.839, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.034, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.577, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.026, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.0865%
[11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.1938%
[11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.4889%
[11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 0.8863%
[11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.3866%
[11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.1030%
[11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 2.7613%
[11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 2.9038%
[11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.2960%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 18.762, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.849, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.050, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.609, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.055, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 1.087% | 1.050% | -04 | 0.9892
[11-DEC-2012 - 11-DEC-2014] = 1.169% | 1.150% | -02 | 0.9769
[11-DEC-2012 - 11-DEC-2015] = 1.252% | 1.225% | -03 | 0.9632
[11-DEC-2012 - 11-DEC-2016] = 1.354% | 1.325% | -03 | 0.9473
[11-DEC-2012 - 11-DEC-2017] = 1.450% | 1.425% | -03 | 0.9300
[11-DEC-2012 - 11-DEC-2019] = 1.515% | 1.500% | -02 | 0.8993
[11-DEC-2012 - 11-DEC-2022] = 1.500% | 1.500% | 00 | 0.8608
[11-DEC-2012 - 11-DEC-2027] = 1.490% | 1.525% | 04 | 0.8001
[11-DEC-2012 - 11-DEC-2032] = 1.467% | 1.525% | 06 | 0.7466
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.959, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.936, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.905, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.868, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.826, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.653, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.366, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.597, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.139]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 0.798% | 1.050% | 25 | 0.9921
[11-DEC-2012 - 11-DEC-2014] = 0.895% | 1.150% | 25 | 0.9823
[11-DEC-2012 - 11-DEC-2015] = 0.946% | 1.225% | 28 | 0.9721
[11-DEC-2012 - 11-DEC-2016] = 1.022% | 1.325% | 30 | 0.9599
[11-DEC-2012 - 11-DEC-2017] = 1.105% | 1.425% | 32 | 0.9462
[11-DEC-2012 - 11-DEC-2019] = 1.174% | 1.500% | 33 | 0.9210
[11-DEC-2012 - 11-DEC-2022] = 1.191% | 1.500% | 31 | 0.8877
[11-DEC-2012 - 11-DEC-2027] = 1.251% | 1.525% | 27 | 0.8284
[11-DEC-2012 - 11-DEC-2032] = 1.281% | 1.525% | 24 | 0.7731
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.956, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.931, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.896, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.855, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.809, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.631, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.337, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.565, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.107]
|-----------------------------------------------------------------|
| 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 01:15:49 EST 2020
| Setup Time => Mon Jan 27 01:15:49 EST 2020
| Finish Time => Mon Jan 27 01:15:54 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 449 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:54 EST 2020
| Setup Time => Mon Jan 27 01:15:54 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1376%
[11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2236%
[11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.4457%
[11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 0.8899%
[11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.3724%
[11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.1254%
[11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7249%
[11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0190%
[11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2675%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.294, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.688, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.294, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1407%
[11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2656%
[11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.5440%
[11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 1.0182%
[11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.4811%
[11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.2066%
[11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7938%
[11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0532%
[11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2488%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.292, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.679, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.285, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 0.644% | 0.500% | -14 | 0.9936
[13-DEC-2012 - 13-DEC-2014] = 0.642% | 0.500% | -14 | 0.9872
[13-DEC-2012 - 13-DEC-2015] = 1.543% | 1.375% | -17 | 0.9547
[13-DEC-2012 - 13-DEC-2016] = 2.443% | 2.250% | -19 | 0.9061
[13-DEC-2012 - 13-DEC-2017] = 2.958% | 2.750% | -21 | 0.8608
[13-DEC-2012 - 13-DEC-2019] = 3.215% | 3.000% | -21 | 0.7966
[13-DEC-2012 - 13-DEC-2022] = 3.205% | 3.000% | -20 | 0.7254
[13-DEC-2012 - 13-DEC-2027] = 2.919% | 2.750% | -17 | 0.6512
[13-DEC-2012 - 13-DEC-2032] = 2.385% | 2.250% | -14 | 0.6386
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 5.972, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.963, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.856, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.699, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.555, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.262, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.786, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.802, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.607]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 0.356% | 0.500% | 14 | 0.9964
[13-DEC-2012 - 13-DEC-2014] = 0.369% | 0.500% | 13 | 0.9926
[13-DEC-2012 - 13-DEC-2015] = 1.236% | 1.375% | 14 | 0.9635
[13-DEC-2012 - 13-DEC-2016] = 2.106% | 2.250% | 14 | 0.9185
[13-DEC-2012 - 13-DEC-2017] = 2.602% | 2.750% | 15 | 0.8764
[13-DEC-2012 - 13-DEC-2019] = 2.853% | 3.000% | 15 | 0.8171
[13-DEC-2012 - 13-DEC-2022] = 2.866% | 3.000% | 13 | 0.7500
[13-DEC-2012 - 13-DEC-2027] = 2.647% | 2.750% | 10 | 0.6763
[13-DEC-2012 - 13-DEC-2032] = 2.169% | 2.250% | 08 | 0.6627
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 5.969, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.958, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.847, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.686, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.538, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.240, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.757, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.771, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.575]
|-----------------------------------------------------------------|
| 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 01:15:54 EST 2020
| Setup Time => Mon Jan 27 01:15:54 EST 2020
| Finish Time => Mon Jan 27 01:15:58 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 282 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 01:15:58 EST 2020
| Setup Time => Mon Jan 27 01:15:58 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.000 | -3.000 | 0.3653%
[11-DEC-2012 - 11-DEC-2014] = -3.000 | -3.000 | 0.3555%
[11-DEC-2012 - 11-DEC-2015] = -2.750 | -2.750 | 0.7768%
[11-DEC-2012 - 11-DEC-2016] = -2.500 | -2.500 | 1.1444%
[11-DEC-2012 - 11-DEC-2017] = -1.750 | -1.750 | 1.6821%
[11-DEC-2012 - 11-DEC-2019] = -1.375 | -1.375 | 2.2195%
[11-DEC-2012 - 11-DEC-2022] = -1.375 | -1.375 | 2.8766%
[11-DEC-2012 - 11-DEC-2027] = -1.250 | -1.250 | 2.7408%
[11-DEC-2012 - 11-DEC-2032] = -1.250 | -1.250 | 2.5152%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.660, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 6.401, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 9.138, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 14.581, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 12.342, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.000 | -3.000 | 0.3680%
[11-DEC-2012 - 11-DEC-2014] = -3.000 | -3.000 | 0.3569%
[11-DEC-2012 - 11-DEC-2015] = -2.750 | -2.750 | 0.7785%
[11-DEC-2012 - 11-DEC-2016] = -2.500 | -2.500 | 1.1450%
[11-DEC-2012 - 11-DEC-2017] = -1.750 | -1.750 | 1.6806%
[11-DEC-2012 - 11-DEC-2019] = -1.375 | -1.375 | 2.2217%
[11-DEC-2012 - 11-DEC-2022] = -1.375 | -1.375 | 2.8753%
[11-DEC-2012 - 11-DEC-2027] = -1.250 | -1.250 | 2.7443%
[11-DEC-2012 - 11-DEC-2032] = -1.250 | -1.250 | 2.5111%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.660, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 6.401, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 9.138, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 14.580, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 12.342, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 1.426% | 1.250% | -18 | 0.9859
[13-DEC-2012 - 13-DEC-2014] = 1.420% | 1.250% | -17 | 0.9721
[13-DEC-2012 - 13-DEC-2015] = 1.559% | 1.375% | -18 | 0.9545
[13-DEC-2012 - 13-DEC-2016] = 1.570% | 1.375% | -19 | 0.9394
[13-DEC-2012 - 13-DEC-2017] = 1.945% | 1.750% | -20 | 0.9073
[13-DEC-2012 - 13-DEC-2019] = 2.693% | 2.500% | -19 | 0.8262
[13-DEC-2012 - 13-DEC-2022] = 2.932% | 2.750% | -18 | 0.7432
[13-DEC-2012 - 13-DEC-2027] = 3.150% | 3.000% | -15 | 0.6190
[13-DEC-2012 - 13-DEC-2032] = 3.126% | 3.000% | -13 | 0.5336
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.952, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.905, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.856, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.818, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.717, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.383, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.883, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.608, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.842]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 1.136% | 1.250% | 11 | 0.9887
[13-DEC-2012 - 13-DEC-2014] = 1.143% | 1.250% | 11 | 0.9775
[13-DEC-2012 - 13-DEC-2015] = 1.249% | 1.375% | 13 | 0.9633
[13-DEC-2012 - 13-DEC-2016] = 1.234% | 1.375% | 14 | 0.9521
[13-DEC-2012 - 13-DEC-2017] = 1.593% | 1.750% | 16 | 0.9234
[13-DEC-2012 - 13-DEC-2019] = 2.339% | 2.500% | 16 | 0.8470
[13-DEC-2012 - 13-DEC-2022] = 2.601% | 2.750% | 15 | 0.7681
[13-DEC-2012 - 13-DEC-2027] = 2.881% | 3.000% | 12 | 0.6433
[13-DEC-2012 - 13-DEC-2032] = 2.906% | 3.000% | 09 | 0.5549
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.950, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.899, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.847, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.805, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.700, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.361, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.855, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.577, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.811]
|-----------------------------------------------------------------|
| 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 01:15:58 EST 2020
| Setup Time => Mon Jan 27 01:15:58 EST 2020
| Finish Time => Mon Jan 27 01:16:01 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 628 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 01:16:01 EST 2020
| Setup Time => Mon Jan 27 01:16:01 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 2.125 | 2.125 | 0.0764%
[11-DEC-2012 - 11-DEC-2014] = 2.000 | 2.000 | 0.2111%
[11-DEC-2012 - 11-DEC-2015] = 2.000 | 2.000 | 0.3987%
[11-DEC-2012 - 11-DEC-2016] = 2.000 | 2.000 | 0.8813%
[11-DEC-2012 - 11-DEC-2017] = 1.750 | 1.750 | 1.3030%
[11-DEC-2012 - 11-DEC-2019] = 1.750 | 1.750 | 2.1689%
[11-DEC-2012 - 11-DEC-2022] = 1.750 | 1.750 | 2.6589%
[11-DEC-2012 - 11-DEC-2027] = 2.125 | 2.125 | 3.2038%
[11-DEC-2012 - 11-DEC-2032] = 2.125 | 2.125 | 2.1997%
[11-DEC-2012 - 11-DEC-2042] = 2.125 | 2.125 | 3.3821%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 27.438, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 48.040, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 68.814, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 112.087, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 98.168, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 2.125 | 2.125 | -0.0291%
[11-DEC-2012 - 11-DEC-2014] = 2.000 | 2.000 | 0.1649%
[11-DEC-2012 - 11-DEC-2015] = 2.000 | 2.000 | 0.3038%
[11-DEC-2012 - 11-DEC-2016] = 2.000 | 2.000 | 0.8308%
[11-DEC-2012 - 11-DEC-2017] = 1.750 | 1.750 | 1.2812%
[11-DEC-2012 - 11-DEC-2019] = 1.750 | 1.750 | 2.0677%
[11-DEC-2012 - 11-DEC-2022] = 1.750 | 1.750 | 2.6397%
[11-DEC-2012 - 11-DEC-2027] = 2.125 | 2.125 | 2.9967%
[11-DEC-2012 - 11-DEC-2032] = 2.125 | 2.125 | 2.2805%
[11-DEC-2012 - 11-DEC-2042] = 2.125 | 2.125 | 2.8702%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 27.440, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 48.043, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 68.820, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 112.096, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 98.175, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 1.874% | 1.750% | -12 | 0.9815
[13-DEC-2012 - 13-DEC-2014] = 1.869% | 1.750% | -12 | 0.9636
[13-DEC-2012 - 13-DEC-2015] = 1.886% | 1.750% | -14 | 0.9454
[13-DEC-2012 - 13-DEC-2016] = 2.149% | 2.000% | -15 | 0.9180
[13-DEC-2012 - 13-DEC-2017] = 2.160% | 2.000% | -16 | 0.8982
[13-DEC-2012 - 13-DEC-2019] = 2.159% | 2.000% | -16 | 0.8607
[13-DEC-2012 - 13-DEC-2022] = 2.270% | 2.125% | -14 | 0.7978
[13-DEC-2012 - 13-DEC-2027] = 2.232% | 2.125% | -11 | 0.7178
[13-DEC-2012 - 13-DEC-2032] = 2.205% | 2.125% | -08 | 0.6467
[13-DEC-2012 - 13-DEC-2042] = 2.181% | 2.125% | -06 | 0.5247
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 5.898, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.865, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.815, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.731, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.674, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.504, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 31.130, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 45.281, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.729, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 86.455]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 1.583% | 1.750% | 17 | 0.9843
[13-DEC-2012 - 13-DEC-2014] = 1.590% | 1.750% | 16 | 0.9689
[13-DEC-2012 - 13-DEC-2015] = 1.573% | 1.750% | 18 | 0.9542
[13-DEC-2012 - 13-DEC-2016] = 1.810% | 2.000% | 19 | 0.9305
[13-DEC-2012 - 13-DEC-2017] = 1.805% | 2.000% | 20 | 0.9142
[13-DEC-2012 - 13-DEC-2019] = 1.805% | 2.000% | 19 | 0.8820
[13-DEC-2012 - 13-DEC-2022] = 1.945% | 2.125% | 18 | 0.8236
[13-DEC-2012 - 13-DEC-2027] = 1.975% | 2.125% | 15 | 0.7444
[13-DEC-2012 - 13-DEC-2032] = 2.002% | 2.125% | 12 | 0.6709
[13-DEC-2012 - 13-DEC-2042] = 2.027% | 2.125% | 10 | 0.5452
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 5.895, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.859, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.806, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.718, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.658, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.481, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 31.102, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 45.249, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.697, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 86.422]
|-----------------------------------------------------------------|
| 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 01:16:01 EST 2020
| Setup Time => Mon Jan 27 01:16:01 EST 2020
| Finish Time => Mon Jan 27 01:16:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 4 s 235 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 01:16:05 EST 2020
| Setup Time => Mon Jan 27 01:16:05 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 0.500 | 0.500 | -0.1474%
[11-DEC-2012 - 11-DEC-2014] = 0.500 | 0.500 | 0.1068%
[11-DEC-2012 - 11-DEC-2015] = 0.250 | 0.250 | 0.1401%
[11-DEC-2012 - 11-DEC-2016] = 0.000 | 0.000 | 0.6761%
[11-DEC-2012 - 11-DEC-2017] = -0.250 | -0.250 | 1.0663%
[11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 1.8972%
[11-DEC-2012 - 11-DEC-2022] = -2.750 | -2.750 | 2.3679%
[11-DEC-2012 - 11-DEC-2027] = -4.250 | -4.250 | 2.9903%
[11-DEC-2012 - 11-DEC-2032] = -4.500 | -4.500 | 2.1068%
[11-DEC-2012 - 11-DEC-2042] = -4.500 | -4.500 | 3.1465%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 34.358, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 60.157, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 86.172, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 140.343, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 122.876, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 0.500 | 0.500 | -0.1873%
[11-DEC-2012 - 11-DEC-2014] = 0.500 | 0.500 | 0.0920%
[11-DEC-2012 - 11-DEC-2015] = 0.250 | 0.250 | 0.1700%
[11-DEC-2012 - 11-DEC-2016] = -0.000 | 0.000 | 0.7256%
[11-DEC-2012 - 11-DEC-2017] = -0.250 | -0.250 | 1.1599%
[11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2186%
[11-DEC-2012 - 11-DEC-2022] = -2.750 | -2.750 | 2.7477%
[11-DEC-2012 - 11-DEC-2027] = -4.250 | -4.250 | 3.4705%
[11-DEC-2012 - 11-DEC-2032] = -4.500 | -4.500 | 2.2372%
[11-DEC-2012 - 11-DEC-2042] = -4.500 | -4.500 | 3.8010%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 34.359, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 60.159, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 86.173, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 140.341, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 122.868, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 0.389% | 0.250% | -14 | 0.9961
[11-DEC-2012 - 11-DEC-2014] = 0.381% | 0.250% | -13 | 0.9924
[11-DEC-2012 - 11-DEC-2015] = 0.399% | 0.250% | -15 | 0.9881
[11-DEC-2012 - 11-DEC-2016] = 0.664% | 0.500% | -16 | 0.9737
[11-DEC-2012 - 11-DEC-2017] = 0.673% | 0.500% | -17 | 0.9668
[11-DEC-2012 - 11-DEC-2019] = 1.432% | 1.250% | -18 | 0.9027
[11-DEC-2012 - 11-DEC-2022] = 2.938% | 2.750% | -19 | 0.7294
[11-DEC-2012 - 11-DEC-2027] = 4.435% | 4.250% | -18 | 0.4642
[11-DEC-2012 - 11-DEC-2032] = 4.674% | 4.500% | -17 | 0.3443
[11-DEC-2012 - 11-DEC-2042] = 4.665% | 4.500% | -16 | 0.2177
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 6.984, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.989, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.985, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.956, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.947, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.722, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 40.869, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.274, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 76.792, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 108.556]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = 0.102% | 0.250% | 15 | 0.9990
[11-DEC-2012 - 11-DEC-2014] = 0.109% | 0.250% | 14 | 0.9978
[11-DEC-2012 - 11-DEC-2015] = 0.096% | 0.250% | 15 | 0.9971
[11-DEC-2012 - 11-DEC-2016] = 0.337% | 0.500% | 16 | 0.9866
[11-DEC-2012 - 11-DEC-2017] = 0.333% | 0.500% | 17 | 0.9834
[11-DEC-2012 - 11-DEC-2019] = 1.096% | 1.250% | 15 | 0.9247
[11-DEC-2012 - 11-DEC-2022] = 2.623% | 2.750% | 13 | 0.7543
[11-DEC-2012 - 11-DEC-2027] = 4.165% | 4.250% | 09 | 0.4855
[11-DEC-2012 - 11-DEC-2032] = 4.439% | 4.500% | 06 | 0.3610
[11-DEC-2012 - 11-DEC-2042] = 4.462% | 4.500% | 04 | 0.2292
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 6.981, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.983, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.976, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.943, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.930, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.699, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 40.841, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.243, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 76.761, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 108.525]
|-----------------------------------------------------------------|
| 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 01:16:05 EST 2020
| Setup Time => Mon Jan 27 01:16:05 EST 2020
| Finish Time => Mon Jan 27 01:16:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 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 01:16:09 EST 2020
| Setup Time => Mon Jan 27 01:16:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3728%
[11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3593%
[11-DEC-2012 - 11-DEC-2015] = -3.250 | -3.250 | 0.7868%
[11-DEC-2012 - 11-DEC-2016] = -3.250 | -3.250 | 1.1563%
[11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.7027%
[11-DEC-2012 - 11-DEC-2019] = -4.000 | -4.000 | 2.2728%
[11-DEC-2012 - 11-DEC-2022] = -6.000 | -6.000 | 2.9980%
[11-DEC-2012 - 11-DEC-2027] = -12.000 | -12.000 | 2.8986%
[11-DEC-2012 - 11-DEC-2032] = -16.750 | -16.750 | 2.5907%
[11-DEC-2012 - 11-DEC-2042] = -24.750 | -24.750 | 2.2612%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.190, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.328, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.462, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.707, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.577, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3728%
[11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3593%
[11-DEC-2012 - 11-DEC-2015] = -3.250 | -3.250 | 0.7868%
[11-DEC-2012 - 11-DEC-2016] = -3.250 | -3.250 | 1.1563%
[11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.7028%
[11-DEC-2012 - 11-DEC-2019] = -4.000 | -4.000 | 2.2728%
[11-DEC-2012 - 11-DEC-2022] = -6.000 | -6.000 | 2.9980%
[11-DEC-2012 - 11-DEC-2027] = -12.000 | -12.000 | 2.8987%
[11-DEC-2012 - 11-DEC-2032] = -16.750 | -16.750 | 2.5907%
[11-DEC-2012 - 11-DEC-2042] = -24.750 | -24.750 | 2.2613%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.190, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.328, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.462, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.707, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.577, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 0.504% | 0.325% | -18 | 0.9949
[13-DEC-2012 - 13-DEC-2014] = 0.497% | 0.325% | -17 | 0.9901
[13-DEC-2012 - 13-DEC-2015] = 0.535% | 0.350% | -19 | 0.9841
[13-DEC-2012 - 13-DEC-2016] = 0.548% | 0.350% | -20 | 0.9783
[13-DEC-2012 - 13-DEC-2017] = 0.556% | 0.350% | -21 | 0.9725
[13-DEC-2012 - 13-DEC-2019] = 0.608% | 0.400% | -21 | 0.9583
[13-DEC-2012 - 13-DEC-2022] = 0.811% | 0.600% | -21 | 0.9215
[13-DEC-2012 - 13-DEC-2027] = 1.437% | 1.200% | -24 | 0.7992
[13-DEC-2012 - 13-DEC-2032] = 1.935% | 1.675% | -26 | 0.6595
[13-DEC-2012 - 13-DEC-2042] = 2.807% | 2.475% | -33 | 0.3642
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 4.994, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.985, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.978, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.972, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.967, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.921, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.764, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.927, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.016, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 114.275]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 0.217% | 0.325% | 11 | 0.9978
[13-DEC-2012 - 13-DEC-2014] = 0.225% | 0.325% | 10 | 0.9955
[13-DEC-2012 - 13-DEC-2015] = 0.232% | 0.350% | 12 | 0.9931
[13-DEC-2012 - 13-DEC-2016] = 0.220% | 0.350% | 13 | 0.9912
[13-DEC-2012 - 13-DEC-2017] = 0.216% | 0.350% | 13 | 0.9892
[13-DEC-2012 - 13-DEC-2019] = 0.275% | 0.400% | 13 | 0.9809
[13-DEC-2012 - 13-DEC-2022] = 0.511% | 0.600% | 09 | 0.9497
[13-DEC-2012 - 13-DEC-2027] = 1.201% | 1.200% | -00 | 0.8284
[13-DEC-2012 - 13-DEC-2032] = 1.745% | 1.675% | -07 | 0.6853
[13-DEC-2012 - 13-DEC-2042] = 2.650% | 2.475% | -17 | 0.3822
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 4.991, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 9.980, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 13.969, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.959, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.950, 0.000, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.898, 0.000, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.735, 0.000, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.894, 0.000, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 79.984, 0.000]
30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 114.243]
|-----------------------------------------------------------------|
| 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 01:16:09 EST 2020
| Setup Time => Mon Jan 27 01:16:09 EST 2020
| Finish Time => Mon Jan 27 01:16:14 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 878 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 01:16:14 EST 2020
| Setup Time => Mon Jan 27 01:16:14 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -6.000 | -6.000 | -0.0013%
[11-DEC-2012 - 11-DEC-2014] = -6.000 | -6.000 | 0.0209%
[11-DEC-2012 - 11-DEC-2015] = -6.000 | -6.000 | 0.0027%
[11-DEC-2012 - 11-DEC-2016] = -5.750 | -5.750 | 0.0162%
[11-DEC-2012 - 11-DEC-2017] = -5.750 | -5.750 | 0.0044%
[11-DEC-2012 - 11-DEC-2019] = -5.750 | -5.750 | 0.0213%
[11-DEC-2012 - 11-DEC-2022] = -5.750 | -5.750 | -0.0017%
[11-DEC-2012 - 11-DEC-2027] = -6.000 | -6.000 | 0.0352%
[11-DEC-2012 - 11-DEC-2032] = -6.000 | -6.000 | -0.0201%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.384, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.922, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 8.461, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 13.543, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 11.503, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -6.000 | -6.000 | 0.0033%
[11-DEC-2012 - 11-DEC-2014] = -6.000 | -6.000 | 0.0235%
[11-DEC-2012 - 11-DEC-2015] = -6.000 | -6.000 | 0.0066%
[11-DEC-2012 - 11-DEC-2016] = -5.750 | -5.750 | 0.0184%
[11-DEC-2012 - 11-DEC-2017] = -5.750 | -5.750 | 0.0086%
[11-DEC-2012 - 11-DEC-2019] = -5.750 | -5.750 | 0.0231%
[11-DEC-2012 - 11-DEC-2022] = -5.750 | -5.750 | 0.0038%
[11-DEC-2012 - 11-DEC-2027] = -6.000 | -6.000 | 0.0360%
[11-DEC-2012 - 11-DEC-2032] = -6.000 | -6.000 | -0.0121%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.384, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.922, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 8.461, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 13.542, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 11.503, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 5.966% | 5.750% | -22 | 0.9434
[13-DEC-2012 - 13-DEC-2014] = 5.964% | 5.750% | -21 | 0.8903
[13-DEC-2012 - 13-DEC-2015] = 5.987% | 5.750% | -24 | 0.8396
[13-DEC-2012 - 13-DEC-2016] = 6.005% | 5.750% | -25 | 0.7916
[13-DEC-2012 - 13-DEC-2017] = 6.269% | 6.000% | -27 | 0.7363
[13-DEC-2012 - 13-DEC-2019] = 6.280% | 6.000% | -28 | 0.6516
[13-DEC-2012 - 13-DEC-2022] = 6.278% | 6.000% | -28 | 0.5428
[13-DEC-2012 - 13-DEC-2027] = 6.259% | 6.000% | -26 | 0.4020
[13-DEC-2012 - 13-DEC-2032] = 6.241% | 6.000% | -24 | 0.2983
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.784, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.569, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.408, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.247, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.048, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 21.560, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 29.647, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 42.440, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 55.983]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 5.663% | 5.750% | 09 | 0.9461
[13-DEC-2012 - 13-DEC-2014] = 5.669% | 5.750% | 08 | 0.8953
[13-DEC-2012 - 13-DEC-2015] = 5.650% | 5.750% | 10 | 0.8478
[13-DEC-2012 - 13-DEC-2016] = 5.631% | 5.750% | 12 | 0.8031
[13-DEC-2012 - 13-DEC-2017] = 5.870% | 6.000% | 13 | 0.7506
[13-DEC-2012 - 13-DEC-2019] = 5.867% | 6.000% | 13 | 0.6700
[13-DEC-2012 - 13-DEC-2022] = 5.879% | 6.000% | 12 | 0.5638
[13-DEC-2012 - 13-DEC-2027] = 5.917% | 6.000% | 08 | 0.4206
[13-DEC-2012 - 13-DEC-2032] = 5.947% | 6.000% | 05 | 0.3124
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.782, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.564, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.399, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.235, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.033, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 21.539, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 29.620, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 42.410, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 55.953]
|-----------------------------------------------------------------|
| 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 01:16:14 EST 2020
| Setup Time => Mon Jan 27 01:16:14 EST 2020
| Finish Time => Mon Jan 27 01:16:17 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 550 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 01:16:17 EST 2020
| Setup Time => Mon Jan 27 01:16:17 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3465%
[11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3477%
[11-DEC-2012 - 11-DEC-2015] = -3.500 | -3.500 | 0.7686%
[11-DEC-2012 - 11-DEC-2016] = -3.500 | -3.500 | 1.1386%
[11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.6813%
[11-DEC-2012 - 11-DEC-2019] = -3.500 | -3.500 | 2.2267%
[11-DEC-2012 - 11-DEC-2022] = -3.500 | -3.500 | 2.9636%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 6.751, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 11.811, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 16.868, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 26.953, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.850, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3571%
[11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3535%
[11-DEC-2012 - 11-DEC-2015] = -3.500 | -3.500 | 0.7779%
[11-DEC-2012 - 11-DEC-2016] = -3.500 | -3.500 | 1.1451%
[11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.6901%
[11-DEC-2012 - 11-DEC-2019] = -3.500 | -3.500 | 2.2324%
[11-DEC-2012 - 11-DEC-2022] = -3.500 | -3.500 | 2.9756%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 6.751, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 11.811, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 16.867, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 26.952, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.850, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 3.686% | 3.500% | -19 | 0.9644
[13-DEC-2012 - 13-DEC-2014] = 3.681% | 3.500% | -18 | 0.9303
[13-DEC-2012 - 13-DEC-2015] = 3.701% | 3.500% | -20 | 0.8968
[13-DEC-2012 - 13-DEC-2016] = 3.717% | 3.500% | -22 | 0.8643
[13-DEC-2012 - 13-DEC-2017] = 3.727% | 3.500% | -23 | 0.8330
[13-DEC-2012 - 13-DEC-2019] = 3.730% | 3.500% | -23 | 0.7742
[13-DEC-2012 - 13-DEC-2022] = 3.719% | 3.500% | -22 | 0.6946
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.867, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.733, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.634, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.535, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.437, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.144, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.594]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 3.388% | 3.500% | 11 | 0.9671
[13-DEC-2012 - 13-DEC-2014] = 3.394% | 3.500% | 11 | 0.9354
[13-DEC-2012 - 13-DEC-2015] = 3.376% | 3.500% | 12 | 0.9053
[13-DEC-2012 - 13-DEC-2016] = 3.362% | 3.500% | 14 | 0.8763
[13-DEC-2012 - 13-DEC-2017] = 3.353% | 3.500% | 15 | 0.8483
[13-DEC-2012 - 13-DEC-2019] = 3.352% | 3.500% | 15 | 0.7943
[13-DEC-2012 - 13-DEC-2022] = 3.366% | 3.500% | 13 | 0.7186
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.864, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.728, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.626, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.523, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.420, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.122, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.566]
|-----------------------------------------------------------------|
| 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 01:16:17 EST 2020
| Setup Time => Mon Jan 27 01:16:17 EST 2020
| Finish Time => Mon Jan 27 01:16:19 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 s 478 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 01:16:19 EST 2020
| Setup Time => Mon Jan 27 01:16:19 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -5.250 | -5.250 | 0.3671%
[11-DEC-2012 - 11-DEC-2014] = -4.000 | -4.000 | 0.3571%
[11-DEC-2012 - 11-DEC-2015] = -2.500 | -2.500 | 0.7804%
[11-DEC-2012 - 11-DEC-2016] = -1.750 | -1.750 | 1.1492%
[11-DEC-2012 - 11-DEC-2017] = -1.500 | -1.500 | 1.6943%
[11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2611%
[11-DEC-2012 - 11-DEC-2022] = -1.250 | -1.250 | 2.9792%
[11-DEC-2012 - 11-DEC-2027] = 0.000 | -0.000 | 2.8836%
[11-DEC-2012 - 11-DEC-2032] = -0.000 | -0.000 | 2.5640%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.013, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.272, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 7.543, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 12.246, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 10.687, 0.000, 0.000, 0.000]
----------------------------------------------------------------
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] = -5.250 | -5.250 | 0.3702%
[11-DEC-2012 - 11-DEC-2014] = -4.000 | -4.000 | 0.3571%
[11-DEC-2012 - 11-DEC-2015] = -2.500 | -2.500 | 0.7803%
[11-DEC-2012 - 11-DEC-2016] = -1.750 | -1.750 | 1.1488%
[11-DEC-2012 - 11-DEC-2017] = -1.500 | -1.500 | 1.6949%
[11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2608%
[11-DEC-2012 - 11-DEC-2022] = -1.250 | -1.250 | 2.9807%
[11-DEC-2012 - 11-DEC-2027] = -0.000 | -0.000 | 2.8796%
[11-DEC-2012 - 11-DEC-2032] = 0.000 | -0.000 | 2.5704%
----------------------------------------------------------------
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 3.013, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.272, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 7.543, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 12.246, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 10.687, 0.000, 0.000, 0.000]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 1.199% | 1.000% | -20 | 0.9881
[13-DEC-2012 - 13-DEC-2014] = 1.179% | 1.000% | -18 | 0.9768
[13-DEC-2012 - 13-DEC-2015] = 1.431% | 1.250% | -18 | 0.9581
[13-DEC-2012 - 13-DEC-2016] = 1.436% | 1.250% | -19 | 0.9444
[13-DEC-2012 - 13-DEC-2017] = 1.691% | 1.500% | -19 | 0.9190
[13-DEC-2012 - 13-DEC-2019] = 1.939% | 1.750% | -19 | 0.8729
[13-DEC-2012 - 13-DEC-2022] = 2.676% | 2.500% | -18 | 0.7601
[13-DEC-2012 - 13-DEC-2027] = 4.137% | 4.000% | -14 | 0.5034
[13-DEC-2012 - 13-DEC-2032] = 5.370% | 5.250% | -12 | 0.2599
----------------------------------------------------------------------
CCBS DERIVED BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.962, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.924, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.869, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.834, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.758, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.568, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.983, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 43.858, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 56.664]
----------------------------------------------------------------
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2013] = 0.909% | 1.000% | 09 | 0.9909
[13-DEC-2012 - 13-DEC-2014] = 0.904% | 1.000% | 10 | 0.9821
[13-DEC-2012 - 13-DEC-2015] = 1.122% | 1.250% | 13 | 0.9670
[13-DEC-2012 - 13-DEC-2016] = 1.101% | 1.250% | 15 | 0.9570
[13-DEC-2012 - 13-DEC-2017] = 1.342% | 1.500% | 16 | 0.9351
[13-DEC-2012 - 13-DEC-2019] = 1.590% | 1.750% | 16 | 0.8943
[13-DEC-2012 - 13-DEC-2022] = 2.353% | 2.500% | 15 | 0.7853
[13-DEC-2012 - 13-DEC-2027] = 3.866% | 4.000% | 13 | 0.5251
[13-DEC-2012 - 13-DEC-2032] = 5.133% | 5.250% | 12 | 0.2739
----------------------------------------------------------------------
CCBS REFERENCE BASIS TENOR JACOBIAN
----------------------------------------------------------------------
1Y => Wengert{0} => [ 3.960, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
2Y => Wengert{0} => [ 0.000, 7.919, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
3Y => Wengert{0} => [ 0.000, 0.000, 10.860, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.821, 0.000, 0.000, 0.000, 0.000, 0.000]
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.741, 0.000, 0.000, 0.000, 0.000]
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.546, 0.000, 0.000, 0.000]
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.954, 0.000, 0.000]
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 43.827, 0.000]
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 56.634]
|-----------------------------------------------------------------|
| 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 01:16:19 EST 2020
| Setup Time => Mon Jan 27 01:16:19 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 301 ms
|-----------------------------------------------------------------|