|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE AMORTIZING/ACCRUING SWAP METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance Accruing Swap Rate
- In Advance Amortizing Swap Rate
- In Advance Accruing Swap Rate Shift
- In Advance Amortizing Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.6696% | 1 | 1.6500% | -1
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.0804% | 2 | 2.0384% | -2
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.4365% | 3 | 2.3817% | -3
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.7288% | 4 | 2.6479% | -4
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 2.9659% | 5 | 2.8695% | -5
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 3.1600% | 5 | 3.0545% | -6
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.3119% | 5 | 3.2019% | -6
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.4593% | 6 | 3.3328% | -7
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.5735% | 6 | 3.4371% | -7
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.8188% | 7 | 3.6691% | -8
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 4.0035% | 7 | 3.8378% | -9
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 4.0951% | 8 | 3.9206% | -10
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.1446% | 7 | 3.9674% | -10
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.1581% | 7 | 3.9901% | -10
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.1523% | 6 | 3.9944% | -10
-------------------------------------------------------------------------------
IN-ADVANCE AMORTIZING/ACCRUING SWAP DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance Accruing Swap DV01
- In Advance Accruing Swap DV01 Shift
- In Advance Amortizing Swap DV01
- In Advance Amortizing Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 04.0 | 0.08 | 03.8 | -0.08
[27-JAN-2025] = 04.8 | 04.9 | 0.13 | 04.7 | -0.13
[27-JAN-2026] = 05.7 | 05.9 | 0.18 | 05.5 | -0.18
[27-JAN-2027] = 06.5 | 06.8 | 0.27 | 06.2 | -0.27
[27-JAN-2028] = 07.3 | 07.7 | 0.35 | 07.0 | -0.35
[27-JAN-2029] = 08.1 | 08.5 | 0.42 | 07.6 | -0.42
[27-JAN-2030] = 08.8 | 09.3 | 0.50 | 08.3 | -0.50
[27-JAN-2031] = 09.5 | 10.1 | 0.60 | 08.9 | -0.60
[27-JAN-2032] = 10.1 | 10.8 | 0.70 | 09.4 | -0.70
[27-JAN-2035] = 11.9 | 12.9 | 0.96 | 10.9 | -0.96
[27-JAN-2040] = 14.3 | 15.8 | 1.47 | 12.8 | -1.50
[27-JAN-2045] = 16.3 | 18.2 | 1.98 | 14.2 | -2.04
[27-JAN-2050] = 17.8 | 20.2 | 2.43 | 15.3 | -2.53
[27-JAN-2060] = 20.0 | 23.3 | 3.30 | 16.5 | -3.47
[27-JAN-2070] = 21.5 | 25.5 | 3.97 | 17.3 | -4.20
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
accrued => 0.00000000 |
calctime => 0.00066400 |
calibfloatingpv => 0.32298989 |
calibswaprate => 0.03764829 |
cleanfixeddv01 => 857.91377539 |
cleanfloatingdv01 => -857.91377539 |
cleanfloatingpv => -322989.89195232 |
cleanprice => 99.99997628 |
cleanpv => -237198.51441300 |
cumulativeconvexityadjustmentpremium => 0.00000000 |
cumulativecouponamount => 0.00000000 |
cumulativecoupondcf => 0.00000000 |
derivedaccrued => 0.00000000 |
derivedaccrued01 => 0.00000000 |
derivedcleandv01 => -857.91377539 |
derivedcleanpv => -322989.89195232 |
derivedcumulativeconvexityadjustmentfactor => 1.00000000 |
derivedcumulativeconvexityadjustmentpremium => -0.00000000 |
derivedcumulativecouponamount => 0.00000000 |
derivedcumulativecoupondcf => 0.00000000 |
deriveddirtydv01 => -857.91377539 |
deriveddirtypv => -322989.89195232 |
deriveddv01 => -857.91377539 |
derivedfixing01 => 0.00000000 |
derivedparbasisspread => -276.48293012 |
derivedpv => -322989.89195232 |
derivedresetdate => -2147483648.00000000 |
derivedresetrate => ? |
dirtyfixeddv01 => 857.91377539 |
dirtyfixedpv => 85791.37753932 |
dirtyfloatingdv01 => -857.91377539 |
dirtyfloatingpv => -322989.89195232 |
dirtyprice => 99.99997628 |
dirtypv => -237198.51441300 |
fairpremium => 0.03764829 |
fixedaccrued => 0.00000000 |
fixedaccrued01 => 0.00000000 |
fixeddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@accrualcoupon => ? |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@accrued => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@accrued01 => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@calctime => 0.00013390 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@compoundingadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativecouponamount => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cumulativecoupondcf => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@cv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@dirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@dirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@dirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@dv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fixing01 => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentfactor => 1.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentpremium => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentpremiumupfront => 0.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@parrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@price => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@pv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@rate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@resetdate => -2147483648.00000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@resetrate => ? |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@totalcoupon => 0.20000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedcleandv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedcleanprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedcleanpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjusteddirtydv01 => 857.91377539 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjusteddirtyprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjusteddirtypv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedfairpremium => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedparrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedprice => 108.57913775 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedpv => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedrate => 0.01000000 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@unadjustedupfront => 85791.37753932 |
fixedstream::usd/usd::6::{27-jan-2021->27-jan-2031}@upfront => 85791.37753932 |
fixing01 => 0.00000000 |
floataccrued => 0.00000000 |
floataccrued01 => 0.00000000 |
floatdv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@accrualcoupon => ? |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@accrued => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@accrued01 => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@calctime => 0.00016460 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@compoundingadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditforwardconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfundingconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@creditfxconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativeconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativecouponamount => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cumulativecoupondcf => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@cv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@dirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@dirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@dirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@dv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fixing01 => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfundingconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@forwardfxconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjusteddv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentfactor => 1.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentpremium => 0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@fundingfxconvexityadjustmentpremiumupfront => -0.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@parrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@price => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@pv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@rate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@resetdate => -2147483648.00000000 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@resetrate => ? |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@totalcoupon => 0.78074097 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedcleandv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedcleanprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedcleanpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjusteddirtydv01 => -857.91377539 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjusteddirtyprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjusteddirtypv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedfairpremium => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedparrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedprice => 132.29898920 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedpv => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedrate => 0.03764829 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@unadjustedupfront => -322989.89195232 |
floatstream::usd::usd-libor-6m::{27-jan-2021->27-jan-2031}@upfront => -322989.89195232 |
initialnotional => 1000000.00000000 |
parfixedcoupon => 0.03764829 |
parrate => 0.03764829 |
parswaprate => 0.03764829 |
price => 99.99997628 |
pv => -237198.51441300 |
rate => 0.03764829 |
referenceaccrued => 0.00000000 |
referenceaccrued01 => 0.00000000 |
referencecleandv01 => 857.91377539 |
referencecleanpv => 85791.37753932 |
referencecumulativeconvexityadjustmentfactor => 1.00000000 |
referencecumulativeconvexityadjustmentpremium => 0.00000000 |
referencecumulativecouponamount => 0.00000000 |
referencecumulativecoupondcf => 0.00000000 |
referencedirtydv01 => 857.91377539 |
referencedirtypv => 85791.37753932 |
referencedv01 => 857.91377539 |
referenceparbasisspread => 276.48293012 |
referencepv => 85791.37753932 |
resetdate => -2147483648.00000000 |
resetrate => ? |
swaprate => 0.03764829 |
upfront => -237198.51441300 |
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 66 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE W+W/O IMM SWAP INSTRUMENTS METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance IMM Swap Rate
- In Advance IMM Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.7614% | 10
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.1599% | 10
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.5004% | 9
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.7717% | 8
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 2.9965% | 8
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 3.1777% | 7
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.3239% | 6
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.4598% | 6
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.5660% | 6
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.7964% | 5
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 3.9673% | 4
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 4.0525% | 3
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.0994% | 3
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.1156% | 3
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.1140% | 2
-------------------------------------------------------------------------------
IN-ADVANCE W+W/O IMM SWAP INSTRUMENTS DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance IMM Swap DV01
- In Advance IMM Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 03.9 | -0.01
[27-JAN-2025] = 04.8 | 04.8 | -0.01
[27-JAN-2026] = 05.7 | 05.7 | -0.02
[27-JAN-2027] = 06.5 | 06.5 | -0.02
[27-JAN-2028] = 07.3 | 07.3 | -0.03
[27-JAN-2029] = 08.1 | 08.0 | -0.03
[27-JAN-2030] = 08.8 | 08.8 | -0.04
[27-JAN-2031] = 09.5 | 09.4 | -0.04
[27-JAN-2032] = 10.1 | 10.1 | -0.05
[27-JAN-2035] = 11.9 | 11.8 | -0.06
[27-JAN-2040] = 14.3 | 14.3 | -0.07
[27-JAN-2045] = 16.3 | 16.2 | -0.09
[27-JAN-2050] = 17.8 | 17.7 | -0.10
[27-JAN-2060] = 20.0 | 19.9 | -0.11
[27-JAN-2070] = 21.5 | 21.4 | -0.12
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 98 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[28-JAN-2020] = 0.001300 | 0.001300
[29-JAN-2020] = 0.001700 | 0.001700
[05-FEB-2020] = 0.001700 | 0.001700
[14-FEB-2020] = 0.001800 | 0.001800
[10-MAR-2020] = 0.002000 | 0.002000
[21-APR-2020] = 0.002300 | 0.002300
----------------------------------------------------------------
EDF INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-JUN-2020] = 0.002700 | 0.002700
[15-SEP-2020] = 0.003200 | 0.003200
[15-DEC-2020] = 0.004100 | 0.004100
[15-MAR-2021] = 0.005400 | 0.005400
[15-JUN-2021] = 0.007700 | 0.007700
[15-SEP-2021] = 0.010400 | 0.010400
[15-DEC-2021] = 0.013400 | 0.013400
[15-MAR-2022] = 0.016000 | 0.016000
----------------------------------------------------------------
SWAP INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[29-JAN-2024] = 0.016600 | 0.016600 | 0.016600
[29-JAN-2025] = 0.020600 | 0.020600 | 0.020600
[29-JAN-2026] = 0.024100 | 0.024100 | 0.024100
[29-JAN-2027] = 0.026900 | 0.026900 | 0.026900
[29-JAN-2028] = 0.029200 | 0.029200 | 0.029200
[29-JAN-2029] = 0.031100 | 0.031100 | 0.031100
[29-JAN-2030] = 0.032600 | 0.032600 | 0.032600
[29-JAN-2031] = 0.034000 | 0.034000 | 0.034000
[29-JAN-2032] = 0.035100 | 0.035100 | 0.035100
[29-JAN-2035] = 0.037500 | 0.037500 | 0.037500
[29-JAN-2040] = 0.039300 | 0.039300 | 0.039300
[29-JAN-2045] = 0.040200 | 0.040200 | 0.040200
[29-JAN-2050] = 0.040700 | 0.040700 | 0.040700
[29-JAN-2060] = 0.040900 | 0.040900 | 0.040900
[29-JAN-2070] = 0.040900 | 0.040900 | 0.040900
----------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 106 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS SWAP INSTRUMENTS METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Arrears Swap Rate
- In Arrears Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 2.0746% | 41
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.4633% | 40
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.7739% | 36
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 3.0208% | 33
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 3.2240% | 30
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 3.3842% | 27
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.5225% | 26
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.6425% | 24
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.7359% | 23
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.9402% | 19
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 4.0820% | 15
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 4.1538% | 13
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.1908% | 12
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.1946% | 10
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.1883% | 10
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS SWAP INSTRUMENTS DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Arrears Swap DV01
- In Arrears Step Down Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 03.9 | 0.00
[27-JAN-2025] = 04.8 | 04.8 | 0.00
[27-JAN-2026] = 05.7 | 05.7 | 0.00
[27-JAN-2027] = 06.5 | 06.5 | 0.00
[27-JAN-2028] = 07.3 | 07.3 | 0.00
[27-JAN-2029] = 08.1 | 08.1 | 0.00
[27-JAN-2030] = 08.8 | 08.8 | 0.00
[27-JAN-2031] = 09.5 | 09.5 | 0.00
[27-JAN-2032] = 10.1 | 10.1 | 0.00
[27-JAN-2035] = 11.9 | 11.9 | 0.00
[27-JAN-2040] = 14.3 | 14.3 | 0.00
[27-JAN-2045] = 16.3 | 16.3 | 0.00
[27-JAN-2050] = 17.8 | 17.8 | 0.00
[27-JAN-2060] = 20.0 | 20.0 | 0.00
[27-JAN-2070] = 21.5 | 21.5 | 0.00
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 117 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
AUD-ALL-1Y-MAIN => [SPOT LAG: 1] [FIXED: AUD | Act/365 | AUD | 3M | 3M | 2] [FLOAT: AUD-BBSW-3M | 3M]
AUD-ALL-5Y-MAIN => [SPOT LAG: 1] [FIXED: AUD | Act/365 | AUD | 6M | 6M | 2] [FLOAT: AUD-BBSW-6M | 6M]
BRL-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: BRL | Bus/252 | BRL | 1W | 1W | 2] [FLOAT: BRL-LIBOR-1D | 1D]
BRL-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: BRL | Bus/252 | BRL | 1W | 1W | 2] [FLOAT: BRL-LIBOR-1D | 1D]
CAD-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: CAD | Act/365 | CAD | 1Y | 1Y | 2] [FLOAT: CAD-CDOR-3M | 1Y]
CAD-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: CAD | Act/365 | CAD | 6M | 6M | 2] [FLOAT: CAD-CDOR-3M | 6M]
CHF-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: CHF | 30/360 | CHF | 1Y | 1Y | 2] [FLOAT: CHF-LIBOR-3M | 3M]
CHF-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: CHF | 30/360 | CHF | 1Y | 1Y | 2] [FLOAT: CHF-LIBOR-6M | 6M]
CNY-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: CNY | Act/365 | CNY | 3M | 3M | 2] [FLOAT: CNY-Repo-1W | 3M]
CNY-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: CNY | Act/365 | CNY | 3M | 3M | 2] [FLOAT: CNY-Repo-1W | 3M]
DKK-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: DKK | 30/360 | DKK | 1Y | 1Y | 2] [FLOAT: DKK-CIBOR-6M | 6M]
DKK-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: DKK | 30/360 | DKK | 1Y | 1Y | 2] [FLOAT: DKK-CIBOR-6M | 6M]
EUR-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: EUR | 30/360 | EUR | 1Y | 1Y | 2] [FLOAT: EUR-EURIBOR-3M | 3M]
EUR-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: EUR | 30/360 | EUR | 1Y | 1Y | 2] [FLOAT: EUR-EURIBOR-6M | 6M]
GBP-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: GBP | Act/365 | GBP | 1Y | 1Y | 2] [FLOAT: GBP-LIBOR-3M | 3M]
GBP-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: GBP | Act/365 | GBP | 6M | 6M | 2] [FLOAT: GBP-LIBOR-6M | 6M]
HKD-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: HKD | Act/365 | HKD | 3M | 3M | 2] [FLOAT: HKD-HIBOR-3M | 3M]
HKD-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: HKD | Act/365 | HKD | 3M | 3M | 2] [FLOAT: HKD-HIBOR-3M | 3M]
INR-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: INR | Act/365 | INR | 1Y | 1Y | 2] [FLOAT: INR-MIFOR-3M | 3M]
INR-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: INR | Act/365 | INR | 6M | 6M | 2] [FLOAT: INR-MIFOR-6M | 6M]
JPY-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: JPY | Act/365 | JPY | 6M | 6M | 2] [FLOAT: JPY-LIBOR-6M | 6M]
JPY-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: JPY | Act/365 | JPY | 6M | 6M | 2] [FLOAT: JPY-LIBOR-6M | 6M]
JPY-ALL-1Y-TIBOR => [SPOT LAG: 2] [FIXED: JPY | Act/365 | JPY | 6M | 6M | 2] [FLOAT: JPY-TIBOR-3M | 3M]
JPY-ALL-5Y-TIBOR => [SPOT LAG: 2] [FIXED: JPY | Act/365 | JPY | 6M | 6M | 2] [FLOAT: JPY-TIBOR-3M | 3M]
KRW-ALL-1Y-MAIN => [SPOT LAG: 1] [FIXED: KRW | Act/365 | KRW | 3M | 3M | 2] [FLOAT: KRW-LIBOR-3M | 3M]
KRW-ALL-5Y-MAIN => [SPOT LAG: 1] [FIXED: KRW | Act/365 | KRW | 3M | 3M | 2] [FLOAT: KRW-LIBOR-3M | 3M]
MYR-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: MYR | Act/365 | MYR | 3M | 3M | 2] [FLOAT: MYR-LIBOR-3M | 3M]
MYR-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: MYR | Act/365 | MYR | 3M | 3M | 2] [FLOAT: MYR-LIBOR-3M | 3M]
NOK-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: NOK | 30/360 | NOK | 1Y | 1Y | 2] [FLOAT: NOK-NIBOR-6M | 6M]
NOK-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: NOK | 30/360 | NOK | 1Y | 1Y | 2] [FLOAT: NOK-NIBOR-6M | 6M]
NZD-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: NZD | Act/365 | NZD | 6M | 6M | 2] [FLOAT: NZD-BBR-3M | 3M]
NZD-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: NZD | Act/365 | NZD | 6M | 6M | 2] [FLOAT: NZD-BBR-3M | 3M]
PLN-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: PLN | Act/Act ISDA | PLN | 1Y | 1Y | 2] [FLOAT: PLN-WIBOR-6M | 6M]
PLN-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: PLN | Act/Act ISDA | PLN | 1Y | 1Y | 2] [FLOAT: PLN-WIBOR-6M | 6M]
SEK-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: SEK | 30/360 | SEK | 1Y | 1Y | 2] [FLOAT: SEK-STIBOR-6M | 6M]
SEK-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: SEK | 30/360 | SEK | 1Y | 1Y | 2] [FLOAT: SEK-STIBOR-6M | 6M]
SGD-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: SGD | Act/365 | SGD | 6M | 6M | 2] [FLOAT: SGD-SIBOR-6M | 6M]
SGD-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: SGD | Act/365 | SGD | 6M | 6M | 2] [FLOAT: SGD-SIBOR-6M | 6M]
THB-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: THB | Act/365 | THB | 6M | 6M | 2] [FLOAT: THB-LIBOR-6M | 6M]
THB-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: THB | Act/365 | THB | 6M | 6M | 2] [FLOAT: THB-LIBOR-6M | 6M]
TWD-ALL-1Y-MAIN => [SPOT LAG: 2] [FIXED: TWD | Act/365 | TWD | 3M | 3M | 2] [FLOAT: TWD-LIBOR-3M | 3M]
TWD-ALL-5Y-MAIN => [SPOT LAG: 2] [FIXED: TWD | Act/365 | TWD | 3M | 3M | 2] [FLOAT: TWD-LIBOR-3M | 3M]
USD-LON-1Y-MAIN => [SPOT LAG: 2] [FIXED: USD | Act/360 | USD | 1Y | 1Y | 2] [FLOAT: USD-LIBOR-3M | 3M]
USD-LON-5Y-MAIN => [SPOT LAG: 2] [FIXED: USD | Act/360 | USD | 1Y | 1Y | 2] [FLOAT: USD-LIBOR-3M | 3M]
USD-NYC-1Y-MAIN => [SPOT LAG: 2] [FIXED: USD | 30/360 | USD | 6M | 6M | 2] [FLOAT: USD-LIBOR-3M | 3M]
USD-NYC-5Y-MAIN => [SPOT LAG: 2] [FIXED: USD | 30/360 | USD | 6M | 6M | 2] [FLOAT: USD-LIBOR-3M | 3M]
ZAR-ALL-1Y-MAIN => [SPOT LAG: 0] [FIXED: ZAR | Act/365 | ZAR | 3M | 3M | 2] [FLOAT: ZAR-JIBAR-3M | 3M]
ZAR-ALL-5Y-MAIN => [SPOT LAG: 0] [FIXED: ZAR | Act/365 | ZAR | 3M | 3M | 2] [FLOAT: ZAR-JIBAR-3M | 3M]
--------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 0 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------------------------------
JURISDICTION 1Y || 3Y || 5Y || 7Y || 10Y ||
--------------------------------------------------------------------------------------------------------------------------------
[AUD | ALL] = 0.9551% ( 0.9551%) || 1.3263% ( 1.3263%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[CAD | ALL] = 0.9577% ( 0.9577%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[CHF | ALL] = 0.9624% ( 0.9624%) || 1.3302% ( 1.3302%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[CNY | ALL] = 0.9582% ( 0.9582%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[DKK | ALL] = 0.9624% ( 0.9624%) || 1.3302% ( 1.3302%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[EUR | ALL] = 0.9624% ( 0.9624%) || 1.3302% ( 1.3302%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[GBP | ALL] = 0.9577% ( 0.9577%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[HKD | ALL] = 0.9546% ( 0.9546%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[INR | ALL] = 0.9595% ( 0.9595%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[JPY | ALL] = 0.9571% ( 0.9571%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[JPY | ALL] = 0.9571% ( 0.9571%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[KRW | ALL] = 0.9555% ( 0.9555%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[MYR | ALL] = 0.9546% ( 0.9546%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[NOK | ALL] = 0.9624% ( 0.9624%) || 1.3302% ( 1.3302%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[NZD | ALL] = 0.9553% ( 0.9553%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[PLN | ALL] = 0.9620% ( 0.9620%) || 1.3300% ( 1.3300%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[SEK | ALL] = 0.9624% ( 0.9624%) || 1.3302% ( 1.3302%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[SGD | ALL] = 0.9571% ( 0.9571%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[THB | ALL] = 0.9571% ( 0.9571%) || 1.3286% ( 1.3286%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[TWD | ALL] = 0.9582% ( 0.9582%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[USD | LON] = 0.9588% ( 0.9588%) || 1.3291% ( 1.3291%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[USD | NYC] = 0.9610% ( 0.9610%) || 1.3298% ( 1.3298%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
[ZAR | ALL] = 0.9546% ( 0.9546%) || 1.3284% ( 1.3284%) || 2.0600% ( 2.0600%) || 2.6900% ( 2.6900%) || 3.2600% ( 3.2600%) ||
--------------------------------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:24 EST 2020
| Setup Time => Mon Jan 27 01:16:24 EST 2020
| Finish Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 726 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS LONG TENOR SWAP METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance Long Tenor Swap Rate
- In Arrears Long Tenor Swap Rate
- In Advance Long Tenor Swap Rate Shift
- In Arrears Long Tenor Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.7645% | 2.7796% | 10 | 112
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.1975% | 3.0449% | 14 | 98
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.5400% | 3.2661% | 13 | 86
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.8090% | 3.4490% | 12 | 76
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 3.0295% | 3.6044% | 11 | 68
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 3.2053% | 3.7238% | 10 | 61
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.3509% | 3.8356% | 9 | 58
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.4830% | 3.9286% | 8 | 53
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.5834% | 4.0014% | 7 | 49
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.8061% | 4.1602% | 6 | 41
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 3.9668% | 4.2583% | 4 | 33
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 4.0490% | 4.3059% | 3 | 29
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.0932% | 4.3271% | 2 | 26
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.1060% | 4.3126% | 2 | 22
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.1049% | 4.2963% | 1 | 21
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS LONG TENOR SWAP DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance Long Tenor Swap DV01
- In Arrears Long Tenor Swap DV01
- In Advance Long Tenor Swap DV01 Shift
- In Arrears Long Tenor Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 03.9 | 03.9 | -0.02 | -0.02
[27-JAN-2025] = 04.8 | 04.8 | 04.8 | -0.03 | -0.03
[27-JAN-2026] = 05.7 | 05.6 | 05.6 | -0.03 | -0.03
[27-JAN-2027] = 06.5 | 06.5 | 06.5 | -0.04 | -0.04
[27-JAN-2028] = 07.3 | 07.3 | 07.3 | -0.05 | -0.05
[27-JAN-2029] = 08.1 | 08.0 | 08.0 | -0.06 | -0.06
[27-JAN-2030] = 08.8 | 08.7 | 08.7 | -0.07 | -0.07
[27-JAN-2031] = 09.5 | 09.4 | 09.4 | -0.08 | -0.08
[27-JAN-2032] = 10.1 | 10.0 | 10.0 | -0.09 | -0.09
[27-JAN-2035] = 11.9 | 11.8 | 11.8 | -0.11 | -0.11
[27-JAN-2040] = 14.3 | 14.2 | 14.2 | -0.14 | -0.14
[27-JAN-2045] = 16.3 | 16.1 | 16.1 | -0.16 | -0.16
[27-JAN-2050] = 17.8 | 17.6 | 17.6 | -0.18 | -0.18
[27-JAN-2060] = 20.0 | 19.8 | 19.8 | -0.20 | -0.20
[27-JAN-2070] = 21.5 | 21.3 | 21.3 | -0.22 | -0.22
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Finish Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 109 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE ROLLER COASTER SWAP METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance Roller Coaster #1 Swap Rate
- In Advance Roller Coaster #2 Swap Rate
- In Advance Roller Coaster #1 Swap Rate Shift
- In Advance Roller Coaster #2 Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.6396% | -2 | 1.6788% | 2
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.0156% | -4 | 2.0998% | 4
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.3514% | -6 | 2.4615% | 5
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.6020% | -9 | 2.7646% | 7
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 2.8138% | -11 | 3.0078% | 9
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 2.9925% | -12 | 3.2052% | 10
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.1365% | -12 | 3.3585% | 10
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.2558% | -14 | 3.5119% | 11
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.3526% | -16 | 3.6293% | 12
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.5726% | -18 | 3.8780% | 13
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 3.7767% | -15 | 4.0395% | 11
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 3.8902% | -13 | 4.1138% | 9
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 3.9560% | -11 | 4.1534% | 8
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 3.9927% | -10 | 4.1633% | 7
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.0004% | -9 | 4.1588% | 7
-------------------------------------------------------------------------------
IN-ADVANCE ROLLER COASTER SWAP DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance Roller Coaster #1 DV01
- In Advance Roller Coaster #1 DV01 Shift
- In Advance Roller Coaster #2 DV01
- In Advance Roller Coaster #2 DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 03.7 | -0.15 | 04.0 | 0.15
[27-JAN-2025] = 04.8 | 04.5 | -0.26 | 05.1 | 0.26
[27-JAN-2026] = 05.7 | 05.3 | -0.37 | 06.0 | 0.37
[27-JAN-2027] = 06.5 | 06.0 | -0.54 | 07.0 | 0.54
[27-JAN-2028] = 07.3 | 06.6 | -0.69 | 08.0 | 0.69
[27-JAN-2029] = 08.1 | 07.2 | -0.85 | 08.9 | 0.85
[27-JAN-2030] = 08.8 | 07.8 | -0.99 | 09.8 | 0.99
[27-JAN-2031] = 09.5 | 08.3 | -1.20 | 10.7 | 1.20
[27-JAN-2032] = 10.1 | 08.7 | -1.39 | 11.5 | 1.39
[27-JAN-2035] = 11.9 | 10.0 | -1.92 | 13.8 | 1.92
[27-JAN-2040] = 14.3 | 11.9 | -2.39 | 16.7 | 2.39
[27-JAN-2045] = 16.3 | 13.6 | -2.62 | 18.9 | 2.62
[27-JAN-2050] = 17.8 | 15.0 | -2.75 | 20.5 | 2.75
[27-JAN-2060] = 20.0 | 17.2 | -2.81 | 22.8 | 2.81
[27-JAN-2070] = 21.5 | 18.7 | -2.81 | 24.3 | 2.81
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Finish Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 121 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS SHORT TENOR SWAP METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance Short Tenor Swap Rate
- In Arrears Short Tenor Swap Rate
- In Advance Short Tenor Swap Rate Shift
- In Arrears Short Tenor Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.4189% | 2.2007% | -24 | 54
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 1.7975% | 2.5835% | -26 | 52
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.1687% | 2.8881% | -24 | 48
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.4759% | 3.1312% | -21 | 44
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 2.7276% | 3.3302% | -19 | 41
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 2.9387% | 3.4872% | -17 | 38
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.1069% | 3.6252% | -15 | 37
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.2562% | 3.7412% | -14 | 34
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.3832% | 3.8332% | -13 | 32
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.6524% | 4.0318% | -10 | 28
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 3.8643% | 4.1667% | -7 | 24
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 3.9687% | 4.2349% | -5 | 21
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.0287% | 4.2690% | -4 | 20
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.0605% | 4.2684% | -3 | 18
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.0642% | 4.2602% | -3 | 17
-------------------------------------------------------------------------------
IN-ADVANCE/IN-ARREARS SHORT TENOR SWAP DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance Short Tenor Swap DV01
- In Arrears Short Tenor Swap DV01
- In Advance Short Tenor Swap DV01 Shift
- In Arrears Short Tenor Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 03.9 | 03.9 | 0.01 | 0.01
[27-JAN-2025] = 04.8 | 04.8 | 04.8 | 0.01 | 0.01
[27-JAN-2026] = 05.7 | 05.7 | 05.7 | 0.02 | 0.02
[27-JAN-2027] = 06.5 | 06.5 | 06.5 | 0.02 | 0.02
[27-JAN-2028] = 07.3 | 07.3 | 07.3 | 0.03 | 0.03
[27-JAN-2029] = 08.1 | 08.1 | 08.1 | 0.03 | 0.03
[27-JAN-2030] = 08.8 | 08.8 | 08.8 | 0.04 | 0.04
[27-JAN-2031] = 09.5 | 09.5 | 09.5 | 0.04 | 0.04
[27-JAN-2032] = 10.1 | 10.2 | 10.2 | 0.04 | 0.04
[27-JAN-2035] = 11.9 | 12.0 | 12.0 | 0.06 | 0.06
[27-JAN-2040] = 14.3 | 14.4 | 14.4 | 0.07 | 0.07
[27-JAN-2045] = 16.3 | 16.3 | 16.3 | 0.08 | 0.08
[27-JAN-2050] = 17.8 | 17.9 | 17.9 | 0.09 | 0.09
[27-JAN-2060] = 20.0 | 20.1 | 20.1 | 0.10 | 0.10
[27-JAN-2070] = 21.5 | 21.6 | 21.6 | 0.11 | 0.11
-------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Finish Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 156 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
-------------------------------------------------------------------------------
IN-ADVANCE STEP UP/DOWN SWAP METRIC COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Calibration Quote
- In Advance Fair Premium
- In Advance Swap Rate
- In Advance Step Up Swap Rate
- In Advance Step Down Swap Rate
- In Advance Step Up Swap Rate Shift
- In Advance Step Down Swap Rate Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 1.6600% | 1.6600% | 1.6600% | 1.6696% | 1 | 1.6500% | -1
[27-JAN-2025] = 2.0600% | 2.0600% | 2.0600% | 2.0804% | 2 | 2.0384% | -2
[27-JAN-2026] = 2.4100% | 2.4100% | 2.4100% | 2.4365% | 3 | 2.3817% | -3
[27-JAN-2027] = 2.6900% | 2.6900% | 2.6900% | 2.7288% | 4 | 2.6479% | -4
[27-JAN-2028] = 2.9200% | 2.9200% | 2.9200% | 2.9659% | 5 | 2.8695% | -5
[27-JAN-2029] = 3.1100% | 3.1100% | 3.1100% | 3.1600% | 5 | 3.0545% | -6
[27-JAN-2030] = 3.2600% | 3.2600% | 3.2600% | 3.3119% | 5 | 3.2019% | -6
[27-JAN-2031] = 3.4000% | 3.4000% | 3.4000% | 3.4593% | 6 | 3.3328% | -7
[27-JAN-2032] = 3.5100% | 3.5100% | 3.5100% | 3.5735% | 6 | 3.4371% | -7
[27-JAN-2035] = 3.7500% | 3.7500% | 3.7500% | 3.8188% | 7 | 3.6691% | -8
[27-JAN-2040] = 3.9300% | 3.9300% | 3.9300% | 4.0035% | 7 | 3.8378% | -9
[27-JAN-2045] = 4.0200% | 4.0200% | 4.0200% | 4.0951% | 8 | 3.9206% | -10
[27-JAN-2050] = 4.0700% | 4.0700% | 4.0700% | 4.1446% | 7 | 3.9674% | -10
[27-JAN-2060] = 4.0900% | 4.0900% | 4.0900% | 4.1581% | 7 | 3.9901% | -10
[27-JAN-2070] = 4.0900% | 4.0900% | 4.0900% | 4.1523% | 6 | 3.9944% | -10
-------------------------------------------------------------------------------
IN-ADVANCE STEP UP/DOWN SWAP DV01 COMPARISON
-------------------------------------------------------------------------------
L -> R:
- Swap Maturity
- In Advance Swap DV01
- In Advance Step Up Swap DV01
- In Advance Step Up Swap DV01 Shift
- In Advance Step Down Swap DV01
- In Advance Step Down Swap DV01 Shift
-------------------------------------------------------------------------------
[27-JAN-2024] = 03.9 | 04.0 | 0.08 | 03.8 | -0.08
[27-JAN-2025] = 04.8 | 04.9 | 0.13 | 04.7 | -0.13
[27-JAN-2026] = 05.7 | 05.9 | 0.18 | 05.5 | -0.18
[27-JAN-2027] = 06.5 | 06.8 | 0.27 | 06.2 | -0.27
[27-JAN-2028] = 07.3 | 07.7 | 0.35 | 07.0 | -0.35
[27-JAN-2029] = 08.1 | 08.5 | 0.42 | 07.6 | -0.42
[27-JAN-2030] = 08.8 | 09.3 | 0.50 | 08.3 | -0.50
[27-JAN-2031] = 09.5 | 10.1 | 0.60 | 08.9 | -0.60
[27-JAN-2032] = 10.1 | 10.8 | 0.70 | 09.4 | -0.70
[27-JAN-2035] = 11.9 | 12.9 | 0.96 | 10.9 | -0.96
[27-JAN-2040] = 14.3 | 15.8 | 1.47 | 12.8 | -1.50
[27-JAN-2045] = 16.3 | 18.2 | 1.98 | 14.2 | -2.04
[27-JAN-2050] = 17.8 | 20.2 | 2.43 | 15.3 | -2.53
[27-JAN-2060] = 20.0 | 23.3 | 3.30 | 16.5 | -3.47
[27-JAN-2070] = 21.5 | 25.5 | 3.97 | 17.3 | -4.20
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| Copyright (C) 2011-2020 (DRIP, DROP)
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| 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Finish Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 1 ms
| Run Duration => 170 ms
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