Standard output
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
L -> R:
Currency
Reference Tenor
Spot Lag
Basis on Derived Stream
Basis on Derived Component
Derived Stream Compounded To Reference Stream
Component Pair
--------------------------------------------------------------------------------------------------------
AUD => 6M | 1 | true | false | true | false
CAD => 6M | 0 | true | false | true | false
CHF => 6M | 2 | true | false | true | false
CNY => 6M | 2 | true | false | true | false
DKK => 6M | 2 | true | false | true | false
EUR => 6M | 2 | false | true | false | true
GBP => 6M | 0 | true | false | true | false
HKD => 6M | 0 | true | false | true | false
INR => 6M | 2 | true | false | true | false
JPY => 6M | 2 | true | false | true | false
NOK => 6M | 2 | true | false | true | false
NZD => 6M | 0 | true | false | true | false
PLN => 6M | 2 | true | false | true | false
SEK => 6M | 2 | true | false | true | false
SGD => 6M | 2 | true | false | true | false
USD => 6M | 2 | true | false | true | false
ZAR => 6M | 0 | true | false | true | false
--------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 => 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 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
------------------------------------------------------------
------------------- 3M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => -00.03 | -18.60 | 18.60 | 0.19 | 0.19 |
2Y => 01.03 | -12.71 | 12.70 | 1.02 | 1.00 |
3Y => 02.04 | -09.71 | 09.70 | 2.16 | 2.12 |
4Y => 02.76 | -08.01 | 08.00 | 2.81 | 2.76 |
5Y => 03.26 | -06.71 | 06.70 | 3.29 | 3.23 |
6Y => 03.38 | -05.81 | 05.80 | 3.44 | 3.38 |
7Y => 03.66 | -05.11 | 05.10 | 3.65 | 3.58 |
8Y => 03.79 | -04.61 | 04.60 | 3.84 | 3.77 |
9Y => 04.07 | -04.21 | 04.20 | 4.03 | 3.96 |
10Y => 03.93 | -03.81 | 03.80 | 4.21 | 4.14 |
11Y => 02.07 | -03.51 | 03.50 | 2.70 | 2.65 |
12Y => 03.28 | -03.31 | 03.30 | 2.70 | 2.65 |
15Y => 01.20 | -02.81 | 02.80 | 2.70 | 2.65 |
20Y => 04.75 | -02.21 | 02.20 | 2.70 | 2.65 |
25Y => 00.60 | -02.01 | 02.00 | 2.70 | 2.65 |
30Y => 04.69 | -01.81 | 01.80 | 2.70 | 2.65 |
------------------------------------------------------------
| AUD [28-JAN-2020 -> 28-JAN-2030] => -3.81 | 3.80 |
---------------------------------------------------------
L -> R:
Currency
Float-Float Effective
Float-Float Maturity
Reference Stream Par Basis Spread
Derived Stream Par Basis Spread
---------------------------------------------------------
FLOAT-FLOAT SINGLE COMPONENT RUNS
---------------------------------------------------------
| AUD [28-JAN-2020 -> 28-JAN-2030] => -3.81 | 3.80 |
| CAD [27-JAN-2020 -> 27-JAN-2030] => -3.81 | 3.80 |
| CHF [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| CNY [03-FEB-2020 -> 03-FEB-2030] => -3.81 | 3.80 |
| DKK [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| GBP [27-JAN-2020 -> 27-JAN-2030] => -3.81 | 3.80 |
| HKD [28-JAN-2020 -> 28-JAN-2030] => -3.81 | 3.80 |
| INR [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| JPY [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| NOK [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| NZD [28-JAN-2020 -> 28-JAN-2030] => -3.81 | 3.80 |
| PLN [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| SEK [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| SGD [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| USD [29-JAN-2020 -> 29-JAN-2030] => -3.81 | 3.80 |
| ZAR [27-JAN-2020 -> 27-JAN-2030] => -3.81 | 3.80 |
----------------------------------------------------------------
----------------------------------------------------------------
----------------------------------------------------------------
FIX-FLOAT COMPONENT PAIR QUOTE RECOVERY
----------------------------------------------------------------
[29-JAN-2020 - 29-JAN-2021] = -18.28 | 18.60 | 18.60 | 0.2336% | 0.1874%
[29-JAN-2020 - 29-JAN-2022] = -12.49 | 12.70 | 12.70 | 1.1533% | 0.9983%
[29-JAN-2020 - 29-JAN-2023] = -9.52 | 9.70 | 9.70 | 2.0720% | 2.1145%
[29-JAN-2020 - 29-JAN-2024] = -7.84 | 8.00 | 8.00 | 2.7319% | 2.7510%
[29-JAN-2020 - 29-JAN-2025] = -6.56 | 6.70 | 6.70 | 3.2036% | 3.2033%
[29-JAN-2020 - 29-JAN-2026] = -5.67 | 5.80 | 5.80 | 3.2046% | 3.3550%
[29-JAN-2020 - 29-JAN-2027] = -4.98 | 5.10 | 5.10 | 3.7693% | 3.5515%
[29-JAN-2020 - 29-JAN-2028] = -4.49 | 4.60 | 4.60 | 3.3608% | 3.7409%
[29-JAN-2020 - 29-JAN-2029] = -4.10 | 4.20 | 4.20 | 4.5548% | 3.9245%
[29-JAN-2020 - 29-JAN-2030] = -3.71 | 3.80 | 3.80 | 3.0229% | 4.1012%
[29-JAN-2020 - 29-JAN-2031] = -3.42 | 3.50 | 3.50 | 2.6431% | 2.6273%
[29-JAN-2020 - 29-JAN-2032] = -3.22 | 3.30 | 3.30 | 2.6769% | 2.6273%
[29-JAN-2020 - 29-JAN-2035] = -2.73 | 2.80 | 2.80 | 2.9254% | 2.6273%
[29-JAN-2020 - 29-JAN-2040] = -2.15 | 2.20 | 2.20 | 2.7083% | 2.6273%
[29-JAN-2020 - 29-JAN-2045] = -1.95 | 2.00 | 2.00 | 3.0439% | 2.6273%
[29-JAN-2020 - 29-JAN-2050] = -1.76 | 1.80 | 1.80 | 1.9710% | 2.6273%
---------------------------------------------------------
---------------------------------------------------------
FIX-FLOAT COMPONENT PAIR RUNS
---------------------------------------------------------
L -> R:
Currency
Float-Float Effective
Float-Float Maturity
Derived Component Derived Stream Par Basis Spread
Derived Component Reference Stream Par Basis Spread
---------------------------------------------------------
| EUR [29-JAN-2020 -> 29-JAN-2021] => -18.28 | 18.60 |
| EUR [29-JAN-2020 -> 29-JAN-2022] => -12.49 | 12.70 |
| EUR [29-JAN-2020 -> 29-JAN-2023] => -9.52 | 9.70 |
| EUR [29-JAN-2020 -> 29-JAN-2024] => -7.84 | 8.00 |
| EUR [29-JAN-2020 -> 29-JAN-2025] => -6.56 | 6.70 |
| EUR [29-JAN-2020 -> 29-JAN-2026] => -5.67 | 5.80 |
| EUR [29-JAN-2020 -> 29-JAN-2027] => -4.98 | 5.10 |
| EUR [29-JAN-2020 -> 29-JAN-2028] => -4.49 | 4.60 |
| EUR [29-JAN-2020 -> 29-JAN-2029] => -4.10 | 4.20 |
| EUR [29-JAN-2020 -> 29-JAN-2031] => -3.42 | 3.50 |
| EUR [29-JAN-2020 -> 29-JAN-2032] => -3.22 | 3.30 |
| EUR [29-JAN-2020 -> 29-JAN-2035] => -2.73 | 2.80 |
| EUR [29-JAN-2020 -> 29-JAN-2040] => -2.15 | 2.20 |
| EUR [29-JAN-2020 -> 29-JAN-2045] => -1.95 | 2.00 |
| EUR [29-JAN-2020 -> 29-JAN-2050] => -1.76 | 1.80 |
---------------------------------------------------------
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:26 EST 2020
| Setup Time => Mon Jan 27 01:16:26 EST 2020
| Finish Time => Mon Jan 27 01:16:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 459 ms
|-----------------------------------------------------------------|