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| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
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| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:11 EST 2020
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| Setup Duration => 0 ms
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| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
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| Build Snap => Sun Jan 26 23:00:02 EST 2020
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| Finish Time => Mon Jan 27 00:45:11 EST 2020
| Setup Duration => 0 ms
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|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
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| Build Snap => Sun Jan 26 23:00:02 EST 2020
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|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
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| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:11 EST 2020
| Setup Time => Mon Jan 27 00:45:11 EST 2020
| Finish Time => Mon Jan 27 00:45:13 EST 2020
| Setup Duration => 1 ms
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|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:13 EST 2020
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cumulativeconvexityadjusteddv01 => 8.610569309700369E-6
cumulativeconvexityadjustedfairpremium => 7.306954550816639E-4
cumulativeconvexityadjustedparrate => 7.306954550816639E-4
cumulativeconvexityadjustedprice => 100.00629170386026
cumulativeconvexityadjustedpv => 6.29170386026372E-5
cumulativeconvexityadjustedrate => 7.306954550816639E-4
cumulativeconvexityadjustedupfront => 6.29170386026372E-5
cumulativeconvexityadjustmentfactor => 1.0
cumulativeconvexityadjustmentpremium => 0.0
cumulativeconvexityadjustmentpremiumupfront => 0.0
cumulativecouponamount => NaN
cumulativecoupondcf => 0.0
cv01 => 8.610569309700369E-6
dirtydv01 => 8.610569309700369E-6
dirtyprice => 100.00629170386026
dirtypv => 6.29170386026372E-5
dv01 => 8.610569309700369E-6
fairpremium => 7.306954550816639E-4
fixing01 => 0.0
forwardfundingconvexityadjustedcleandv01 => 8.610569309700369E-6
forwardfundingconvexityadjustedcleanprice => 100.00629170386026
forwardfundingconvexityadjustedcleanpv => 6.29170386026372E-5
forwardfundingconvexityadjusteddirtydv01 => 8.610569309700369E-6
forwardfundingconvexityadjusteddirtyprice => 100.00629170386026
forwardfundingconvexityadjusteddirtypv => 6.29170386026372E-5
forwardfundingconvexityadjusteddv01 => 8.610569309700369E-6
forwardfundingconvexityadjustedfairpremium => 7.306954550816639E-4
forwardfundingconvexityadjustedparrate => 7.306954550816639E-4
forwardfundingconvexityadjustedprice => 100.00629170386026
forwardfundingconvexityadjustedpv => 6.29170386026372E-5
forwardfundingconvexityadjustedrate => 7.306954550816639E-4
forwardfundingconvexityadjustedupfront => 6.29170386026372E-5
forwardfundingconvexityadjustmentfactor => 1.0
forwardfundingconvexityadjustmentpremium => 0.0
forwardfundingconvexityadjustmentpremiumupfront => 0.0
forwardfxconvexityadjustedcleandv01 => 8.610569309700369E-6
forwardfxconvexityadjustedcleanprice => 100.00629170386026
forwardfxconvexityadjustedcleanpv => 6.29170386026372E-5
forwardfxconvexityadjusteddirtydv01 => 8.610569309700369E-6
forwardfxconvexityadjusteddirtyprice => 100.00629170386026
forwardfxconvexityadjusteddirtypv => 6.29170386026372E-5
forwardfxconvexityadjusteddv01 => 8.610569309700369E-6
forwardfxconvexityadjustedfairpremium => 7.306954550816639E-4
forwardfxconvexityadjustedparrate => 7.306954550816639E-4
forwardfxconvexityadjustedprice => 100.00629170386026
forwardfxconvexityadjustedpv => 6.29170386026372E-5
forwardfxconvexityadjustedrate => 7.306954550816639E-4
forwardfxconvexityadjustedupfront => 6.29170386026372E-5
forwardfxconvexityadjustmentfactor => 1.0
forwardfxconvexityadjustmentpremium => 0.0
forwardfxconvexityadjustmentpremiumupfront => 0.0
forwardrate => 7.306954550816639E-4
fundingfxconvexityadjustedcleandv01 => 8.610569309700369E-6
fundingfxconvexityadjustedcleanprice => 100.00629170386026
fundingfxconvexityadjustedcleanpv => 6.29170386026372E-5
fundingfxconvexityadjusteddirtydv01 => 8.610569309700369E-6
fundingfxconvexityadjusteddirtyprice => 100.00629170386026
fundingfxconvexityadjusteddirtypv => 6.29170386026372E-5
fundingfxconvexityadjusteddv01 => 8.610569309700369E-6
fundingfxconvexityadjustedfairpremium => 7.306954550816639E-4
fundingfxconvexityadjustedparrate => 7.306954550816639E-4
fundingfxconvexityadjustedprice => 100.00629170386026
fundingfxconvexityadjustedpv => 6.29170386026372E-5
fundingfxconvexityadjustedrate => 7.306954550816639E-4
fundingfxconvexityadjustedupfront => 6.29170386026372E-5
fundingfxconvexityadjustmentfactor => 1.0
fundingfxconvexityadjustmentpremium => 0.0
fundingfxconvexityadjustmentpremiumupfront => 0.0
parrate => 7.306954550816639E-4
price => 100.00629170386026
pv => 6.29170386026372E-5
rate => 7.306954550816639E-4
resetdate => 2458876.0
resetrate => NaN
totalcoupon => 7.306954550816638E-4
unadjustedcleandv01 => 8.610569309700369E-6
unadjustedcleanprice => 100.00629170386026
unadjustedcleanpv => 6.29170386026372E-5
unadjusteddirtydv01 => 8.610569309700369E-6
unadjusteddirtyprice => 100.00629170386026
unadjusteddirtypv => 6.29170386026372E-5
unadjustedfairpremium => 7.306954550816639E-4
unadjustedparrate => 7.306954550816639E-4
unadjustedprice => 100.00629170386026
unadjustedpv => 6.29170386026372E-5
unadjustedrate => 7.306954550816639E-4
unadjustedupfront => 6.29170386026372E-5
upfront => 6.29170386026372E-5
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:13 EST 2020
| Setup Time => Mon Jan 27 00:45:13 EST 2020
| Finish Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 758 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
[USD-2Y] => 100000.0 | 0.0025 | MID CURVE OPTION::REGULAR@2D
[USD-5Y] => 100000.0 | 0.0025 | MID CURVE OPTION::REGULAR@2D
[USD-10Y] => 100000.0 | 0.0025 | MID CURVE OPTION::REGULAR@2D
[USD-30Y] => 100000.0 | 0.0025 | MID CURVE OPTION::REGULAR@2D
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Finish Time => Mon Jan 27 00:45:16 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 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 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
----------------------------------------------------------------
EXCHANGE-TRADED SWAP INSTRUMENTS VALUATION
----------------------------------------------------------------
[29-JAN-2022] = 0.007048 | 0.007048 | 0090 | 2Y
[29-JAN-2025] = 0.020600 | 0.020600 | -0288 | 5Y
[29-JAN-2030] = 0.032600 | 0.032600 | -0088 | 10Y
[29-JAN-2050] = 0.040700 | 0.040700 | -1245 | 30Y
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Finish Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 0 ms
| Run Duration => 138 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
---------------
---------------
CHF-LIBOR-3M | MARGIN
[liffe=>MID CURVE OPTION::QUARTERLY]
GBP-LIBOR-3M | MARGIN
[liffe=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@2Y]
EUR-EURIBOR-3M | MARGIN
[eurex=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1Y]
[liffe=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@2Y]
JPY-LIBOR-3M | PREMIUM
[sgx=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
JPY-TIBOR-3M | PREMIUM
[sgx=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
JPY-LIBOR-3M | PREMIUM
[sgx=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
USD-LIBOR-1M | PREMIUM
[cme=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
USD-LIBOR-3M | MARGIN
[liffe=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M]
USD-LIBOR-3M | PREMIUM
[sgx=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
[cme=>MID CURVE OPTION::QUARTERLY; MID CURVE OPTION::REGULAR@1M; MID CURVE OPTION::REGULAR@2M; MID CURVE OPTION::REGULAR@1Y; MID CURVE OPTION::REGULAR@2Y; MID CURVE OPTION::REGULAR@4Y]
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Finish Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 1 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 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Output Order - L -> R:
Exchange
ATM Par FRA Level (%)
Option Upfront (bp)
FRA Label
-----------------------------------------------------
--------------- MARGIN TYPE OPTION ------------------
-----------------------------------------------------
LIFFE | -0.3042 % | -0.8 bp | CHF-LIBOR-3M
LIFFE | -0.3049 % | -0.8 bp | GBP-LIBOR-3M
LIFFE | -0.3042 % | -0.8 bp | USD-LIBOR-3M
-----------------------------------------------------
-------------- PREMIUM TYPE OPTION ------------------
-----------------------------------------------------
SGX | -0.3039 % | -0.8 bp | JPY-LIBOR-3M
CME | -0.7653 % | -0.6 bp | USD-LIBOR-1M
CME | -0.3042 % | -0.8 bp | USD-LIBOR-3M
SGX | -0.3042 % | -0.8 bp | USD-LIBOR-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 00:45:16 EST 2020
| Setup Time => Mon Jan 27 00:45:16 EST 2020
| Finish Time => Mon Jan 27 00:45:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 23 s 354 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:40 EST 2020
| Setup Time => Mon Jan 27 00:45:40 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
---------------
---------------
[CAD-CDOR-3M] => 1000000.0 || MX
[CHF-LIBOR-3M] => 1000000.0 || LIFFE
[DKK-CIBOR-3M] => 1000000.0 || OMX
[EUR-EURIBOR-3M] => 1000000.0 || EUREXLIFFE | NLX |
[GBP-LIBOR-3M] => 500000.0 || LIFFENLX |
[JPY-LIBOR-3M] => 1.0E8 || SGX
[JPY-TIBOR-3M] => 1.0E8 || CMESGX |
[USD-LIBOR-1M] => 3000000.0 || CME
[USD-LIBOR-3M] => 1000000.0 || CMESGX |
[ZAR-JIBAR-3M] => 1000000.0 || SAFEX
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:40 EST 2020
| Setup Time => Mon Jan 27 00:45:40 EST 2020
| Finish Time => Mon Jan 27 00:45:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|