|-----------------------------------------------------------------|
| 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 => 0 ms
|-----------------------------------------------------------------|
Workout : 23-DEC-2021
Next Call Date : 23-DEC-2021 | 1.0
Maturity Date : 23-DEC-2021 | 1.0
yield to call => 0.06871808852245136
z_spread => 0.045042091750005175
market value => 1.8052370364E8
oad mult => 0.2416699009007241
libor duration => 3.781006377607661E-5
convexity => 1.565194710143283E-7
modified convexity => 1.565194710143283E-7
effective duration => 3.6835330641820095E-4
yield to worst => 0.06871808852245136
tsy oas => 0.045042091750005175
macaulay duration => 3.7549974262350454
mod dur to worst => 2.041456289458843E-5
price => 1.0
ytm fwdcpn => 0.06302884517440784
discount margin => 0.05595796116082039
cv01 => 9.116715188639546E-5
effective duration adj => 8.901990705854069E-5
yield to maturity => 0.06871808852245136
oas => 0.05567698852245136
wal_adj => 3.9417979168030803
mod dur => 2.041456289458843E-5
wal => 4.263888888888889
z_vol_oas => 0.05567698852245136
n-spread => 0.04968808852245136
yield to put => 0.06871808852245136
treasury duration => 3.7143554000068635E-4
wal4 => 4.263888888888889
accrued$ => 632245.1585299793
wal3 => 2.312520205968473
i-spread => 0.04947995095530683
j-spread => 0.05652808852245136
wal2 => 3.625496021963947
wal to worst => 4.263888888888889
nominal yield => 0.07007941565141412
spread dur => 0.0366792895877055
funding duration => 5.423600472542389E-5
accrued => 0.003502283333333341
e-spread => 0.05265210182165164
accrued interest factor => 0.003502283333333341
spread dur $ => 6621481.203256684
dv01 => 3.6835330641820095E-4
yield to maturity cbe => 0.06930836047236823
funding kprd::fixfloat::05y => -2.984515255976631E-7
funding kprd::fixfloat::15y => -3.095597086051511E-12
funding kprd::fixfloat::03y => 1.2513234834530979E-5
funding kprd::fixfloat::25y => -1.6223110789976636E-13
funding kprd::fixfloat::09y => -2.9257946314096864E-9
funding kprd::fixfloat::07y => -3.2669069557630375E-8
funding kprd::deposit::pll => 6.255000665841186E-8
funding kprd::fixfloat::11y => -2.383366179302922E-10
funding kprd::bump => 5.423600472542389E-5
funding kprd::fixfloat::06y => 1.0638113664266548E-7
funding kprd::deposit::2d => 6.255000665841186E-8
funding kprd::fixfloat::04y => 1.2796383560418828E-5
funding kprd::fixfloat::pll => 3.2328037557348954E-5
funding kprd::fixfloat::08y => 9.871348039698738E-9
funding kprd::fixfloat::20y => 5.442019944013754E-13
funding kprd::fixfloat::30y => 3.8323759731005915E-14
funding kprd::fixfloat::40y => -4.481853151234246E-15
funding kprd::fixfloat::50y => 7.784513695360606E-16
funding kprd::fixfloat::02y => 7.235475034793398E-6
funding kprd::fixfloat::12y => 5.080574378822832E-11
funding kprd::fixfloat::10y => 8.53560406515773E-10
funding kprd::futures::0 => 2.954564906246635E-5
funding kprd::futures::p => 2.1845357727753823E-5
funding kprd::futures::1 => -1.1956264885827172E-5
funding kprd::futures::2 => 4.226259938578045E-6
funding kprd::futures::3 => -4.227625713957088E-7
funding kprd::futures::4 => 4.966366977403161E-7
funding kprd::futures::5 => -4.4151354097192593E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -2.984515255976631E-7
funding krd::fixfloat::15y => -3.095597086051511E-12
funding krd::fixfloat::03y => 1.2513234834530979E-5
funding krd::fixfloat::25y => -1.6223110789976636E-13
funding krd::fixfloat::09y => -2.9257946314096864E-9
funding krd::fixfloat::07y => -3.2669069557630375E-8
funding krd::deposit::pll => 6.255000665841186E-8
funding krd::fixfloat::11y => -2.383366179302922E-10
funding krd::bump => 5.423600472542389E-5
funding krd::fixfloat::06y => 1.0638113664266548E-7
funding krd::deposit::2d => 6.255000665841186E-8
funding krd::fixfloat::04y => 1.2796383560418828E-5
funding krd::fixfloat::pll => 3.2328037557348954E-5
funding krd::fixfloat::08y => 9.871348039698738E-9
funding krd::fixfloat::20y => 5.442019944013754E-13
funding krd::fixfloat::30y => 3.8323759731005915E-14
funding krd::fixfloat::40y => -4.481853151234246E-15
funding krd::fixfloat::50y => 7.784513695360606E-16
funding krd::fixfloat::02y => 7.235475034793398E-6
funding krd::fixfloat::12y => 5.080574378822832E-11
funding krd::fixfloat::10y => 8.53560406515773E-10
funding krd::futures::0 => 2.954564906246635E-5
funding krd::futures::p => 2.1845357727753823E-5
funding krd::futures::1 => -1.1956264885827172E-5
funding krd::futures::2 => 4.226259938578045E-6
funding krd::futures::3 => -4.227625713957088E-7
funding krd::futures::4 => 4.966366977403161E-7
funding krd::futures::5 => -4.4151354097192593E-8
funding krd::base => 0.0
libor krd::tenor::10 => 1.975759181872174E-7
libor krd::tenor::3 => 3.608556421382359E-6
libor krd::tenor::2 => 3.876405256451735E-6
libor krd::tenor::1 => 7.121554542801295E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 9.589117833112606E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.1979115642733955E-6
libor krd::tenor::6 => 2.819346070785607E-6
libor krd::tenor::5 => 3.0120265588604433E-6
libor krd::tenor::4 => 3.305507453640671E-6
libor krd::bump => 3.781006377607661E-5
libor krd::tenor::9 => 3.2628675307688885E-6
libor krd::tenor::8 => 7.3122042539035946E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 2.232043033967848E-4
govvie kprd::tsy::10-oct-2020 => 1.4795508167139744E-4
govvie kprd::bump => 3.711628601094978E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 1.975759181872174E-7
libor kprd::tenor::3 => 3.608556421382359E-6
libor kprd::tenor::2 => 3.876405256451735E-6
libor kprd::tenor::1 => 7.121554542801295E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 9.589117833112606E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.1979115642733955E-6
libor kprd::tenor::6 => 2.819346070785607E-6
libor kprd::tenor::5 => 3.0120265588604433E-6
libor kprd::tenor::4 => 3.305507453640671E-6
libor kprd::bump => 3.781006377607661E-5
libor kprd::tenor::9 => 3.2628675307688885E-6
libor kprd::tenor::8 => 7.3122042539035946E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 2.2336828196120595E-4
govvie krd::tsy::10-oct-2020 => 1.4806377755707256E-4
govvie krd::bump => 3.7143554000068635E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.06871808852245136
Price Out : 1.0000000004739442
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/12/18 => 2015/03/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2639 | 0.0132 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/03/23 => 2015/06/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/06/23 => 2015/09/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/09/23 => 2015/12/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2528 | 0.0126 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/12/23 => 2016/03/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2528 | 0.0126 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/03/23 => 2016/06/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/06/23 => 2016/09/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/09/23 => 2016/12/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2528 | 0.0126 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/12/23 => 2017/03/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2500 | 0.0125 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/03/23 => 2017/06/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/06/23 => 2017/09/23 | ? | USD | USD-LIBOR-3M | 5.00% | 0.2556 | 0.0128 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/23 => 2017/12/23 | ? | USD | USD-LIBOR-3M | 6.30% | 0.2528 | 0.0159 | 0.0000 | 0.9974 | 0.9674 | 70% ||
|| 2017/12/23 => 2018/03/23 | ? | USD | USD-LIBOR-3M | 6.35% | 0.2500 | 0.0159 | 0.0000 | 0.9940 | 0.9293 | 70% ||
|| 2018/03/23 => 2018/06/23 | ? | USD | USD-LIBOR-3M | 6.48% | 0.2556 | 0.0166 | 0.0000 | 0.9903 | 0.8918 | 70% ||
|| 2018/06/23 => 2018/09/23 | ? | USD | USD-LIBOR-3M | 6.58% | 0.2556 | 0.0168 | 0.0000 | 0.9863 | 0.8558 | 70% ||
|| 2018/09/23 => 2018/12/23 | ? | USD | USD-LIBOR-3M | 6.67% | 0.2528 | 0.0169 | 0.0000 | 0.9821 | 0.8217 | 70% ||
|| 2018/12/23 => 2019/03/23 | ? | USD | USD-LIBOR-3M | 6.75% | 0.2500 | 0.0169 | 0.0000 | 0.9778 | 0.7893 | 70% ||
|| 2019/03/23 => 2019/06/23 | ? | USD | USD-LIBOR-3M | 6.86% | 0.2556 | 0.0175 | 0.0000 | 0.9732 | 0.7575 | 70% ||
|| 2019/06/23 => 2019/09/23 | ? | USD | USD-LIBOR-3M | 6.82% | 0.2556 | 0.0174 | 0.0000 | 0.9687 | 0.7269 | 70% ||
|| 2019/09/23 => 2019/12/23 | ? | USD | USD-LIBOR-3M | 6.92% | 0.2528 | 0.0175 | 0.0000 | 0.9640 | 0.6979 | 70% ||
|| 2019/12/23 => 2020/03/23 | ? | USD | USD-LIBOR-3M | 7.00% | 0.2528 | 0.0177 | 0.0000 | 0.9592 | 0.6701 | 70% ||
|| 2020/03/23 => 2020/06/23 | ? | USD | USD-LIBOR-3M | 7.08% | 0.2556 | 0.0181 | 0.0000 | 0.9541 | 0.6431 | 70% ||
|| 2020/06/23 => 2020/09/23 | ? | USD | USD-LIBOR-3M | 7.13% | 0.2556 | 0.0182 | 0.0000 | 0.9489 | 0.6171 | 70% ||
|| 2020/09/23 => 2020/12/23 | ? | USD | USD-LIBOR-3M | 7.17% | 0.2528 | 0.0181 | 0.0000 | 0.9438 | 0.5925 | 70% ||
|| 2020/12/23 => 2021/03/23 | ? | USD | USD-LIBOR-3M | 7.20% | 0.2500 | 0.0180 | 0.0000 | 0.9386 | 0.5691 | 70% ||
|| 2021/03/23 => 2021/06/23 | ? | USD | USD-LIBOR-3M | 7.24% | 0.2556 | 0.0185 | 0.0000 | 0.9333 | 0.5462 | 70% ||
|| 2021/06/23 => 2021/09/23 | ? | USD | USD-LIBOR-3M | 7.28% | 0.2556 | 0.0186 | 0.0000 | 0.9279 | 0.5242 | 70% ||
|| 2021/09/23 => 2021/12/23 | ? | USD | USD-LIBOR-3M | 7.32% | 0.2528 | 0.0185 | 0.0000 | 0.9224 | 0.5033 | 70% ||
|| 2014/12/18 => 2021/12/23 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9224 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:45:53 EST 2020
| Setup Duration => 0 ms
| Run Duration => 13 s 313 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 00:45:53 EST 2020
| Setup Time => Mon Jan 27 00:45:53 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 05-NOV-2017
Next Call Date : 05-NOV-2017 | 1.0
Maturity Date : 24-JUN-2021 | 1.0
yield to call => -0.015303919907673557
z_spread => -0.05578873722508917
market value => 7.546207500000001E8
oad mult => -4.817290569323733
libor duration => 3.797390745071805E-8
convexity => 9.62631303799459E-10
modified convexity => 9.62631303799459E-10
effective duration => 2.0951037066144038E-5
yield to worst => -0.015303919907673557
tsy oas => 0.021897067845057638
macaulay duration => 3.5101852158076405
mod dur to worst => 7.287814893320218E-6
price => 1.006161
ytm fwdcpn => 0.039018698358449566
discount margin => -0.028064047269304525
cv01 => 2.191092178360776E-6
effective duration adj => -1.0092723327628764E-4
yield to maturity => 0.018279530509211224
oas => -0.022514469490788773
wal_adj => 0.07222222222222223
mcconvexity => 6.806592979898833E-9
mod dur => 2.0821852686620652E-5
wal => 3.758333333333333
z_vol_oas => -0.05609791990767356
n-spread => -0.031713919907673555
mcoas => 0.015851535777859548
yield to put => 0.018279530509211224
treasury duration => 7.380657571977549E-6
wal4 => 3.758333333333333
accrued$ => 1614762.5000000044
wal3 => 0.07222222222222222
i-spread => -0.031713919907673555
j-spread => -0.027493919907673556
wal2 => 0.07222222222222222
wal to worst => 0.07222222222222222
mcduration => 7.063097983749535E-5
nominal yield => 0.021366227528420996
spread dur => 0.0020941397616532796
funding duration => 7.252118514047006E-6
accrued => 0.0021530166666666726
e-spread => -0.05609791990767356
accrued interest factor => 0.0021530166666666726
spread dur $ => 1570604.8212399597
dv01 => 2.1080116405508552E-5
yield to maturity cbe => 0.018321298163665258
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 7.252118514047006E-6
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 1.1934209028979772E-5
funding kprd::futures::p => 7.252118514047006E-6
funding kprd::futures::1 => -5.931873728591187E-6
funding kprd::futures::2 => 1.5848645733603617E-6
funding kprd::futures::3 => -4.2447349160101593E-7
funding kprd::futures::4 => 1.1134199439636625E-7
funding kprd::futures::5 => -2.1940943990003926E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 7.252118514047006E-6
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 1.1934209028979772E-5
funding krd::futures::p => 7.252118514047006E-6
funding krd::futures::1 => -5.931873728591187E-6
funding krd::futures::2 => 1.5848645733603617E-6
funding krd::futures::3 => -4.2447349160101593E-7
funding krd::futures::4 => 1.1134199439636625E-7
funding krd::futures::5 => -2.1940943990003926E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 0.0
libor krd::tenor::2 => 0.0
libor krd::tenor::1 => -3.245163485638997E-7
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 3.624445913405085E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 3.797390745071805E-8
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 7.102861275232075E-6
govvie kprd::tsy::10-oct-2018 => 7.102861275232075E-6
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 0.0
libor kprd::tenor::2 => 0.0
libor kprd::tenor::1 => -3.245163485638997E-7
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 3.624445913405085E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 3.797390745071805E-8
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 7.380657571977549E-6
govvie krd::tsy::10-oct-2018 => 7.380657571977549E-6
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.006161
Yield Out : 0.018279530509211224
Price Out : 1.0061609999999994
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/06/24 => 2014/09/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/09/24 => 2014/12/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/12/24 => 2015/03/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/03/24 => 2015/06/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/06/24 => 2015/09/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/09/24 => 2015/12/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/12/24 => 2016/03/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/03/24 => 2016/06/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/06/24 => 2016/09/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/09/24 => 2016/12/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/12/24 => 2017/03/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/03/24 => 2017/06/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/06/24 => 2017/09/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/24 => 2017/12/24 | ? | USD | USD-LIBOR-3M | 4.08% | 0.2528 | 0.0103 | 0.0000 | 0.9973 | 1.0600 | 70% ||
|| 2017/12/24 => 2018/03/24 | ? | USD | USD-LIBOR-3M | 1.36% | 0.2500 | 0.0034 | 0.0000 | 0.9940 | 1.1368 | 70% ||
|| 2018/03/24 => 2018/06/24 | ? | USD | USD-LIBOR-3M | 1.48% | 0.2556 | 0.0038 | 0.0000 | 0.9902 | 1.2210 | 70% ||
|| 2018/06/24 => 2018/09/24 | ? | USD | USD-LIBOR-3M | 1.58% | 0.2556 | 0.0040 | 0.0000 | 0.9862 | 1.3115 | 70% ||
|| 2018/09/24 => 2018/12/24 | ? | USD | USD-LIBOR-3M | 1.67% | 0.2528 | 0.0042 | 0.0000 | 0.9821 | 1.4076 | 70% ||
|| 2018/12/24 => 2019/03/24 | ? | USD | USD-LIBOR-3M | 1.76% | 0.2500 | 0.0044 | 0.0000 | 0.9778 | 1.5096 | 70% ||
|| 2019/03/24 => 2019/06/24 | ? | USD | USD-LIBOR-3M | 1.86% | 0.2556 | 0.0048 | 0.0000 | 0.9732 | 1.6215 | 70% ||
|| 2019/06/24 => 2019/09/24 | ? | USD | USD-LIBOR-3M | 1.82% | 0.2556 | 0.0047 | 0.0000 | 0.9686 | 1.7416 | 70% ||
|| 2019/09/24 => 2019/12/24 | ? | USD | USD-LIBOR-3M | 1.92% | 0.2528 | 0.0048 | 0.0000 | 0.9640 | 1.8693 | 70% ||
|| 2019/12/24 => 2020/03/24 | ? | USD | USD-LIBOR-3M | 2.00% | 0.2528 | 0.0051 | 0.0000 | 0.9591 | 2.0062 | 70% ||
|| 2020/03/24 => 2020/06/24 | ? | USD | USD-LIBOR-3M | 2.08% | 0.2556 | 0.0053 | 0.0000 | 0.9540 | 2.1549 | 70% ||
|| 2020/06/24 => 2020/09/24 | ? | USD | USD-LIBOR-3M | 2.13% | 0.2556 | 0.0054 | 0.0000 | 0.9489 | 2.3146 | 70% ||
|| 2020/09/24 => 2020/12/24 | ? | USD | USD-LIBOR-3M | 2.17% | 0.2528 | 0.0055 | 0.0000 | 0.9437 | 2.4842 | 70% ||
|| 2020/12/24 => 2021/03/24 | ? | USD | USD-LIBOR-3M | 2.20% | 0.2500 | 0.0055 | 0.0000 | 0.9385 | 2.6642 | 70% ||
|| 2021/03/24 => 2021/06/24 | ? | USD | USD-LIBOR-3M | 2.24% | 0.2556 | 0.0057 | 0.0000 | 0.9332 | 2.8616 | 70% ||
|| 2014/06/24 => 2021/06/24 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9332 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:45:53 EST 2020
| Setup Time => Mon Jan 27 00:45:53 EST 2020
| Finish Time => Mon Jan 27 00:46:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 767 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 00:46:09 EST 2020
| Setup Time => Mon Jan 27 00:46:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 09-FEB-2023
Next Call Date : 09-FEB-2023 | 1.0
Maturity Date : 09-FEB-2023 | 1.0
yield to call => 0.05976786954637596
z_spread => 0.03322261696964521
market value => 1.68376375E9
oad mult => 0.24208258558685564
libor duration => 4.729198790263499E-5
convexity => 2.4236909408325774E-7
modified convexity => 2.4236909408325774E-7
effective duration => 4.619943746912186E-4
yield to worst => 0.05976786954637596
tsy oas => 0.03322261696964521
macaulay duration => 4.682843010256861
mod dur to worst => 8.54731099264594E-6
price => 1.0
ytm fwdcpn => 0.05303154994255852
discount margin => 0.047007742184744995
cv01 => 1.1347173102016495E-4
effective duration adj => 1.1184079275183278E-4
yield to maturity => 0.05976786954637596
oas => 0.04672676954637596
wal_adj => 4.966564655911306
mod dur => 8.54731099264594E-6
wal => 5.4111111111111105
z_vol_oas => 0.04672676954637596
n-spread => 0.03973286954637596
yield to put => 0.05976786954637596
treasury duration => 4.6782262717016965E-4
wal4 => 5.4111111111111105
accrued$ => 1.6125178593356026E7
wal3 => 2.9209569216966633
i-spread => 0.03943364497319093
j-spread => 0.04757786954637596
wal2 => 4.531286384586589
wal to worst => 5.4111111111111105
nominal yield => 0.06085326756654242
spread dur => 0.04595485288061918
funding duration => 5.349518392581856E-5
accrued => 0.009576865277777851
e-spread => 0.042657624825631575
accrued interest factor => 0.009576865277777851
spread dur $ => 7.737711541696966E7
dv01 => 4.619943746912186E-4
yield to maturity cbe => 0.06021439432504186
funding kprd::fixfloat::05y => 1.4256251853995397E-5
funding kprd::fixfloat::15y => -1.8676564702062673E-11
funding kprd::fixfloat::03y => 9.737181613520696E-6
funding kprd::fixfloat::25y => -9.78771244192517E-13
funding kprd::fixfloat::09y => -1.7652144577677662E-8
funding kprd::fixfloat::07y => -1.9710171598598853E-7
funding kprd::deposit::pll => 6.760019126743711E-8
funding kprd::fixfloat::11y => -1.4379520363049833E-9
funding kprd::bump => 5.349518392581856E-5
funding kprd::fixfloat::06y => 8.120439619570775E-7
funding kprd::deposit::2d => 6.760019126743711E-8
funding kprd::fixfloat::04y => 1.2618073443312023E-5
funding kprd::fixfloat::pll => 4.2042673186086446E-5
funding kprd::fixfloat::08y => 5.955662811245435E-8
funding kprd::fixfloat::20y => 3.283388419958498E-12
funding kprd::fixfloat::30y => 2.3127569901530554E-13
funding kprd::fixfloat::40y => -2.704370458287099E-14
funding kprd::fixfloat::50y => 4.709858663308966E-15
funding kprd::fixfloat::02y => 4.770099809547843E-6
funding kprd::fixfloat::12y => 3.065253779065338E-10
funding kprd::fixfloat::10y => 5.1497708426871365E-9
funding kprd::futures::0 => 1.3867611807440365E-5
funding kprd::futures::p => 1.1384794452150917E-5
funding kprd::futures::1 => -5.400464815288255E-6
funding kprd::futures::2 => 2.382474230893399E-6
funding kprd::futures::3 => 4.833217325232812E-8
funding kprd::futures::4 => 4.2600899016396216E-7
funding kprd::futures::5 => 6.083681460047738E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.4256251853995397E-5
funding krd::fixfloat::15y => -1.8676564702062673E-11
funding krd::fixfloat::03y => 9.737181613520696E-6
funding krd::fixfloat::25y => -9.78771244192517E-13
funding krd::fixfloat::09y => -1.7652144577677662E-8
funding krd::fixfloat::07y => -1.9710171598598853E-7
funding krd::deposit::pll => 6.760019126743711E-8
funding krd::fixfloat::11y => -1.4379520363049833E-9
funding krd::bump => 5.349518392581856E-5
funding krd::fixfloat::06y => 8.120439619570775E-7
funding krd::deposit::2d => 6.760019126743711E-8
funding krd::fixfloat::04y => 1.2618073443312023E-5
funding krd::fixfloat::pll => 4.2042673186086446E-5
funding krd::fixfloat::08y => 5.955662811245435E-8
funding krd::fixfloat::20y => 3.283388419958498E-12
funding krd::fixfloat::30y => 2.3127569901530554E-13
funding krd::fixfloat::40y => -2.704370458287099E-14
funding krd::fixfloat::50y => 4.709858663308966E-15
funding krd::fixfloat::02y => 4.770099809547843E-6
funding krd::fixfloat::12y => 3.065253779065338E-10
funding krd::fixfloat::10y => 5.1497708426871365E-9
funding krd::futures::0 => 1.3867611807440365E-5
funding krd::futures::p => 1.1384794452150917E-5
funding krd::futures::1 => -5.400464815288255E-6
funding krd::futures::2 => 2.382474230893399E-6
funding krd::futures::3 => 4.833217325232812E-8
funding krd::futures::4 => 4.2600899016396216E-7
funding krd::futures::5 => 6.083681460047738E-8
funding krd::base => 0.0
libor krd::tenor::10 => 2.9451703857301037E-6
libor krd::tenor::3 => 3.763770502865146E-6
libor krd::tenor::2 => 3.97439722475878E-6
libor krd::tenor::1 => 7.170106460329772E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 9.973131590594757E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.682996127134677E-6
libor krd::tenor::6 => 3.128437480813027E-6
libor krd::tenor::5 => 3.2699346913310725E-6
libor krd::tenor::4 => 3.5129037566452557E-6
libor krd::bump => 4.729198790263499E-5
libor krd::tenor::9 => 6.087894022961348E-6
libor krd::tenor::8 => 9.336905781996024E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 3.193300806211887E-7
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 3.894690469824686E-4
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 4.674936571301379E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 7.802066124171267E-5
libor kprd::tenor::10 => 2.9451703857301037E-6
libor kprd::tenor::3 => 3.763770502865146E-6
libor kprd::tenor::2 => 3.97439722475878E-6
libor kprd::tenor::1 => 7.170106460329772E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 9.973131590594757E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.682996127134677E-6
libor kprd::tenor::6 => 3.128437480813027E-6
libor kprd::tenor::5 => 3.2699346913310725E-6
libor kprd::tenor::4 => 3.5129037566452557E-6
libor kprd::bump => 4.729198790263499E-5
libor kprd::tenor::9 => 6.087894022961348E-6
libor kprd::tenor::8 => 9.336905781996024E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 3.193300806211887E-7
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 3.8974311026562515E-4
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 4.6782262717016965E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 7.807556241414549E-5
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.05976786954637596
Price Out : 1.0000000000006346
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/06/14 => 2016/11/09 | ? | USD | USD-LIBOR-3M | 4.00% | 0.4111 | 0.0164 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/11/09 => 2017/02/09 | ? | USD | USD-LIBOR-3M | 4.00% | 0.2556 | 0.0102 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/02/09 => 2017/05/09 | ? | USD | USD-LIBOR-3M | 4.00% | 0.2472 | 0.0099 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/05/09 => 2017/08/09 | ? | USD | USD-LIBOR-3M | 4.00% | 0.2556 | 0.0102 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/08/09 => 2017/11/09 | ? | USD | USD-LIBOR-3M | 5.30% | 0.2556 | 0.0136 | 0.0000 | 0.9989 | 0.9893 | 70% ||
|| 2017/11/09 => 2018/02/09 | ? | USD | USD-LIBOR-3M | 5.31% | 0.2556 | 0.0136 | 0.0000 | 0.9956 | 0.9571 | 70% ||
|| 2018/02/09 => 2018/05/09 | ? | USD | USD-LIBOR-3M | 5.42% | 0.2472 | 0.0134 | 0.0000 | 0.9921 | 0.9270 | 70% ||
|| 2018/05/09 => 2018/08/09 | ? | USD | USD-LIBOR-3M | 5.54% | 0.2556 | 0.0141 | 0.0000 | 0.9882 | 0.8969 | 70% ||
|| 2018/08/09 => 2018/11/09 | ? | USD | USD-LIBOR-3M | 5.63% | 0.2556 | 0.0144 | 0.0000 | 0.9841 | 0.8678 | 70% ||
|| 2018/11/09 => 2019/02/09 | ? | USD | USD-LIBOR-3M | 5.71% | 0.2556 | 0.0146 | 0.0000 | 0.9799 | 0.8396 | 70% ||
|| 2019/02/09 => 2019/05/09 | ? | USD | USD-LIBOR-3M | 5.81% | 0.2472 | 0.0144 | 0.0000 | 0.9755 | 0.8132 | 70% ||
|| 2019/05/09 => 2019/08/09 | ? | USD | USD-LIBOR-3M | 5.84% | 0.2556 | 0.0149 | 0.0000 | 0.9709 | 0.7868 | 70% ||
|| 2019/08/09 => 2019/11/09 | ? | USD | USD-LIBOR-3M | 5.87% | 0.2556 | 0.0150 | 0.0000 | 0.9663 | 0.7612 | 70% ||
|| 2019/11/09 => 2020/02/09 | ? | USD | USD-LIBOR-3M | 5.96% | 0.2556 | 0.0152 | 0.0000 | 0.9615 | 0.7365 | 70% ||
|| 2020/02/09 => 2020/05/09 | ? | USD | USD-LIBOR-3M | 6.04% | 0.2500 | 0.0151 | 0.0000 | 0.9566 | 0.7130 | 70% ||
|| 2020/05/09 => 2020/08/09 | ? | USD | USD-LIBOR-3M | 6.11% | 0.2556 | 0.0156 | 0.0000 | 0.9515 | 0.6899 | 70% ||
|| 2020/08/09 => 2020/11/09 | ? | USD | USD-LIBOR-3M | 6.15% | 0.2556 | 0.0157 | 0.0000 | 0.9463 | 0.6675 | 70% ||
|| 2020/11/09 => 2021/02/09 | ? | USD | USD-LIBOR-3M | 6.19% | 0.2556 | 0.0158 | 0.0000 | 0.9410 | 0.6458 | 70% ||
|| 2021/02/09 => 2021/05/09 | ? | USD | USD-LIBOR-3M | 6.22% | 0.2472 | 0.0154 | 0.0000 | 0.9359 | 0.6255 | 70% ||
|| 2021/05/09 => 2021/08/09 | ? | USD | USD-LIBOR-3M | 6.26% | 0.2556 | 0.0160 | 0.0000 | 0.9305 | 0.6051 | 70% ||
|| 2021/08/09 => 2021/11/09 | ? | USD | USD-LIBOR-3M | 6.30% | 0.2556 | 0.0161 | 0.0000 | 0.9251 | 0.5855 | 70% ||
|| 2021/11/09 => 2022/02/09 | ? | USD | USD-LIBOR-3M | 6.34% | 0.2556 | 0.0162 | 0.0000 | 0.9196 | 0.5665 | 70% ||
|| 2022/02/09 => 2022/05/09 | ? | USD | USD-LIBOR-3M | 6.38% | 0.2472 | 0.0158 | 0.0000 | 0.9142 | 0.5486 | 70% ||
|| 2022/05/09 => 2022/08/09 | ? | USD | USD-LIBOR-3M | 6.42% | 0.2556 | 0.0164 | 0.0000 | 0.9086 | 0.5308 | 70% ||
|| 2022/08/09 => 2022/11/09 | ? | USD | USD-LIBOR-3M | 6.45% | 0.2556 | 0.0165 | 0.0000 | 0.9029 | 0.5136 | 70% ||
|| 2022/11/09 => 2023/02/09 | ? | USD | USD-LIBOR-3M | 6.48% | 0.2556 | 0.0166 | 0.0000 | 0.8972 | 0.4969 | 70% ||
|| 2016/06/14 => 2023/02/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8972 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:09 EST 2020
| Setup Time => Mon Jan 27 00:46:09 EST 2020
| Finish Time => Mon Jan 27 00:46:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 15 s 43 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 00:46:24 EST 2020
| Setup Time => Mon Jan 27 00:46:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 04-MAY-2021
Next Call Date : 06-NOV-2017 | 1.0
Maturity Date : 25-JUL-2021 | 1.0
yield to call => 0.16804723719187564
z_spread => 0.043203997753879606
market value => 7.15875E8
oad mult => 0.05779307914757287
libor duration => 3.5149172319394586E-8
convexity => 1.4697925877584384E-7
modified convexity => 1.4697925877584384E-7
effective duration => 3.695933696919266E-4
yield to worst => 0.030128722805933563
tsy oas => 0.04204878128093914
macaulay duration => 3.5225843183367447
mod dur to worst => -5.193029328130532E-6
price => 0.9545
ytm fwdcpn => 0.05931776758229758
discount margin => 0.017368595444302595
cv01 => 8.890053639343254E-5
effective duration adj => 2.1359938867023673E-5
yield to maturity => 0.03142230849348154
oas => -0.014580691506518459
wal_adj => 3.5332927418386735
mcconvexity => 7.97855831868191E-9
mod dur => -5.242039098937143E-6
wal => 3.844444444444444
z_vol_oas => -0.01587427719406644
n-spread => 0.011098722805933565
mcoas => 0.11710552907683289
yield to put => 0.03142230849348154
treasury duration => 3.2958438878913615E-4
wal4 => 3.844444444444444
accrued$ => 7667166.666666598
wal3 => 2.0541098692281303
i-spread => 0.011583033070644476
j-spread => 0.017938722805933564
wal2 => 3.5073383372100353
wal to worst => 3.6166666666666663
mcduration => 7.745050080696042E-5
nominal yield => 0.019519414493911317
spread dur => 0.036810841601313204
funding duration => 4.1904381116860395E-6
accrued => 0.010222888888888797
e-spread => -0.018283360706684997
accrued interest factor => 0.010222888888888797
spread dur $ => 2.7608131200984903E7
dv01 => 3.5277687137094394E-4
yield to maturity cbe => 0.03154572867736357
funding kprd::fixfloat::05y => -1.9083264850654213E-6
funding kprd::fixfloat::15y => -1.7564925779617225E-11
funding kprd::fixfloat::03y => -1.378130437433967E-7
funding kprd::fixfloat::25y => -9.2050095943401E-13
funding kprd::fixfloat::09y => -1.6601474349549755E-8
funding kprd::fixfloat::07y => -1.853700589850078E-7
funding kprd::deposit::pll => -4.3197095758242334E-11
funding kprd::fixfloat::11y => -1.352363941750814E-9
funding kprd::bump => 4.1904381116860395E-6
funding kprd::fixfloat::06y => 6.036253086168462E-7
funding kprd::deposit::2d => -4.3197095758242334E-11
funding kprd::fixfloat::04y => 1.8320153724462556E-6
funding kprd::fixfloat::pll => 1.1794298377153927E-8
funding kprd::fixfloat::08y => 5.6011768411127655E-8
funding kprd::fixfloat::20y => 3.0879566488127646E-12
funding kprd::fixfloat::30y => 2.1750280420801091E-13
funding kprd::fixfloat::40y => -2.5427805150937196E-14
funding kprd::fixfloat::50y => 4.4236731001630195E-15
funding kprd::fixfloat::02y => -2.3550736921331112E-7
funding kprd::fixfloat::12y => 2.8828073120394707E-10
funding kprd::fixfloat::10y => 4.84325221783611E-9
funding kprd::futures::0 => 6.9129302870172945E-6
funding kprd::futures::p => 4.1786868457422E-6
funding kprd::futures::1 => -3.4641194793640125E-6
funding kprd::futures::2 => 9.255478890070913E-7
funding kprd::futures::3 => -2.4788076030493654E-7
funding kprd::futures::4 => 6.50269224765273E-8
funding kprd::futures::5 => -1.2812184115115053E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => -1.9083264850654213E-6
funding krd::fixfloat::15y => -1.7564925779617225E-11
funding krd::fixfloat::03y => -1.378130437433967E-7
funding krd::fixfloat::25y => -9.2050095943401E-13
funding krd::fixfloat::09y => -1.6601474349549755E-8
funding krd::fixfloat::07y => -1.853700589850078E-7
funding krd::deposit::pll => -4.3197095758242334E-11
funding krd::fixfloat::11y => -1.352363941750814E-9
funding krd::bump => 4.1904381116860395E-6
funding krd::fixfloat::06y => 6.036253086168462E-7
funding krd::deposit::2d => -4.3197095758242334E-11
funding krd::fixfloat::04y => 1.8320153724462556E-6
funding krd::fixfloat::pll => 1.1794298377153927E-8
funding krd::fixfloat::08y => 5.6011768411127655E-8
funding krd::fixfloat::20y => 3.0879566488127646E-12
funding krd::fixfloat::30y => 2.1750280420801091E-13
funding krd::fixfloat::40y => -2.5427805150937196E-14
funding krd::fixfloat::50y => 4.4236731001630195E-15
funding krd::fixfloat::02y => -2.3550736921331112E-7
funding krd::fixfloat::12y => 2.8828073120394707E-10
funding krd::fixfloat::10y => 4.84325221783611E-9
funding krd::futures::0 => 6.9129302870172945E-6
funding krd::futures::p => 4.1786868457422E-6
funding krd::futures::1 => -3.4641194793640125E-6
funding krd::futures::2 => 9.255478890070913E-7
funding krd::futures::3 => -2.4788076030493654E-7
funding krd::futures::4 => 6.50269224765273E-8
funding krd::futures::5 => -1.2812184115115053E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => -3.4046298993653835E-11
libor krd::tenor::2 => -3.4055219661806E-11
libor krd::tenor::1 => 2.0531281512220272E-8
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 3.167099792227441E-9
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => -4.327221831010472E-11
libor krd::tenor::6 => -3.402343388343683E-11
libor krd::tenor::5 => -3.329207232211354E-11
libor krd::tenor::4 => -3.366910516647845E-11
libor krd::bump => 3.5149172319394586E-8
libor krd::tenor::9 => 1.1777119099784417E-8
libor krd::tenor::8 => -1.3528196583457932E-10
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 9.351698469334131E-5
govvie kprd::tsy::10-oct-2020 => 2.378791884416114E-4
govvie kprd::bump => 3.3139818106214954E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => -3.4046298993653835E-11
libor kprd::tenor::2 => -3.4055219661806E-11
libor kprd::tenor::1 => 2.0531281512220272E-8
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 3.167099792227441E-9
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => -4.327221831010472E-11
libor kprd::tenor::6 => -3.402343388343683E-11
libor kprd::tenor::5 => -3.329207232211354E-11
libor kprd::tenor::4 => -3.366910516647845E-11
libor kprd::bump => 3.5149172319394586E-8
libor kprd::tenor::9 => 1.1777119099784417E-8
libor kprd::tenor::8 => -1.3528196583457932E-10
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 9.300515845404622E-5
govvie krd::tsy::10-oct-2020 => 2.3657724822060867E-4
govvie krd::bump => 3.2958438878913615E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 0.9545
Yield Out : 0.03142230849348154
Price Out : 0.9545000000000031
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/07/25 => 2014/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/10/25 => 2015/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/01/25 => 2015/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/04/25 => 2015/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/07/25 => 2015/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/10/25 => 2016/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/01/25 => 2016/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/04/25 => 2016/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/07/25 => 2016/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/10/25 => 2017/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/01/25 => 2017/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/04/25 => 2017/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/07/25 => 2017/10/25 | ? | USD | USD-LIBOR-3M | 4.60% | 0.2556 | 0.0118 | 0.0000 | 0.9995 | 0.9981 | 70% ||
|| 2017/10/25 => 2018/01/25 | ? | USD | USD-LIBOR-3M | 1.30% | 0.2556 | 0.0033 | 0.0000 | 0.9962 | 0.9863 | 70% ||
|| 2018/01/25 => 2018/04/25 | ? | USD | USD-LIBOR-3M | 1.40% | 0.2500 | 0.0035 | 0.0000 | 0.9927 | 0.9749 | 70% ||
|| 2018/04/25 => 2018/07/25 | ? | USD | USD-LIBOR-3M | 1.52% | 0.2528 | 0.0038 | 0.0000 | 0.9889 | 0.9636 | 70% ||
|| 2018/07/25 => 2018/10/25 | ? | USD | USD-LIBOR-3M | 1.61% | 0.2556 | 0.0041 | 0.0000 | 0.9848 | 0.9522 | 70% ||
|| 2018/10/25 => 2019/01/25 | ? | USD | USD-LIBOR-3M | 1.70% | 0.2556 | 0.0043 | 0.0000 | 0.9806 | 0.9410 | 70% ||
|| 2019/01/25 => 2019/04/25 | ? | USD | USD-LIBOR-3M | 1.79% | 0.2500 | 0.0045 | 0.0000 | 0.9762 | 0.9302 | 70% ||
|| 2019/04/25 => 2019/07/25 | ? | USD | USD-LIBOR-3M | 1.85% | 0.2528 | 0.0047 | 0.0000 | 0.9717 | 0.9193 | 70% ||
|| 2019/07/25 => 2019/10/25 | ? | USD | USD-LIBOR-3M | 1.85% | 0.2556 | 0.0047 | 0.0000 | 0.9671 | 0.9085 | 70% ||
|| 2019/10/25 => 2020/01/25 | ? | USD | USD-LIBOR-3M | 1.95% | 0.2556 | 0.0050 | 0.0000 | 0.9623 | 0.8978 | 70% ||
|| 2020/01/25 => 2020/04/25 | ? | USD | USD-LIBOR-3M | 2.03% | 0.2528 | 0.0051 | 0.0000 | 0.9574 | 0.8873 | 70% ||
|| 2020/04/25 => 2020/07/25 | ? | USD | USD-LIBOR-3M | 2.10% | 0.2528 | 0.0053 | 0.0000 | 0.9523 | 0.8770 | 70% ||
|| 2020/07/25 => 2020/10/25 | ? | USD | USD-LIBOR-3M | 2.14% | 0.2556 | 0.0055 | 0.0000 | 0.9471 | 0.8667 | 70% ||
|| 2020/10/25 => 2021/01/25 | ? | USD | USD-LIBOR-3M | 2.18% | 0.2556 | 0.0056 | 0.0000 | 0.9419 | 0.8565 | 70% ||
|| 2021/01/25 => 2021/04/25 | ? | USD | USD-LIBOR-3M | 2.22% | 0.2500 | 0.0055 | 0.0000 | 0.9367 | 0.8466 | 70% ||
|| 2021/04/25 => 2021/07/25 | ? | USD | USD-LIBOR-3M | 2.25% | 0.2528 | 0.0057 | 0.0000 | 0.9314 | 0.8367 | 70% ||
|| 2014/07/25 => 2021/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9314 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:24 EST 2020
| Setup Time => Mon Jan 27 00:46:24 EST 2020
| Finish Time => Mon Jan 27 00:46:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 16 s 440 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 00:46:40 EST 2020
| Setup Time => Mon Jan 27 00:46:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 24-FEB-2020
Next Call Date : 06-NOV-2017 | 1.0
Maturity Date : 09-MAY-2020 | 1.0
yield to call => 1.6760484434400829
z_spread => 0.08191254615977281
market value => 6.69062625E8
oad mult => -0.3812625832143114
libor duration => 5.496626317270419E-8
convexity => 7.001985294348548E-8
modified convexity => 7.001985294348548E-8
effective duration => 2.5203629207960787E-4
yield to worst => 0.061465637671176375
tsy oas => 0.07767817404399996
macaulay duration => 2.4574952945743056
mod dur to worst => -7.347595578056063E-6
price => 0.8920835
ytm fwdcpn => 0.09274084913703934
discount margin => 0.04870551030954541
cv01 => 4.517647443380568E-5
effective duration adj => -9.609200778202798E-5
yield to maturity => 0.0630765161765085
oas => 0.017237516176508504
wal_adj => 2.3762845395719694
mod dur => -7.542516457416677E-6
wal => 2.6166666666666663
z_vol_oas => 0.015626637671176377
n-spread => 0.045055637671176374
yield to put => 0.0630765161765085
treasury duration => 2.232424987631878E-4
wal4 => 2.6166666666666663
accrued$ => 6207364.583333357
wal3 => 1.3313629200764776
i-spread => 0.0444982707619454
j-spread => 0.049275637671176375
wal2 => 2.348947694255786
wal to worst => 2.4083333333333328
nominal yield => 0.020003154327819104
spread dur => 0.025132989501846892
funding duration => 8.36432953030639E-6
accrued => 0.008276486111111142
e-spread => 0.014712913442411622
accrued interest factor => 0.008276486111111142
spread dur $ => 1.8849742126385167E7
dv01 => 2.2483741756539887E-4
yield to maturity cbe => 0.06357384703811325
funding kprd::fixfloat::05y => 4.67789446522062E-7
funding kprd::fixfloat::15y => 4.305709490712082E-12
funding kprd::fixfloat::03y => 9.423918994815201E-7
funding kprd::fixfloat::25y => 2.2564722198417289E-13
funding kprd::fixfloat::09y => 4.06953165489362E-9
funding kprd::fixfloat::07y => 4.5439899051821085E-8
funding kprd::deposit::pll => 5.813229345907946E-10
funding kprd::fixfloat::11y => 3.315059782839125E-10
funding kprd::bump => 8.36432953030639E-6
funding kprd::fixfloat::06y => -1.4796712066075828E-7
funding kprd::deposit::2d => 5.813229345907946E-10
funding kprd::fixfloat::04y => -1.4176526510501385E-6
funding kprd::fixfloat::pll => 2.1091108564790602E-8
funding kprd::fixfloat::08y => -1.373020616681756E-8
funding kprd::fixfloat::20y => -7.569459262041931E-13
funding kprd::fixfloat::30y => -5.331587534480582E-14
funding kprd::fixfloat::40y => 6.2278433976644345E-15
funding kprd::fixfloat::50y => -1.0850287163930943E-15
funding kprd::fixfloat::02y => 1.4167759553033457E-7
funding kprd::fixfloat::12y => -7.066647543915074E-11
funding kprd::fixfloat::10y => -1.1872300014746296E-9
funding kprd::futures::0 => 1.3709207346615726E-5
funding kprd::futures::p => 8.342657273109968E-6
funding kprd::futures::1 => -6.797858140797945E-6
funding kprd::futures::2 => 1.815744598426173E-6
funding kprd::futures::3 => -4.86641000770755E-7
funding kprd::futures::4 => 1.2739742611957418E-7
funding kprd::futures::5 => -2.5183168535249574E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 4.67789446522062E-7
funding krd::fixfloat::15y => 4.305709490712082E-12
funding krd::fixfloat::03y => 9.423918994815201E-7
funding krd::fixfloat::25y => 2.2564722198417289E-13
funding krd::fixfloat::09y => 4.06953165489362E-9
funding krd::fixfloat::07y => 4.5439899051821085E-8
funding krd::deposit::pll => 5.813229345907946E-10
funding krd::fixfloat::11y => 3.315059782839125E-10
funding krd::bump => 8.36432953030639E-6
funding krd::fixfloat::06y => -1.4796712066075828E-7
funding krd::deposit::2d => 5.813229345907946E-10
funding krd::fixfloat::04y => -1.4176526510501385E-6
funding krd::fixfloat::pll => 2.1091108564790602E-8
funding krd::fixfloat::08y => -1.373020616681756E-8
funding krd::fixfloat::20y => -7.569459262041931E-13
funding krd::fixfloat::30y => -5.331587534480582E-14
funding krd::fixfloat::40y => 6.2278433976644345E-15
funding krd::fixfloat::50y => -1.0850287163930943E-15
funding krd::fixfloat::02y => 1.4167759553033457E-7
funding krd::fixfloat::12y => -7.066647543915074E-11
funding krd::fixfloat::10y => -1.1872300014746296E-9
funding krd::futures::0 => 1.3709207346615726E-5
funding krd::futures::p => 8.342657273109968E-6
funding krd::futures::1 => -6.797858140797945E-6
funding krd::futures::2 => 1.815744598426173E-6
funding krd::futures::3 => -4.86641000770755E-7
funding krd::futures::4 => 1.2739742611957418E-7
funding krd::futures::5 => -2.5183168535249574E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => -4.472375202582014E-11
libor krd::tenor::2 => -4.473544827607687E-11
libor krd::tenor::1 => 3.570319829681514E-8
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 2.5549483745394974E-9
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => -5.6843043497354156E-11
libor krd::tenor::6 => -4.469369815828812E-11
libor krd::tenor::5 => -4.373298470459433E-11
libor krd::tenor::4 => -4.4228257342423584E-11
libor krd::bump => 5.496626317270419E-8
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 1.6939963349356697E-8
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 8.485949556919981E-5
govvie kprd::bump => 2.2670588676359095E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 1.4184560923619668E-4
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => -4.472375202582014E-11
libor kprd::tenor::2 => -4.473544827607687E-11
libor kprd::tenor::1 => 3.570319829681514E-8
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 2.5549483745394974E-9
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => -5.6843043497354156E-11
libor kprd::tenor::6 => -4.469369815828812E-11
libor kprd::tenor::5 => -4.373298470459433E-11
libor kprd::tenor::4 => -4.4228257342423584E-11
libor kprd::bump => 5.496626317270419E-8
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 1.6939963349356697E-8
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 8.356310503283795E-5
govvie krd::bump => 2.232424987631878E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 1.396786429038839E-4
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 0.8920835
Yield Out : 0.0630765161765085
Price Out : 0.8920835000000331
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2013/05/09 => 2013/08/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2013/08/09 => 2013/11/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2013/11/09 => 2014/02/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/02/09 => 2014/05/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2472 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/05/09 => 2014/08/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/08/09 => 2014/11/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/11/09 => 2015/02/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/02/09 => 2015/05/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2472 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/05/09 => 2015/08/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/08/09 => 2015/11/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/11/09 => 2016/02/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/02/09 => 2016/05/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/05/09 => 2016/08/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/08/09 => 2016/11/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/11/09 => 2017/02/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/02/09 => 2017/05/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2472 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/05/09 => 2017/08/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/08/09 => 2017/11/09 | ? | USD | USD-LIBOR-3M | 4.58% | 0.2556 | 0.0117 | 0.0000 | 0.9989 | 0.9846 | 70% ||
|| 2017/11/09 => 2018/02/09 | ? | USD | USD-LIBOR-3M | 1.31% | 0.2556 | 0.0033 | 0.0000 | 0.9956 | 0.9387 | 70% ||
|| 2018/02/09 => 2018/05/09 | ? | USD | USD-LIBOR-3M | 1.42% | 0.2472 | 0.0035 | 0.0000 | 0.9921 | 0.8963 | 70% ||
|| 2018/05/09 => 2018/08/09 | ? | USD | USD-LIBOR-3M | 1.54% | 0.2556 | 0.0039 | 0.0000 | 0.9882 | 0.8545 | 70% ||
|| 2018/08/09 => 2018/11/09 | ? | USD | USD-LIBOR-3M | 1.63% | 0.2556 | 0.0042 | 0.0000 | 0.9841 | 0.8147 | 70% ||
|| 2018/11/09 => 2019/02/09 | ? | USD | USD-LIBOR-3M | 1.71% | 0.2556 | 0.0044 | 0.0000 | 0.9799 | 0.7768 | 70% ||
|| 2019/02/09 => 2019/05/09 | ? | USD | USD-LIBOR-3M | 1.81% | 0.2472 | 0.0045 | 0.0000 | 0.9755 | 0.7417 | 70% ||
|| 2019/05/09 => 2019/08/09 | ? | USD | USD-LIBOR-3M | 1.84% | 0.2556 | 0.0047 | 0.0000 | 0.9709 | 0.7071 | 70% ||
|| 2019/08/09 => 2019/11/09 | ? | USD | USD-LIBOR-3M | 1.87% | 0.2556 | 0.0048 | 0.0000 | 0.9663 | 0.6742 | 70% ||
|| 2019/11/09 => 2020/02/09 | ? | USD | USD-LIBOR-3M | 1.96% | 0.2556 | 0.0050 | 0.0000 | 0.9615 | 0.6428 | 70% ||
|| 2020/02/09 => 2020/05/09 | ? | USD | USD-LIBOR-3M | 2.04% | 0.2500 | 0.0051 | 0.0000 | 0.9566 | 0.6134 | 70% ||
|| 2013/05/09 => 2020/05/09 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9566 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:40 EST 2020
| Setup Time => Mon Jan 27 00:46:40 EST 2020
| Finish Time => Mon Jan 27 00:46:53 EST 2020
| Setup Duration => 0 ms
| Run Duration => 12 s 512 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 00:46:53 EST 2020
| Setup Time => Mon Jan 27 00:46:53 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 01-JUN-2020
Next Call Date : 01-JUN-2020 | 1.0
Maturity Date : 01-JUN-2020 | 1.0
yield to call => 0.05448776044102798
z_spread => 0.035340873413722766
market value => 2.5E7
oad mult => 0.26667288513314424
libor duration => 1.3038586537393075E-5
convexity => 8.107955510902805E-8
modified convexity => 8.107955510902805E-8
effective duration => 2.483454476635505E-4
yield to worst => 0.05448776044102798
tsy oas => 0.035340873413722766
macaulay duration => 2.5095807860518913
mod dur to worst => 1.4340382662014761E-5
price => 1.0
ytm fwdcpn => 0.05052860564394031
discount margin => 0.04172763307939702
cv01 => 6.807963136323814E-5
effective duration adj => 6.62269970381213E-5
yield to maturity => 0.05448776044102798
oas => 0.04144666044102798
wal_adj => 2.5627107158902533
mod dur => 1.4340382662014761E-5
wal => 2.6805555555555554
z_vol_oas => 0.04144666044102798
n-spread => 0.036624760441027984
yield to put => 0.05448776044102798
treasury duration => 2.492933134857989E-4
wal4 => 2.6805555555555554
accrued$ => 147411.5416666678
wal3 => 1.4974943099797107
i-spread => 0.037127309100985606
j-spread => 0.04229776044102798
wal2 => 2.4983410476181835
wal to worst => 2.6805555555555554
nominal yield => 0.05650685121124661
spread dur => 0.02476428899422345
funding duration => 2.596561192578474E-5
accrued => 0.005896461666666712
e-spread => 0.04014954744329879
accrued interest factor => 0.005896461666666712
spread dur $ => 619107.2248555862
dv01 => 2.483454476635505E-4
yield to maturity cbe => 0.054858873576900544
funding kprd::fixfloat::05y => 3.0381218794282995E-7
funding kprd::fixfloat::15y => 2.7963934751820508E-12
funding kprd::fixfloat::03y => 3.4045837399650432E-6
funding kprd::fixfloat::25y => 1.4654493008747708E-13
funding kprd::fixfloat::09y => 2.6430124081364437E-9
funding kprd::fixfloat::07y => 2.9511557374131403E-8
funding kprd::deposit::pll => 1.9232412490661902E-8
funding kprd::fixfloat::11y => 2.1530103838803168E-10
funding kprd::bump => 2.596561192578474E-5
funding kprd::fixfloat::06y => -9.60992487412188E-8
funding kprd::deposit::2d => 1.9232412490661902E-8
funding kprd::fixfloat::04y => -9.207136855552387E-7
funding kprd::fixfloat::pll => 7.58518346027861E-6
funding kprd::fixfloat::08y => -8.917268192295278E-9
funding kprd::fixfloat::20y => -4.91610146937853E-13
funding kprd::fixfloat::30y => -3.462833497841975E-14
funding kprd::fixfloat::40y => 4.048649294659773E-15
funding kprd::fixfloat::50y => -7.025745967012596E-16
funding kprd::fixfloat::02y => 4.8709610090732065E-6
funding kprd::fixfloat::12y => -4.589529127907438E-11
funding kprd::fixfloat::10y => -7.710625894129243E-10
funding kprd::futures::0 => 2.400404066102198E-5
funding kprd::futures::p => 1.8361177710227423E-5
funding kprd::futures::1 => -9.908181548098812E-6
funding kprd::futures::2 => 3.7401694489568037E-6
funding kprd::futures::3 => -1.8849779161622204E-7
funding kprd::futures::4 => 5.898720313434284E-7
funding kprd::futures::5 => 1.2378220795119492E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.0381218794282995E-7
funding krd::fixfloat::15y => 2.7963934751820508E-12
funding krd::fixfloat::03y => 3.4045837399650432E-6
funding krd::fixfloat::25y => 1.4654493008747708E-13
funding krd::fixfloat::09y => 2.6430124081364437E-9
funding krd::fixfloat::07y => 2.9511557374131403E-8
funding krd::deposit::pll => 1.9232412490661902E-8
funding krd::fixfloat::11y => 2.1530103838803168E-10
funding krd::bump => 2.596561192578474E-5
funding krd::fixfloat::06y => -9.60992487412188E-8
funding krd::deposit::2d => 1.9232412490661902E-8
funding krd::fixfloat::04y => -9.207136855552387E-7
funding krd::fixfloat::pll => 7.58518346027861E-6
funding krd::fixfloat::08y => -8.917268192295278E-9
funding krd::fixfloat::20y => -4.91610146937853E-13
funding krd::fixfloat::30y => -3.462833497841975E-14
funding krd::fixfloat::40y => 4.048649294659773E-15
funding krd::fixfloat::50y => -7.025745967012596E-16
funding krd::fixfloat::02y => 4.8709610090732065E-6
funding krd::fixfloat::12y => -4.589529127907438E-11
funding krd::fixfloat::10y => -7.710625894129243E-10
funding krd::futures::0 => 2.400404066102198E-5
funding krd::futures::p => 1.8361177710227423E-5
funding krd::futures::1 => -9.908181548098812E-6
funding krd::futures::2 => 3.7401694489568037E-6
funding krd::futures::3 => -1.8849779161622204E-7
funding krd::futures::4 => 5.898720313434284E-7
funding krd::futures::5 => 1.2378220795119492E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 1.6814583705485983E-6
libor krd::tenor::2 => 1.9019669334880167E-6
libor krd::tenor::1 => 3.725826996561375E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.303090392806057E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 9.896661276027953E-7
libor krd::tenor::6 => 1.0332470466762776E-6
libor krd::tenor::5 => 1.2188679910996326E-6
libor krd::tenor::4 => 1.4461252039813604E-6
libor krd::bump => 1.3038586537393075E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 9.883170847119164E-7
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 1.5995477681311955E-4
govvie kprd::bump => 2.491219159128086E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 8.916613115038155E-5
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 1.6814583705485983E-6
libor kprd::tenor::2 => 1.9019669334880167E-6
libor kprd::tenor::1 => 3.725826996561375E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.303090392806057E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 9.896661276027953E-7
libor kprd::tenor::6 => 1.0332470466762776E-6
libor kprd::tenor::5 => 1.2188679910996326E-6
libor kprd::tenor::4 => 1.4461252039813604E-6
libor kprd::bump => 1.3038586537393075E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 9.883170847119164E-7
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 1.6006482619669858E-4
govvie krd::bump => 2.492933134857989E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 8.922747756643923E-5
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.05448776044102798
Price Out : 1.0000000056480993
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2015/05/26 => 2015/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2722 | 0.0102 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/09/01 => 2015/12/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/12/01 => 2016/03/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/03/01 => 2016/06/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/06/01 => 2016/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/09/01 => 2016/12/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/12/01 => 2017/03/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2500 | 0.0094 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/03/01 => 2017/06/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/06/01 => 2017/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/01 => 2017/12/01 | ? | USD | USD-LIBOR-3M | 5.05% | 0.2528 | 0.0128 | 0.0000 | 0.9982 | 0.9826 | 70% ||
|| 2017/12/01 => 2018/03/01 | ? | USD | USD-LIBOR-3M | 5.08% | 0.2500 | 0.0127 | 0.0000 | 0.9948 | 0.9532 | 70% ||
|| 2018/03/01 => 2018/06/01 | ? | USD | USD-LIBOR-3M | 5.20% | 0.2556 | 0.0133 | 0.0000 | 0.9912 | 0.9241 | 70% ||
|| 2018/06/01 => 2018/09/01 | ? | USD | USD-LIBOR-3M | 5.31% | 0.2556 | 0.0136 | 0.0000 | 0.9872 | 0.8958 | 70% ||
|| 2018/09/01 => 2018/12/01 | ? | USD | USD-LIBOR-3M | 5.40% | 0.2528 | 0.0136 | 0.0000 | 0.9831 | 0.8687 | 70% ||
|| 2018/12/01 => 2019/03/01 | ? | USD | USD-LIBOR-3M | 5.48% | 0.2500 | 0.0137 | 0.0000 | 0.9789 | 0.8427 | 70% ||
|| 2019/03/01 => 2019/06/01 | ? | USD | USD-LIBOR-3M | 5.58% | 0.2556 | 0.0143 | 0.0000 | 0.9743 | 0.8170 | 70% ||
|| 2019/06/01 => 2019/09/01 | ? | USD | USD-LIBOR-3M | 5.59% | 0.2556 | 0.0143 | 0.0000 | 0.9698 | 0.7920 | 70% ||
|| 2019/09/01 => 2019/12/01 | ? | USD | USD-LIBOR-3M | 5.64% | 0.2528 | 0.0143 | 0.0000 | 0.9652 | 0.7681 | 70% ||
|| 2019/12/01 => 2020/03/01 | ? | USD | USD-LIBOR-3M | 5.73% | 0.2528 | 0.0145 | 0.0000 | 0.9604 | 0.7448 | 70% ||
|| 2020/03/01 => 2020/06/01 | ? | USD | USD-LIBOR-3M | 5.81% | 0.2556 | 0.0148 | 0.0000 | 0.9553 | 0.7221 | 70% ||
|| 2015/05/26 => 2020/06/01 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9553 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:46:53 EST 2020
| Setup Time => Mon Jan 27 00:46:53 EST 2020
| Finish Time => Mon Jan 27 00:47:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 11 s 417 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 00:47:04 EST 2020
| Setup Time => Mon Jan 27 00:47:04 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 03-MAR-2021
Next Call Date : 03-MAR-2021 | 1.0
Maturity Date : 03-MAR-2021 | 1.0
yield to call => 0.06290445710016604
z_spread => 0.04144258858316746
market value => 3.0E8
oad mult => 0.25447083927638336
libor duration => 2.3888930913369183E-5
convexity => 1.0782412494873884E-7
modified convexity => 1.0782412494873884E-7
effective duration => 3.084448441454307E-4
yield to worst => 0.06290445710016604
tsy oas => 0.04144258858316746
macaulay duration => 3.125861487680872
mod dur to worst => 1.4919267862012475E-5
price => 1.0
ytm fwdcpn => 0.05802708173385109
discount margin => 0.050144329738535075
cv01 => 8.043974117233343E-5
effective duration adj => 7.849021836016101E-5
yield to maturity => 0.06290445710016604
oas => 0.04986335710016604
wal_adj => 3.238119125635672
mod dur => 1.4919267862012475E-5
wal => 3.444444444444444
z_vol_oas => 0.04986335710016604
n-spread => 0.045041457100166035
yield to put => 0.06290445710016604
treasury duration => 3.1025949914043614E-4
wal4 => 3.444444444444444
accrued$ => 1934703.3333333293
wal3 => 1.8904769898735718
i-spread => 0.044556064716615704
j-spread => 0.05071445710016604
wal2 => 3.0782200764207013
wal to worst => 3.444444444444444
nominal yield => 0.06453014432136886
spread dur => 0.030736016907232933
funding duration => 3.6539510287994453E-5
accrued => 0.006449011111111098
e-spread => 0.047648353647534905
accrued interest factor => 0.006449011111111098
spread dur $ => 9220805.07216988
dv01 => 3.084448441454307E-4
yield to maturity cbe => 0.06339907844049256
funding kprd::fixfloat::05y => -2.2052614825806866E-7
funding kprd::fixfloat::15y => -2.0298059786283392E-12
funding kprd::fixfloat::03y => 1.1508096096126027E-5
funding kprd::fixfloat::25y => -1.06367380616716E-13
funding kprd::fixfloat::09y => -1.918465958060751E-9
funding kprd::fixfloat::07y => -2.1421359121677347E-8
funding kprd::deposit::pll => 3.799894037310783E-8
funding kprd::fixfloat::11y => -1.5627914119758245E-10
funding kprd::bump => 3.6539510287994453E-5
funding kprd::fixfloat::06y => 6.975492618129552E-8
funding kprd::deposit::2d => 3.799894037310783E-8
funding kprd::fixfloat::04y => 8.983541646013007E-7
funding kprd::fixfloat::pll => 1.75265788905985E-5
funding kprd::fixfloat::08y => 6.472718520920323E-9
funding kprd::fixfloat::20y => 3.5683715597809466E-13
funding kprd::fixfloat::30y => 2.5140591254052666E-14
funding kprd::fixfloat::40y => -2.9338732212023154E-15
funding kprd::fixfloat::50y => 5.21148532713569E-16
funding kprd::fixfloat::02y => 5.287313427347552E-6
funding kprd::fixfloat::12y => 3.331371543807545E-11
funding kprd::fixfloat::10y => 5.596860962708734E-10
funding kprd::futures::0 => 2.4165154535978266E-5
funding kprd::futures::p => 1.8974892203757257E-5
funding kprd::futures::1 => -9.726340584764226E-6
funding kprd::futures::2 => 3.8403444724775875E-6
funding kprd::futures::3 => -1.0149394647733963E-7
funding kprd::futures::4 => 6.430167738657585E-7
funding kprd::futures::5 => 1.542175972964968E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => -2.2052614825806866E-7
funding krd::fixfloat::15y => -2.0298059786283392E-12
funding krd::fixfloat::03y => 1.1508096096126027E-5
funding krd::fixfloat::25y => -1.06367380616716E-13
funding krd::fixfloat::09y => -1.918465958060751E-9
funding krd::fixfloat::07y => -2.1421359121677347E-8
funding krd::deposit::pll => 3.799894037310783E-8
funding krd::fixfloat::11y => -1.5627914119758245E-10
funding krd::bump => 3.6539510287994453E-5
funding krd::fixfloat::06y => 6.975492618129552E-8
funding krd::deposit::2d => 3.799894037310783E-8
funding krd::fixfloat::04y => 8.983541646013007E-7
funding krd::fixfloat::pll => 1.75265788905985E-5
funding krd::fixfloat::08y => 6.472718520920323E-9
funding krd::fixfloat::20y => 3.5683715597809466E-13
funding krd::fixfloat::30y => 2.5140591254052666E-14
funding krd::fixfloat::40y => -2.9338732212023154E-15
funding krd::fixfloat::50y => 5.21148532713569E-16
funding krd::fixfloat::02y => 5.287313427347552E-6
funding krd::fixfloat::12y => 3.331371543807545E-11
funding krd::fixfloat::10y => 5.596860962708734E-10
funding krd::futures::0 => 2.4165154535978266E-5
funding krd::futures::p => 1.8974892203757257E-5
funding krd::futures::1 => -9.726340584764226E-6
funding krd::futures::2 => 3.8403444724775875E-6
funding krd::futures::3 => -1.0149394647733963E-7
funding krd::futures::4 => 6.430167738657585E-7
funding krd::futures::5 => 1.542175972964968E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.644944923448805E-6
libor krd::tenor::2 => 2.8977560700678657E-6
libor krd::tenor::1 => 5.466181247321252E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 7.59149248125917E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 2.0456795366720093E-6
libor krd::tenor::6 => 1.901846373868414E-6
libor krd::tenor::5 => 2.099065031263654E-6
libor krd::tenor::4 => 2.367377226906813E-6
libor krd::bump => 2.3888930913369183E-5
libor krd::tenor::9 => 5.047505693499814E-7
libor krd::tenor::8 => 3.885281437304774E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 6.115910466864664E-5
govvie kprd::tsy::10-oct-2020 => 2.488849346834644E-4
govvie kprd::bump => 3.100453646400362E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.644944923448805E-6
libor kprd::tenor::2 => 2.8977560700678657E-6
libor kprd::tenor::1 => 5.466181247321252E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 7.59149248125917E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 2.0456795366720093E-6
libor kprd::tenor::6 => 1.901846373868414E-6
libor kprd::tenor::5 => 2.099065031263654E-6
libor kprd::tenor::4 => 2.367377226906813E-6
libor kprd::bump => 2.3888930913369183E-5
libor kprd::tenor::9 => 5.047505693499814E-7
libor kprd::tenor::8 => 3.885281437304774E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 6.120134404904442E-5
govvie krd::tsy::10-oct-2020 => 2.4905682767398794E-4
govvie krd::bump => 3.1025949914043614E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.06290445710016604
Price Out : 1.000000000000194
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/02/29 => 2016/06/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2639 | 0.0119 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/06/03 => 2016/09/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/09/03 => 2016/12/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2528 | 0.0114 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/12/03 => 2017/03/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2500 | 0.0112 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/03/03 => 2017/06/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/06/03 => 2017/09/03 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/03 => 2017/12/03 | ? | USD | USD-LIBOR-3M | 5.80% | 0.2528 | 0.0147 | 0.0000 | 0.9981 | 0.9784 | 70% ||
|| 2017/12/03 => 2018/03/03 | ? | USD | USD-LIBOR-3M | 5.83% | 0.2500 | 0.0146 | 0.0000 | 0.9948 | 0.9436 | 70% ||
|| 2018/03/03 => 2018/06/03 | ? | USD | USD-LIBOR-3M | 5.95% | 0.2556 | 0.0152 | 0.0000 | 0.9911 | 0.9092 | 70% ||
|| 2018/06/03 => 2018/09/03 | ? | USD | USD-LIBOR-3M | 6.06% | 0.2556 | 0.0155 | 0.0000 | 0.9871 | 0.8760 | 70% ||
|| 2018/09/03 => 2018/12/03 | ? | USD | USD-LIBOR-3M | 6.15% | 0.2528 | 0.0155 | 0.0000 | 0.9830 | 0.8445 | 70% ||
|| 2018/12/03 => 2019/03/03 | ? | USD | USD-LIBOR-3M | 6.23% | 0.2500 | 0.0156 | 0.0000 | 0.9788 | 0.8143 | 70% ||
|| 2019/03/03 => 2019/06/03 | ? | USD | USD-LIBOR-3M | 6.33% | 0.2556 | 0.0162 | 0.0000 | 0.9742 | 0.7847 | 70% ||
|| 2019/06/03 => 2019/09/03 | ? | USD | USD-LIBOR-3M | 6.34% | 0.2556 | 0.0162 | 0.0000 | 0.9697 | 0.7561 | 70% ||
|| 2019/09/03 => 2019/12/03 | ? | USD | USD-LIBOR-3M | 6.40% | 0.2528 | 0.0162 | 0.0000 | 0.9651 | 0.7288 | 70% ||
|| 2019/12/03 => 2020/03/03 | ? | USD | USD-LIBOR-3M | 6.49% | 0.2528 | 0.0164 | 0.0000 | 0.9602 | 0.7025 | 70% ||
|| 2020/03/03 => 2020/06/03 | ? | USD | USD-LIBOR-3M | 6.56% | 0.2556 | 0.0168 | 0.0000 | 0.9552 | 0.6769 | 70% ||
|| 2020/06/03 => 2020/09/03 | ? | USD | USD-LIBOR-3M | 6.62% | 0.2556 | 0.0169 | 0.0000 | 0.9501 | 0.6523 | 70% ||
|| 2020/09/03 => 2020/12/03 | ? | USD | USD-LIBOR-3M | 6.66% | 0.2528 | 0.0168 | 0.0000 | 0.9449 | 0.6287 | 70% ||
|| 2020/12/03 => 2021/03/03 | ? | USD | USD-LIBOR-3M | 6.69% | 0.2500 | 0.0167 | 0.0000 | 0.9398 | 0.6063 | 70% ||
|| 2016/02/29 => 2021/03/03 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9398 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:47:04 EST 2020
| Setup Time => Mon Jan 27 00:47:04 EST 2020
| Finish Time => Mon Jan 27 00:47:16 EST 2020
| Setup Duration => 0 ms
| Run Duration => 11 s 980 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 00:47:16 EST 2020
| Setup Time => Mon Jan 27 00:47:16 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 12-JUL-2018
Next Call Date : 30-OCT-2017 | 1.01
Maturity Date : 03-JAN-2024 | 1.0
yield to call => 0.047666042492498395
z_spread => 0.022753489949465477
market value => 7.5054675E8
oad mult => -2.5288262579416267
libor duration => 2.1658062741441067E-8
convexity => 1.2177772163072312E-8
modified convexity => 1.2177772163072312E-8
effective duration => 9.817316613721885E-5
yield to worst => 0.015474508294732604
tsy oas => 0.014803751776084464
macaulay duration => 5.71232799451796
mod dur to worst => 2.3335480754857364E-5
price => 1.000729
ytm fwdcpn => 0.03579276805019611
discount margin => 0.0027143809331016382
cv01 => 2.2717475986810953E-5
effective duration adj => -2.4826288035306477E-4
yield to maturity => 0.02151177913599196
oas => -0.01441322086400804
wal_adj => 0.7584358472653636
mcconvexity => 2.5859253159472942E-8
mod dur => 2.2144410177036196E-5
wal => 6.322222222222223
z_vol_oas => -0.020450491705267394
n-spread => -9.354917052673967E-4
mcoas => 0.022712208125654543
yield to put => 0.02151177913599196
treasury duration => 7.505909873122342E-5
wal4 => 6.322222222222223
accrued$ => 748437.5000000066
wal3 => 0.420472263611977
i-spread => -9.354917052673967E-4
j-spread => 0.003284508294732605
wal2 => 0.7584626606358599
wal to worst => 0.763888888888889
mcduration => 1.473181303447301E-4
nominal yield => 0.022057931855721805
spread dur => 0.009805178027178767
funding duration => 2.3516150514275742E-5
accrued => 9.979166666666756E-4
e-spread => -0.020450491705267394
accrued interest factor => 9.979166666666756E-4
spread dur $ => 7353883.520384075
dv01 => 9.824473437533287E-5
yield to maturity cbe => 0.021569623716191803
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 2.3516150514275742E-5
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 3.5985987504109485E-5
funding kprd::futures::p => 2.3516150514275742E-5
funding kprd::futures::1 => -1.5290005792820316E-5
funding kprd::futures::2 => 4.560739855616363E-6
funding kprd::futures::3 => -2.199991117784445E-6
funding kprd::futures::4 => 5.721862256291459E-7
funding kprd::futures::5 => -1.1275445592339928E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 2.3516150514275742E-5
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 3.5985987504109485E-5
funding krd::futures::p => 2.3516150514275742E-5
funding krd::futures::1 => -1.5290005792820316E-5
funding krd::futures::2 => 4.560739855616363E-6
funding krd::futures::3 => -2.199991117784445E-6
funding krd::futures::4 => 5.721862256291459E-7
funding krd::futures::5 => -1.1275445592339928E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 4.892723961042844E-7
libor krd::tenor::2 => 8.600970751258847E-11
libor krd::tenor::1 => 1.2133767401692847E-8
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 2.908197923240403E-10
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => -4.801381561990842E-7
libor krd::bump => 2.1658062741441067E-8
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 7.497785308030942E-5
govvie kprd::tsy::10-oct-2018 => 7.497785308030942E-5
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 4.892723961042844E-7
libor kprd::tenor::2 => 8.600970751258847E-11
libor kprd::tenor::1 => 1.2133767401692847E-8
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 2.908197923240403E-10
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => -4.801381561990842E-7
libor kprd::bump => 2.1658062741441067E-8
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 7.505909873122342E-5
govvie krd::tsy::10-oct-2018 => 7.505909873122342E-5
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.000729
Yield Out : 0.02151177913599196
Price Out : 1.0007290000000049
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/01/03 => 2017/04/03 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/04/03 => 2017/07/03 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/07/03 => 2017/10/03 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/10/03 => 2018/01/03 | ? | USD | USD-LIBOR-3M | 3.59% | 0.2556 | 0.0092 | 0.0000 | 0.9970 | 1.0007 | 70% ||
|| 2018/01/03 => 2018/04/03 | ? | USD | USD-LIBOR-3M | 1.37% | 0.2500 | 0.0034 | 0.0000 | 0.9936 | 1.0015 | 70% ||
|| 2018/04/03 => 2018/07/03 | ? | USD | USD-LIBOR-3M | 1.49% | 0.2528 | 0.0038 | 0.0000 | 0.9898 | 1.0023 | 70% ||
|| 2018/07/03 => 2018/10/03 | ? | USD | USD-LIBOR-3M | 1.59% | 0.2556 | 0.0041 | 0.0000 | 0.9858 | 1.0031 | 70% ||
|| 2018/10/03 => 2019/01/03 | ? | USD | USD-LIBOR-3M | 1.68% | 0.2556 | 0.0043 | 0.0000 | 0.9816 | 1.0039 | 70% ||
|| 2019/01/03 => 2019/04/03 | ? | USD | USD-LIBOR-3M | 1.77% | 0.2500 | 0.0044 | 0.0000 | 0.9773 | 1.0047 | 70% ||
|| 2019/04/03 => 2019/07/03 | ? | USD | USD-LIBOR-3M | 1.86% | 0.2528 | 0.0047 | 0.0000 | 0.9727 | 1.0055 | 70% ||
|| 2019/07/03 => 2019/10/03 | ? | USD | USD-LIBOR-3M | 1.83% | 0.2556 | 0.0047 | 0.0000 | 0.9682 | 1.0063 | 70% ||
|| 2019/10/03 => 2020/01/03 | ? | USD | USD-LIBOR-3M | 1.93% | 0.2556 | 0.0049 | 0.0000 | 0.9634 | 1.0071 | 70% ||
|| 2020/01/03 => 2020/04/03 | ? | USD | USD-LIBOR-3M | 2.01% | 0.2528 | 0.0051 | 0.0000 | 0.9586 | 1.0079 | 70% ||
|| 2020/04/03 => 2020/07/03 | ? | USD | USD-LIBOR-3M | 2.08% | 0.2528 | 0.0053 | 0.0000 | 0.9535 | 1.0087 | 70% ||
|| 2020/07/03 => 2020/10/03 | ? | USD | USD-LIBOR-3M | 2.13% | 0.2556 | 0.0055 | 0.0000 | 0.9484 | 1.0095 | 70% ||
|| 2020/10/03 => 2021/01/03 | ? | USD | USD-LIBOR-3M | 2.17% | 0.2556 | 0.0056 | 0.0000 | 0.9431 | 1.0103 | 70% ||
|| 2021/01/03 => 2021/04/03 | ? | USD | USD-LIBOR-3M | 2.21% | 0.2500 | 0.0055 | 0.0000 | 0.9380 | 1.0111 | 70% ||
|| 2021/04/03 => 2021/07/03 | ? | USD | USD-LIBOR-3M | 2.24% | 0.2528 | 0.0057 | 0.0000 | 0.9327 | 1.0119 | 70% ||
|| 2021/07/03 => 2021/10/03 | ? | USD | USD-LIBOR-3M | 2.28% | 0.2556 | 0.0058 | 0.0000 | 0.9273 | 1.0127 | 70% ||
|| 2021/10/03 => 2022/01/03 | ? | USD | USD-LIBOR-3M | 2.33% | 0.2556 | 0.0059 | 0.0000 | 0.9218 | 1.0135 | 70% ||
|| 2022/01/03 => 2022/04/03 | ? | USD | USD-LIBOR-3M | 2.37% | 0.2500 | 0.0059 | 0.0000 | 0.9164 | 1.0143 | 70% ||
|| 2022/04/03 => 2022/07/03 | ? | USD | USD-LIBOR-3M | 2.40% | 0.2528 | 0.0061 | 0.0000 | 0.9108 | 1.0151 | 70% ||
|| 2022/07/03 => 2022/10/03 | ? | USD | USD-LIBOR-3M | 2.44% | 0.2556 | 0.0062 | 0.0000 | 0.9052 | 1.0159 | 70% ||
|| 2022/10/03 => 2023/01/03 | ? | USD | USD-LIBOR-3M | 2.47% | 0.2556 | 0.0063 | 0.0000 | 0.8995 | 1.0167 | 70% ||
|| 2023/01/03 => 2023/04/03 | ? | USD | USD-LIBOR-3M | 2.50% | 0.2500 | 0.0062 | 0.0000 | 0.8939 | 1.0175 | 70% ||
|| 2023/04/03 => 2023/07/03 | ? | USD | USD-LIBOR-3M | 2.52% | 0.2528 | 0.0064 | 0.0000 | 0.8883 | 1.0183 | 70% ||
|| 2023/07/03 => 2023/10/03 | ? | USD | USD-LIBOR-3M | 2.55% | 0.2556 | 0.0065 | 0.0000 | 0.8825 | 1.0192 | 70% ||
|| 2023/10/03 => 2024/01/03 | ? | USD | USD-LIBOR-3M | 2.57% | 0.2556 | 0.0066 | 0.0000 | 0.8767 | 1.0200 | 70% ||
|| 2017/01/03 => 2024/01/03 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8767 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:47:16 EST 2020
| Setup Time => Mon Jan 27 00:47:16 EST 2020
| Finish Time => Mon Jan 27 00:47:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 19 s 410 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 00:47:36 EST 2020
| Setup Time => Mon Jan 27 00:47:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 26-JAN-2024
Next Call Date : 26-JAN-2024 | 1.0
Maturity Date : 26-JAN-2024 | 1.0
yield to call => 0.06545947228277216
z_spread => 0.03695909422596064
market value => 3.215E8
oad mult => 0.2289499187594086
libor duration => 6.875294102233276E-5
convexity => 3.1464843854054045E-7
modified convexity => 3.1464843854054045E-7
effective duration => 5.221483642339736E-4
yield to worst => 0.06545947228277216
tsy oas => 0.03695909422596064
macaulay duration => 5.290677663532128
mod dur to worst => 4.895228682522124E-6
price => 1.0
ytm fwdcpn => 0.058030858933140195
discount margin => 0.05269934492114119
cv01 => 1.2077735749760343E-4
effective duration adj => 1.1954582557172633E-4
yield to maturity => 0.06545947228277216
oas => 0.05241947228277216
wal_adj => 5.752425753072164
mod dur => 4.895228682522124E-6
wal => 6.386111111111111
z_vol_oas => 0.05241947228277216
n-spread => 0.044557472282772154
yield to put => 0.06545947228277216
treasury duration => 5.305676428994516E-4
wal4 => 6.386111111111111
accrued$ => 4094802.611111137
wal3 => 3.422285001560271
i-spread => 0.04432674910311063
j-spread => 0.05326947228277216
wal2 => 5.002488867838183
wal to worst => 6.386111111111111
nominal yield => 0.06641988642956374
spread dur => 0.051896441601511634
funding duration => 7.129634598559396E-5
accrued => 0.012736555555555636
e-spread => 0.04765750372516185
accrued interest factor => 0.012736555555555636
spread dur $ => 1.668470597488599E7
dv01 => 5.221483642339736E-4
yield to maturity cbe => 0.06599509010781114
funding kprd::deposit::1d => 0.0
funding kprd::fixfloat::05y => 1.7009371427311358E-5
funding kprd::fixfloat::15y => 4.014059553902173E-11
funding kprd::fixfloat::03y => 1.0160036397605044E-5
funding kprd::fixfloat::25y => 2.103619155969246E-12
funding kprd::fixfloat::09y => 3.793882931569128E-8
funding kprd::fixfloat::07y => 5.653871516442368E-7
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 3.090515136425944E-9
funding kprd::bump => 7.129634598559396E-5
funding kprd::fixfloat::06y => 1.7454432165317837E-5
funding kprd::fixfloat::04y => 1.286589508159566E-5
funding kprd::fixfloat::pll => 6.323549388221492E-5
funding kprd::fixfloat::08y => -1.2800193608621955E-7
funding kprd::fixfloat::20y => -7.056802645659923E-12
funding kprd::fixfloat::30y => -4.970520481922893E-13
funding kprd::fixfloat::40y => 5.813377130016921E-14
funding kprd::fixfloat::50y => -1.0117251583212557E-14
funding kprd::fixfloat::02y => 5.278595234059092E-6
funding kprd::fixfloat::12y => -6.587989791534763E-10
funding kprd::fixfloat::10y => -1.1068132962031023E-8
funding kprd::futures::0 => 8.508130747319049E-6
funding kprd::futures::p => 8.060668573720269E-6
funding kprd::futures::1 => -2.7524488744305275E-6
funding kprd::futures::2 => 1.6749872620813175E-6
funding kprd::futures::3 => 2.2946528595753453E-7
funding kprd::futures::4 => 3.571809706778555E-7
funding kprd::futures::5 => 4.3354719478128235E-8
funding kprd::base => 0.0
funding krd::deposit::1d => 0.0
funding krd::fixfloat::05y => 1.7009371427311358E-5
funding krd::fixfloat::15y => 4.014059553902173E-11
funding krd::fixfloat::03y => 1.0160036397605044E-5
funding krd::fixfloat::25y => 2.103619155969246E-12
funding krd::fixfloat::09y => 3.793882931569128E-8
funding krd::fixfloat::07y => 5.653871516442368E-7
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 3.090515136425944E-9
funding krd::bump => 7.129634598559396E-5
funding krd::fixfloat::06y => 1.7454432165317837E-5
funding krd::fixfloat::04y => 1.286589508159566E-5
funding krd::fixfloat::pll => 6.323549388221492E-5
funding krd::fixfloat::08y => -1.2800193608621955E-7
funding krd::fixfloat::20y => -7.056802645659923E-12
funding krd::fixfloat::30y => -4.970520481922893E-13
funding krd::fixfloat::40y => 5.813377130016921E-14
funding krd::fixfloat::50y => -1.0117251583212557E-14
funding krd::fixfloat::02y => 5.278595234059092E-6
funding krd::fixfloat::12y => -6.587989791534763E-10
funding krd::fixfloat::10y => -1.1068132962031023E-8
funding krd::futures::0 => 8.508130747319049E-6
funding krd::futures::p => 8.060668573720269E-6
funding krd::futures::1 => -2.7524488744305275E-6
funding krd::futures::2 => 1.6749872620813175E-6
funding krd::futures::3 => 2.2946528595753453E-7
funding krd::futures::4 => 3.571809706778555E-7
funding krd::futures::5 => 4.3354719478128235E-8
funding krd::base => 0.0
libor krd::tenor::10 => 6.2179901877585185E-6
libor krd::tenor::3 => 4.79451029642146E-6
libor krd::tenor::2 => 5.022943170617705E-6
libor krd::tenor::1 => 8.993456813374964E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 6.217871716161387E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 4.927831739500539E-6
libor krd::tenor::6 => 4.118760384236796E-6
libor krd::tenor::5 => 4.250296618198781E-6
libor krd::tenor::4 => 4.5187339076522364E-6
libor krd::bump => 6.875294102233276E-5
libor krd::tenor::9 => 9.575428144449627E-6
libor krd::tenor::8 => 1.305505473530888E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 2.9439032520584976E-6
libor krd::tenor::12 => 2.711719307367272E-7
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 1.8710405481365075E-4
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 5.301406851715931E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 3.4302682436007496E-4
libor kprd::tenor::10 => 6.2179901877585185E-6
libor kprd::tenor::3 => 4.79451029642146E-6
libor kprd::tenor::2 => 5.022943170617705E-6
libor kprd::tenor::1 => 8.993456813374964E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 6.217871716161387E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 4.927831739500539E-6
libor kprd::tenor::6 => 4.118760384236796E-6
libor kprd::tenor::5 => 4.250296618198781E-6
libor kprd::tenor::4 => 4.5187339076522364E-6
libor kprd::bump => 6.875294102233276E-5
libor kprd::tenor::9 => 9.575428144449627E-6
libor kprd::tenor::8 => 1.305505473530888E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 2.9439032520584976E-6
libor kprd::tenor::12 => 2.711719307367272E-7
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 1.8725473907775514E-4
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 5.305676428994516E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 3.4330308296992297E-4
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.06545947228277216
Price Out : 1.0000000000570086
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Start DF ||
|| - Period End DF ||
|| - Recalculated Rate ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/10/10 => 2017/10/26 | 5.8040% | 0.2556 | 1.000000 | 0.999434 | 0.0444 | 0.002578 | 1.2742% |
|| 2017/10/26 => 2018/01/26 | 5.8006% | 0.2556 | 0.999434 | 0.996123 | 0.2556 | 0.014766 | 1.3006% |
|| 2018/01/26 => 2018/04/26 | 5.9003% | 0.2500 | 0.996123 | 0.992648 | 0.2500 | 0.014642 | 1.4003% |
|| 2018/04/26 => 2018/07/26 | 6.0214% | 0.2528 | 0.992648 | 0.988845 | 0.2528 | 0.015051 | 1.5214% |
|| 2018/07/26 => 2018/10/26 | 6.1145% | 0.2556 | 0.988845 | 0.984782 | 0.2556 | 0.015388 | 1.6145% |
|| 2018/10/26 => 2019/01/26 | 6.1964% | 0.2556 | 0.984782 | 0.980531 | 0.2556 | 0.015527 | 1.6964% |
|| 2019/01/26 => 2019/04/26 | 6.2950% | 0.2500 | 0.980531 | 0.976151 | 0.2500 | 0.015362 | 1.7950% |
|| 2019/04/26 => 2019/07/26 | 6.3485% | 0.2528 | 0.976151 | 0.971611 | 0.2528 | 0.015592 | 1.8485% |
|| 2019/07/26 => 2019/10/26 | 6.3545% | 0.2556 | 0.971611 | 0.967028 | 0.2556 | 0.015704 | 1.8545% |
|| 2019/10/26 => 2020/01/26 | 6.4507% | 0.2556 | 0.967028 | 0.962231 | 0.2556 | 0.015862 | 1.9507% |
|| 2020/01/26 => 2020/04/26 | 6.5326% | 0.2528 | 0.962231 | 0.957312 | 0.2528 | 0.015808 | 2.0326% |
|| 2020/04/26 => 2020/07/26 | 6.5973% | 0.2528 | 0.957312 | 0.952264 | 0.2528 | 0.015880 | 2.0973% |
|| 2020/07/26 => 2020/10/26 | 6.6451% | 0.2556 | 0.952264 | 0.947072 | 0.2556 | 0.016083 | 2.1451% |
|| 2020/10/26 => 2021/01/26 | 6.6806% | 0.2556 | 0.947072 | 0.941824 | 0.2556 | 0.016079 | 2.1806% |
|| 2021/01/26 => 2021/04/26 | 6.7161% | 0.2500 | 0.941824 | 0.936634 | 0.2500 | 0.015726 | 2.2161% |
|| 2021/04/26 => 2021/07/26 | 6.7542% | 0.2528 | 0.936634 | 0.931328 | 0.2528 | 0.015901 | 2.2542% |
|| 2021/07/26 => 2021/10/26 | 6.7954% | 0.2556 | 0.931328 | 0.925896 | 0.2556 | 0.016079 | 2.2954% |
|| 2021/10/26 => 2022/01/26 | 6.8380% | 0.2556 | 0.925896 | 0.920397 | 0.2556 | 0.016084 | 2.3380% |
|| 2022/01/26 => 2022/04/26 | 6.8773% | 0.2500 | 0.920397 | 0.914959 | 0.2500 | 0.015731 | 2.3773% |
|| 2022/04/26 => 2022/07/26 | 6.9131% | 0.2528 | 0.914959 | 0.909412 | 0.2528 | 0.015892 | 2.4131% |
|| 2022/07/26 => 2022/10/26 | 6.9457% | 0.2556 | 0.909412 | 0.903763 | 0.2556 | 0.016042 | 2.4457% |
|| 2022/10/26 => 2023/01/26 | 6.9755% | 0.2556 | 0.903763 | 0.898082 | 0.2556 | 0.016009 | 2.4755% |
|| 2023/01/26 => 2023/04/26 | 7.0033% | 0.2500 | 0.898082 | 0.892496 | 0.2500 | 0.015626 | 2.5033% |
|| 2023/04/26 => 2023/07/26 | 7.0300% | 0.2528 | 0.892496 | 0.886825 | 0.2528 | 0.015759 | 2.5300% |
|| 2023/07/26 => 2023/10/26 | 7.0558% | 0.2556 | 0.886825 | 0.881070 | 0.2556 | 0.015887 | 2.5558% |
|| 2023/10/26 => 2024/01/26 | 7.0802% | 0.2556 | 0.881070 | 0.875299 | 0.2556 | 0.015837 | 2.5802% |
||----------------------------------------------------------------------------------------------------------------------||
|| PV : 1.270197
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:47:36 EST 2020
| Setup Time => Mon Jan 27 00:47:36 EST 2020
| Finish Time => Mon Jan 27 00:47:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 16 s 406 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 00:47:52 EST 2020
| Setup Time => Mon Jan 27 00:47:52 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 08-AUG-2020
Next Call Date : 07-NOV-2017 | 1.0
Maturity Date : 25-OCT-2020 | 1.0
yield to call => 0.15235149434533948
z_spread => 0.04589524848896877
market value => 7.19109375E8
oad mult => 0.015955825562313758
libor duration => 4.3378783305062146E-8
convexity => 9.712761815271206E-8
modified convexity => 9.712761815271206E-8
effective duration => 2.98900180929268E-4
yield to worst => 0.03063006932451956
tsy oas => 0.04444845217945615
macaulay duration => 2.873891852077546
mod dur to worst => -2.7003227610991474E-6
price => 0.9588125
ytm fwdcpn => 0.06041975559598984
discount margin => 0.017869941962888596
cv01 => 7.225922473663715E-5
effective duration adj => 4.7691991474514215E-6
yield to maturity => 0.03210270087398993
oas => -0.01359729912601007
wal_adj => 2.8181176306480813
mcconvexity => 4.733939493477218E-9
mod dur => -2.7670299959577855E-6
wal => 3.086111111111111
z_vol_oas => -0.015069930675480438
n-spread => 0.01276706932451956
mcoas => 0.16541617866219657
yield to put => 0.03210270087398993
treasury duration => 2.660992538465304E-4
wal4 => 3.086111111111111
accrued$ => 7616666.666666606
wal3 => 1.6335262769967758
i-spread => 0.01300722090149083
j-spread => 0.01844006932451956
wal2 => 2.8035023842948044
wal to worst => 2.869444444444444
mcduration => 5.286136523721323E-5
nominal yield => 0.018055520231679726
spread dur => 0.029791899858866867
funding duration => 4.193634378476483E-6
accrued => 0.010155555555555475
e-spread => -0.0165870697254508
accrued interest factor => 0.010155555555555475
spread dur $ => 2.234392489415015E7
dv01 => 2.8658922972724376E-4
yield to maturity cbe => 0.032231523799414914
funding kprd::fixfloat::05y => 1.1922216953199813E-6
funding kprd::fixfloat::15y => 1.0973648161877486E-11
funding kprd::fixfloat::03y => 4.036613673827235E-6
funding kprd::fixfloat::25y => 5.750891915088091E-13
funding kprd::fixfloat::09y => 1.0371726148469117E-8
funding kprd::fixfloat::07y => 1.1580944148838095E-7
funding kprd::deposit::pll => -1.3776690899667432E-10
funding kprd::fixfloat::11y => 8.448857157943363E-10
funding kprd::bump => 4.193634378476483E-6
funding kprd::fixfloat::06y => -3.771132883596165E-7
funding kprd::deposit::2d => -1.3776690899667432E-10
funding kprd::fixfloat::04y => -3.6156839318383557E-6
funding kprd::fixfloat::pll => 1.5150868132131527E-8
funding kprd::fixfloat::08y => -3.4993200789348057E-8
funding kprd::fixfloat::20y => -1.929185561722476E-12
funding kprd::fixfloat::30y => -1.358824983590378E-13
funding kprd::fixfloat::40y => 1.589324097565907E-14
funding kprd::fixfloat::50y => -2.7717546173106257E-15
funding kprd::fixfloat::02y => -1.3097157310263672E-6
funding kprd::fixfloat::12y => -1.801026225002504E-10
funding kprd::fixfloat::10y => -3.0258087342542187E-9
funding kprd::futures::0 => 6.912587719168931E-6
funding kprd::futures::p => 4.17862092648599E-6
funding kprd::futures::1 => -3.4638797174154603E-6
funding kprd::futures::2 => 9.255300739120024E-7
funding kprd::futures::3 => -2.478448571822015E-7
funding kprd::futures::4 => 6.50411562384521E-8
funding kprd::futures::5 => -1.2807619818710476E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 1.1922216953199813E-6
funding krd::fixfloat::15y => 1.0973648161877486E-11
funding krd::fixfloat::03y => 4.036613673827235E-6
funding krd::fixfloat::25y => 5.750891915088091E-13
funding krd::fixfloat::09y => 1.0371726148469117E-8
funding krd::fixfloat::07y => 1.1580944148838095E-7
funding krd::deposit::pll => -1.3776690899667432E-10
funding krd::fixfloat::11y => 8.448857157943363E-10
funding krd::bump => 4.193634378476483E-6
funding krd::fixfloat::06y => -3.771132883596165E-7
funding krd::deposit::2d => -1.3776690899667432E-10
funding krd::fixfloat::04y => -3.6156839318383557E-6
funding krd::fixfloat::pll => 1.5150868132131527E-8
funding krd::fixfloat::08y => -3.4993200789348057E-8
funding krd::fixfloat::20y => -1.929185561722476E-12
funding krd::fixfloat::30y => -1.358824983590378E-13
funding krd::fixfloat::40y => 1.589324097565907E-14
funding krd::fixfloat::50y => -2.7717546173106257E-15
funding krd::fixfloat::02y => -1.3097157310263672E-6
funding krd::fixfloat::12y => -1.801026225002504E-10
funding krd::fixfloat::10y => -3.0258087342542187E-9
funding krd::futures::0 => 6.912587719168931E-6
funding krd::futures::p => 4.17862092648599E-6
funding krd::futures::1 => -3.4638797174154603E-6
funding krd::futures::2 => 9.255300739120024E-7
funding krd::futures::3 => -2.478448571822015E-7
funding krd::futures::4 => 6.50411562384521E-8
funding krd::futures::5 => -1.2807619818710476E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.442614993411238E-10
libor krd::tenor::2 => 2.443253810627826E-10
libor krd::tenor::1 => 2.099718655454235E-8
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 3.1731194133028287E-9
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 3.104518002840478E-10
libor krd::tenor::6 => 2.4409737638469704E-10
libor krd::tenor::5 => 2.3885035447660383E-10
libor krd::tenor::4 => 2.4155535792411684E-10
libor krd::bump => 4.3378783305062146E-8
libor krd::tenor::9 => -5.970468046987583E-7
libor krd::tenor::8 => 6.147252425442648E-7
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 2.2150731640622757E-4
govvie kprd::bump => 2.6756385267873715E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 4.605577592785015E-5
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.442614993411238E-10
libor kprd::tenor::2 => 2.443253810627826E-10
libor kprd::tenor::1 => 2.099718655454235E-8
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 3.1731194133028287E-9
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 3.104518002840478E-10
libor kprd::tenor::6 => 2.4409737638469704E-10
libor kprd::tenor::5 => 2.3885035447660383E-10
libor kprd::tenor::4 => 2.4155535792411684E-10
libor kprd::bump => 4.3378783305062146E-8
libor kprd::tenor::9 => -5.970468046987583E-7
libor kprd::tenor::8 => 6.147252425442648E-7
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 2.2029482704708785E-4
govvie krd::bump => 2.660992538465304E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 4.5803676951291696E-5
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 0.9588125
Yield Out : 0.03210270087398993
Price Out : 0.9588125000000001
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/03/13 => 2014/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.3722 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/07/25 => 2014/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/10/25 => 2015/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/01/25 => 2015/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/04/25 => 2015/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/07/25 => 2015/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/10/25 => 2016/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/01/25 => 2016/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/04/25 => 2016/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/07/25 => 2016/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/10/25 => 2017/01/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/01/25 => 2017/04/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2500 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/04/25 => 2017/07/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2528 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/07/25 => 2017/10/25 | ? | USD | USD-LIBOR-3M | 4.57% | 0.2556 | 0.0117 | 0.0000 | 0.9995 | 0.9978 | 70% ||
|| 2017/10/25 => 2018/01/25 | ? | USD | USD-LIBOR-3M | 1.30% | 0.2556 | 0.0033 | 0.0000 | 0.9962 | 0.9846 | 70% ||
|| 2018/01/25 => 2018/04/25 | ? | USD | USD-LIBOR-3M | 1.40% | 0.2500 | 0.0035 | 0.0000 | 0.9927 | 0.9719 | 70% ||
|| 2018/04/25 => 2018/07/25 | ? | USD | USD-LIBOR-3M | 1.52% | 0.2528 | 0.0038 | 0.0000 | 0.9889 | 0.9592 | 70% ||
|| 2018/07/25 => 2018/10/25 | ? | USD | USD-LIBOR-3M | 1.61% | 0.2556 | 0.0041 | 0.0000 | 0.9848 | 0.9465 | 70% ||
|| 2018/10/25 => 2019/01/25 | ? | USD | USD-LIBOR-3M | 1.70% | 0.2556 | 0.0043 | 0.0000 | 0.9806 | 0.9340 | 70% ||
|| 2019/01/25 => 2019/04/25 | ? | USD | USD-LIBOR-3M | 1.79% | 0.2500 | 0.0045 | 0.0000 | 0.9762 | 0.9219 | 70% ||
|| 2019/04/25 => 2019/07/25 | ? | USD | USD-LIBOR-3M | 1.85% | 0.2528 | 0.0047 | 0.0000 | 0.9717 | 0.9098 | 70% ||
|| 2019/07/25 => 2019/10/25 | ? | USD | USD-LIBOR-3M | 1.85% | 0.2556 | 0.0047 | 0.0000 | 0.9671 | 0.8978 | 70% ||
|| 2019/10/25 => 2020/01/25 | ? | USD | USD-LIBOR-3M | 1.95% | 0.2556 | 0.0050 | 0.0000 | 0.9623 | 0.8859 | 70% ||
|| 2020/01/25 => 2020/04/25 | ? | USD | USD-LIBOR-3M | 2.03% | 0.2528 | 0.0051 | 0.0000 | 0.9574 | 0.8743 | 70% ||
|| 2020/04/25 => 2020/07/25 | ? | USD | USD-LIBOR-3M | 2.10% | 0.2528 | 0.0053 | 0.0000 | 0.9523 | 0.8629 | 70% ||
|| 2020/07/25 => 2020/10/25 | ? | USD | USD-LIBOR-3M | 2.14% | 0.2556 | 0.0055 | 0.0000 | 0.9471 | 0.8514 | 70% ||
|| 2014/03/13 => 2020/10/25 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9471 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:47:52 EST 2020
| Setup Time => Mon Jan 27 00:47:52 EST 2020
| Finish Time => Mon Jan 27 00:48:07 EST 2020
| Setup Duration => 0 ms
| Run Duration => 14 s 595 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 00:48:07 EST 2020
| Setup Time => Mon Jan 27 00:48:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 17-FEB-2023
Next Call Date : 17-FEB-2023 | 1.0
Maturity Date : 17-FEB-2023 | 1.0
yield to call => 0.08463930822618466
z_spread => 0.05818115298747202
market value => 1.85E8
oad mult => 0.21739075308975037
libor duration => 6.99014970378473E-5
convexity => 2.217786733989494E-7
modified convexity => 2.217786733989494E-7
effective duration => 4.3441705315474253E-4
yield to worst => 0.08463930822618466
tsy oas => 0.05818115298747202
macaulay duration => 4.411419368101145
mod dur to worst => 1.0830961834851216E-5
price => 1.0
ytm fwdcpn => 0.07801886841984844
discount margin => 0.0718791808645537
cv01 => 9.616755414876277E-5
effective duration adj => 9.44382503403396E-5
yield to maturity => 0.08463930822618466
oas => 0.07159820822618466
wal_adj => 4.857942382397432
mod dur => 1.0830961834851216E-5
wal => 5.433333333333333
z_vol_oas => 0.07159820822618466
n-spread => 0.06460430822618467
yield to put => 0.08463930822618466
treasury duration => 4.395716594678883E-4
wal4 => 5.433333333333333
accrued$ => 2285953.8874999993
wal3 => 2.9058890069751593
i-spread => 0.0642856860697797
j-spread => 0.07244930822618467
wal2 => 4.06446808433868
wal to worst => 5.433333333333333
nominal yield => 0.08579373229538594
spread dur => 0.04321733670848038
funding duration => 7.678373253457263E-5
accrued => 0.012356507499999995
e-spread => 0.06763708236794148
accrued interest factor => 0.012356507499999995
spread dur $ => 7995207.291068871
dv01 => 4.3441705315474253E-4
yield to maturity cbe => 0.08553478478864572
funding kprd::fixfloat::05y => 2.1246050573839485E-5
funding kprd::fixfloat::15y => -3.545609091688902E-11
funding kprd::fixfloat::03y => 1.4370924000352356E-5
funding kprd::fixfloat::25y => -1.8581117581245795E-12
funding kprd::fixfloat::09y => -3.351127679868704E-8
funding kprd::fixfloat::07y => -3.741828739995533E-7
funding kprd::deposit::pll => 9.916333503464063E-8
funding kprd::fixfloat::11y => -2.729844450966976E-9
funding kprd::bump => 7.678373253457263E-5
funding kprd::fixfloat::06y => 1.5243698569007862E-6
funding kprd::deposit::2d => 9.916333503464063E-8
funding kprd::fixfloat::04y => 1.8418036382260518E-5
funding kprd::fixfloat::pll => 6.202470824226407E-5
funding kprd::fixfloat::08y => 1.1306380571615734E-7
funding kprd::fixfloat::20y => 6.23325739744051E-12
funding kprd::fixfloat::30y => 4.390486614854171E-13
funding kprd::fixfloat::40y => -5.1334703012350816E-14
funding kprd::fixfloat::50y => 8.944399715211538E-15
funding kprd::fixfloat::02y => 6.752111082455836E-6
funding kprd::fixfloat::12y => 5.819155173743233E-10
funding kprd::fixfloat::10y => 9.776454943971789E-9
funding kprd::futures::0 => 1.667562555211722E-5
funding kprd::futures::p => 1.4659732868638517E-5
funding kprd::futures::1 => -6.0078536240626915E-6
funding kprd::futures::2 => 3.0169848766607186E-6
funding kprd::futures::3 => 2.3271066703527456E-7
funding kprd::futures::4 => 6.148769096496978E-7
funding kprd::futures::5 => 1.2739219638674138E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.1246050573839485E-5
funding krd::fixfloat::15y => -3.545609091688902E-11
funding krd::fixfloat::03y => 1.4370924000352356E-5
funding krd::fixfloat::25y => -1.8581117581245795E-12
funding krd::fixfloat::09y => -3.351127679868704E-8
funding krd::fixfloat::07y => -3.741828739995533E-7
funding krd::deposit::pll => 9.916333503464063E-8
funding krd::fixfloat::11y => -2.729844450966976E-9
funding krd::bump => 7.678373253457263E-5
funding krd::fixfloat::06y => 1.5243698569007862E-6
funding krd::deposit::2d => 9.916333503464063E-8
funding krd::fixfloat::04y => 1.8418036382260518E-5
funding krd::fixfloat::pll => 6.202470824226407E-5
funding krd::fixfloat::08y => 1.1306380571615734E-7
funding krd::fixfloat::20y => 6.23325739744051E-12
funding krd::fixfloat::30y => 4.390486614854171E-13
funding krd::fixfloat::40y => -5.1334703012350816E-14
funding krd::fixfloat::50y => 8.944399715211538E-15
funding krd::fixfloat::02y => 6.752111082455836E-6
funding krd::fixfloat::12y => 5.819155173743233E-10
funding krd::fixfloat::10y => 9.776454943971789E-9
funding krd::futures::0 => 1.667562555211722E-5
funding krd::futures::p => 1.4659732868638517E-5
funding krd::futures::1 => -6.0078536240626915E-6
funding krd::futures::2 => 3.0169848766607186E-6
funding krd::futures::3 => 2.3271066703527456E-7
funding krd::futures::4 => 6.148769096496978E-7
funding krd::futures::5 => 1.2739219638674138E-7
funding krd::base => 0.0
libor krd::tenor::10 => 4.4181615195025745E-6
libor krd::tenor::3 => 5.54619749854905E-6
libor krd::tenor::2 => 5.854316170520412E-6
libor krd::tenor::1 => 1.0555494288633559E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 1.4480369618898627E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 5.4271158371086284E-6
libor krd::tenor::6 => 4.613241469947286E-6
libor krd::tenor::5 => 4.821753748997969E-6
libor krd::tenor::4 => 5.1781844838915E-6
libor krd::bump => 6.99014970378473E-5
libor krd::tenor::9 => 9.028706661555268E-6
libor krd::tenor::8 => 1.3795451120763394E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 5.175900862574918E-7
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 3.610635587065987E-4
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 4.391666012359042E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 7.80992904456757E-5
libor kprd::tenor::10 => 4.4181615195025745E-6
libor kprd::tenor::3 => 5.54619749854905E-6
libor kprd::tenor::2 => 5.854316170520412E-6
libor kprd::tenor::1 => 1.0555494288633559E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 1.4480369618898627E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 5.4271158371086284E-6
libor kprd::tenor::6 => 4.613241469947286E-6
libor kprd::tenor::5 => 4.821753748997969E-6
libor kprd::tenor::4 => 5.1781844838915E-6
libor kprd::bump => 6.99014970378473E-5
libor kprd::tenor::9 => 9.028706661555268E-6
libor kprd::tenor::8 => 1.3795451120763394E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 5.175900862574918E-7
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 3.6139657793930193E-4
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 4.395716594678883E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 7.817132282720019E-5
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.08463930822618466
Price Out : 1.000000000004369
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/02/17 => 2016/05/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2500 | 0.0163 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/05/17 => 2016/08/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2556 | 0.0166 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/08/17 => 2016/11/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2556 | 0.0166 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/11/17 => 2017/02/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2556 | 0.0166 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/02/17 => 2017/05/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2472 | 0.0161 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/05/17 => 2017/08/17 | ? | USD | USD-LIBOR-3M | 6.50% | 0.2556 | 0.0166 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/08/17 => 2017/11/17 | ? | USD | USD-LIBOR-3M | 7.80% | 0.2556 | 0.0199 | 0.0000 | 0.9987 | 0.9783 | 70% ||
|| 2017/11/17 => 2018/02/17 | ? | USD | USD-LIBOR-3M | 7.82% | 0.2556 | 0.0200 | 0.0000 | 0.9953 | 0.9277 | 70% ||
|| 2018/02/17 => 2018/05/17 | ? | USD | USD-LIBOR-3M | 7.93% | 0.2472 | 0.0196 | 0.0000 | 0.9918 | 0.8812 | 70% ||
|| 2018/05/17 => 2018/08/17 | ? | USD | USD-LIBOR-3M | 8.05% | 0.2556 | 0.0206 | 0.0000 | 0.9879 | 0.8356 | 70% ||
|| 2018/08/17 => 2018/11/17 | ? | USD | USD-LIBOR-3M | 8.13% | 0.2556 | 0.0208 | 0.0000 | 0.9838 | 0.7923 | 70% ||
|| 2018/11/17 => 2019/02/17 | ? | USD | USD-LIBOR-3M | 8.22% | 0.2556 | 0.0210 | 0.0000 | 0.9795 | 0.7513 | 70% ||
|| 2019/02/17 => 2019/05/17 | ? | USD | USD-LIBOR-3M | 8.32% | 0.2472 | 0.0206 | 0.0000 | 0.9751 | 0.7137 | 70% ||
|| 2019/05/17 => 2019/08/17 | ? | USD | USD-LIBOR-3M | 8.34% | 0.2556 | 0.0213 | 0.0000 | 0.9705 | 0.6767 | 70% ||
|| 2019/08/17 => 2019/11/17 | ? | USD | USD-LIBOR-3M | 8.38% | 0.2556 | 0.0214 | 0.0000 | 0.9659 | 0.6417 | 70% ||
|| 2019/11/17 => 2020/02/17 | ? | USD | USD-LIBOR-3M | 8.47% | 0.2556 | 0.0217 | 0.0000 | 0.9611 | 0.6085 | 70% ||
|| 2020/02/17 => 2020/05/17 | ? | USD | USD-LIBOR-3M | 8.55% | 0.2500 | 0.0214 | 0.0000 | 0.9562 | 0.5777 | 70% ||
|| 2020/05/17 => 2020/08/17 | ? | USD | USD-LIBOR-3M | 8.61% | 0.2556 | 0.0220 | 0.0000 | 0.9510 | 0.5478 | 70% ||
|| 2020/08/17 => 2020/11/17 | ? | USD | USD-LIBOR-3M | 8.65% | 0.2556 | 0.0221 | 0.0000 | 0.9458 | 0.5194 | 70% ||
|| 2020/11/17 => 2021/02/17 | ? | USD | USD-LIBOR-3M | 8.69% | 0.2556 | 0.0222 | 0.0000 | 0.9406 | 0.4926 | 70% ||
|| 2021/02/17 => 2021/05/17 | ? | USD | USD-LIBOR-3M | 8.72% | 0.2472 | 0.0216 | 0.0000 | 0.9354 | 0.4679 | 70% ||
|| 2021/05/17 => 2021/08/17 | ? | USD | USD-LIBOR-3M | 8.76% | 0.2556 | 0.0224 | 0.0000 | 0.9300 | 0.4437 | 70% ||
|| 2021/08/17 => 2021/11/17 | ? | USD | USD-LIBOR-3M | 8.81% | 0.2556 | 0.0225 | 0.0000 | 0.9246 | 0.4207 | 70% ||
|| 2021/11/17 => 2022/02/17 | ? | USD | USD-LIBOR-3M | 8.85% | 0.2556 | 0.0226 | 0.0000 | 0.9191 | 0.3989 | 70% ||
|| 2022/02/17 => 2022/05/17 | ? | USD | USD-LIBOR-3M | 8.89% | 0.2472 | 0.0220 | 0.0000 | 0.9137 | 0.3789 | 70% ||
|| 2022/05/17 => 2022/08/17 | ? | USD | USD-LIBOR-3M | 8.92% | 0.2556 | 0.0228 | 0.0000 | 0.9081 | 0.3593 | 70% ||
|| 2022/08/17 => 2022/11/17 | ? | USD | USD-LIBOR-3M | 8.95% | 0.2556 | 0.0229 | 0.0000 | 0.9024 | 0.3407 | 70% ||
|| 2022/11/17 => 2023/02/17 | ? | USD | USD-LIBOR-3M | 8.98% | 0.2556 | 0.0230 | 0.0000 | 0.8967 | 0.3231 | 70% ||
|| 2016/02/17 => 2023/02/17 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8967 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:48:07 EST 2020
| Setup Time => Mon Jan 27 00:48:07 EST 2020
| Finish Time => Mon Jan 27 00:48:21 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 s 283 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 00:48:21 EST 2020
| Setup Time => Mon Jan 27 00:48:21 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 15-JUN-2024
Next Call Date : 15-JUN-2024 | 1.0
Maturity Date : 15-JUN-2024 | 1.0
yield to call => 0.08308798103686173
z_spread => 0.05394501983543688
market value => 2.443875E8
oad mult => 0.2048440351265223
libor duration => 9.700570842681284E-5
convexity => 3.234534387441074E-7
modified convexity => 3.234534387441074E-7
effective duration => 5.181695865018293E-4
yield to worst => 0.08308798103686173
tsy oas => 0.05394501983543688
macaulay duration => 5.304817890736724
mod dur to worst => 1.871145142740005E-5
price => 1.0
ytm fwdcpn => 0.07552407565096367
discount margin => 0.07032785367523076
cv01 => 1.0847773413924511E-4
effective duration adj => 1.0614394897887625E-4
yield to maturity => 0.08308798103686173
oas => 0.07004688103686173
wal_adj => 5.941789493623002
mod dur => 1.871145142740005E-5
wal => 6.7777777777777795
z_vol_oas => 0.07004688103686173
n-spread => 0.06142798103686173
yield to put => 0.08308798103686173
treasury duration => 5.268212231248126E-4
wal4 => 6.7777777777777795
accrued$ => 1435878.9337083315
wal3 => 3.6025349259599673
i-spread => 0.061661899000073586
j-spread => 0.07089798103686173
wal2 => 4.677505192631095
wal to worst => 6.7777777777777795
nominal yield => 0.08405587554375467
spread dur => 0.05149190152485994
funding duration => 1.0878250075838981E-4
accrued => 0.005875418888888881
e-spread => 0.06514855558845399
accrued interest factor => 0.005875418888888881
spread dur $ => 1.2583977083906708E7
dv01 => 5.181695865018293E-4
yield to maturity cbe => 0.08395093261400081
funding kprd::fixfloat::05y => 2.0491147466382287E-5
funding kprd::fixfloat::15y => 5.751480969199963E-10
funding kprd::fixfloat::03y => 1.3129736047706457E-5
funding kprd::fixfloat::25y => 3.014134845671703E-11
funding kprd::fixfloat::09y => 5.436004922925317E-7
funding kprd::fixfloat::07y => 8.921901902855616E-6
funding kprd::deposit::pll => 1.1960933263848376E-7
funding kprd::fixfloat::11y => 4.428195360633265E-8
funding kprd::bump => 1.0878250075838981E-4
funding kprd::fixfloat::06y => 2.6364468193129774E-5
funding kprd::deposit::2d => 1.1960933263848376E-7
funding kprd::fixfloat::04y => 1.615377984334017E-5
funding kprd::fixfloat::pll => 8.889786593831979E-5
funding kprd::fixfloat::08y => -1.8340556049643854E-6
funding kprd::fixfloat::20y => -1.0111228012913257E-10
funding kprd::fixfloat::30y => -7.1219547961274606E-12
funding kprd::fixfloat::40y => 8.328601991173507E-13
funding kprd::fixfloat::50y => -1.449420330486646E-13
funding kprd::fixfloat::02y => 5.249967859701555E-6
funding kprd::fixfloat::12y => -9.439496086948E-9
funding kprd::fixfloat::10y => -1.5858798436564436E-7
funding kprd::futures::0 => 2.4303593783440048E-5
funding kprd::futures::p => 1.9764920071232194E-5
funding kprd::futures::1 => -9.350457275723086E-6
funding kprd::futures::2 => 3.87337537671115E-6
funding kprd::futures::3 => 9.434417352807425E-9
funding kprd::futures::4 => 6.964452317182877E-7
funding kprd::futures::5 => 2.3253427818998003E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.0491147466382287E-5
funding krd::fixfloat::15y => 5.751480969199963E-10
funding krd::fixfloat::03y => 1.3129736047706457E-5
funding krd::fixfloat::25y => 3.014134845671703E-11
funding krd::fixfloat::09y => 5.436004922925317E-7
funding krd::fixfloat::07y => 8.921901902855616E-6
funding krd::deposit::pll => 1.1960933263848376E-7
funding krd::fixfloat::11y => 4.428195360633265E-8
funding krd::bump => 1.0878250075838981E-4
funding krd::fixfloat::06y => 2.6364468193129774E-5
funding krd::deposit::2d => 1.1960933263848376E-7
funding krd::fixfloat::04y => 1.615377984334017E-5
funding krd::fixfloat::pll => 8.889786593831979E-5
funding krd::fixfloat::08y => -1.8340556049643854E-6
funding krd::fixfloat::20y => -1.0111228012913257E-10
funding krd::fixfloat::30y => -7.1219547961274606E-12
funding krd::fixfloat::40y => 8.328601991173507E-13
funding krd::fixfloat::50y => -1.449420330486646E-13
funding krd::fixfloat::02y => 5.249967859701555E-6
funding krd::fixfloat::12y => -9.439496086948E-9
funding krd::fixfloat::10y => -1.5858798436564436E-7
funding krd::futures::0 => 2.4303593783440048E-5
funding krd::futures::p => 1.9764920071232194E-5
funding krd::futures::1 => -9.350457275723086E-6
funding krd::futures::2 => 3.87337537671115E-6
funding krd::futures::3 => 9.434417352807425E-9
funding krd::futures::4 => 6.964452317182877E-7
funding krd::futures::5 => 2.3253427818998003E-7
funding krd::base => 0.0
libor krd::tenor::10 => 9.387351366937438E-6
libor krd::tenor::3 => 6.445165824286992E-6
libor krd::tenor::2 => 6.735334994222914E-6
libor krd::tenor::1 => 1.1975821503920011E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 1.5963042689434725E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 6.675944087152912E-6
libor krd::tenor::6 => 5.592593999597274E-6
libor krd::tenor::5 => 5.744822961515164E-6
libor krd::tenor::4 => 6.089691143600987E-6
libor krd::bump => 9.700570842681284E-5
libor krd::tenor::9 => 1.3629435593554302E-5
libor krd::tenor::8 => 1.8030195879148234E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 5.2506885385828265E-6
libor krd::tenor::12 => 1.2881640893067092E-6
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 8.42319199023862E-5
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 5.262843304493923E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 4.4204627886635435E-4
libor kprd::tenor::10 => 9.387351366937438E-6
libor kprd::tenor::3 => 6.445165824286992E-6
libor kprd::tenor::2 => 6.735334994222914E-6
libor kprd::tenor::1 => 1.1975821503920011E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 1.5963042689434725E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 6.675944087152912E-6
libor kprd::tenor::6 => 5.592593999597274E-6
libor kprd::tenor::5 => 5.744822961515164E-6
libor kprd::tenor::4 => 6.089691143600987E-6
libor kprd::bump => 9.700570842681284E-5
libor kprd::tenor::9 => 1.3629435593554302E-5
libor kprd::tenor::8 => 1.8030195879148234E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 5.2506885385828265E-6
libor kprd::tenor::12 => 1.2881640893067092E-6
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 8.431784774065031E-5
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 5.268212231248126E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 4.424972324065607E-4
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.08308798103686173
Price Out : 1.0000000000493163
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/15 => 2017/09/15 | ? | USD | USD-LIBOR-3M | 6.25% | 0.2556 | 0.0160 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/15 => 2017/12/15 | ? | USD | USD-LIBOR-3M | 7.55% | 0.2528 | 0.0191 | 0.0000 | 0.9977 | 0.9640 | 70% ||
|| 2017/12/15 => 2018/03/15 | ? | USD | USD-LIBOR-3M | 7.60% | 0.2500 | 0.0190 | 0.0000 | 0.9943 | 0.9170 | 70% ||
|| 2018/03/15 => 2018/06/15 | ? | USD | USD-LIBOR-3M | 7.72% | 0.2556 | 0.0197 | 0.0000 | 0.9906 | 0.8712 | 70% ||
|| 2018/06/15 => 2018/09/15 | ? | USD | USD-LIBOR-3M | 7.83% | 0.2556 | 0.0200 | 0.0000 | 0.9866 | 0.8278 | 70% ||
|| 2018/09/15 => 2018/12/15 | ? | USD | USD-LIBOR-3M | 7.91% | 0.2528 | 0.0200 | 0.0000 | 0.9825 | 0.7870 | 70% ||
|| 2018/12/15 => 2019/03/15 | ? | USD | USD-LIBOR-3M | 8.00% | 0.2500 | 0.0200 | 0.0000 | 0.9782 | 0.7486 | 70% ||
|| 2019/03/15 => 2019/06/15 | ? | USD | USD-LIBOR-3M | 8.10% | 0.2556 | 0.0207 | 0.0000 | 0.9736 | 0.7113 | 70% ||
|| 2019/06/15 => 2019/09/15 | ? | USD | USD-LIBOR-3M | 8.08% | 0.2556 | 0.0207 | 0.0000 | 0.9691 | 0.6758 | 70% ||
|| 2019/09/15 => 2019/12/15 | ? | USD | USD-LIBOR-3M | 8.16% | 0.2528 | 0.0206 | 0.0000 | 0.9644 | 0.6425 | 70% ||
|| 2019/12/15 => 2020/03/15 | ? | USD | USD-LIBOR-3M | 8.25% | 0.2528 | 0.0208 | 0.0000 | 0.9596 | 0.6108 | 70% ||
|| 2020/03/15 => 2020/06/15 | ? | USD | USD-LIBOR-3M | 8.32% | 0.2556 | 0.0213 | 0.0000 | 0.9546 | 0.5804 | 70% ||
|| 2020/06/15 => 2020/09/15 | ? | USD | USD-LIBOR-3M | 8.38% | 0.2556 | 0.0214 | 0.0000 | 0.9494 | 0.5514 | 70% ||
|| 2020/09/15 => 2020/12/15 | ? | USD | USD-LIBOR-3M | 8.42% | 0.2528 | 0.0213 | 0.0000 | 0.9442 | 0.5242 | 70% ||
|| 2020/12/15 => 2021/03/15 | ? | USD | USD-LIBOR-3M | 8.45% | 0.2500 | 0.0211 | 0.0000 | 0.9391 | 0.4987 | 70% ||
|| 2021/03/15 => 2021/06/15 | ? | USD | USD-LIBOR-3M | 8.49% | 0.2556 | 0.0217 | 0.0000 | 0.9337 | 0.4738 | 70% ||
|| 2021/06/15 => 2021/09/15 | ? | USD | USD-LIBOR-3M | 8.53% | 0.2556 | 0.0218 | 0.0000 | 0.9283 | 0.4502 | 70% ||
|| 2021/09/15 => 2021/12/15 | ? | USD | USD-LIBOR-3M | 8.57% | 0.2528 | 0.0217 | 0.0000 | 0.9229 | 0.4280 | 70% ||
|| 2021/12/15 => 2022/03/15 | ? | USD | USD-LIBOR-3M | 8.61% | 0.2500 | 0.0215 | 0.0000 | 0.9175 | 0.4071 | 70% ||
|| 2022/03/15 => 2022/06/15 | ? | USD | USD-LIBOR-3M | 8.65% | 0.2556 | 0.0221 | 0.0000 | 0.9119 | 0.3868 | 70% ||
|| 2022/06/15 => 2022/09/15 | ? | USD | USD-LIBOR-3M | 8.68% | 0.2556 | 0.0222 | 0.0000 | 0.9063 | 0.3675 | 70% ||
|| 2022/09/15 => 2022/12/15 | ? | USD | USD-LIBOR-3M | 8.71% | 0.2528 | 0.0220 | 0.0000 | 0.9007 | 0.3494 | 70% ||
|| 2022/12/15 => 2023/03/15 | ? | USD | USD-LIBOR-3M | 8.74% | 0.2500 | 0.0219 | 0.0000 | 0.8951 | 0.3324 | 70% ||
|| 2023/03/15 => 2023/06/15 | ? | USD | USD-LIBOR-3M | 8.77% | 0.2556 | 0.0224 | 0.0000 | 0.8894 | 0.3158 | 70% ||
|| 2023/06/15 => 2023/09/15 | ? | USD | USD-LIBOR-3M | 8.79% | 0.2556 | 0.0225 | 0.0000 | 0.8836 | 0.3000 | 70% ||
|| 2023/09/15 => 2023/12/15 | ? | USD | USD-LIBOR-3M | 8.82% | 0.2528 | 0.0223 | 0.0000 | 0.8779 | 0.2852 | 70% ||
|| 2023/12/15 => 2024/03/15 | ? | USD | USD-LIBOR-3M | 8.84% | 0.2528 | 0.0224 | 0.0000 | 0.8722 | 0.2712 | 70% ||
|| 2024/03/15 => 2024/06/15 | ? | USD | USD-LIBOR-3M | 8.86% | 0.2556 | 0.0227 | 0.0000 | 0.8664 | 0.2577 | 70% ||
|| 2017/06/15 => 2024/06/15 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8664 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:48:21 EST 2020
| Setup Time => Mon Jan 27 00:48:21 EST 2020
| Finish Time => Mon Jan 27 00:48:37 EST 2020
| Setup Duration => 1 ms
| Run Duration => 16 s 288 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 00:48:37 EST 2020
| Setup Time => Mon Jan 27 00:48:37 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 14-JUN-2024
Next Call Date : 14-JUN-2024 | 1.0
Maturity Date : 14-JUN-2024 | 1.0
yield to call => 0.08804722263887035
z_spread => 0.058945987541050314
market value => 9.97575E7
oad mult => 0.20027257700812684
libor duration => 1.0237329650347315E-4
convexity => 3.158084192511541E-7
modified convexity => 3.158084192511541E-7
effective duration => 5.100516855121639E-4
yield to worst => 0.08804722263887035
tsy oas => 0.058945987541050314
macaulay duration => 5.222262243896291
mod dur to worst => 1.84547601426166E-5
price => 1.0
ytm fwdcpn => 0.080521445783223
discount margin => 0.07528709527723938
cv01 => 1.0443683750005484E-4
effective duration adj => 1.0214936546485975E-4
yield to maturity => 0.08804722263887035
oas => 0.07500612263887035
wal_adj => 5.903170086745622
mod dur => 1.84547601426166E-5
wal => 6.775000000000001
z_vol_oas => 0.07500612263887035
n-spread => 0.06638722263887036
yield to put => 0.08804722263887035
treasury duration => 5.18422721657616E-4
wal4 => 6.775000000000001
accrued$ => 647229.9575395846
wal3 => 3.596136601616026
i-spread => 0.06662316173667389
j-spread => 0.07585722263887035
wal2 => 4.52581451737056
wal to worst => 6.775000000000001
nominal yield => 0.08903054723698875
spread dur => 0.050687521806416225
funding duration => 1.1359657345941961E-4
accrued => 0.006488033055555569
e-spread => 0.07014431174983288
accrued interest factor => 0.006488033055555569
spread dur $ => 5056460.456603566
dv01 => 5.100516855121639E-4
yield to maturity cbe => 0.08901626181586572
funding kprd::fixfloat::05y => 2.164519275801144E-5
funding kprd::fixfloat::15y => 6.039951087553609E-10
funding kprd::fixfloat::03y => 1.386025075134865E-5
funding kprd::fixfloat::25y => 3.1653113995834354E-11
funding kprd::fixfloat::09y => 5.708652022830594E-7
funding kprd::fixfloat::07y => 9.34443928525335E-6
funding kprd::deposit::pll => 1.2632812401773477E-7
funding kprd::fixfloat::11y => 4.6502949834579945E-8
funding kprd::bump => 1.1359657345941961E-4
funding kprd::fixfloat::06y => 2.783104380387879E-5
funding kprd::deposit::2d => 1.2632812401773477E-7
funding kprd::fixfloat::04y => 1.7063462233277274E-5
funding kprd::fixfloat::pll => 9.383390866886608E-5
funding kprd::fixfloat::08y => -1.926044112322119E-6
funding kprd::fixfloat::20y => -1.0618363841703314E-10
funding kprd::fixfloat::30y => -7.47915858469975E-12
funding kprd::fixfloat::40y => 8.746399363755871E-13
funding kprd::fixfloat::50y => -1.5220711871270914E-13
funding kprd::fixfloat::02y => 5.573569016748159E-6
funding kprd::fixfloat::12y => -9.912941444179229E-9
funding kprd::fixfloat::10y => -1.6654208954690531E-7
funding kprd::futures::0 => 2.376340488343473E-5
funding kprd::futures::p => 1.9636231072624735E-5
funding kprd::futures::1 => -9.012043656500335E-6
funding kprd::futures::2 => 3.856093524960969E-6
funding kprd::futures::3 => 6.859796579704405E-8
funding kprd::futures::4 => 7.166460788506142E-7
funding kprd::futures::5 => 2.4353760353371896E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 2.164519275801144E-5
funding krd::fixfloat::15y => 6.039951087553609E-10
funding krd::fixfloat::03y => 1.386025075134865E-5
funding krd::fixfloat::25y => 3.1653113995834354E-11
funding krd::fixfloat::09y => 5.708652022830594E-7
funding krd::fixfloat::07y => 9.34443928525335E-6
funding krd::deposit::pll => 1.2632812401773477E-7
funding krd::fixfloat::11y => 4.6502949834579945E-8
funding krd::bump => 1.1359657345941961E-4
funding krd::fixfloat::06y => 2.783104380387879E-5
funding krd::deposit::2d => 1.2632812401773477E-7
funding krd::fixfloat::04y => 1.7063462233277274E-5
funding krd::fixfloat::pll => 9.383390866886608E-5
funding krd::fixfloat::08y => -1.926044112322119E-6
funding krd::fixfloat::20y => -1.0618363841703314E-10
funding krd::fixfloat::30y => -7.47915858469975E-12
funding krd::fixfloat::40y => 8.746399363755871E-13
funding krd::fixfloat::50y => -1.5220711871270914E-13
funding krd::fixfloat::02y => 5.573569016748159E-6
funding krd::fixfloat::12y => -9.912941444179229E-9
funding krd::fixfloat::10y => -1.6654208954690531E-7
funding krd::futures::0 => 2.376340488343473E-5
funding krd::futures::p => 1.9636231072624735E-5
funding krd::futures::1 => -9.012043656500335E-6
funding krd::futures::2 => 3.856093524960969E-6
funding krd::futures::3 => 6.859796579704405E-8
funding krd::futures::4 => 7.166460788506142E-7
funding krd::futures::5 => 2.4353760353371896E-7
funding krd::base => 0.0
libor krd::tenor::10 => 9.902970162344475E-6
libor krd::tenor::3 => 6.804128140594997E-6
libor krd::tenor::2 => 7.110586256605558E-6
libor krd::tenor::1 => 1.2641056733661609E-5
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 1.6857327498681157E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 7.047960417247334E-6
libor krd::tenor::6 => 5.903695674585788E-6
libor krd::tenor::5 => 6.064531734443584E-6
libor krd::tenor::4 => 6.428728978013861E-6
libor krd::bump => 1.0237329650347315E-4
libor krd::tenor::9 => 1.438320513796225E-5
libor krd::tenor::8 => 1.9030992010330156E-5
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 5.534073561132125E-6
libor krd::tenor::12 => 1.3519310528663441E-6
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 8.359315710866378E-5
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 5.178669217056101E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 4.3426776133758836E-4
libor kprd::tenor::10 => 9.902970162344475E-6
libor kprd::tenor::3 => 6.804128140594997E-6
libor kprd::tenor::2 => 7.110586256605558E-6
libor kprd::tenor::1 => 1.2641056733661609E-5
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 1.6857327498681157E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 7.047960417247334E-6
libor kprd::tenor::6 => 5.903695674585788E-6
libor kprd::tenor::5 => 6.064531734443584E-6
libor kprd::tenor::4 => 6.428728978013861E-6
libor kprd::bump => 1.0237329650347315E-4
libor kprd::tenor::9 => 1.438320513796225E-5
libor kprd::tenor::8 => 1.9030992010330156E-5
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 5.534073561132125E-6
libor kprd::tenor::12 => 1.3519310528663441E-6
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 8.368287135611941E-5
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 5.18422721657616E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 4.347338354541014E-4
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.08804722263887035
Price Out : 1.000000000001898
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/06/14 => 2017/09/14 | ? | USD | USD-LIBOR-3M | 6.75% | 0.2556 | 0.0172 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/14 => 2017/12/14 | ? | USD | USD-LIBOR-3M | 8.05% | 0.2528 | 0.0204 | 0.0000 | 0.9977 | 0.9618 | 70% ||
|| 2017/12/14 => 2018/03/14 | ? | USD | USD-LIBOR-3M | 8.09% | 0.2500 | 0.0202 | 0.0000 | 0.9943 | 0.9113 | 70% ||
|| 2018/03/14 => 2018/06/14 | ? | USD | USD-LIBOR-3M | 8.22% | 0.2556 | 0.0210 | 0.0000 | 0.9906 | 0.8625 | 70% ||
|| 2018/06/14 => 2018/09/14 | ? | USD | USD-LIBOR-3M | 8.32% | 0.2556 | 0.0213 | 0.0000 | 0.9867 | 0.8162 | 70% ||
|| 2018/09/14 => 2018/12/14 | ? | USD | USD-LIBOR-3M | 8.41% | 0.2528 | 0.0213 | 0.0000 | 0.9825 | 0.7729 | 70% ||
|| 2018/12/14 => 2019/03/14 | ? | USD | USD-LIBOR-3M | 8.49% | 0.2500 | 0.0212 | 0.0000 | 0.9783 | 0.7323 | 70% ||
|| 2019/03/14 => 2019/06/14 | ? | USD | USD-LIBOR-3M | 8.59% | 0.2556 | 0.0220 | 0.0000 | 0.9737 | 0.6931 | 70% ||
|| 2019/06/14 => 2019/09/14 | ? | USD | USD-LIBOR-3M | 8.58% | 0.2556 | 0.0219 | 0.0000 | 0.9691 | 0.6559 | 70% ||
|| 2019/09/14 => 2019/12/14 | ? | USD | USD-LIBOR-3M | 8.66% | 0.2528 | 0.0219 | 0.0000 | 0.9645 | 0.6211 | 70% ||
|| 2019/12/14 => 2020/03/14 | ? | USD | USD-LIBOR-3M | 8.75% | 0.2528 | 0.0221 | 0.0000 | 0.9597 | 0.5882 | 70% ||
|| 2020/03/14 => 2020/06/14 | ? | USD | USD-LIBOR-3M | 8.82% | 0.2556 | 0.0225 | 0.0000 | 0.9546 | 0.5566 | 70% ||
|| 2020/06/14 => 2020/09/14 | ? | USD | USD-LIBOR-3M | 8.88% | 0.2556 | 0.0227 | 0.0000 | 0.9494 | 0.5268 | 70% ||
|| 2020/09/14 => 2020/12/14 | ? | USD | USD-LIBOR-3M | 8.91% | 0.2528 | 0.0225 | 0.0000 | 0.9443 | 0.4988 | 70% ||
|| 2020/12/14 => 2021/03/14 | ? | USD | USD-LIBOR-3M | 8.95% | 0.2500 | 0.0224 | 0.0000 | 0.9391 | 0.4726 | 70% ||
|| 2021/03/14 => 2021/06/14 | ? | USD | USD-LIBOR-3M | 8.99% | 0.2556 | 0.0230 | 0.0000 | 0.9338 | 0.4473 | 70% ||
|| 2021/06/14 => 2021/09/14 | ? | USD | USD-LIBOR-3M | 9.03% | 0.2556 | 0.0231 | 0.0000 | 0.9284 | 0.4233 | 70% ||
|| 2021/09/14 => 2021/12/14 | ? | USD | USD-LIBOR-3M | 9.07% | 0.2528 | 0.0229 | 0.0000 | 0.9230 | 0.4008 | 70% ||
|| 2021/12/14 => 2022/03/14 | ? | USD | USD-LIBOR-3M | 9.11% | 0.2500 | 0.0228 | 0.0000 | 0.9176 | 0.3798 | 70% ||
|| 2022/03/14 => 2022/06/14 | ? | USD | USD-LIBOR-3M | 9.15% | 0.2556 | 0.0234 | 0.0000 | 0.9120 | 0.3594 | 70% ||
|| 2022/06/14 => 2022/09/14 | ? | USD | USD-LIBOR-3M | 9.18% | 0.2556 | 0.0235 | 0.0000 | 0.9063 | 0.3402 | 70% ||
|| 2022/09/14 => 2022/12/14 | ? | USD | USD-LIBOR-3M | 9.21% | 0.2528 | 0.0233 | 0.0000 | 0.9007 | 0.3221 | 70% ||
|| 2022/12/14 => 2023/03/14 | ? | USD | USD-LIBOR-3M | 9.24% | 0.2500 | 0.0231 | 0.0000 | 0.8952 | 0.3052 | 70% ||
|| 2023/03/14 => 2023/06/14 | ? | USD | USD-LIBOR-3M | 9.27% | 0.2556 | 0.0237 | 0.0000 | 0.8894 | 0.2888 | 70% ||
|| 2023/06/14 => 2023/09/14 | ? | USD | USD-LIBOR-3M | 9.29% | 0.2556 | 0.0238 | 0.0000 | 0.8837 | 0.2734 | 70% ||
|| 2023/09/14 => 2023/12/14 | ? | USD | USD-LIBOR-3M | 9.32% | 0.2528 | 0.0236 | 0.0000 | 0.8780 | 0.2589 | 70% ||
|| 2023/12/14 => 2024/03/14 | ? | USD | USD-LIBOR-3M | 9.34% | 0.2528 | 0.0236 | 0.0000 | 0.8723 | 0.2451 | 70% ||
|| 2024/03/14 => 2024/06/14 | ? | USD | USD-LIBOR-3M | 9.36% | 0.2556 | 0.0239 | 0.0000 | 0.8665 | 0.2320 | 70% ||
|| 2017/06/14 => 2024/06/14 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8665 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:48:37 EST 2020
| Setup Time => Mon Jan 27 00:48:37 EST 2020
| Finish Time => Mon Jan 27 00:48:53 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 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 00:48:53 EST 2020
| Setup Time => Mon Jan 27 00:48:53 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 19-NOV-2017
Next Call Date : 04-NOV-2017 | 1.0
Maturity Date : 07-FEB-2024 | 1.0
yield to call => 0.0032454979523275744
z_spread => 0.007034392413139561
market value => 7.521843750000001E8
oad mult => -3.7982933832527332
libor duration => 4.6857240608692875E-8
convexity => 5.525105628043616E-9
modified convexity => 5.525105628043616E-9
effective duration => 3.3279215443623544E-5
yield to worst => 0.0032079193639151216
tsy oas => 0.023967653139060345
macaulay duration => 5.629458601106607
mod dur to worst => 7.79594988359653E-6
price => 1.0029125
ytm fwdcpn => 0.045082591583792235
discount margin => -0.009552207997715844
cv01 => 3.3449471752433624E-6
effective duration adj => -1.264042238193575E-4
yield to maturity => 0.020734553787441417
oas => -0.024879446212558585
wal_adj => 0.1109925094143431
mcconvexity => 2.854556991025659E-8
mod dur => 7.90324120238594E-6
wal => 6.419444444444445
z_vol_oas => -0.04240608063608488
n-spread => -0.013202080636084879
mcoas => 0.030603272105363802
yield to put => 0.020734553787441417
treasury duration => 1.114219190999408E-5
wal4 => 6.419444444444445
accrued$ => 6366954.166666668
wal3 => 0.08142910280998619
i-spread => -0.013202080636084879
j-spread => -0.008982080636084877
wal2 => 0.11099365904645228
wal to worst => 0.11111111111111108
mcduration => 1.5582613057894392E-4
nominal yield => 0.021217567964957832
spread dur => 0.0033259750375669844
funding duration => 7.79500377435142E-6
accrued => 0.008489272222222224
e-spread => -0.04240608063608488
accrued interest factor => 0.008489272222222224
spread dur $ => 2494481.278175238
dv01 => 3.3376141158603104E-5
yield to maturity cbe => 0.02078829400253666
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 7.79500377435142E-6
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 1.3658550397271105E-5
funding kprd::futures::p => 7.79500377435142E-6
funding kprd::futures::1 => -7.428695331376425E-6
funding kprd::futures::2 => 1.9847819519898693E-6
funding kprd::futures::3 => -5.315831675322726E-7
funding kprd::futures::4 => 1.3943751767976615E-7
funding kprd::futures::5 => -2.7477420204261555E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 7.79500377435142E-6
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 1.3658550397271105E-5
funding krd::futures::p => 7.79500377435142E-6
funding krd::futures::1 => -7.428695331376425E-6
funding krd::futures::2 => 1.9847819519898693E-6
funding krd::futures::3 => -5.315831675322726E-7
funding krd::futures::4 => 1.3943751767976615E-7
funding krd::futures::5 => -2.7477420204261555E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 0.0
libor krd::tenor::2 => 0.0
libor krd::tenor::1 => 4.41672546674926E-8
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 2.6376156597004274E-9
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 4.6857240608692875E-8
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 1.1070102480129074E-5
govvie kprd::tsy::10-oct-2018 => 1.1070102480129074E-5
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 0.0
libor kprd::tenor::2 => 0.0
libor kprd::tenor::1 => 4.41672546674926E-8
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 2.6376156597004274E-9
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 4.6857240608692875E-8
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 1.114219190999408E-5
govvie krd::tsy::10-oct-2018 => 1.114219190999408E-5
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0029125
Yield Out : 0.020734553787441417
Price Out : 1.0029124999999968
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/02/07 => 2017/05/07 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2472 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/05/07 => 2017/08/07 | ? | USD | USD-LIBOR-3M | 0.00% | 0.2556 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/08/07 => 2017/11/07 | ? | USD | USD-LIBOR-3M | 4.56% | 0.2556 | 0.0117 | 0.0000 | 0.9990 | 1.0067 | 70% ||
|| 2017/11/07 => 2018/02/07 | ? | USD | USD-LIBOR-3M | 1.31% | 0.2556 | 0.0033 | 0.0000 | 0.9957 | 1.0291 | 70% ||
|| 2018/02/07 => 2018/05/07 | ? | USD | USD-LIBOR-3M | 1.42% | 0.2472 | 0.0035 | 0.0000 | 0.9922 | 1.0512 | 70% ||
|| 2018/05/07 => 2018/08/07 | ? | USD | USD-LIBOR-3M | 1.53% | 0.2556 | 0.0039 | 0.0000 | 0.9883 | 1.0746 | 70% ||
|| 2018/08/07 => 2018/11/07 | ? | USD | USD-LIBOR-3M | 1.63% | 0.2556 | 0.0042 | 0.0000 | 0.9842 | 1.0985 | 70% ||
|| 2018/11/07 => 2019/02/07 | ? | USD | USD-LIBOR-3M | 1.71% | 0.2556 | 0.0044 | 0.0000 | 0.9800 | 1.1229 | 70% ||
|| 2019/02/07 => 2019/05/07 | ? | USD | USD-LIBOR-3M | 1.81% | 0.2472 | 0.0045 | 0.0000 | 0.9756 | 1.1471 | 70% ||
|| 2019/05/07 => 2019/08/07 | ? | USD | USD-LIBOR-3M | 1.84% | 0.2556 | 0.0047 | 0.0000 | 0.9710 | 1.1726 | 70% ||
|| 2019/08/07 => 2019/11/07 | ? | USD | USD-LIBOR-3M | 1.87% | 0.2556 | 0.0048 | 0.0000 | 0.9664 | 1.1986 | 70% ||
|| 2019/11/07 => 2020/02/07 | ? | USD | USD-LIBOR-3M | 1.96% | 0.2556 | 0.0050 | 0.0000 | 0.9616 | 1.2253 | 70% ||
|| 2020/02/07 => 2020/05/07 | ? | USD | USD-LIBOR-3M | 2.04% | 0.2500 | 0.0051 | 0.0000 | 0.9567 | 1.2519 | 70% ||
|| 2020/05/07 => 2020/08/07 | ? | USD | USD-LIBOR-3M | 2.10% | 0.2556 | 0.0054 | 0.0000 | 0.9516 | 1.2798 | 70% ||
|| 2020/08/07 => 2020/11/07 | ? | USD | USD-LIBOR-3M | 2.15% | 0.2556 | 0.0055 | 0.0000 | 0.9464 | 1.3082 | 70% ||
|| 2020/11/07 => 2021/02/07 | ? | USD | USD-LIBOR-3M | 2.19% | 0.2556 | 0.0056 | 0.0000 | 0.9411 | 1.3373 | 70% ||
|| 2021/02/07 => 2021/05/07 | ? | USD | USD-LIBOR-3M | 2.22% | 0.2472 | 0.0055 | 0.0000 | 0.9360 | 1.3660 | 70% ||
|| 2021/05/07 => 2021/08/07 | ? | USD | USD-LIBOR-3M | 2.26% | 0.2556 | 0.0058 | 0.0000 | 0.9306 | 1.3964 | 70% ||
|| 2021/08/07 => 2021/11/07 | ? | USD | USD-LIBOR-3M | 2.30% | 0.2556 | 0.0059 | 0.0000 | 0.9252 | 1.4275 | 70% ||
|| 2021/11/07 => 2022/02/07 | ? | USD | USD-LIBOR-3M | 2.34% | 0.2556 | 0.0060 | 0.0000 | 0.9197 | 1.4592 | 70% ||
|| 2022/02/07 => 2022/05/07 | ? | USD | USD-LIBOR-3M | 2.38% | 0.2472 | 0.0059 | 0.0000 | 0.9143 | 1.4906 | 70% ||
|| 2022/05/07 => 2022/08/07 | ? | USD | USD-LIBOR-3M | 2.42% | 0.2556 | 0.0062 | 0.0000 | 0.9087 | 1.5237 | 70% ||
|| 2022/08/07 => 2022/11/07 | ? | USD | USD-LIBOR-3M | 2.45% | 0.2556 | 0.0063 | 0.0000 | 0.9030 | 1.5576 | 70% ||
|| 2022/11/07 => 2023/02/07 | ? | USD | USD-LIBOR-3M | 2.48% | 0.2556 | 0.0063 | 0.0000 | 0.8973 | 1.5922 | 70% ||
|| 2023/02/07 => 2023/05/07 | ? | USD | USD-LIBOR-3M | 2.51% | 0.2472 | 0.0062 | 0.0000 | 0.8918 | 1.6265 | 70% ||
|| 2023/05/07 => 2023/08/07 | ? | USD | USD-LIBOR-3M | 2.53% | 0.2556 | 0.0065 | 0.0000 | 0.8861 | 1.6626 | 70% ||
|| 2023/08/07 => 2023/11/07 | ? | USD | USD-LIBOR-3M | 2.56% | 0.2556 | 0.0065 | 0.0000 | 0.8803 | 1.6996 | 70% ||
|| 2023/11/07 => 2024/02/07 | ? | USD | USD-LIBOR-3M | 2.58% | 0.2556 | 0.0066 | 0.0000 | 0.8745 | 1.7374 | 70% ||
|| 2017/02/07 => 2024/02/07 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8745 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:48:53 EST 2020
| Setup Time => Mon Jan 27 00:48:53 EST 2020
| Finish Time => Mon Jan 27 00:49:14 EST 2020
| Setup Duration => 0 ms
| Run Duration => 21 s 241 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 00:49:14 EST 2020
| Setup Time => Mon Jan 27 00:49:14 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Workout : 03-NOV-2017
Next Call Date : 03-NOV-2017 | 1.0
Maturity Date : 31-MAR-2024 | 1.0
yield to call => -0.004806116664024703
z_spread => -0.02841918823228158
market value => 7.531031249999999E8
oad mult => -4.7338558245479385
libor duration => 3.134427033179974E-8
convexity => 1.0909117429991561E-9
modified convexity => 1.0909117429991561E-9
effective duration => 2.283392142381713E-5
yield to worst => -0.004806116664024703
tsy oas => 0.023510718999001326
macaulay duration => 5.776134081079714
mod dur to worst => 6.7138074437358675E-6
price => 1.0041375
ytm fwdcpn => 0.04481634147664581
discount margin => -0.01756624402565567
cv01 => 2.0077171580812347E-6
effective duration adj => -1.0809249192940667E-4
yield to maturity => 0.021435109352853265
oas => -0.024116890647146737
wal_adj => 0.06666666666666667
mod dur => 2.1700070597644395E-5
wal => 6.566666666666666
z_vol_oas => -0.050358116664024705
n-spread => -0.021216116664024703
yield to put => 0.021435109352853265
treasury duration => 6.771826310247571E-6
wal4 => 6.566666666666666
accrued$ => 1233699.9999999974
wal3 => 0.06666666666666667
i-spread => -0.021216116664024703
j-spread => -0.016996116664024702
wal2 => 0.06666666666666667
wal to worst => 0.06666666666666667
nominal yield => 0.022314434570437223
spread dur => 0.002282299875912541
funding duration => 6.699644683093916E-6
accrued => 0.00164493333333333
e-spread => -0.050358116664024705
accrued interest factor => 0.00164493333333333
spread dur $ => 1711724.906934406
dv01 => 2.292839677370817E-5
yield to maturity cbe => 0.021492542341974084
funding kprd::fixfloat::05y => 0.0
funding kprd::fixfloat::15y => 0.0
funding kprd::fixfloat::03y => 0.0
funding kprd::fixfloat::25y => 0.0
funding kprd::fixfloat::09y => 0.0
funding kprd::fixfloat::07y => 0.0
funding kprd::deposit::pll => 0.0
funding kprd::fixfloat::11y => 0.0
funding kprd::bump => 6.699644683093916E-6
funding kprd::fixfloat::06y => 0.0
funding kprd::deposit::2d => 0.0
funding kprd::fixfloat::04y => 0.0
funding kprd::fixfloat::pll => 0.0
funding kprd::fixfloat::08y => 0.0
funding kprd::fixfloat::20y => 0.0
funding kprd::fixfloat::30y => 0.0
funding kprd::fixfloat::40y => 0.0
funding kprd::fixfloat::50y => 0.0
funding kprd::fixfloat::02y => 0.0
funding kprd::fixfloat::12y => 0.0
funding kprd::fixfloat::10y => 0.0
funding kprd::futures::0 => 1.1033850370984796E-5
funding kprd::futures::p => 6.699644683093916E-6
funding kprd::futures::1 => -5.491128320596181E-6
funding kprd::futures::2 => 1.4671072196569616E-6
funding kprd::futures::3 => -3.9293459737428804E-7
funding kprd::futures::4 => 1.0306914949131202E-7
funding kprd::futures::5 => -2.031070530327335E-8
funding kprd::base => 0.0
funding krd::fixfloat::05y => 0.0
funding krd::fixfloat::15y => 0.0
funding krd::fixfloat::03y => 0.0
funding krd::fixfloat::25y => 0.0
funding krd::fixfloat::09y => 0.0
funding krd::fixfloat::07y => 0.0
funding krd::deposit::pll => 0.0
funding krd::fixfloat::11y => 0.0
funding krd::bump => 6.699644683093916E-6
funding krd::fixfloat::06y => 0.0
funding krd::deposit::2d => 0.0
funding krd::fixfloat::04y => 0.0
funding krd::fixfloat::pll => 0.0
funding krd::fixfloat::08y => 0.0
funding krd::fixfloat::20y => 0.0
funding krd::fixfloat::30y => 0.0
funding krd::fixfloat::40y => 0.0
funding krd::fixfloat::50y => 0.0
funding krd::fixfloat::02y => 0.0
funding krd::fixfloat::12y => 0.0
funding krd::fixfloat::10y => 0.0
funding krd::futures::0 => 1.1033850370984796E-5
funding krd::futures::p => 6.699644683093916E-6
funding krd::futures::1 => -5.491128320596181E-6
funding krd::futures::2 => 1.4671072196569616E-6
funding krd::futures::3 => -3.9293459737428804E-7
funding krd::futures::4 => 1.0306914949131202E-7
funding krd::futures::5 => -2.031070530327335E-8
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 0.0
libor krd::tenor::2 => 0.0
libor krd::tenor::1 => -3.607842455116615E-7
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 3.9209031172225904E-7
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 0.0
libor krd::tenor::6 => 0.0
libor krd::tenor::5 => 0.0
libor krd::tenor::4 => 0.0
libor krd::bump => 3.134427033179974E-8
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 0.0
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 0.0
govvie kprd::bump => 6.637292021512095E-6
govvie kprd::tsy::10-oct-2018 => 6.637292021512095E-6
govvie kprd::tsy::10-oct-2019 => 0.0
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 0.0
libor kprd::tenor::2 => 0.0
libor kprd::tenor::1 => -3.607842455116615E-7
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 3.9209031172225904E-7
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 0.0
libor kprd::tenor::6 => 0.0
libor kprd::tenor::5 => 0.0
libor kprd::tenor::4 => 0.0
libor kprd::bump => 3.134427033179974E-8
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 0.0
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 0.0
govvie krd::bump => 6.771826310247571E-6
govvie krd::tsy::10-oct-2018 => 6.771826310247571E-6
govvie krd::tsy::10-oct-2019 => 0.0
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0041375
Yield Out : 0.021435109352853265
Price Out : 1.0041374999999988
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2017/04/07 => 2017/09/30 | ? | USD | USD-LIBOR-3M | 0.00% | 0.4889 | 0.0000 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/30 => 2017/12/31 | ? | USD | USD-LIBOR-3M | 4.56% | 0.2556 | 0.0116 | 0.0000 | 0.9971 | 1.0476 | 70% ||
|| 2017/12/31 => 2018/03/31 | ? | USD | USD-LIBOR-3M | 1.36% | 0.2500 | 0.0034 | 0.0000 | 0.9937 | 1.1025 | 70% ||
|| 2018/03/31 => 2018/06/30 | ? | USD | USD-LIBOR-3M | 1.49% | 0.2528 | 0.0038 | 0.0000 | 0.9900 | 1.1609 | 70% ||
|| 2018/06/30 => 2018/09/30 | ? | USD | USD-LIBOR-3M | 1.59% | 0.2556 | 0.0041 | 0.0000 | 0.9860 | 1.2231 | 70% ||
|| 2018/09/30 => 2018/12/31 | ? | USD | USD-LIBOR-3M | 1.67% | 0.2556 | 0.0043 | 0.0000 | 0.9818 | 1.2886 | 70% ||
|| 2018/12/31 => 2019/03/31 | ? | USD | USD-LIBOR-3M | 1.76% | 0.2500 | 0.0044 | 0.0000 | 0.9774 | 1.3561 | 70% ||
|| 2019/03/31 => 2019/06/30 | ? | USD | USD-LIBOR-3M | 1.86% | 0.2528 | 0.0047 | 0.0000 | 0.9729 | 1.4280 | 70% ||
|| 2019/06/30 => 2019/09/30 | ? | USD | USD-LIBOR-3M | 1.83% | 0.2556 | 0.0047 | 0.0000 | 0.9683 | 1.5045 | 70% ||
|| 2019/09/30 => 2019/12/31 | ? | USD | USD-LIBOR-3M | 1.92% | 0.2556 | 0.0049 | 0.0000 | 0.9636 | 1.5851 | 70% ||
|| 2019/12/31 => 2020/03/31 | ? | USD | USD-LIBOR-3M | 2.01% | 0.2528 | 0.0051 | 0.0000 | 0.9587 | 1.6690 | 70% ||
|| 2020/03/31 => 2020/06/30 | ? | USD | USD-LIBOR-3M | 2.08% | 0.2528 | 0.0053 | 0.0000 | 0.9537 | 1.7575 | 70% ||
|| 2020/06/30 => 2020/09/30 | ? | USD | USD-LIBOR-3M | 2.13% | 0.2556 | 0.0055 | 0.0000 | 0.9485 | 1.8516 | 70% ||
|| 2020/09/30 => 2020/12/31 | ? | USD | USD-LIBOR-3M | 2.17% | 0.2556 | 0.0055 | 0.0000 | 0.9433 | 1.9508 | 70% ||
|| 2020/12/31 => 2021/03/31 | ? | USD | USD-LIBOR-3M | 2.21% | 0.2500 | 0.0055 | 0.0000 | 0.9381 | 2.0530 | 70% ||
|| 2021/03/31 => 2021/06/30 | ? | USD | USD-LIBOR-3M | 2.24% | 0.2528 | 0.0057 | 0.0000 | 0.9328 | 2.1618 | 70% ||
|| 2021/06/30 => 2021/09/30 | ? | USD | USD-LIBOR-3M | 2.28% | 0.2556 | 0.0058 | 0.0000 | 0.9274 | 2.2776 | 70% ||
|| 2021/09/30 => 2021/12/31 | ? | USD | USD-LIBOR-3M | 2.33% | 0.2556 | 0.0059 | 0.0000 | 0.9220 | 2.3996 | 70% ||
|| 2021/12/31 => 2022/03/31 | ? | USD | USD-LIBOR-3M | 2.37% | 0.2500 | 0.0059 | 0.0000 | 0.9165 | 2.5253 | 70% ||
|| 2022/03/31 => 2022/06/30 | ? | USD | USD-LIBOR-3M | 2.40% | 0.2528 | 0.0061 | 0.0000 | 0.9110 | 2.6591 | 70% ||
|| 2022/06/30 => 2022/09/30 | ? | USD | USD-LIBOR-3M | 2.44% | 0.2556 | 0.0062 | 0.0000 | 0.9054 | 2.8016 | 70% ||
|| 2022/09/30 => 2022/12/31 | ? | USD | USD-LIBOR-3M | 2.47% | 0.2556 | 0.0063 | 0.0000 | 0.8997 | 2.9517 | 70% ||
|| 2022/12/31 => 2023/03/31 | ? | USD | USD-LIBOR-3M | 2.50% | 0.2500 | 0.0062 | 0.0000 | 0.8941 | 3.1063 | 70% ||
|| 2023/03/31 => 2023/06/30 | ? | USD | USD-LIBOR-3M | 2.52% | 0.2528 | 0.0064 | 0.0000 | 0.8884 | 3.2708 | 70% ||
|| 2023/06/30 => 2023/09/30 | ? | USD | USD-LIBOR-3M | 2.55% | 0.2556 | 0.0065 | 0.0000 | 0.8827 | 3.4461 | 70% ||
|| 2023/09/30 => 2023/12/31 | ? | USD | USD-LIBOR-3M | 2.57% | 0.2556 | 0.0066 | 0.0000 | 0.8769 | 3.6307 | 70% ||
|| 2023/12/31 => 2024/03/31 | ? | USD | USD-LIBOR-3M | 2.60% | 0.2528 | 0.0066 | 0.0000 | 0.8712 | 3.8230 | 70% ||
|| 2017/04/07 => 2024/03/31 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.8712 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:49:14 EST 2020
| Setup Time => Mon Jan 27 00:49:14 EST 2020
| Finish Time => Mon Jan 27 00:49:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 17 s 376 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 00:49:32 EST 2020
| Setup Time => Mon Jan 27 00:49:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 01-JUN-2020
Next Call Date : 01-JUN-2020 | 1.0
Maturity Date : 01-JUN-2020 | 1.0
yield to call => 0.05448776044102798
z_spread => 0.035340873413722766
market value => 7.5E7
oad mult => 0.26667288513314424
libor duration => 1.3038586537393075E-5
convexity => 8.107955510902805E-8
modified convexity => 8.107955510902805E-8
effective duration => 2.483454476635505E-4
yield to worst => 0.05448776044102798
tsy oas => 0.035340873413722766
macaulay duration => 2.5095807860518913
mod dur to worst => 1.4340382662014761E-5
price => 1.0
ytm fwdcpn => 0.05052860564394031
discount margin => 0.04172763307939702
cv01 => 6.807963136323814E-5
effective duration adj => 6.62269970381213E-5
yield to maturity => 0.05448776044102798
oas => 0.04144666044102798
wal_adj => 2.5627107158902533
mod dur => 1.4340382662014761E-5
wal => 2.6805555555555554
z_vol_oas => 0.04144666044102798
n-spread => 0.036624760441027984
yield to put => 0.05448776044102798
treasury duration => 2.492933134857989E-4
wal4 => 2.6805555555555554
accrued$ => 442234.6250000034
wal3 => 1.4974943099797107
i-spread => 0.037127309100985606
j-spread => 0.04229776044102798
wal2 => 2.4983410476181835
wal to worst => 2.6805555555555554
nominal yield => 0.05650685121124661
spread dur => 0.02476428899422345
funding duration => 2.596561192578474E-5
accrued => 0.005896461666666712
e-spread => 0.04014954744329879
accrued interest factor => 0.005896461666666712
spread dur $ => 1857321.6745667586
dv01 => 2.483454476635505E-4
yield to maturity cbe => 0.054858873576900544
funding kprd::fixfloat::05y => 3.0381218794282995E-7
funding kprd::fixfloat::15y => 2.7963934751820508E-12
funding kprd::fixfloat::03y => 3.4045837399650432E-6
funding kprd::fixfloat::25y => 1.4654493008747708E-13
funding kprd::fixfloat::09y => 2.6430124081364437E-9
funding kprd::fixfloat::07y => 2.9511557374131403E-8
funding kprd::deposit::pll => 1.9232412490661902E-8
funding kprd::fixfloat::11y => 2.1530103838803168E-10
funding kprd::bump => 2.596561192578474E-5
funding kprd::fixfloat::06y => -9.60992487412188E-8
funding kprd::deposit::2d => 1.9232412490661902E-8
funding kprd::fixfloat::04y => -9.207136855552387E-7
funding kprd::fixfloat::pll => 7.58518346027861E-6
funding kprd::fixfloat::08y => -8.917268192295278E-9
funding kprd::fixfloat::20y => -4.91610146937853E-13
funding kprd::fixfloat::30y => -3.462833497841975E-14
funding kprd::fixfloat::40y => 4.048649294659773E-15
funding kprd::fixfloat::50y => -7.025745967012596E-16
funding kprd::fixfloat::02y => 4.8709610090732065E-6
funding kprd::fixfloat::12y => -4.589529127907438E-11
funding kprd::fixfloat::10y => -7.710625894129243E-10
funding kprd::futures::0 => 2.400404066102198E-5
funding kprd::futures::p => 1.8361177710227423E-5
funding kprd::futures::1 => -9.908181548098812E-6
funding kprd::futures::2 => 3.7401694489568037E-6
funding kprd::futures::3 => -1.8849779161622204E-7
funding kprd::futures::4 => 5.898720313434284E-7
funding kprd::futures::5 => 1.2378220795119492E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 3.0381218794282995E-7
funding krd::fixfloat::15y => 2.7963934751820508E-12
funding krd::fixfloat::03y => 3.4045837399650432E-6
funding krd::fixfloat::25y => 1.4654493008747708E-13
funding krd::fixfloat::09y => 2.6430124081364437E-9
funding krd::fixfloat::07y => 2.9511557374131403E-8
funding krd::deposit::pll => 1.9232412490661902E-8
funding krd::fixfloat::11y => 2.1530103838803168E-10
funding krd::bump => 2.596561192578474E-5
funding krd::fixfloat::06y => -9.60992487412188E-8
funding krd::deposit::2d => 1.9232412490661902E-8
funding krd::fixfloat::04y => -9.207136855552387E-7
funding krd::fixfloat::pll => 7.58518346027861E-6
funding krd::fixfloat::08y => -8.917268192295278E-9
funding krd::fixfloat::20y => -4.91610146937853E-13
funding krd::fixfloat::30y => -3.462833497841975E-14
funding krd::fixfloat::40y => 4.048649294659773E-15
funding krd::fixfloat::50y => -7.025745967012596E-16
funding krd::fixfloat::02y => 4.8709610090732065E-6
funding krd::fixfloat::12y => -4.589529127907438E-11
funding krd::fixfloat::10y => -7.710625894129243E-10
funding krd::futures::0 => 2.400404066102198E-5
funding krd::futures::p => 1.8361177710227423E-5
funding krd::futures::1 => -9.908181548098812E-6
funding krd::futures::2 => 3.7401694489568037E-6
funding krd::futures::3 => -1.8849779161622204E-7
funding krd::futures::4 => 5.898720313434284E-7
funding krd::futures::5 => 1.2378220795119492E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 1.6814583705485983E-6
libor krd::tenor::2 => 1.9019669334880167E-6
libor krd::tenor::1 => 3.725826996561375E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 5.303090392806057E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 9.896661276027953E-7
libor krd::tenor::6 => 1.0332470466762776E-6
libor krd::tenor::5 => 1.2188679910996326E-6
libor krd::tenor::4 => 1.4461252039813604E-6
libor krd::bump => 1.3038586537393075E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 9.883170847119164E-7
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 1.5995477681311955E-4
govvie kprd::bump => 2.491219159128086E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 8.916613115038155E-5
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 1.6814583705485983E-6
libor kprd::tenor::2 => 1.9019669334880167E-6
libor kprd::tenor::1 => 3.725826996561375E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 5.303090392806057E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 9.896661276027953E-7
libor kprd::tenor::6 => 1.0332470466762776E-6
libor kprd::tenor::5 => 1.2188679910996326E-6
libor kprd::tenor::4 => 1.4461252039813604E-6
libor kprd::bump => 1.3038586537393075E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 9.883170847119164E-7
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 1.6006482619669858E-4
govvie krd::bump => 2.492933134857989E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 8.922747756643923E-5
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.05448776044102798
Price Out : 1.0000000056480993
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2015/05/21 => 2015/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2861 | 0.0107 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/09/01 => 2015/12/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/12/01 => 2016/03/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/03/01 => 2016/06/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/06/01 => 2016/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/09/01 => 2016/12/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2528 | 0.0095 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/12/01 => 2017/03/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2500 | 0.0094 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/03/01 => 2017/06/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/06/01 => 2017/09/01 | ? | USD | USD-LIBOR-3M | 3.75% | 0.2556 | 0.0096 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/09/01 => 2017/12/01 | ? | USD | USD-LIBOR-3M | 5.05% | 0.2528 | 0.0128 | 0.0000 | 0.9982 | 0.9826 | 70% ||
|| 2017/12/01 => 2018/03/01 | ? | USD | USD-LIBOR-3M | 5.08% | 0.2500 | 0.0127 | 0.0000 | 0.9948 | 0.9532 | 70% ||
|| 2018/03/01 => 2018/06/01 | ? | USD | USD-LIBOR-3M | 5.20% | 0.2556 | 0.0133 | 0.0000 | 0.9912 | 0.9241 | 70% ||
|| 2018/06/01 => 2018/09/01 | ? | USD | USD-LIBOR-3M | 5.31% | 0.2556 | 0.0136 | 0.0000 | 0.9872 | 0.8958 | 70% ||
|| 2018/09/01 => 2018/12/01 | ? | USD | USD-LIBOR-3M | 5.40% | 0.2528 | 0.0136 | 0.0000 | 0.9831 | 0.8687 | 70% ||
|| 2018/12/01 => 2019/03/01 | ? | USD | USD-LIBOR-3M | 5.48% | 0.2500 | 0.0137 | 0.0000 | 0.9789 | 0.8427 | 70% ||
|| 2019/03/01 => 2019/06/01 | ? | USD | USD-LIBOR-3M | 5.58% | 0.2556 | 0.0143 | 0.0000 | 0.9743 | 0.8170 | 70% ||
|| 2019/06/01 => 2019/09/01 | ? | USD | USD-LIBOR-3M | 5.59% | 0.2556 | 0.0143 | 0.0000 | 0.9698 | 0.7920 | 70% ||
|| 2019/09/01 => 2019/12/01 | ? | USD | USD-LIBOR-3M | 5.64% | 0.2528 | 0.0143 | 0.0000 | 0.9652 | 0.7681 | 70% ||
|| 2019/12/01 => 2020/03/01 | ? | USD | USD-LIBOR-3M | 5.73% | 0.2528 | 0.0145 | 0.0000 | 0.9604 | 0.7448 | 70% ||
|| 2020/03/01 => 2020/06/01 | ? | USD | USD-LIBOR-3M | 5.81% | 0.2556 | 0.0148 | 0.0000 | 0.9553 | 0.7221 | 70% ||
|| 2015/05/21 => 2020/06/01 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9553 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:49:32 EST 2020
| Setup Time => Mon Jan 27 00:49:32 EST 2020
| Finish Time => Mon Jan 27 00:49:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 11 s 464 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 00:49:43 EST 2020
| Setup Time => Mon Jan 27 00:49:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Workout : 20-AUG-2020
Next Call Date : 20-AUG-2020 | 1.0
Maturity Date : 20-AUG-2020 | 1.0
yield to call => 0.062261081983458276
z_spread => 0.042402111388015
market value => 2.3258875E8
oad mult => 0.26093762759192723
libor duration => 1.7686302503527415E-5
convexity => 7.916412265150696E-8
modified convexity => 7.916412265150696E-8
effective duration => 2.643160590836413E-4
yield to worst => 0.062261081983458276
tsy oas => 0.042402111388015
macaulay duration => 2.6694884029249915
mod dur to worst => 1.1344603369600748E-5
price => 1.0
ytm fwdcpn => 0.05802481630604747
discount margin => 0.04950095462182731
cv01 => 7.059186723157307E-5
effective duration adj => 6.897000539173304E-5
yield to maturity => 0.062261081983458276
oas => 0.049219981983458276
wal_adj => 2.7526262005978888
mod dur => 1.1344603369600748E-5
wal => 2.9027777777777777
z_vol_oas => 0.049219981983458276
n-spread => 0.04439808198345828
yield to put => 0.062261081983458276
treasury duration => 2.6546492359809105E-4
wal4 => 2.9027777777777777
accrued$ => 2024956.0346437553
wal3 => 1.6090862369124568
i-spread => 0.04459304319968494
j-spread => 0.05007108198345828
wal2 => 2.65086737416558
wal to worst => 2.9027777777777777
nominal yield => 0.06415819191272018
spread dur => 0.02635179062730808
funding duration => 2.751115811608892E-5
accrued => 0.008706165000000023
e-spread => 0.0476408175254925
accrued interest factor => 0.008706165000000023
spread dur $ => 6129130.042267302
dv01 => 2.643160590836413E-4
yield to maturity cbe => 0.06274563727466141
funding kprd::fixfloat::05y => 4.4082429562411724E-7
funding kprd::fixfloat::15y => 4.0575107818038435E-12
funding kprd::fixfloat::03y => 6.394943405235735E-6
funding kprd::fixfloat::25y => 2.1264047664603238E-13
funding kprd::fixfloat::09y => 3.8349484792071165E-9
funding kprd::fixfloat::07y => 4.282057158058579E-8
funding kprd::deposit::pll => 2.801869281240355E-8
funding kprd::fixfloat::11y => 3.1239671921431764E-10
funding kprd::bump => 2.751115811608892E-5
funding kprd::fixfloat::06y => -1.3943773669647287E-7
funding kprd::deposit::2d => 2.801869281240355E-8
funding kprd::fixfloat::04y => -1.3359337924642771E-6
funding kprd::fixfloat::pll => 1.1521528766419785E-5
funding kprd::fixfloat::08y => -1.2938745187206665E-8
funding kprd::fixfloat::20y => -7.133101748538211E-13
funding kprd::fixfloat::30y => -5.024767434290784E-14
funding kprd::fixfloat::40y => 5.869204097672296E-15
funding kprd::fixfloat::50y => -1.0192325907870528E-15
funding kprd::fixfloat::02y => 6.128281543890114E-6
funding kprd::fixfloat::12y => -6.659298922958646E-11
funding kprd::fixfloat::10y => -1.1187935691108036E-9
funding kprd::futures::0 => 1.9692863512131927E-5
funding kprd::futures::p => 1.5961581500942272E-5
funding kprd::futures::1 => -7.752029878298105E-6
funding kprd::futures::2 => 3.3005539509260554E-6
funding kprd::futures::3 => 2.1231232994291297E-8
funding kprd::futures::4 => 5.898662234890635E-7
funding kprd::futures::5 => 1.091022282803579E-7
funding kprd::base => 0.0
funding krd::fixfloat::05y => 4.4082429562411724E-7
funding krd::fixfloat::15y => 4.0575107818038435E-12
funding krd::fixfloat::03y => 6.394943405235735E-6
funding krd::fixfloat::25y => 2.1264047664603238E-13
funding krd::fixfloat::09y => 3.8349484792071165E-9
funding krd::fixfloat::07y => 4.282057158058579E-8
funding krd::deposit::pll => 2.801869281240355E-8
funding krd::fixfloat::11y => 3.1239671921431764E-10
funding krd::bump => 2.751115811608892E-5
funding krd::fixfloat::06y => -1.3943773669647287E-7
funding krd::deposit::2d => 2.801869281240355E-8
funding krd::fixfloat::04y => -1.3359337924642771E-6
funding krd::fixfloat::pll => 1.1521528766419785E-5
funding krd::fixfloat::08y => -1.2938745187206665E-8
funding krd::fixfloat::20y => -7.133101748538211E-13
funding krd::fixfloat::30y => -5.024767434290784E-14
funding krd::fixfloat::40y => 5.869204097672296E-15
funding krd::fixfloat::50y => -1.0192325907870528E-15
funding krd::fixfloat::02y => 6.128281543890114E-6
funding krd::fixfloat::12y => -6.659298922958646E-11
funding krd::fixfloat::10y => -1.1187935691108036E-9
funding krd::futures::0 => 1.9692863512131927E-5
funding krd::futures::p => 1.5961581500942272E-5
funding krd::futures::1 => -7.752029878298105E-6
funding krd::futures::2 => 3.3005539509260554E-6
funding krd::futures::3 => 2.1231232994291297E-8
funding krd::futures::4 => 5.898662234890635E-7
funding krd::futures::5 => 1.091022282803579E-7
funding krd::base => 0.0
libor krd::tenor::10 => 0.0
libor krd::tenor::3 => 2.180189331873635E-6
libor krd::tenor::2 => 2.431985837193173E-6
libor krd::tenor::1 => 4.704579018675717E-6
libor krd::tenor::22 => 0.0
libor krd::tenor::0 => 6.754936985020982E-8
libor krd::tenor::23 => 0.0
libor krd::tenor::7 => 1.4385528169312467E-6
libor krd::tenor::6 => 1.41639280567472E-6
libor krd::tenor::5 => 1.638714772280906E-6
libor krd::tenor::4 => 1.9047089154080164E-6
libor krd::bump => 1.7686302503527415E-5
libor krd::tenor::9 => 0.0
libor krd::tenor::8 => 1.9035294754132068E-6
libor krd::tenor::20 => 0.0
libor krd::tenor::21 => 0.0
libor krd::tenor::13 => 0.0
libor krd::tenor::14 => 0.0
libor krd::tenor::11 => 0.0
libor krd::tenor::12 => 0.0
libor krd::tenor::17 => 0.0
libor krd::tenor::18 => 0.0
libor krd::tenor::15 => 0.0
libor krd::tenor::16 => 0.0
libor krd::tenor::19 => 0.0
libor krd::base => 0.0
govvie kprd::tsy::10-oct-2022 => 0.0
govvie kprd::tsy::10-oct-2020 => 2.2831233820282885E-4
govvie kprd::bump => 2.6527765219214156E-4
govvie kprd::tsy::10-oct-2018 => 0.0
govvie kprd::tsy::10-oct-2019 => 3.696467672862458E-5
govvie kprd::tsy::10-oct-2027 => 0.0
govvie kprd::tsy::10-oct-2047 => 0.0
govvie kprd::tsy::10-oct-2037 => 0.0
govvie kprd::base => 0.0
govvie kprd::tsy::10-oct-2024 => 0.0
libor kprd::tenor::10 => 0.0
libor kprd::tenor::3 => 2.180189331873635E-6
libor kprd::tenor::2 => 2.431985837193173E-6
libor kprd::tenor::1 => 4.704579018675717E-6
libor kprd::tenor::22 => 0.0
libor kprd::tenor::0 => 6.754936985020982E-8
libor kprd::tenor::23 => 0.0
libor kprd::tenor::7 => 1.4385528169312467E-6
libor kprd::tenor::6 => 1.41639280567472E-6
libor kprd::tenor::5 => 1.638714772280906E-6
libor kprd::tenor::4 => 1.9047089154080164E-6
libor kprd::bump => 1.7686302503527415E-5
libor kprd::tenor::9 => 0.0
libor kprd::tenor::8 => 1.9035294754132068E-6
libor kprd::tenor::20 => 0.0
libor kprd::tenor::21 => 0.0
libor kprd::tenor::13 => 0.0
libor kprd::tenor::14 => 0.0
libor kprd::tenor::11 => 0.0
libor kprd::tenor::12 => 0.0
libor kprd::tenor::17 => 0.0
libor kprd::tenor::18 => 0.0
libor kprd::tenor::15 => 0.0
libor kprd::tenor::16 => 0.0
libor kprd::tenor::19 => 0.0
libor kprd::base => 0.0
govvie krd::tsy::10-oct-2022 => 0.0
govvie krd::tsy::10-oct-2020 => 2.2847351372687897E-4
govvie krd::bump => 2.6546492359809105E-4
govvie krd::tsy::10-oct-2018 => 0.0
govvie krd::tsy::10-oct-2019 => 3.699077150447483E-5
govvie krd::tsy::10-oct-2027 => 0.0
govvie krd::tsy::10-oct-2047 => 0.0
govvie krd::tsy::10-oct-2037 => 0.0
govvie krd::base => 0.0
govvie krd::tsy::10-oct-2024 => 0.0
||----------------------------------------------------------------------------------------------------------------------||
Price In : 1.0
Yield Out : 0.062261081983458276
Price Out : 1.000000000000039
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2014/08/19 => 2014/11/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2583 | 0.0116 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2014/11/20 => 2015/02/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/02/20 => 2015/05/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2472 | 0.0111 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/05/20 => 2015/08/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/08/20 => 2015/11/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2015/11/20 => 2016/02/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/02/20 => 2016/05/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2500 | 0.0112 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/05/20 => 2016/08/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/08/20 => 2016/11/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2016/11/20 => 2017/02/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/02/20 => 2017/05/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2472 | 0.0111 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/05/20 => 2017/08/20 | ? | USD | USD-LIBOR-3M | 4.50% | 0.2556 | 0.0115 | 0.0000 | 1.0000 | 1.0000 | 70% ||
|| 2017/08/20 => 2017/11/20 | ? | USD | USD-LIBOR-3M | 5.80% | 0.2556 | 0.0148 | 0.0000 | 0.9985 | 0.9836 | 70% ||
|| 2017/11/20 => 2018/02/20 | ? | USD | USD-LIBOR-3M | 5.82% | 0.2556 | 0.0149 | 0.0000 | 0.9952 | 0.9477 | 70% ||
|| 2018/02/20 => 2018/05/20 | ? | USD | USD-LIBOR-3M | 5.94% | 0.2472 | 0.0147 | 0.0000 | 0.9917 | 0.9143 | 70% ||
|| 2018/05/20 => 2018/08/20 | ? | USD | USD-LIBOR-3M | 6.05% | 0.2556 | 0.0155 | 0.0000 | 0.9878 | 0.8810 | 70% ||
|| 2018/08/20 => 2018/11/20 | ? | USD | USD-LIBOR-3M | 6.14% | 0.2556 | 0.0157 | 0.0000 | 0.9836 | 0.8489 | 70% ||
|| 2018/11/20 => 2019/02/20 | ? | USD | USD-LIBOR-3M | 6.22% | 0.2556 | 0.0159 | 0.0000 | 0.9793 | 0.8179 | 70% ||
|| 2019/02/20 => 2019/05/20 | ? | USD | USD-LIBOR-3M | 6.32% | 0.2472 | 0.0156 | 0.0000 | 0.9749 | 0.7891 | 70% ||
|| 2019/05/20 => 2019/08/20 | ? | USD | USD-LIBOR-3M | 6.34% | 0.2556 | 0.0162 | 0.0000 | 0.9704 | 0.7603 | 70% ||
|| 2019/08/20 => 2019/11/20 | ? | USD | USD-LIBOR-3M | 6.38% | 0.2556 | 0.0163 | 0.0000 | 0.9657 | 0.7326 | 70% ||
|| 2019/11/20 => 2020/02/20 | ? | USD | USD-LIBOR-3M | 6.47% | 0.2556 | 0.0165 | 0.0000 | 0.9609 | 0.7059 | 70% ||
|| 2020/02/20 => 2020/05/20 | ? | USD | USD-LIBOR-3M | 6.55% | 0.2500 | 0.0164 | 0.0000 | 0.9560 | 0.6807 | 70% ||
|| 2020/05/20 => 2020/08/20 | ? | USD | USD-LIBOR-3M | 6.61% | 0.2556 | 0.0169 | 0.0000 | 0.9509 | 0.6559 | 70% ||
|| 2014/08/19 => 2020/08/20 | ? | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9509 | 1.0000 | 100% ||
||----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:49:43 EST 2020
| Setup Time => Mon Jan 27 00:49:43 EST 2020
| Finish Time => Mon Jan 27 00:49:54 EST 2020
| Setup Duration => 1 ms
| Run Duration => 11 s 451 ms
|-----------------------------------------------------------------|