Standard output
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| Copyright (C) 2011-2020 (DRIP, DROP)
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| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:50 EST 2020
| Setup Time => Mon Jan 27 01:16:50 EST 2020
| Setup Duration => 0 ms
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| DEPOSIT INPUT vs. CALC ||
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| [15-MAR-2017] = 0.011196 | 0.011196 ||
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| FUTURES INPUT vs. CALC ||
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| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
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| FIX-FLOAT INPUTS vs CALIB ||
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| [15-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [15-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [15-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [15-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [15-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [15-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [15-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [15-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [15-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [15-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [15-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [15-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [15-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [15-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [15-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [15-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [15-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
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| TREASURY INPUT vs CALIB YIELD ||
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| UST 1.00 13-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 13-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 13-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 13-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 13-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 13-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 13-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 13-MAR-2047 | 3.190% | 3.190% ||
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| Trade Date : 13-MAR-2017 ||
| Cash Settle Date : 13-MAR-2017 ||
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Doing AGENCY 6.3750 30-APR-2019
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| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
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| AGENCY 6.3750 30-APR-2019 | 03-APR-2014 | 30-APR-2019 | 30-JUL-2014 | 100.368 | 0.76146 | 6.19% | 01.99 | 01.96 | 01.99 | 0199 | 0.05 | 02.02 | 447 ||
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| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
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| AGENCY 6.3750 30-APR-2019 | 100.368 | 6.19% | 447 | 478 | 01.98 | 00.05 | 449 | 478 | 445 | 482 | 02YON ||
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| BOND | tsy::13-mar-2018 | tsy::13-mar-2019 | tsy::13-mar-2020 | tsy::13-mar-2022 | tsy::13-mar-2024 | tsy::13-mar-2027 | tsy::13-mar-2037 | tsy::13-mar-2047 ||
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| AGENCY 6.3750 30-APR-2019 | -00.00 | 01.72 | 00.26 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
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