Standard output
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:56:48 EST 2020
| Setup Time => Mon Jan 27 00:56:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
L -> R:
Reference Currency
Reference Tenor
Quote Basis on Reference
Derived Currency
Derived Tenor
Quote Basis on Derived
Fixing Setting Type
Spot Lag in Business Days
--------------------------------------------------------------------------------------------------------
[USD | 3M | false] [AUD | 3M | true] 4 2 false
[USD | 3M | false] [CAD | 3M | true] 4 2 false
[USD | 3M | false] [CHF | 3M | true] 4 2 false
[USD | 3M | true] [CLP | 3M | false] 4 2 false
[USD | 3M | false] [DKK | 3M | true] 4 2 false
[USD | 3M | false] [EUR | 3M | true] 4 2 false
[USD | 3M | false] [GBP | 3M | true] 4 2 false
[USD | 3M | false] [JPY | 3M | true] 4 2 false
[USD | 3M | true] [MXN | 3M | false] 4 2 false
[USD | 3M | false] [NOK | 3M | true] 4 2 false
[USD | 3M | false] [PLN | 3M | true] 4 2 false
[USD | 3M | false] [SEK | 3M | true] 4 2 false
--------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:56:48 EST 2020
| Setup Time => Mon Jan 27 00:56:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
---------------------------------------------------------
CROSS-CURRENCY FLOAT-FLOAT COMPONENT RUNS
---------------------------------------------------------
L -> R:
Cross Currency Swap Name
Float-Float Effective
Float-Float Maturity
Price
Derived Stream Par Basis Spread
Reference Stream Par Basis Spread
Annualized Derived Stream Duration
Annualized Reference Stream Duration
------------------------------------------------------------------------------------------------------------------
| AUD_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.92 | -4.21 | 4.18 | -1.97 | 1.99 |
| CAD_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.92 | -4.21 | 4.18 | -1.97 | 1.99 |
| CHF_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
| CLP_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.98 | -0.96 | 0.96 | -2.00 | 1.99 |
| DKK_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
| EUR_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
| GBP_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.92 | -4.21 | 4.18 | -1.97 | 1.99 |
| JPY_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
| MXN_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.98 | -0.96 | 0.96 | -2.00 | 1.99 |
| NOK_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
| PLN_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.92 | -4.21 | 4.18 | -1.97 | 1.99 |
| SEK_USD_OTC::FLOATFLOAT::2Y [29-JAN-2020 -> 29-JAN-2022] => 99.86 | -6.93 | 6.99 | -2.00 | 1.99 |
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