|-----------------------------------------------------------------|
| 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 00:59:13 EST 2020
| Setup Time => Mon Jan 27 00:59:13 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.000661 | 0.000661 | 0.0661%
[11-DEC-2012 - 18-DEC-2012] = 0.000980 | 0.000980 | 0.0980%
[11-DEC-2012 - 25-DEC-2012] = 0.000993 | 0.000993 | 0.0993%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-JAN-2013] = 0.0765% | 0.1100% | 0.1065%
[13-DEC-2012 - 13-FEB-2013] = 0.0607% | 0.1060% | 0.1026%
[13-DEC-2012 - 13-MAR-2013] = 0.0454% | 0.0960% | 0.0960%
[13-DEC-2012 - 13-APR-2013] = 0.0323% | 0.0850% | 0.0503%
[13-DEC-2012 - 13-MAY-2013] = 0.0232% | 0.0790% | 0.0526%
[13-DEC-2012 - 13-JUN-2013] = 0.0169% | 0.0750% | 0.0528%
[13-DEC-2012 - 13-JUL-2013] = -0.0055% | 0.0710% | 0.0470%
[13-DEC-2012 - 13-AUG-2013] = -0.0048% | 0.0690% | 0.0502%
[13-DEC-2012 - 13-SEP-2013] = -0.0041% | 0.0660% | 0.0470%
[13-DEC-2012 - 13-OCT-2013] = -0.0032% | 0.0650% | 0.0560%
[13-DEC-2012 - 13-NOV-2013] = -0.0023% | 0.0640% | 0.0541%
[13-DEC-2012 - 13-DEC-2013] = -0.0013% | 0.0630% | 0.0534%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2014] = 22.60 | 22.60 | 0.2278%
[13-DEC-2012 - 13-DEC-2015] = 23.80 | 23.80 | 0.5596%
[13-DEC-2012 - 13-DEC-2016] = 24.60 | 24.60 | 1.0263%
[13-DEC-2012 - 13-DEC-2017] = 25.00 | 25.00 | 1.4891%
[13-DEC-2012 - 13-DEC-2018] = 25.00 | 25.00 | 1.8628%
[13-DEC-2012 - 13-DEC-2019] = 24.80 | 24.80 | 2.1521%
[13-DEC-2012 - 13-DEC-2020] = 24.50 | 24.50 | 2.4059%
[13-DEC-2012 - 13-DEC-2021] = 24.10 | 24.10 | 2.5546%
[13-DEC-2012 - 13-DEC-2022] = 23.70 | 23.70 | 2.7226%
[13-DEC-2012 - 13-DEC-2023] = 23.30 | 23.30 | 2.8410%
[13-DEC-2012 - 13-DEC-2024] = 22.80 | 22.80 | 2.9444%
[13-DEC-2012 - 13-DEC-2027] = 21.10 | 21.10 | 2.7894%
[13-DEC-2012 - 13-DEC-2032] = 18.90 | 18.90 | 2.4484%
[13-DEC-2012 - 13-DEC-2037] = 17.50 | 17.50 | 2.2622%
[13-DEC-2012 - 13-DEC-2042] = 16.30 | 16.30 | 2.3581%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = 16.30 | 16.30 | 2.6034%
[13-DEC-2012 - 13-DEC-2052] = 16.30 | 16.30 | 2.8057%
[13-DEC-2012 - 13-DEC-2062] = 16.30 | 16.30 | 2.5888%
[13-DEC-2012 - 13-DEC-2072] = 16.30 | 16.30 | 2.8670%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:13 EST 2020
| Setup Time => Mon Jan 27 00:59:13 EST 2020
| Finish Time => Mon Jan 27 00:59:20 EST 2020
| Setup Duration => 2 ms
| Run Duration => 6 s 298 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 00:59:20 EST 2020
| Setup Time => Mon Jan 27 00:59:20 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[11-NOV-2013 - 11-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2015] = 0.4240% | 0.4240% | 0.7115%
[11-DEC-2012 - 11-DEC-2016] = 0.5760% | 0.5760% | 1.1536%
[11-DEC-2012 - 11-DEC-2017] = 0.7620% | 0.7620% | 1.6380%
[11-DEC-2012 - 11-DEC-2018] = 0.9540% | 0.9540% | 2.0351%
[11-DEC-2012 - 11-DEC-2019] = 1.1350% | 1.1350% | 2.3425%
[11-DEC-2012 - 11-DEC-2020] = 1.3030% | 1.3030% | 2.6085%
[11-DEC-2012 - 11-DEC-2021] = 1.4520% | 1.4520% | 2.7751%
[11-DEC-2012 - 11-DEC-2022] = 1.5840% | 1.5840% | 2.9253%
[11-DEC-2012 - 11-DEC-2024] = 1.8090% | 1.8090% | 3.1540%
[11-DEC-2012 - 11-DEC-2027] = 2.0370% | 2.0370% | 3.0426%
[11-DEC-2012 - 11-DEC-2032] = 2.1870% | 2.1870% | 2.5585%
[11-DEC-2012 - 11-DEC-2037] = 2.2340% | 2.2340% | 2.4667%
[11-DEC-2012 - 11-DEC-2042] = 2.2560% | 2.2560% | 2.4225%
[11-DEC-2012 - 11-DEC-2047] = 2.2950% | 2.2950% | 2.8698%
[11-DEC-2012 - 11-DEC-2052] = 2.3480% | 2.3480% | 2.9601%
[11-DEC-2012 - 11-DEC-2062] = 2.4210% | 2.4210% | 2.9355%
[11-DEC-2012 - 11-DEC-2072] = 2.4630% | 2.4630% | 2.8694%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.000661 | 0.000661 | 0.0661%
[11-DEC-2012 - 18-DEC-2012] = 0.000980 | 0.000980 | 0.0980%
[11-DEC-2012 - 25-DEC-2012] = 0.000993 | 0.000993 | 0.0993%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JAN-2013] = 0.0735% | 0.1100% | 0.1100%
[11-DEC-2012 - 11-FEB-2013] = 0.0582% | 0.1060% | 0.1060%
[11-DEC-2012 - 11-MAR-2013] = 0.0454% | 0.0960% | 0.0960%
[11-DEC-2012 - 11-APR-2013] = 0.0321% | 0.0850% | 0.0531%
[11-DEC-2012 - 11-MAY-2013] = 0.0231% | 0.0790% | 0.0539%
[11-DEC-2012 - 11-JUN-2013] = 0.0168% | 0.0750% | 0.0545%
[11-DEC-2012 - 11-JUL-2013] = -0.0052% | 0.0710% | 0.0468%
[11-DEC-2012 - 11-AUG-2013] = -0.0045% | 0.0690% | 0.0511%
[11-DEC-2012 - 11-SEP-2013] = -0.0038% | 0.0660% | 0.0482%
[11-DEC-2012 - 11-OCT-2013] = -0.0030% | 0.0650% | 0.0559%
[11-DEC-2012 - 11-NOV-2013] = -0.0022% | 0.0640% | 0.0550%
[11-DEC-2012 - 11-DEC-2013] = -0.0012% | 0.0630% | 0.0540%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2014] = 22.60 | 22.60 | 0.1986%
[11-DEC-2012 - 11-DEC-2015] = 23.80 | 23.80 | 0.5431%
[11-DEC-2012 - 11-DEC-2016] = 24.60 | 24.60 | 0.9652%
[11-DEC-2012 - 11-DEC-2017] = 25.00 | 25.00 | 1.4827%
[11-DEC-2012 - 11-DEC-2018] = 25.00 | 25.00 | 1.8402%
[11-DEC-2012 - 11-DEC-2019] = 24.80 | 24.80 | 2.1745%
[11-DEC-2012 - 11-DEC-2020] = 24.50 | 24.50 | 2.4142%
[11-DEC-2012 - 11-DEC-2021] = 24.10 | 24.10 | 2.5972%
[11-DEC-2012 - 11-DEC-2022] = 23.70 | 23.70 | 2.7392%
[11-DEC-2012 - 11-DEC-2023] = 23.30 | 23.30 | 2.8945%
[11-DEC-2012 - 11-DEC-2024] = 22.80 | 22.80 | 2.9861%
[11-DEC-2012 - 11-DEC-2027] = 21.10 | 21.10 | 2.9005%
[11-DEC-2012 - 11-DEC-2032] = 18.90 | 18.90 | 2.4183%
[11-DEC-2012 - 11-DEC-2037] = 17.50 | 17.50 | 2.3883%
[11-DEC-2012 - 11-DEC-2042] = 16.30 | 16.30 | 2.2342%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2047] = 16.30 | 16.30 | 2.6402%
[11-DEC-2012 - 11-DEC-2052] = 16.30 | 16.30 | 2.8688%
[11-DEC-2012 - 11-DEC-2062] = 16.30 | 16.30 | 2.6237%
[11-DEC-2012 - 11-DEC-2072] = 16.30 | 16.30 | 2.9189%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:20 EST 2020
| Setup Time => Mon Jan 27 00:59:20 EST 2020
| Finish Time => Mon Jan 27 00:59:25 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 213 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 00:59:25 EST 2020
| Setup Time => Mon Jan 27 00:59:25 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.000661 | 0.000661 | 0.0661%
[11-DEC-2012 - 18-DEC-2012] = 0.000980 | 0.000980 | 0.0980%
[11-DEC-2012 - 25-DEC-2012] = 0.000993 | 0.000993 | 0.0993%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-JAN-2013] = 0.0765% | 0.1100% | 0.1065%
[13-DEC-2012 - 13-FEB-2013] = 0.0607% | 0.1060% | 0.1026%
[13-DEC-2012 - 13-MAR-2013] = 0.0454% | 0.0960% | 0.0960%
[13-DEC-2012 - 13-APR-2013] = 0.0323% | 0.0850% | 0.0503%
[13-DEC-2012 - 13-MAY-2013] = 0.0232% | 0.0790% | 0.0526%
[13-DEC-2012 - 13-JUN-2013] = 0.0169% | 0.0750% | 0.0528%
[13-DEC-2012 - 13-JUL-2013] = -0.0055% | 0.0710% | 0.0470%
[13-DEC-2012 - 13-AUG-2013] = -0.0048% | 0.0690% | 0.0502%
[13-DEC-2012 - 13-SEP-2013] = -0.0041% | 0.0660% | 0.0470%
[13-DEC-2012 - 13-OCT-2013] = -0.0032% | 0.0650% | 0.0560%
[13-DEC-2012 - 13-NOV-2013] = -0.0023% | 0.0640% | 0.0541%
[13-DEC-2012 - 13-DEC-2013] = -0.0013% | 0.0630% | 0.0534%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2014] = 22.60 | 22.60 | 0.2442%
[13-DEC-2012 - 13-DEC-2015] = 23.80 | 23.80 | 0.5836%
[13-DEC-2012 - 13-DEC-2016] = 24.60 | 24.60 | 1.0440%
[13-DEC-2012 - 13-DEC-2017] = 25.00 | 25.00 | 1.5012%
[13-DEC-2012 - 13-DEC-2018] = 25.00 | 25.00 | 1.8512%
[13-DEC-2012 - 13-DEC-2019] = 24.80 | 24.80 | 2.1598%
[13-DEC-2012 - 13-DEC-2020] = 24.50 | 24.50 | 2.3873%
[13-DEC-2012 - 13-DEC-2021] = 24.10 | 24.10 | 2.5548%
[13-DEC-2012 - 13-DEC-2022] = 23.70 | 23.70 | 2.7128%
[13-DEC-2012 - 13-DEC-2023] = 23.30 | 23.30 | 2.8401%
[13-DEC-2012 - 13-DEC-2024] = 22.80 | 22.80 | 2.9406%
[13-DEC-2012 - 13-DEC-2027] = 21.10 | 21.10 | 2.6230%
[13-DEC-2012 - 13-DEC-2032] = 18.90 | 18.90 | 2.3721%
[13-DEC-2012 - 13-DEC-2037] = 17.50 | 17.50 | 2.1535%
[13-DEC-2012 - 13-DEC-2042] = 16.30 | 16.30 | 2.5305%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = 16.30 | 16.30 | 2.6338%
[13-DEC-2012 - 13-DEC-2052] = 16.30 | 16.30 | 2.7326%
[13-DEC-2012 - 13-DEC-2062] = 16.30 | 16.30 | 2.4639%
[13-DEC-2012 - 13-DEC-2072] = 16.30 | 16.30 | 3.0990%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:25 EST 2020
| Setup Time => Mon Jan 27 00:59:25 EST 2020
| Finish Time => Mon Jan 27 00:59:31 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 s 101 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 00:59:31 EST 2020
| Setup Time => Mon Jan 27 00:59:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 25-DEC-2012] = 0.001865 | 0.001865 | 0.1865%
[11-DEC-2012 - 01-JAN-2013] = 0.001969 | 0.001969 | 0.1969%
[11-DEC-2012 - 11-JAN-2013] = 0.001951 | 0.001951 | 0.1951%
[11-DEC-2012 - 11-FEB-2013] = 0.001874 | 0.001874 | 0.1874%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-MAR-2013] = 0.001790 | 0.001790 | 0.1790%
[11-JAN-2013 - 11-APR-2013] = 0.001775 | 0.001775 | 0.1775%
[11-MAR-2013 - 11-JUN-2013] = 0.001274 | 0.001274 | 0.1274%
[11-JUN-2013 - 11-SEP-2013] = 0.001222 | 0.001222 | 0.1222%
[11-SEP-2013 - 11-DEC-2013] = 0.001269 | 0.001269 | 0.1269%
[11-DEC-2013 - 11-MAR-2014] = 0.001565 | 0.001565 | 0.1565%
[11-MAR-2014 - 11-JUN-2014] = 0.001961 | 0.001961 | 0.1961%
[11-JUN-2014 - 11-SEP-2014] = 0.002556 | 0.002556 | 0.2556%
[11-SEP-2014 - 11-DEC-2014] = 0.003101 | 0.003101 | 0.3101%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.2850% | 0.2850% | 0.5995%
[13-DEC-2012 - 13-DEC-2016] = 0.4370% | 0.4370% | 1.0636%
[13-DEC-2012 - 13-DEC-2017] = 0.6230% | 0.6230% | 1.5297%
[13-DEC-2012 - 13-DEC-2018] = 0.8170% | 0.8170% | 1.9263%
[13-DEC-2012 - 13-DEC-2019] = 1.0000% | 1.0000% | 2.2170%
[13-DEC-2012 - 13-DEC-2020] = 1.1710% | 1.1710% | 2.4917%
[13-DEC-2012 - 13-DEC-2021] = 1.3240% | 1.3240% | 2.6540%
[13-DEC-2012 - 13-DEC-2022] = 1.4590% | 1.4590% | 2.8042%
[13-DEC-2012 - 13-DEC-2024] = 1.6920% | 1.6920% | 3.0465%
[13-DEC-2012 - 13-DEC-2027] = 1.9330% | 1.9330% | 2.9374%
[13-DEC-2012 - 13-DEC-2032] = 2.0990% | 2.0990% | 2.5021%
[13-DEC-2012 - 13-DEC-2037] = 2.1560% | 2.1560% | 2.4011%
[13-DEC-2012 - 13-DEC-2042] = 2.1860% | 2.1860% | 2.3155%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = 6.50 | 6.50 | 2.7756%
[13-DEC-2012 - 13-DEC-2052] = 6.00 | 6.00 | 2.9609%
[13-DEC-2012 - 13-DEC-2062] = 5.40 | 5.40 | 2.7574%
[13-DEC-2012 - 13-DEC-2072] = 5.00 | 5.00 | 3.0001%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:31 EST 2020
| Setup Time => Mon Jan 27 00:59:31 EST 2020
| Finish Time => Mon Jan 27 00:59:36 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 s 287 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 00:59:36 EST 2020
| Setup Time => Mon Jan 27 00:59:36 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[11-NOV-2013 - 11-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2015] = 0.4240% | 0.4240% | 0.7115%
[11-DEC-2012 - 11-DEC-2016] = 0.5760% | 0.5760% | 1.1536%
[11-DEC-2012 - 11-DEC-2017] = 0.7620% | 0.7620% | 1.6380%
[11-DEC-2012 - 11-DEC-2018] = 0.9540% | 0.9540% | 2.0351%
[11-DEC-2012 - 11-DEC-2019] = 1.1350% | 1.1350% | 2.3425%
[11-DEC-2012 - 11-DEC-2020] = 1.3030% | 1.3030% | 2.6085%
[11-DEC-2012 - 11-DEC-2021] = 1.4520% | 1.4520% | 2.7751%
[11-DEC-2012 - 11-DEC-2022] = 1.5840% | 1.5840% | 2.9253%
[11-DEC-2012 - 11-DEC-2024] = 1.8090% | 1.8090% | 3.1540%
[11-DEC-2012 - 11-DEC-2027] = 2.0370% | 2.0370% | 3.0426%
[11-DEC-2012 - 11-DEC-2032] = 2.1870% | 2.1870% | 2.5585%
[11-DEC-2012 - 11-DEC-2037] = 2.2340% | 2.2340% | 2.4667%
[11-DEC-2012 - 11-DEC-2042] = 2.2560% | 2.2560% | 2.4225%
[11-DEC-2012 - 11-DEC-2047] = 2.2950% | 2.2950% | 2.8698%
[11-DEC-2012 - 11-DEC-2052] = 2.3480% | 2.3480% | 2.9601%
[11-DEC-2012 - 11-DEC-2062] = 2.4210% | 2.4210% | 2.9355%
[11-DEC-2012 - 11-DEC-2072] = 2.4630% | 2.4630% | 2.8694%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 25-DEC-2012] = 0.001865 | 0.001865 | 0.1865%
[11-DEC-2012 - 01-JAN-2013] = 0.001969 | 0.001969 | 0.1969%
[11-DEC-2012 - 11-JAN-2013] = 0.001951 | 0.001951 | 0.1951%
[11-DEC-2012 - 11-FEB-2013] = 0.001874 | 0.001874 | 0.1874%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-MAR-2013] = 0.001790 | 0.001790 | 0.1790%
[11-JAN-2013 - 11-APR-2013] = 0.001775 | 0.001775 | 0.1775%
[11-MAR-2013 - 11-JUN-2013] = 0.001274 | 0.001274 | 0.1274%
[11-JUN-2013 - 11-SEP-2013] = 0.001222 | 0.001222 | 0.1222%
[11-SEP-2013 - 11-DEC-2013] = 0.001269 | 0.001269 | 0.1269%
[11-DEC-2013 - 11-MAR-2014] = 0.001565 | 0.001565 | 0.1565%
[11-MAR-2014 - 11-JUN-2014] = 0.001961 | 0.001961 | 0.1961%
[11-JUN-2014 - 11-SEP-2014] = 0.002556 | 0.002556 | 0.2556%
[11-SEP-2014 - 11-DEC-2014] = 0.003101 | 0.003101 | 0.3101%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2015] = 0.4240% | 0.2850% | 0.5551%
[11-DEC-2012 - 11-DEC-2016] = 0.5760% | 0.4370% | 1.0187%
[11-DEC-2012 - 11-DEC-2017] = 0.7620% | 0.6230% | 1.4977%
[11-DEC-2012 - 11-DEC-2018] = 0.9540% | 0.8170% | 1.9132%
[11-DEC-2012 - 11-DEC-2019] = 1.1350% | 1.0000% | 2.2194%
[11-DEC-2012 - 11-DEC-2020] = 1.3030% | 1.1710% | 2.5046%
[11-DEC-2012 - 11-DEC-2021] = 1.4520% | 1.3240% | 2.6832%
[11-DEC-2012 - 11-DEC-2022] = 1.5840% | 1.4590% | 2.8291%
[11-DEC-2012 - 11-DEC-2024] = 1.8090% | 1.6920% | 3.1016%
[11-DEC-2012 - 11-DEC-2027] = 2.0370% | 1.9330% | 2.9997%
[11-DEC-2012 - 11-DEC-2032] = 2.1870% | 2.0990% | 2.5468%
[11-DEC-2012 - 11-DEC-2037] = 2.2340% | 2.1560% | 2.4410%
[11-DEC-2012 - 11-DEC-2042] = 2.2560% | 2.1860% | 2.3647%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2047] = 6.50 | 6.50 | 2.8192%
[11-DEC-2012 - 11-DEC-2052] = 6.00 | 6.00 | 3.0169%
[11-DEC-2012 - 11-DEC-2062] = 5.40 | 5.40 | 2.8006%
[11-DEC-2012 - 11-DEC-2072] = 5.00 | 5.00 | 3.0376%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:36 EST 2020
| Setup Time => Mon Jan 27 00:59:36 EST 2020
| Finish Time => Mon Jan 27 00:59:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 s 39 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 00:59:41 EST 2020
| Setup Time => Mon Jan 27 00:59:41 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 25-DEC-2012] = 0.001865 | 0.001865 | 0.1865%
[11-DEC-2012 - 01-JAN-2013] = 0.001969 | 0.001969 | 0.1969%
[11-DEC-2012 - 11-JAN-2013] = 0.001951 | 0.001951 | 0.1951%
[11-DEC-2012 - 11-FEB-2013] = 0.001874 | 0.001874 | 0.1874%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-MAR-2013] = 0.001790 | 0.001790 | 0.1790%
[11-JAN-2013 - 11-APR-2013] = 0.001775 | 0.001775 | 0.1775%
[11-MAR-2013 - 11-JUN-2013] = 0.001274 | 0.001274 | 0.1274%
[11-JUN-2013 - 11-SEP-2013] = 0.001222 | 0.001222 | 0.1222%
[11-SEP-2013 - 11-DEC-2013] = 0.001269 | 0.001269 | 0.1269%
[11-DEC-2013 - 11-MAR-2014] = 0.001565 | 0.001565 | 0.1565%
[11-MAR-2014 - 11-JUN-2014] = 0.001961 | 0.001961 | 0.1961%
[11-JUN-2014 - 11-SEP-2014] = 0.002556 | 0.002556 | 0.2556%
[11-SEP-2014 - 11-DEC-2014] = 0.003101 | 0.003101 | 0.3101%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.2850% | 0.2850% | 0.6427%
[13-DEC-2012 - 13-DEC-2016] = 0.4370% | 0.4370% | 1.0759%
[13-DEC-2012 - 13-DEC-2017] = 0.6230% | 0.6230% | 1.5521%
[13-DEC-2012 - 13-DEC-2018] = 0.8170% | 0.8170% | 1.9108%
[13-DEC-2012 - 13-DEC-2019] = 1.0000% | 1.0000% | 2.2261%
[13-DEC-2012 - 13-DEC-2020] = 1.1710% | 1.1710% | 2.4770%
[13-DEC-2012 - 13-DEC-2021] = 1.3240% | 1.3240% | 2.6522%
[13-DEC-2012 - 13-DEC-2022] = 1.4590% | 1.4590% | 2.7857%
[13-DEC-2012 - 13-DEC-2024] = 1.6920% | 1.6920% | 3.0530%
[13-DEC-2012 - 13-DEC-2027] = 1.9330% | 1.9330% | 2.7256%
[13-DEC-2012 - 13-DEC-2032] = 2.0990% | 2.0990% | 2.4710%
[13-DEC-2012 - 13-DEC-2037] = 2.1560% | 2.1560% | 2.2143%
[13-DEC-2012 - 13-DEC-2042] = 2.1860% | 2.1860% | 2.6237%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = 6.50 | 6.50 | 2.8205%
[13-DEC-2012 - 13-DEC-2052] = 6.00 | 6.00 | 2.8477%
[13-DEC-2012 - 13-DEC-2062] = 5.40 | 5.40 | 2.7438%
[13-DEC-2012 - 13-DEC-2072] = 5.00 | 5.00 | 2.8954%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:41 EST 2020
| Setup Time => Mon Jan 27 00:59:41 EST 2020
| Finish Time => Mon Jan 27 00:59:47 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 707 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 00:59:47 EST 2020
| Setup Time => Mon Jan 27 00:59:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[11-NOV-2013 - 11-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.4240% | 0.4240% | 0.6891%
[13-DEC-2012 - 13-DEC-2016] = 0.5760% | 0.5760% | 1.1379%
[13-DEC-2012 - 13-DEC-2017] = 0.7620% | 0.7620% | 1.6097%
[13-DEC-2012 - 13-DEC-2018] = 0.9540% | 0.9540% | 2.0011%
[13-DEC-2012 - 13-DEC-2019] = 1.1350% | 1.1350% | 2.3014%
[13-DEC-2012 - 13-DEC-2020] = 1.3030% | 1.3030% | 2.5580%
[13-DEC-2012 - 13-DEC-2021] = 1.4520% | 1.4520% | 2.7256%
[13-DEC-2012 - 13-DEC-2022] = 1.5840% | 1.5840% | 2.8711%
[13-DEC-2012 - 13-DEC-2024] = 1.8090% | 1.8090% | 3.0872%
[13-DEC-2012 - 13-DEC-2027] = 2.0370% | 2.0370% | 2.9786%
[13-DEC-2012 - 13-DEC-2032] = 2.1870% | 2.1870% | 2.5172%
[13-DEC-2012 - 13-DEC-2037] = 2.2340% | 2.2340% | 2.4134%
[13-DEC-2012 - 13-DEC-2042] = 2.2560% | 2.2560% | 2.3869%
[13-DEC-2012 - 13-DEC-2047] = 2.2950% | 2.2950% | 2.8099%
[13-DEC-2012 - 13-DEC-2052] = 2.3480% | 2.3480% | 2.9034%
[13-DEC-2012 - 13-DEC-2062] = 2.4210% | 2.4210% | 2.8968%
[13-DEC-2012 - 13-DEC-2072] = 2.4630% | 2.4630% | 2.7488%
|-----------------------------------------------------------------|
| 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 00:59:47 EST 2020
| Setup Time => Mon Jan 27 00:59:47 EST 2020
| Finish Time => Mon Jan 27 00:59:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 82 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 00:59:49 EST 2020
| Setup Time => Mon Jan 27 00:59:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[11-NOV-2013 - 11-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2015] = 0.4240% | 0.4240% | 0.7115%
[11-DEC-2012 - 11-DEC-2016] = 0.5760% | 0.5760% | 1.1536%
[11-DEC-2012 - 11-DEC-2017] = 0.7620% | 0.7620% | 1.6380%
[11-DEC-2012 - 11-DEC-2018] = 0.9540% | 0.9540% | 2.0351%
[11-DEC-2012 - 11-DEC-2019] = 1.1350% | 1.1350% | 2.3425%
[11-DEC-2012 - 11-DEC-2020] = 1.3030% | 1.3030% | 2.6085%
[11-DEC-2012 - 11-DEC-2021] = 1.4520% | 1.4520% | 2.7751%
[11-DEC-2012 - 11-DEC-2022] = 1.5840% | 1.5840% | 2.9253%
[11-DEC-2012 - 11-DEC-2024] = 1.8090% | 1.8090% | 3.1540%
[11-DEC-2012 - 11-DEC-2027] = 2.0370% | 2.0370% | 3.0426%
[11-DEC-2012 - 11-DEC-2032] = 2.1870% | 2.1870% | 2.5585%
[11-DEC-2012 - 11-DEC-2037] = 2.2340% | 2.2340% | 2.4667%
[11-DEC-2012 - 11-DEC-2042] = 2.2560% | 2.2560% | 2.4225%
[11-DEC-2012 - 11-DEC-2047] = 2.2950% | 2.2950% | 2.8698%
[11-DEC-2012 - 11-DEC-2052] = 2.3480% | 2.3480% | 2.9601%
[11-DEC-2012 - 11-DEC-2062] = 2.4210% | 2.4210% | 2.9355%
[11-DEC-2012 - 11-DEC-2072] = 2.4630% | 2.4630% | 2.8694%
|-----------------------------------------------------------------|
| 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 00:59:49 EST 2020
| Setup Time => Mon Jan 27 00:59:49 EST 2020
| Finish Time => Mon Jan 27 00:59:52 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 822 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 00:59:52 EST 2020
| Setup Time => Mon Jan 27 00:59:52 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[11-NOV-2013 - 11-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.4240% | 0.4240% | 0.6571%
[13-DEC-2012 - 13-DEC-2016] = 0.5760% | 0.5760% | 1.1254%
[13-DEC-2012 - 13-DEC-2017] = 0.7620% | 0.7620% | 1.6515%
[13-DEC-2012 - 13-DEC-2018] = 0.9540% | 0.9540% | 1.9694%
[13-DEC-2012 - 13-DEC-2019] = 1.1350% | 1.1350% | 2.3266%
[13-DEC-2012 - 13-DEC-2020] = 1.3030% | 1.3030% | 2.5262%
[13-DEC-2012 - 13-DEC-2021] = 1.4520% | 1.4520% | 2.7416%
[13-DEC-2012 - 13-DEC-2022] = 1.5840% | 1.5840% | 2.8398%
[13-DEC-2012 - 13-DEC-2024] = 1.8090% | 1.8090% | 3.0996%
[13-DEC-2012 - 13-DEC-2027] = 2.0370% | 2.0370% | 2.7541%
[13-DEC-2012 - 13-DEC-2032] = 2.1870% | 2.1870% | 2.4535%
[13-DEC-2012 - 13-DEC-2037] = 2.2340% | 2.2340% | 2.2952%
[13-DEC-2012 - 13-DEC-2042] = 2.2560% | 2.2560% | 2.4166%
[13-DEC-2012 - 13-DEC-2047] = 2.2950% | 2.2950% | 2.7935%
[13-DEC-2012 - 13-DEC-2052] = 2.3480% | 2.3480% | 2.8759%
[13-DEC-2012 - 13-DEC-2062] = 2.4210% | 2.4210% | 2.6538%
[13-DEC-2012 - 13-DEC-2072] = 2.4630% | 2.4630% | 3.1592%
----------------------------------------------------------------
---- EURIBOR 6M VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:52 EST 2020
| Setup Time => Mon Jan 27 00:59:52 EST 2020
| Finish Time => Mon Jan 27 00:59:54 EST 2020
| Setup Duration => 0 ms
| Run Duration => 2 s 307 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 00:59:54 EST 2020
| Setup Time => Mon Jan 27 00:59:54 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JAN-2013] = 0.006537 | 0.006537 | 0.6537%
[11-DEC-2012 - 11-MAR-2013] = 0.006187 | 0.006187 | 0.6187%
[11-DEC-2012 - 11-JUN-2013] = 0.005772 | 0.005772 | 0.5772%
[11-DEC-2012 - 11-SEP-2013] = 0.005563 | 0.005563 | 0.5563%
[11-DEC-2012 - 11-DEC-2013] = 0.005400 | 0.005400 | 0.5400%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-MAR-2013 - 11-MAR-2014] = 0.004974 | 0.004974 | 0.4974%
[11-JUN-2013 - 11-JUN-2014] = 0.004783 | 0.004783 | 0.4783%
[11-SEP-2013 - 11-SEP-2014] = 0.004822 | 0.004822 | 0.4822%
[11-DEC-2013 - 11-DEC-2014] = 0.005070 | 0.005070 | 0.5070%
[11-MAR-2014 - 11-MAR-2015] = 0.005481 | 0.005481 | 0.5481%
[11-JUN-2014 - 11-JUN-2015] = 0.006025 | 0.006025 | 0.6025%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = -20.70 | -20.70 | -0.3385%
[13-DEC-2012 - 13-DEC-2016] = -16.40 | -16.40 | 1.0456%
[13-DEC-2012 - 13-DEC-2017] = -15.10 | -15.10 | 1.4592%
[13-DEC-2012 - 13-DEC-2018] = -13.90 | -13.90 | 1.8888%
[13-DEC-2012 - 13-DEC-2019] = -13.00 | -13.00 | 2.2051%
[13-DEC-2012 - 13-DEC-2020] = -12.30 | -12.30 | 2.4754%
[13-DEC-2012 - 13-DEC-2021] = -11.80 | -11.80 | 2.6522%
[13-DEC-2012 - 13-DEC-2022] = -11.30 | -11.30 | 2.8136%
[13-DEC-2012 - 13-DEC-2023] = -10.90 | -10.90 | 2.9524%
[13-DEC-2012 - 13-DEC-2024] = -10.60 | -10.60 | 3.0398%
[13-DEC-2012 - 13-DEC-2027] = -9.30 | -9.30 | 3.0143%
[13-DEC-2012 - 13-DEC-2032] = -8.00 | -8.00 | 2.4797%
[13-DEC-2012 - 13-DEC-2037] = -7.20 | -7.20 | 2.4576%
[13-DEC-2012 - 13-DEC-2042] = -6.60 | -6.60 | 2.2490%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = -6.60 | -6.60 | 2.6989%
[13-DEC-2012 - 13-DEC-2052] = -6.60 | -6.60 | 2.9230%
[13-DEC-2012 - 13-DEC-2062] = -6.60 | -6.60 | 2.7269%
[13-DEC-2012 - 13-DEC-2072] = -6.60 | -6.60 | 2.9451%
----------------------------------------------------------------
---- VANILLA CUBIC KLK HYPERBOLIC TENSION B-SPLINE FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| 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 00:59:54 EST 2020
| Setup Time => Mon Jan 27 00:59:54 EST 2020
| Finish Time => Mon Jan 27 01:00:00 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 s 761 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:00 EST 2020
| Setup Time => Mon Jan 27 01:00:00 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JAN-2013] = 0.006537 | 0.006537 | 0.6537%
[11-DEC-2012 - 11-MAR-2013] = 0.006187 | 0.006187 | 0.6187%
[11-DEC-2012 - 11-JUN-2013] = 0.005772 | 0.005772 | 0.5772%
[11-DEC-2012 - 11-SEP-2013] = 0.005563 | 0.005563 | 0.5563%
[11-DEC-2012 - 11-DEC-2013] = 0.005400 | 0.005400 | 0.5400%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-MAR-2013 - 11-MAR-2014] = 0.004974 | 0.004974 | 0.4974%
[11-JUN-2013 - 11-JUN-2014] = 0.004783 | 0.004783 | 0.4783%
[11-SEP-2013 - 11-SEP-2014] = 0.004822 | 0.004822 | 0.4822%
[11-DEC-2013 - 11-DEC-2014] = 0.005070 | 0.005070 | 0.5070%
[11-MAR-2014 - 11-MAR-2015] = 0.005481 | 0.005481 | 0.5481%
[11-JUN-2014 - 11-JUN-2015] = 0.006025 | 0.006025 | 0.6025%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = -20.70 | -20.70 | -0.3383%
[13-DEC-2012 - 13-DEC-2016] = -16.40 | -16.40 | 1.0456%
[13-DEC-2012 - 13-DEC-2017] = -15.10 | -15.10 | 1.4592%
[13-DEC-2012 - 13-DEC-2018] = -13.90 | -13.90 | 1.8888%
[13-DEC-2012 - 13-DEC-2019] = -13.00 | -13.00 | 2.2051%
[13-DEC-2012 - 13-DEC-2020] = -12.30 | -12.30 | 2.4754%
[13-DEC-2012 - 13-DEC-2021] = -11.80 | -11.80 | 2.6522%
[13-DEC-2012 - 13-DEC-2022] = -11.30 | -11.30 | 2.8136%
[13-DEC-2012 - 13-DEC-2023] = -10.90 | -10.90 | 2.9524%
[13-DEC-2012 - 13-DEC-2024] = -10.60 | -10.60 | 3.0398%
[13-DEC-2012 - 13-DEC-2027] = -9.30 | -9.30 | 3.0253%
[13-DEC-2012 - 13-DEC-2032] = -8.00 | -8.00 | 2.4689%
[13-DEC-2012 - 13-DEC-2037] = -7.20 | -7.20 | 2.4586%
[13-DEC-2012 - 13-DEC-2042] = -6.60 | -6.60 | 2.2601%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = -6.60 | -6.60 | 2.6964%
[13-DEC-2012 - 13-DEC-2052] = -6.60 | -6.60 | 2.9333%
[13-DEC-2012 - 13-DEC-2062] = -6.60 | -6.60 | 2.7300%
[13-DEC-2012 - 13-DEC-2072] = -6.60 | -6.60 | 2.9136%
----------------------------------------------------------------
---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:00 EST 2020
| Setup Time => Mon Jan 27 01:00:00 EST 2020
| Finish Time => Mon Jan 27 01:00:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 s 454 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:06 EST 2020
| Setup Time => Mon Jan 27 01:00:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 12-DEC-2012] = 0.003565 | 0.003565 | 0.3565%
[11-DEC-2012 - 18-DEC-2012] = 0.003858 | 0.003858 | 0.3858%
[11-DEC-2012 - 25-DEC-2012] = 0.003840 | 0.003840 | 0.3840%
[11-DEC-2012 - 01-JAN-2013] = 0.003922 | 0.003922 | 0.3922%
[11-DEC-2012 - 11-JAN-2013] = 0.003869 | 0.003869 | 0.3869%
[11-DEC-2012 - 11-FEB-2013] = 0.003698 | 0.003698 | 0.3698%
[11-DEC-2012 - 11-MAR-2013] = 0.003527 | 0.003527 | 0.3527%
[11-DEC-2012 - 11-APR-2013] = 0.003342 | 0.003342 | 0.3342%
[11-DEC-2012 - 11-MAY-2013] = 0.003225 | 0.003225 | 0.3225%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JUN-2013] = 0.003120 | 0.003120 | 0.3120%
[11-JAN-2013 - 11-JUL-2013] = 0.002930 | 0.002930 | 0.2930%
[11-FEB-2013 - 11-AUG-2013] = 0.002720 | 0.002720 | 0.2720%
[11-MAR-2013 - 11-SEP-2013] = 0.002600 | 0.002600 | 0.2600%
[11-APR-2013 - 11-OCT-2013] = 0.002560 | 0.002560 | 0.2560%
[13-MAY-2013 - 13-NOV-2013] = 0.002520 | 0.002520 | 0.2520%
[11-JUN-2013 - 11-DEC-2013] = 0.002480 | 0.002480 | 0.2480%
[11-JUL-2013 - 11-JAN-2014] = 0.002540 | 0.002540 | 0.2540%
[12-AUG-2013 - 12-FEB-2014] = 0.002610 | 0.002610 | 0.2610%
[11-SEP-2013 - 11-MAR-2014] = 0.002670 | 0.002670 | 0.2670%
[11-OCT-2013 - 11-APR-2014] = 0.002790 | 0.002790 | 0.2790%
[12-NOV-2013 - 12-MAY-2014] = 0.002910 | 0.002910 | 0.2910%
[11-DEC-2013 - 11-JUN-2014] = 0.003030 | 0.003030 | 0.3030%
[13-JAN-2014 - 13-JUL-2014] = 0.003180 | 0.003180 | 0.3180%
[11-FEB-2014 - 11-AUG-2014] = 0.003350 | 0.003350 | 0.3350%
[11-MAR-2014 - 11-SEP-2014] = 0.003520 | 0.003520 | 0.3520%
[11-APR-2014 - 11-OCT-2014] = 0.003710 | 0.003710 | 0.3710%
[12-MAY-2014 - 12-NOV-2014] = 0.003890 | 0.003890 | 0.3890%
[11-JUN-2014 - 11-DEC-2014] = 0.004090 | 0.004090 | 0.4090%
----------------------------------------------------------------
FIX-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = 0.1287% | 0.4240% | 0.7342%
[13-DEC-2012 - 13-DEC-2016] = 0.2778% | 0.5760% | 1.2014%
[13-DEC-2012 - 13-DEC-2017] = 0.4620% | 0.7620% | 1.6647%
[13-DEC-2012 - 13-DEC-2018] = 0.6551% | 0.9540% | 2.0477%
[13-DEC-2012 - 13-DEC-2019] = 0.8369% | 1.1350% | 2.3368%
[13-DEC-2012 - 13-DEC-2020] = 1.0078% | 1.3030% | 2.5916%
[13-DEC-2012 - 13-DEC-2021] = 1.1601% | 1.4520% | 2.7454%
[13-DEC-2012 - 13-DEC-2022] = 1.2941% | 1.5840% | 2.8971%
[13-DEC-2012 - 13-DEC-2024] = 1.5320% | 1.8090% | 3.1011%
[13-DEC-2012 - 13-DEC-2027] = 1.7813% | 2.0370% | 2.9874%
[13-DEC-2012 - 13-DEC-2032] = 1.9575% | 2.1870% | 2.4965%
[13-DEC-2012 - 13-DEC-2037] = 2.0218% | 2.2340% | 2.4375%
[13-DEC-2012 - 13-DEC-2042] = 2.0569% | 2.2560% | 2.3714%
[13-DEC-2012 - 13-DEC-2047] = 2.0662% | 2.2950% | 2.8537%
[13-DEC-2012 - 13-DEC-2052] = 2.0732% | 2.3480% | 2.8829%
[13-DEC-2012 - 13-DEC-2062] = 2.0827% | 2.4210% | 2.9801%
[13-DEC-2012 - 13-DEC-2072] = 2.0889% | 2.4630% | 2.2910%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-DEC-2012 - 11-JAN-2013] = 0.006537 | 0.006537 | 0.6537%
[11-DEC-2012 - 11-MAR-2013] = 0.006187 | 0.006187 | 0.6187%
[11-DEC-2012 - 11-JUN-2013] = 0.005772 | 0.005772 | 0.5772%
[11-DEC-2012 - 11-SEP-2013] = 0.005563 | 0.005563 | 0.5563%
[11-DEC-2012 - 11-DEC-2013] = 0.005400 | 0.005400 | 0.5400%
----------------------------------------------------------------
FRA INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[11-MAR-2013 - 11-MAR-2014] = 0.004974 | 0.004974 | 0.4974%
[11-JUN-2013 - 11-JUN-2014] = 0.004783 | 0.004783 | 0.4783%
[11-SEP-2013 - 11-SEP-2014] = 0.004822 | 0.004822 | 0.4822%
[11-DEC-2013 - 11-DEC-2014] = 0.005070 | 0.005070 | 0.5070%
[11-MAR-2014 - 11-MAR-2015] = 0.005481 | 0.005481 | 0.5481%
[11-JUN-2014 - 11-JUN-2015] = 0.006025 | 0.006025 | 0.6025%
----------------------------------------------------------------
FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2015] = -20.70 | -20.70 | 0.7875%
[13-DEC-2012 - 13-DEC-2016] = -16.40 | -16.40 | 1.0456%
[13-DEC-2012 - 13-DEC-2017] = -15.10 | -15.10 | 1.4592%
[13-DEC-2012 - 13-DEC-2018] = -13.90 | -13.90 | 1.8888%
[13-DEC-2012 - 13-DEC-2019] = -13.00 | -13.00 | 2.2051%
[13-DEC-2012 - 13-DEC-2020] = -12.30 | -12.30 | 2.4754%
[13-DEC-2012 - 13-DEC-2021] = -11.80 | -11.80 | 2.6522%
[13-DEC-2012 - 13-DEC-2022] = -11.30 | -11.30 | 2.8136%
[13-DEC-2012 - 13-DEC-2023] = -10.90 | -10.90 | 2.9524%
[13-DEC-2012 - 13-DEC-2024] = -10.60 | -10.60 | 3.0398%
[13-DEC-2012 - 13-DEC-2027] = -9.30 | -9.30 | 3.9312%
[13-DEC-2012 - 13-DEC-2032] = -8.00 | -8.00 | 2.5469%
[13-DEC-2012 - 13-DEC-2037] = -7.20 | -7.20 | 3.8760%
[13-DEC-2012 - 13-DEC-2042] = -6.60 | -6.60 | 0.5225%
----------------------------------------------------------------
SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY
----------------------------------------------------------------
[13-DEC-2012 - 13-DEC-2047] = -6.60 | -6.60 | 2.7335%
[13-DEC-2012 - 13-DEC-2052] = -6.60 | -6.60 | 2.8783%
[13-DEC-2012 - 13-DEC-2062] = -6.60 | -6.60 | 2.5815%
[13-DEC-2012 - 13-DEC-2072] = -6.60 | -6.60 | 3.1855%
----------------------------------------------------------------
---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---
----------------------------------------------------------------
11-DEC-2013 | 1Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:06 EST 2020
| Setup Time => Mon Jan 27 01:00:06 EST 2020
| Finish Time => Mon Jan 27 01:00:12 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 240 ms
|-----------------------------------------------------------------|