|-----------------------------------------------------------------|
| 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 01:00:24 EST 2020
| Setup Time => Mon Jan 27 01:00:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Printing the Basis Node Values in Order (Left -> Right):
Calculated Cubic Polynomial Basis (%)
Calculated Quintic Polynomial Basis (%)
Calculated Kaklis Pandelis Basis (%)
Calculated KLK Hyperbolic Basis (%)
Calculated KLK Rational Linear Basis (%)
Calculated KLK Rational Quadratic Basis (%)
Input Quote (bp)
-------------------------------------------------------------
-------------------------------------------------------------
1Y => 18.60 | 18.60 | 18.60 | 18.60 | 18.60 | 18.60 | 18.60
2Y => 12.70 | 12.70 | 12.70 | 12.70 | 12.70 | 12.70 | 12.70
3Y => 9.70 | 9.70 | 9.70 | 9.70 | 9.70 | 9.70 | 9.70
4Y => 8.00 | 8.00 | 8.00 | 8.00 | 8.00 | 8.00 | 8.00
5Y => 6.70 | 6.70 | 6.70 | 6.70 | 6.70 | 6.70 | 6.70
6Y => 5.80 | 5.80 | 5.80 | 5.80 | 5.80 | 5.80 | 5.80
7Y => 5.10 | 5.10 | 5.10 | 5.10 | 5.10 | 5.10 | 5.10
8Y => 4.60 | 4.60 | 4.60 | 4.60 | 4.60 | 4.60 | 4.60
9Y => 4.20 | 4.20 | 4.20 | 4.20 | 4.20 | 4.20 | 4.20
10Y => 3.80 | 3.80 | 3.80 | 3.80 | 3.80 | 3.80 | 3.80
11Y => 3.50 | 3.50 | 3.50 | 3.50 | 3.50 | 3.50 | 3.50
12Y => 3.30 | 3.30 | 3.30 | 3.30 | 3.30 | 3.30 | 3.30
15Y => 2.80 | 2.80 | 2.80 | 2.80 | 2.80 | 2.80 | 2.80
20Y => 2.20 | 2.20 | 2.20 | 2.20 | 2.20 | 2.20 | 2.20
25Y => 2.00 | 2.00 | 2.00 | 2.00 | 2.00 | 2.00 | 2.00
30Y => 1.80 | 1.80 | 1.80 | 1.80 | 1.80 | 1.80 | 1.80
|----------------------------------------------------------------------------|
| DATE => CUBIC | QUINTIC | KAKPAND | KLKHYPER | KLKRATLNR | KLKRATQUA |
|----------------------------------------------------------------------------|
27-JAN-2023 => 9.70 | 9.70 | 9.70 | 9.70 | 9.70 | 9.70 |
27-JAN-2024 => 8.00 | 8.00 | 8.00 | 8.00 | 8.00 | 8.00 |
27-JAN-2025 => 6.70 | 6.70 | 6.70 | 6.70 | 6.70 | 6.70 |
27-JAN-2026 => 5.80 | 5.80 | 5.80 | 5.80 | 5.80 | 5.80 |
27-JAN-2027 => 5.10 | 5.10 | 5.10 | 5.10 | 5.10 | 5.10 |
27-JAN-2028 => 4.60 | 4.60 | 4.60 | 4.60 | 4.60 | 4.60 |
27-JAN-2029 => 4.20 | 4.20 | 4.20 | 4.20 | 4.20 | 4.20 |
27-JAN-2030 => 3.80 | 3.80 | 3.80 | 3.80 | 3.80 | 3.80 |
27-JAN-2031 => 3.50 | 3.50 | 3.50 | 3.50 | 3.50 | 3.50 |
27-JAN-2032 => 3.30 | 3.30 | 3.30 | 3.30 | 3.30 | 3.30 |
27-JAN-2033 => 3.17 | 3.25 | 3.17 | 3.18 | 3.17 | 3.16 |
27-JAN-2034 => 3.00 | 3.08 | 3.00 | 3.01 | 3.00 | 2.99 |
27-JAN-2035 => 2.80 | 2.80 | 2.80 | 2.80 | 2.80 | 2.80 |
27-JAN-2036 => 2.67 | 2.70 | 2.67 | 2.67 | 2.67 | 2.68 |
27-JAN-2037 => 2.53 | 2.63 | 2.53 | 2.53 | 2.54 | 2.55 |
27-JAN-2038 => 2.41 | 2.51 | 2.41 | 2.40 | 2.41 | 2.42 |
27-JAN-2039 => 2.29 | 2.36 | 2.29 | 2.29 | 2.29 | 2.30 |
27-JAN-2040 => 2.20 | 2.20 | 2.20 | 2.20 | 2.20 | 2.20 |
27-JAN-2041 => 2.13 | 2.10 | 2.13 | 2.13 | 2.13 | 2.14 |
27-JAN-2042 => 2.09 | 2.05 | 2.09 | 2.08 | 2.09 | 2.10 |
27-JAN-2043 => 2.05 | 2.02 | 2.05 | 2.05 | 2.05 | 2.06 |
27-JAN-2044 => 2.03 | 2.01 | 2.03 | 2.03 | 2.03 | 2.03 |
27-JAN-2045 => 2.00 | 2.00 | 2.00 | 2.00 | 2.00 | 2.00 |
27-JAN-2046 => 1.97 | 1.97 | 1.97 | 1.97 | 1.97 | 1.96 |
27-JAN-2047 => 1.93 | 1.93 | 1.93 | 1.94 | 1.93 | 1.92 |
27-JAN-2048 => 1.89 | 1.89 | 1.89 | 1.89 | 1.89 | 1.88 |
27-JAN-2049 => 1.85 | 1.84 | 1.85 | 1.85 | 1.84 | 1.84 |
|----------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 01:00:24 EST 2020
| Setup Time => Mon Jan 27 01:00:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
4Y => 03.70 | -05.08 | 05.00 | 03.22 | -05.08 | 05.00 | 03.69 | -05.08 | 05.00 | 2.81 | 2.76 |
5Y => 03.50 | -05.09 | 05.00 | 03.59 | -05.09 | 05.00 | 03.50 | -05.09 | 05.00 | 3.28 | 3.22 |
6Y => 03.89 | -05.09 | 05.00 | 03.84 | -05.09 | 05.00 | 03.89 | -05.09 | 05.00 | 3.44 | 3.38 |
7Y => 04.01 | -05.09 | 05.00 | 04.06 | -05.09 | 05.00 | 04.01 | -05.09 | 05.00 | 3.64 | 3.58 |
8Y => 04.23 | -05.09 | 05.00 | 04.20 | -05.09 | 05.00 | 04.24 | -05.09 | 05.00 | 3.84 | 3.77 |
9Y => 04.29 | -05.09 | 05.00 | 04.33 | -05.09 | 05.00 | 04.29 | -05.09 | 05.00 | 4.03 | 3.96 |
10Y => 04.52 | -05.09 | 05.00 | 04.49 | -05.09 | 05.00 | 04.52 | -05.09 | 05.00 | 4.24 | 4.17 |
11Y => 04.59 | -05.09 | 05.00 | 04.62 | -05.09 | 05.00 | 04.59 | -05.09 | 05.00 | 2.70 | 2.65 |
12Y => 04.70 | -05.09 | 05.00 | 04.67 | -05.09 | 05.00 | 04.70 | -05.09 | 05.00 | 2.70 | 2.65 |
15Y => 04.27 | -05.09 | 05.00 | 04.25 | -05.09 | 05.00 | 04.21 | -05.09 | 05.00 | 2.70 | 2.65 |
20Y => 03.49 | -05.09 | 05.00 | 02.87 | -05.09 | 05.00 | 03.60 | -05.09 | 05.00 | 2.70 | 2.65 |
25Y => 01.86 | -05.09 | 05.00 | 02.35 | -05.09 | 05.00 | 01.76 | -05.09 | 05.00 | 2.70 | 2.65 |
30Y => 02.59 | -05.09 | 05.00 | 01.82 | -05.09 | 05.00 | 02.70 | -05.09 | 05.00 | 2.70 | 2.65 |
40Y => 00.96 | -05.09 | 05.00 | 01.86 | -05.09 | 05.00 | 00.61 | -05.09 | 05.00 | 2.70 | 2.65 |
50Y => 03.17 | -05.09 | 05.00 | 02.06 | -05.09 | 05.00 | 03.81 | -05.09 | 05.00 | 2.70 | 2.65 |
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
4Y => 03.83 | 05.00 | -04.92 | 03.32 | 05.00 | -04.92 | 03.82 | 05.00 | -04.92 | 2.81 | 2.76 |
5Y => 03.59 | 05.00 | -04.92 | 03.69 | 05.00 | -04.92 | 03.59 | 05.00 | -04.92 | 3.28 | 3.22 |
6Y => 04.00 | 05.00 | -04.92 | 03.94 | 05.00 | -04.92 | 04.00 | 05.00 | -04.92 | 3.44 | 3.38 |
7Y => 04.11 | 05.00 | -04.91 | 04.16 | 05.00 | -04.91 | 04.11 | 05.00 | -04.91 | 3.64 | 3.58 |
8Y => 04.33 | 05.00 | -04.91 | 04.30 | 05.00 | -04.91 | 04.34 | 05.00 | -04.91 | 3.84 | 3.77 |
9Y => 04.39 | 05.00 | -04.91 | 04.43 | 05.00 | -04.91 | 04.39 | 05.00 | -04.91 | 4.03 | 3.96 |
10Y => 04.62 | 05.00 | -04.91 | 04.59 | 05.00 | -04.91 | 04.63 | 05.00 | -04.91 | 4.24 | 4.17 |
11Y => 04.69 | 05.00 | -04.91 | 04.72 | 05.00 | -04.91 | 04.69 | 05.00 | -04.91 | 2.70 | 2.65 |
12Y => 04.80 | 05.00 | -04.91 | 04.76 | 05.00 | -04.91 | 04.80 | 05.00 | -04.91 | 2.70 | 2.65 |
15Y => 04.36 | 05.00 | -04.91 | 04.35 | 05.00 | -04.91 | 04.30 | 05.00 | -04.91 | 2.70 | 2.65 |
20Y => 03.60 | 05.00 | -04.91 | 02.97 | 05.00 | -04.91 | 03.71 | 05.00 | -04.91 | 2.70 | 2.65 |
25Y => 01.95 | 05.00 | -04.91 | 02.45 | 05.00 | -04.91 | 01.84 | 05.00 | -04.91 | 2.70 | 2.65 |
30Y => 02.70 | 05.00 | -04.91 | 01.92 | 05.00 | -04.91 | 02.82 | 05.00 | -04.91 | 2.70 | 2.65 |
40Y => 01.04 | 05.00 | -04.91 | 01.96 | 05.00 | -04.91 | 00.68 | 05.00 | -04.91 | 2.70 | 2.65 |
50Y => 03.30 | 05.00 | -04.91 | 02.16 | 05.00 | -04.91 | 03.94 | 05.00 | -04.91 | 2.70 | 2.65 |
|-----------------------------------------------------------------|
| 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 01:00:25 EST 2020
| Setup Time => Mon Jan 27 01:00:25 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
accrued => 0.0
calctime => 3.934E-4
calibfloatingpv => 0.1337464648472555
calibswaprate => 0.02885998993591109
cleanfixeddv01 => 4.634321257362324E-4
cleanfloatingdv01 => -4.7917017944775565E-4
cleanfloatingpv => -0.1333751863754422
cleanprice => 109.83408764926732
cleanpv => 0.09834087649267315
cumulativeconvexityadjustmentpremium => -0.0022832811226955185
cumulativecouponamount => 0.0
cumulativecoupondcf => 0.0
derivedaccrued => 0.0
derivedaccrued01 => 0.0
derivedcleandv01 => -4.7917017944775565E-4
derivedcleanpv => -0.1333751863754422
derivedcumulativeconvexityadjustmentfactor => 1.0155355071863044
derivedcumulativeconvexityadjustmentpremium => 0.0022832811226955185
derivedcumulativecouponamount => 0.0
derivedcumulativecoupondcf => 0.0
deriveddirtydv01 => -4.7917017944775565E-4
deriveddirtypv => -0.1333751863754422
deriveddv01 => -4.7917017944775565E-4
derivedfixing01 => 0.0
derivedparbasisspread => 205.23162899246182
derivedpv => -0.1333751863754422
derivedresetdate => -2.147483648E9
derivedresetrate => NaN
dirtyfixeddv01 => 4.634321257362324E-4
dirtyfixedpv => 0.23171606286811536
dirtyfloatingdv01 => -4.7917017944775565E-4
dirtyfloatingpv => -0.1333751863754422
dirtyprice => 109.83408764926732
dirtypv => 0.09834087649267315
fairpremium => 0.028779874973828248
fixedaccrued => 0.0
fixedaccrued01 => 0.0
fixeddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrualcoupon => NaN
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrued => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrued01 => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@calctime => 6.790000000000001E-5
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativecouponamount => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativecoupondcf => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fixing01 => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@parrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@price => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@pv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@rate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@resetdate => -2.147483648E9
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@resetrate => NaN
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@totalcoupon => 0.4999999999999982
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@upfront => 0.23171606286811536
fixing01 => 0.0
floataccrued => 0.0
floataccrued01 => 0.0
floatdv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrualcoupon => NaN
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrued => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrued01 => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@calctime => 1.2800000000000002E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedupfront => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentfactor => 1.0155355071863044
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremium => -0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremiumupfront => 0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedupfront => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentfactor => 1.0155355071863044
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremium => -0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremiumupfront => 0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativecouponamount => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativecoupondcf => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fixing01 => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedupfront => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentfactor => 1.0155355071863044
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremium => -0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremiumupfront => 0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@parrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@price => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@pv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@rate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@resetdate => -2.147483648E9
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@resetrate => NaN
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@totalcoupon => 0.5606827286967266
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@upfront => -0.1333751863754422
initialnotional => 1.0
parfixedcoupon => 0.028779874973828248
parrate => 0.028779874973828248
parswaprate => 0.028779874973828248
price => 109.83408764926732
pv => 0.09834087649267315
rate => 0.028779874973828248
referenceaccrued => 0.0
referenceaccrued01 => 0.0
referencecleandv01 => 4.634321257362324E-4
referencecleanpv => 0.23171606286811536
referencecumulativeconvexityadjustmentfactor => 1.0
referencecumulativeconvexityadjustmentpremium => 0.0
referencecumulativecouponamount => 0.0
referencecumulativecoupondcf => 0.0
referencedirtydv01 => 4.634321257362324E-4
referencedirtypv => 0.23171606286811536
referencedv01 => 4.634321257362324E-4
referenceparbasisspread => -212.2012502617157
referencepv => 0.23171606286811536
resetdate => -2.147483648E9
resetrate => NaN
swaprate => 0.028779874973828248
upfront => 0.09834087649267315
|-----------------------------------------------------------------|
| 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 01:00:25 EST 2020
| Setup Time => Mon Jan 27 01:00:25 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Printing the IRS Output in Order (Left -> Right):
ParSwapRate (%)
Difference (bp)
-------------------------------------------------------------
-------------------------------------------------------------
[ 00%, 00%, 00%] = 2.8287% | 283
[ 10%, 10%,-99%] = 2.7497% | -8
[ 10%, 10%,-50%] = 2.7885% | -4
[ 10%, 10%, 00%] = 2.8287% | 0
[ 10%, 10%, 50%] = 2.8697% | 4
[ 10%, 10%, 99%] = 2.9106% | 8
[ 10%, 15%,-99%] = 2.7112% | -12
[ 10%, 15%,-50%] = 2.7686% | -6
[ 10%, 15%, 00%] = 2.8287% | 0
[ 10%, 15%, 50%] = 2.8905% | 6
[ 10%, 15%, 99%] = 2.9526% | 12
[ 10%, 20%,-99%] = 2.6734% | -16
[ 10%, 20%,-50%] = 2.7489% | -8
[ 10%, 20%, 00%] = 2.8287% | 0
[ 10%, 20%, 50%] = 2.9114% | 8
[ 10%, 20%, 99%] = 2.9954% | 17
[ 10%, 25%,-99%] = 2.6363% | -19
[ 10%, 25%,-50%] = 2.7294% | -10
[ 10%, 25%, 00%] = 2.8287% | 0
[ 10%, 25%, 50%] = 2.9326% | 10
[ 10%, 25%, 99%] = 3.0390% | 21
[ 10%, 30%,-99%] = 2.5998% | -23
[ 10%, 30%,-50%] = 2.7101% | -12
[ 10%, 30%, 00%] = 2.8287% | 0
[ 10%, 30%, 50%] = 2.9539% | 13
[ 10%, 30%, 99%] = 3.0833% | 25
[ 20%, 10%,-99%] = 2.6734% | -16
[ 20%, 10%,-50%] = 2.7489% | -8
[ 20%, 10%, 00%] = 2.8287% | 0
[ 20%, 10%, 50%] = 2.9114% | 8
[ 20%, 10%, 99%] = 2.9954% | 17
[ 20%, 15%,-99%] = 2.5998% | -23
[ 20%, 15%,-50%] = 2.7101% | -12
[ 20%, 15%, 00%] = 2.8287% | 0
[ 20%, 15%, 50%] = 2.9539% | 13
[ 20%, 15%, 99%] = 3.0833% | 25
[ 20%, 20%,-99%] = 2.5287% | -30
[ 20%, 20%,-50%] = 2.6719% | -16
[ 20%, 20%, 00%] = 2.8287% | 0
[ 20%, 20%, 50%] = 2.9972% | 17
[ 20%, 20%, 99%] = 3.1744% | 35
[ 20%, 25%,-99%] = 2.4600% | -37
[ 20%, 25%,-50%] = 2.6344% | -19
[ 20%, 25%, 00%] = 2.8287% | 0
[ 20%, 25%, 50%] = 3.0412% | 21
[ 20%, 25%, 99%] = 3.2689% | 44
[ 20%, 30%,-99%] = 2.3937% | -44
[ 20%, 30%,-50%] = 2.5976% | -23
[ 20%, 30%, 00%] = 2.8287% | 0
[ 20%, 30%, 50%] = 3.0860% | 26
[ 20%, 30%, 99%] = 3.3668% | 54
[ 30%, 10%,-99%] = 2.5998% | -23
[ 30%, 10%,-50%] = 2.7101% | -12
[ 30%, 10%, 00%] = 2.8287% | 0
[ 30%, 10%, 50%] = 2.9539% | 13
[ 30%, 10%, 99%] = 3.0833% | 25
[ 30%, 15%,-99%] = 2.4940% | -33
[ 30%, 15%,-50%] = 2.6531% | -18
[ 30%, 15%, 00%] = 2.8287% | 0
[ 30%, 15%, 50%] = 3.0191% | 19
[ 30%, 15%, 99%] = 3.2212% | 39
[ 30%, 20%,-99%] = 2.3937% | -44
[ 30%, 20%,-50%] = 2.5976% | -23
[ 30%, 20%, 00%] = 2.8287% | 0
[ 30%, 20%, 50%] = 3.0860% | 26
[ 30%, 20%, 99%] = 3.3668% | 54
[ 30%, 25%,-99%] = 2.2984% | -53
[ 30%, 25%,-50%] = 2.5435% | -29
[ 30%, 25%, 00%] = 2.8287% | 0
[ 30%, 25%, 50%] = 3.1548% | 33
[ 30%, 25%, 99%] = 3.5205% | 69
[ 30%, 30%,-99%] = 2.2079% | -62
[ 30%, 30%,-50%] = 2.4909% | -34
[ 30%, 30%, 00%] = 2.8287% | 0
[ 30%, 30%, 50%] = 3.2255% | 40
[ 30%, 30%, 99%] = 3.6827% | 85
[ 40%, 10%,-99%] = 2.5287% | -30
[ 40%, 10%,-50%] = 2.6719% | -16
[ 40%, 10%, 00%] = 2.8287% | 0
[ 40%, 10%, 50%] = 2.9972% | 17
[ 40%, 10%, 99%] = 3.1744% | 35
[ 40%, 15%,-99%] = 2.3937% | -44
[ 40%, 15%,-50%] = 2.5976% | -23
[ 40%, 15%, 00%] = 2.8287% | 0
[ 40%, 15%, 50%] = 3.0860% | 26
[ 40%, 15%, 99%] = 3.3668% | 54
[ 40%, 20%,-99%] = 2.2677% | -56
[ 40%, 20%,-50%] = 2.5258% | -30
[ 40%, 20%, 00%] = 2.8287% | 0
[ 40%, 20%, 50%] = 3.1782% | 35
[ 40%, 20%, 99%] = 3.5736% | 74
[ 40%, 25%,-99%] = 2.1501% | -68
[ 40%, 25%,-50%] = 2.4566% | -37
[ 40%, 25%, 00%] = 2.8287% | 0
[ 40%, 25%, 50%] = 3.2737% | 45
[ 40%, 25%, 99%] = 3.7960% | 97
[ 40%, 30%,-99%] = 2.0403% | -79
[ 40%, 30%,-50%] = 2.3897% | -44
[ 40%, 30%, 00%] = 2.8287% | 0
[ 40%, 30%, 50%] = 3.3728% | 54
[ 40%, 30%, 99%] = 4.0353% | 121
[ 50%, 10%,-99%] = 2.4600% | -37
[ 50%, 10%,-50%] = 2.6344% | -19
[ 50%, 10%, 00%] = 2.8287% | 0
[ 50%, 10%, 50%] = 3.0412% | 21
[ 50%, 10%, 99%] = 3.2689% | 44
[ 50%, 15%,-99%] = 2.2984% | -53
[ 50%, 15%,-50%] = 2.5435% | -29
[ 50%, 15%, 00%] = 2.8287% | 0
[ 50%, 15%, 50%] = 3.1548% | 33
[ 50%, 15%, 99%] = 3.5205% | 69
[ 50%, 20%,-99%] = 2.1501% | -68
[ 50%, 20%,-50%] = 2.4566% | -37
[ 50%, 20%, 00%] = 2.8287% | 0
[ 50%, 20%, 50%] = 3.2737% | 45
[ 50%, 20%, 99%] = 3.7960% | 97
[ 50%, 25%,-99%] = 2.0139% | -81
[ 50%, 25%,-50%] = 2.3734% | -46
[ 50%, 25%, 00%] = 2.8287% | 0
[ 50%, 25%, 50%] = 3.3982% | 57
[ 50%, 25%, 99%] = 4.0979% | 127
[ 50%, 30%,-99%] = 1.8888% | -94
[ 50%, 30%,-50%] = 2.2937% | -54
[ 50%, 30%, 00%] = 2.8287% | 0
[ 50%, 30%, 50%] = 3.5284% | 70
[ 50%, 30%, 99%] = 4.4291% | 160
|-----------------------------------------------------------------|
| 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 01:00:26 EST 2020
| Setup Time => Mon Jan 27 01:00:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
accrued => 0.0
calctime => 5.391E-4
calibfloatingpv => 0.1337464648472555
calibswaprate => 0.02885998993591109
cleanfixeddv01 => 4.634321257362324E-4
cleanfloatingdv01 => -4.7917017944775565E-4
cleanfloatingpv => -0.1333751863754422
cleanprice => 109.83408764926732
cleanpv => 0.09834087649267315
cumulativeconvexityadjustmentpremium => -0.0022832811226955185
cumulativecouponamount => 0.0
cumulativecoupondcf => 0.0
derivedaccrued => 0.0
derivedaccrued01 => 0.0
derivedcleandv01 => -4.7917017944775565E-4
derivedcleanpv => -0.1333751863754422
derivedcumulativeconvexityadjustmentfactor => 1.0155355071863044
derivedcumulativeconvexityadjustmentpremium => 0.0022832811226955185
derivedcumulativecouponamount => 0.0
derivedcumulativecoupondcf => 0.0
deriveddirtydv01 => -4.7917017944775565E-4
deriveddirtypv => -0.1333751863754422
deriveddv01 => -4.7917017944775565E-4
derivedfixing01 => 0.0
derivedparbasisspread => 205.23162899246182
derivedpv => -0.1333751863754422
derivedresetdate => -2.147483648E9
derivedresetrate => NaN
dirtyfixeddv01 => 4.634321257362324E-4
dirtyfixedpv => 0.23171606286811536
dirtyfloatingdv01 => -4.7917017944775565E-4
dirtyfloatingpv => -0.1333751863754422
dirtyprice => 109.83408764926732
dirtypv => 0.09834087649267315
fairpremium => 0.028779874973828248
fixedaccrued => 0.0
fixedaccrued01 => 0.0
fixeddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrualcoupon => NaN
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrued => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@accrued01 => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@calctime => 8.82E-5
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativecouponamount => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cumulativecoupondcf => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@cv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@dv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fixing01 => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentfactor => 1.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremium => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremiumupfront => 0.0
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@parrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@price => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@pv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@rate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@resetdate => -2.147483648E9
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@resetrate => NaN
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@totalcoupon => 0.4999999999999982
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleandv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleanprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedcleanpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtydv01 => 4.634321257362324E-4
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtyprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjusteddirtypv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedfairpremium => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedparrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedprice => 123.17160628681154
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedpv => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedrate => 0.049999999999999815
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@unadjustedupfront => 0.23171606286811536
fixedstream::usd/usd::6::{27-apr-2020->27-apr-2025}@upfront => 0.23171606286811536
fixing01 => 0.0
floataccrued => 0.0
floataccrued01 => 0.0
floatdv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrualcoupon => NaN
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrued => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@accrued01 => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@calctime => 1.476E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustedupfront => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentfactor => 1.0155355071863044
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremium => -0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@compoundingadjustmentpremiumupfront => 0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditforwardconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfundingconvexityadjustedrate => 0.02778313221459187
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@creditfxconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleandv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjusteddv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cumulativeconvexityadjustedpv => -0.1333751863754422
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@cv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@dirtyprice => 113.33751863754422
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fixing01 => 0.0
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedcleanpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtydv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtyprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddirtypv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjusteddv01 => -4.7917017944775565E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedfairpremium => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedparrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedprice => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedpv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustedupfront => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentfactor => 1.0155355071863044
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfundingconvexityadjustmentpremiumupfront => 0.0022832811226955185
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@forwardfxconvexityadjustedupfront => -0.1310919052527467
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floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjusteddv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentfactor => 1.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremium => 0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@fundingfxconvexityadjustmentpremiumupfront => -0.0
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@parrate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@price => 113.33751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@pv => -0.1333751863754422
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@rate => 0.027834617448263856
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@resetdate => -2.147483648E9
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@resetrate => NaN
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@totalcoupon => 0.5606827286967266
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleandv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleanprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedcleanpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtydv01 => -4.7183990717899126E-4
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtyprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjusteddirtypv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedfairpremium => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedparrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedprice => 113.10919052527466
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedpv => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedrate => 0.02778313221459187
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@unadjustedupfront => -0.1310919052527467
floatstream::usd::usd-libor-3m::{27-apr-2020->27-apr-2025}@upfront => -0.1333751863754422
initialnotional => 1.0
parfixedcoupon => 0.028779874973828248
parrate => 0.028779874973828248
parswaprate => 0.028779874973828248
price => 109.83408764926732
pv => 0.09834087649267315
rate => 0.028779874973828248
referenceaccrued => 0.0
referenceaccrued01 => 0.0
referencecleandv01 => 4.634321257362324E-4
referencecleanpv => 0.23171606286811536
referencecumulativeconvexityadjustmentfactor => 1.0
referencecumulativeconvexityadjustmentpremium => 0.0
referencecumulativecouponamount => 0.0
referencecumulativecoupondcf => 0.0
referencedirtydv01 => 4.634321257362324E-4
referencedirtypv => 0.23171606286811536
referencedv01 => 4.634321257362324E-4
referenceparbasisspread => -212.2012502617157
referencepv => 0.23171606286811536
resetdate => -2.147483648E9
resetrate => NaN
swaprate => 0.028779874973828248
upfront => 0.09834087649267315
|-----------------------------------------------------------------|
| 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 01:00:27 EST 2020
| Setup Time => Mon Jan 27 01:00:27 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------- BASIS ON THE DERIVED LEG -----------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 1M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => -00.52 | -55.12 | 55.10 | 00.05 | -55.12 | 55.10 | -00.47 | -55.12 | 55.10 | 0.24 | 0.23 |
2Y => 01.25 | -38.74 | 38.70 | 01.15 | -38.74 | 38.70 | 01.21 | -38.74 | 38.70 | 1.16 | 1.12 |
3Y => 01.77 | -29.86 | 29.80 | 02.05 | -29.86 | 29.80 | 01.80 | -29.86 | 29.80 | 2.25 | 2.18 |
4Y => 02.93 | -24.77 | 24.70 | 02.77 | -24.77 | 24.70 | 02.90 | -24.77 | 24.70 | 2.91 | 2.82 |
5Y => 02.98 | -21.17 | 21.10 | 03.13 | -21.17 | 21.10 | 02.99 | -21.17 | 21.10 | 3.34 | 3.24 |
6Y => 03.48 | -18.57 | 18.50 | 03.31 | -18.57 | 18.50 | 03.47 | -18.57 | 18.50 | 3.49 | 3.38 |
7Y => 03.43 | -16.57 | 16.50 | 03.64 | -16.57 | 16.50 | 03.44 | -16.57 | 16.50 | 3.70 | 3.58 |
8Y => 03.86 | -15.07 | 15.00 | 03.54 | -15.07 | 15.00 | 03.85 | -15.07 | 15.00 | 3.90 | 3.78 |
9Y => 03.88 | -13.77 | 13.70 | 04.44 | -13.77 | 13.70 | 03.90 | -13.77 | 13.70 | 4.09 | 3.96 |
10Y => 03.88 | -12.77 | 12.70 | 02.98 | -12.77 | 12.70 | 03.82 | -12.77 | 12.70 | 4.27 | 4.14 |
11Y => 01.77 | -11.97 | 11.90 | 02.62 | -11.97 | 11.90 | 01.86 | -11.97 | 11.90 | 2.73 | 2.64 |
12Y => 03.67 | -11.26 | 11.20 | 02.69 | -11.26 | 11.20 | 03.56 | -11.26 | 11.20 | 2.73 | 2.64 |
15Y => 00.13 | -09.65 | 09.60 | 02.92 | -09.65 | 09.60 | -00.17 | -09.65 | 09.60 | 2.73 | 2.64 |
20Y => 06.16 | -07.94 | 07.90 | 02.83 | -07.94 | 07.90 | 07.13 | -07.94 | 07.90 | 2.73 | 2.64 |
25Y => -01.01 | -06.94 | 06.90 | 02.80 | -06.94 | 06.90 | -02.20 | -06.94 | 06.90 | 2.73 | 2.64 |
30Y => 06.08 | -06.23 | 06.20 | 02.63 | -06.23 | 06.20 | 08.46 | -06.23 | 06.20 | 2.73 | 2.64 |
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 3M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => -00.04 | -18.60 | 18.60 | 00.11 | -18.60 | 18.60 | -00.02 | -18.60 | 18.60 | 0.19 | 0.18 |
2Y => 01.01 | -12.71 | 12.70 | 01.12 | -12.71 | 12.70 | 01.01 | -12.71 | 12.70 | 1.01 | 0.99 |
3Y => 02.01 | -09.71 | 09.70 | 02.04 | -09.71 | 09.70 | 02.00 | -09.71 | 09.70 | 2.16 | 2.12 |
4Y => 02.72 | -08.01 | 08.00 | 02.73 | -08.01 | 08.00 | 02.73 | -08.01 | 08.00 | 2.81 | 2.76 |
5Y => 03.20 | -06.71 | 06.70 | 03.21 | -06.71 | 06.70 | 03.19 | -06.71 | 06.70 | 3.28 | 3.22 |
6Y => 03.33 | -05.81 | 05.80 | 03.22 | -05.81 | 05.80 | 03.34 | -05.81 | 05.80 | 3.44 | 3.38 |
7Y => 03.60 | -05.11 | 05.10 | 03.79 | -05.11 | 05.10 | 03.60 | -05.11 | 05.10 | 3.64 | 3.58 |
8Y => 03.74 | -04.61 | 04.60 | 03.38 | -04.61 | 04.60 | 03.74 | -04.61 | 04.60 | 3.84 | 3.77 |
9Y => 04.01 | -04.21 | 04.20 | 04.59 | -04.21 | 04.20 | 04.02 | -04.21 | 04.20 | 4.03 | 3.96 |
10Y => 03.88 | -03.81 | 03.80 | 03.08 | -03.81 | 03.80 | 03.84 | -03.81 | 03.80 | 4.21 | 4.14 |
11Y => 02.03 | -03.51 | 03.50 | 02.64 | -03.51 | 03.50 | 02.09 | -03.51 | 03.50 | 2.70 | 2.65 |
12Y => 03.23 | -03.31 | 03.30 | 02.70 | -03.31 | 03.30 | 03.18 | -03.31 | 03.30 | 2.70 | 2.65 |
15Y => 01.18 | -02.81 | 02.80 | 02.95 | -02.81 | 02.80 | 00.92 | -02.81 | 02.80 | 2.70 | 2.65 |
20Y => 04.69 | -02.21 | 02.20 | 02.84 | -02.21 | 02.20 | 05.40 | -02.21 | 02.20 | 2.70 | 2.65 |
25Y => 00.58 | -02.01 | 02.00 | 02.81 | -02.01 | 02.00 | -00.23 | -02.01 | 02.00 | 2.70 | 2.65 |
30Y => 04.64 | -01.81 | 01.80 | 02.65 | -01.81 | 01.80 | 05.92 | -01.81 | 01.80 | 2.70 | 2.65 |
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 12M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => 00.33 | 21.19 | -21.20 | 00.24 | 21.19 | -21.20 | 00.33 | 21.19 | -21.20 | 0.12 | 0.12 |
2Y => 00.73 | 15.18 | -15.20 | 00.72 | 15.18 | -15.20 | 00.72 | 15.18 | -15.20 | 0.64 | 0.63 |
3Y => 01.75 | 11.67 | -11.70 | 01.74 | 11.67 | -11.70 | 01.76 | 11.67 | -11.70 | 1.72 | 1.71 |
4Y => 02.56 | 09.67 | -09.70 | 02.55 | 09.67 | -09.70 | 02.56 | 09.67 | -09.70 | 2.52 | 2.52 |
5Y => 03.12 | 08.16 | -08.20 | 03.11 | 08.16 | -08.20 | 03.12 | 08.16 | -08.20 | 3.10 | 3.10 |
6Y => 03.36 | 07.16 | -07.20 | 03.36 | 07.16 | -07.20 | 03.36 | 07.16 | -07.20 | 3.33 | 3.34 |
7Y => 03.55 | 06.26 | -06.30 | 03.55 | 06.26 | -06.30 | 03.55 | 06.26 | -06.30 | 3.54 | 3.55 |
8Y => 03.76 | 05.67 | -05.70 | 03.76 | 05.67 | -05.70 | 03.76 | 05.67 | -05.70 | 3.73 | 3.75 |
9Y => 03.94 | 05.07 | -05.10 | 03.94 | 05.07 | -05.10 | 03.94 | 05.07 | -05.10 | 3.94 | 3.95 |
10Y => 04.15 | 04.67 | -04.70 | 04.14 | 04.67 | -04.70 | 04.15 | 04.67 | -04.70 | 4.11 | 4.14 |
11Y => 02.69 | 04.37 | -04.40 | 02.69 | 04.37 | -04.40 | 02.68 | 04.37 | -04.40 | 2.68 | 2.68 |
12Y => 02.67 | 04.07 | -04.10 | 02.67 | 04.07 | -04.10 | 02.67 | 04.07 | -04.10 | 2.67 | 2.67 |
15Y => 02.51 | 03.48 | -03.50 | 03.43 | 03.48 | -03.50 | 02.41 | 03.48 | -03.50 | 2.67 | 2.67 |
20Y => 02.89 | 02.78 | -02.80 | 03.26 | 02.78 | -02.80 | 03.10 | 02.78 | -02.80 | 2.67 | 2.67 |
25Y => 02.49 | 02.48 | -02.50 | 03.05 | 02.48 | -02.50 | 02.30 | 02.48 | -02.50 | 2.68 | 2.67 |
30Y => 02.83 | 02.19 | -02.20 | 02.90 | 02.19 | -02.20 | 03.00 | 02.19 | -02.20 | 2.67 | 2.67 |
35Y => 02.58 | 02.19 | -02.20 | 02.88 | 02.19 | -02.20 | 02.42 | 02.19 | -02.20 | 2.67 | 2.67 |
40Y => 02.79 | 02.19 | -02.20 | 02.71 | 02.19 | -02.20 | 02.95 | 02.19 | -02.20 | 2.67 | 2.67 |
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------- BASIS ON THE REFERENCE LEG ----------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 1M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => 00.97 | 55.10 | -55.08 | 00.43 | 55.10 | -55.08 | 00.94 | 55.10 | -55.08 | 0.24 | 0.23 |
2Y => 00.90 | 38.70 | -38.66 | 01.29 | 38.70 | -38.66 | 00.95 | 38.70 | -38.66 | 1.16 | 1.12 |
3Y => 02.57 | 29.80 | -29.74 | 02.16 | 29.80 | -29.74 | 02.52 | 29.80 | -29.74 | 2.25 | 2.18 |
4Y => 02.53 | 24.70 | -24.63 | 02.85 | 24.70 | -24.63 | 02.57 | 24.70 | -24.63 | 2.91 | 2.82 |
5Y => 03.58 | 21.10 | -21.03 | 03.20 | 21.10 | -21.03 | 03.54 | 21.10 | -21.03 | 3.34 | 3.24 |
6Y => 03.09 | 18.50 | -18.43 | 03.35 | 18.50 | -18.43 | 03.13 | 18.50 | -18.43 | 3.49 | 3.38 |
7Y => 03.92 | 16.50 | -16.43 | 03.70 | 16.50 | -16.43 | 03.89 | 16.50 | -16.43 | 3.70 | 3.58 |
8Y => 03.52 | 15.00 | -14.93 | 03.57 | 15.00 | -14.93 | 03.54 | 15.00 | -14.93 | 3.90 | 3.78 |
9Y => 04.27 | 13.70 | -13.63 | 04.47 | 13.70 | -13.63 | 04.26 | 13.70 | -13.63 | 4.09 | 3.96 |
10Y => 03.59 | 12.70 | -12.63 | 03.02 | 12.70 | -12.63 | 03.55 | 12.70 | -12.63 | 4.27 | 4.14 |
11Y => 02.13 | 11.90 | -11.83 | 02.66 | 11.90 | -11.83 | 02.21 | 11.90 | -11.83 | 2.73 | 2.64 |
12Y => 03.29 | 11.20 | -11.14 | 02.72 | 11.20 | -11.14 | 03.18 | 11.20 | -11.14 | 2.73 | 2.64 |
15Y => 01.14 | 09.60 | -09.55 | 02.92 | 09.60 | -09.55 | 01.08 | 09.60 | -09.55 | 2.73 | 2.64 |
20Y => 04.78 | 07.90 | -07.86 | 02.83 | 07.90 | -07.86 | 05.17 | 07.90 | -07.86 | 2.73 | 2.64 |
25Y => 00.47 | 06.90 | -06.86 | 02.80 | 06.90 | -06.86 | -00.06 | 06.90 | -06.86 | 2.73 | 2.64 |
30Y => 04.48 | 06.20 | -06.17 | 02.65 | 06.20 | -06.17 | 05.89 | 06.20 | -06.17 | 2.73 | 2.64 |
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 3M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => 00.43 | 18.60 | -18.60 | 00.23 | 18.60 | -18.60 | 00.43 | 18.60 | -18.60 | 0.19 | 0.18 |
2Y => 00.95 | 12.70 | -12.69 | 01.15 | 12.70 | -12.69 | 00.97 | 12.70 | -12.69 | 1.01 | 0.99 |
3Y => 02.19 | 09.70 | -09.69 | 02.07 | 09.70 | -09.69 | 02.18 | 09.70 | -09.69 | 2.16 | 2.12 |
4Y => 02.68 | 08.00 | -07.99 | 02.74 | 08.00 | -07.99 | 02.68 | 08.00 | -07.99 | 2.81 | 2.76 |
5Y => 03.29 | 06.70 | -06.69 | 03.22 | 06.70 | -06.69 | 03.28 | 06.70 | -06.69 | 3.28 | 3.22 |
6Y => 03.30 | 05.80 | -05.79 | 03.23 | 05.80 | -05.79 | 03.30 | 05.80 | -05.79 | 3.44 | 3.38 |
7Y => 03.65 | 05.10 | -05.09 | 03.80 | 05.10 | -05.09 | 03.65 | 05.10 | -05.09 | 3.64 | 3.58 |
8Y => 03.72 | 04.60 | -04.59 | 03.39 | 04.60 | -04.59 | 03.72 | 04.60 | -04.59 | 3.84 | 3.77 |
9Y => 04.04 | 04.20 | -04.19 | 04.59 | 04.20 | -04.19 | 04.05 | 04.20 | -04.19 | 4.03 | 3.96 |
10Y => 03.85 | 03.80 | -03.79 | 03.07 | 03.80 | -03.79 | 03.80 | 03.80 | -03.79 | 4.21 | 4.14 |
11Y => 02.06 | 03.50 | -03.49 | 02.65 | 03.50 | -03.49 | 02.12 | 03.50 | -03.49 | 2.70 | 2.65 |
12Y => 03.22 | 03.30 | -03.29 | 02.71 | 03.30 | -03.29 | 03.17 | 03.30 | -03.29 | 2.70 | 2.65 |
15Y => 01.22 | 02.80 | -02.79 | 02.93 | 02.80 | -02.79 | 00.99 | 02.80 | -02.79 | 2.70 | 2.65 |
20Y => 04.64 | 02.20 | -02.19 | 02.85 | 02.20 | -02.19 | 05.29 | 02.20 | -02.19 | 2.70 | 2.65 |
25Y => 00.65 | 02.00 | -01.99 | 02.81 | 02.00 | -01.99 | -00.10 | 02.00 | -01.99 | 2.70 | 2.65 |
30Y => 04.59 | 01.80 | -01.79 | 02.65 | 01.80 | -01.79 | 05.78 | 01.80 | -01.79 | 2.70 | 2.65 |
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------- 12M-6M Basis Swap --------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SPL => n=3 | n=4 | KLK | | |
--------------------------------------------------------------------------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | RECALC | REFEREN | DERIVED | | |
-----------------------------------------------------------------------------------------------------------------------------
1Y => -00.09 | -21.20 | 21.21 | -00.27 | -21.20 | 21.21 | -00.09 | -21.20 | 21.21 | 0.12 | 0.12 |
2Y => 00.54 | -15.20 | 15.22 | 00.52 | -15.20 | 15.22 | 00.54 | -15.20 | 15.22 | 0.64 | 0.63 |
3Y => 01.66 | -11.70 | 11.73 | 01.63 | -11.70 | 11.73 | 01.66 | -11.70 | 11.73 | 1.72 | 1.71 |
4Y => 02.49 | -09.70 | 09.73 | 02.47 | -09.70 | 09.73 | 02.49 | -09.70 | 09.73 | 2.52 | 2.52 |
5Y => 03.08 | -08.20 | 08.24 | 03.07 | -08.20 | 08.24 | 03.08 | -08.20 | 08.24 | 3.10 | 3.10 |
6Y => 03.32 | -07.20 | 07.24 | 03.32 | -07.20 | 07.24 | 03.32 | -07.20 | 07.24 | 3.33 | 3.34 |
7Y => 03.55 | -06.30 | 06.34 | 03.54 | -06.30 | 06.34 | 03.55 | -06.30 | 06.34 | 3.54 | 3.55 |
8Y => 03.74 | -05.70 | 05.73 | 03.74 | -05.70 | 05.73 | 03.74 | -05.70 | 05.73 | 3.73 | 3.75 |
9Y => 03.95 | -05.10 | 05.13 | 03.95 | -05.10 | 05.13 | 03.95 | -05.10 | 05.13 | 3.94 | 3.95 |
10Y => 04.14 | -04.70 | 04.73 | 04.13 | -04.70 | 04.73 | 04.14 | -04.70 | 04.73 | 4.11 | 4.14 |
11Y => 02.67 | -04.40 | 04.43 | 02.68 | -04.40 | 04.43 | 02.67 | -04.40 | 04.43 | 2.68 | 2.68 |
12Y => 02.67 | -04.10 | 04.13 | 02.67 | -04.10 | 04.13 | 02.67 | -04.10 | 04.13 | 2.67 | 2.67 |
15Y => 02.50 | -03.50 | 03.52 | 03.65 | -03.50 | 03.52 | 02.39 | -03.50 | 03.52 | 2.67 | 2.67 |
20Y => 02.91 | -02.80 | 02.82 | 03.40 | -02.80 | 02.82 | 03.12 | -02.80 | 02.82 | 2.67 | 2.67 |
25Y => 02.46 | -02.50 | 02.52 | 03.17 | -02.50 | 02.52 | 02.26 | -02.50 | 02.52 | 2.68 | 2.67 |
30Y => 02.85 | -02.20 | 02.21 | 02.93 | -02.20 | 02.21 | 03.02 | -02.20 | 02.21 | 2.67 | 2.67 |
35Y => 02.49 | -02.20 | 02.21 | 02.89 | -02.20 | 02.21 | 02.33 | -02.20 | 02.21 | 2.67 | 2.67 |
40Y => 02.77 | -02.20 | 02.21 | 02.67 | -02.20 | 02.21 | 02.94 | -02.20 | 02.21 | 2.67 | 2.67 |
|-----------------------------------------------------------------|
| 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 01:00:30 EST 2020
| Setup Time => Mon Jan 27 01:00:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|--------------------------------------------------||
|-------- RECONCILIATION FOR GBP-LIBOR-1M ---------||
|--------------------------------------------------||
| ||
| [03-FEB-1995 - 03-MAR-1995] | 6.57% | 6.57% ||
| [03-MAR-1995 - 03-APR-1995] | 6.65% | 6.65% ||
| [03-APR-1995 - 03-MAY-1995] | 6.65% | 6.65% ||
| [03-MAY-1995 - 03-JUN-1995] | 6.61% | 6.61% ||
| [03-JUN-1995 - 03-JUL-1995] | 6.72% | 6.72% ||
| [03-JUL-1995 - 03-AUG-1995] | 6.96% | 6.96% ||
| [03-AUG-1995 - 03-SEP-1995] | 7.19% | 7.19% ||
| [03-SEP-1995 - 03-OCT-1995] | 7.37% | 7.37% ||
| [03-OCT-1995 - 03-NOV-1995] | 7.49% | 7.49% ||
| [03-NOV-1995 - 03-DEC-1995] | 7.59% | 7.59% ||
| [03-DEC-1995 - 03-JAN-1996] | 7.68% | 7.68% ||
| [03-JAN-1996 - 03-FEB-1996] | 7.76% | 7.76% ||
| [03-FEB-1996 - 03-MAR-1996] | 15.77% | 15.77% ||
| [03-MAR-1996 - 03-APR-1996] | 8.11% | 8.11% ||
| [03-APR-1996 - 03-MAY-1996] | 8.17% | 8.17% ||
| [03-MAY-1996 - 03-JUN-1996] | 8.23% | 8.23% ||
| [03-JUN-1996 - 03-JUL-1996] | 8.29% | 8.29% ||
| [03-JUL-1996 - 03-AUG-1996] | 8.35% | 8.35% ||
| [03-AUG-1996 - 03-SEP-1996] | 8.41% | 8.41% ||
| [03-SEP-1996 - 03-OCT-1996] | 8.47% | 8.47% ||
| ||
|--------------------------------------------------||
|--------------------------------------------------||
|--------------------------------------------------||
|-------- RECONCILIATION FOR GBP-LIBOR-3M ---------||
|--------------------------------------------------||
| ||
| [03-FEB-1995 - 03-MAY-1995] | 6.66% | 6.66% ||
| [03-MAY-1995 - 03-AUG-1995] | 6.80% | 6.80% ||
| [03-AUG-1995 - 03-NOV-1995] | 7.40% | 7.40% ||
| [03-NOV-1995 - 03-FEB-1996] | 7.73% | 7.73% ||
| [03-FEB-1996 - 03-MAY-1996] | 10.69% | 10.69% ||
| [03-MAY-1996 - 03-AUG-1996] | 8.35% | 8.35% ||
| [03-AUG-1996 - 03-NOV-1996] | 8.53% | 8.53% ||
| [03-NOV-1996 - 03-FEB-1997] | 8.73% | 8.73% ||
| [03-FEB-1997 - 03-MAY-1997] | 8.91% | 8.91% ||
| [03-MAY-1997 - 03-AUG-1997] | 9.03% | 9.03% ||
| [03-AUG-1997 - 03-NOV-1997] | 9.04% | 9.04% ||
| [03-NOV-1997 - 03-FEB-1998] | 8.93% | 8.93% ||
| [03-FEB-1998 - 03-MAY-1998] | 8.91% | 8.91% ||
| [03-MAY-1998 - 03-AUG-1998] | 8.78% | 8.78% ||
| [03-AUG-1998 - 03-NOV-1998] | 8.74% | 8.74% ||
| [03-NOV-1998 - 03-FEB-1999] | 8.81% | 8.81% ||
| [03-FEB-1999 - 03-MAY-1999] | 8.97% | 8.97% ||
| [03-MAY-1999 - 03-AUG-1999] | 9.10% | 9.10% ||
| [03-AUG-1999 - 03-NOV-1999] | 9.19% | 9.19% ||
| [03-NOV-1999 - 03-FEB-2000] | 9.21% | 9.21% ||
| ||
|--------------------------------------------------||
|--------------------------------------------------||
|--------------------------------------------------||
|-------- RECONCILIATION FOR GBP-LIBOR-6M ---------||
|--------------------------------------------------||
| ||
| [03-FEB-1995 - 03-AUG-1995] | 6.79% | 6.79% ||
| [03-AUG-1995 - 03-FEB-1996] | 7.64% | 7.64% ||
| [03-FEB-1996 - 03-AUG-1996] | 9.62% | 9.62% ||
| [03-AUG-1996 - 03-FEB-1997] | 8.73% | 8.73% ||
| [03-FEB-1997 - 03-AUG-1997] | 9.07% | 9.07% ||
| [03-AUG-1997 - 03-FEB-1998] | 9.09% | 9.09% ||
| [03-FEB-1998 - 03-AUG-1998] | 8.94% | 8.94% ||
| [03-AUG-1998 - 03-FEB-1999] | 8.87% | 8.87% ||
| [03-FEB-1999 - 03-AUG-1999] | 9.14% | 9.14% ||
| [03-AUG-1999 - 03-FEB-2000] | 9.31% | 9.31% ||
| [03-FEB-2000 - 03-AUG-2000] | 9.50% | 9.50% ||
| [03-AUG-2000 - 03-FEB-2001] | 9.38% | 9.38% ||
| [03-FEB-2001 - 03-AUG-2001] | 9.21% | 9.21% ||
| [03-AUG-2001 - 03-FEB-2002] | 8.94% | 8.94% ||
| [03-FEB-2002 - 03-AUG-2002] | 9.11% | 9.11% ||
| [03-AUG-2002 - 03-FEB-2003] | 8.84% | 8.84% ||
| [03-FEB-2003 - 03-AUG-2003] | 8.67% | 8.67% ||
| [03-AUG-2003 - 03-FEB-2004] | 8.64% | 8.64% ||
| [03-FEB-2004 - 03-AUG-2004] | 8.73% | 8.73% ||
| [03-AUG-2004 - 03-FEB-2005] | 8.99% | 8.99% ||
| ||
|--------------------------------------------------||
|--------------------------------------------------||
|--------------------------------------------------||
|-------- RECONCILIATION FOR GBP-LIBOR-12M ---------||
|--------------------------------------------------||
| ||
| [03-FEB-1995 - 03-FEB-1996] | 7.35% | 7.35% ||
| [03-FEB-1996 - 03-FEB-1997] | 9.38% | 9.38% ||
| [03-FEB-1997 - 03-FEB-1998] | 9.29% | 9.29% ||
| [03-FEB-1998 - 03-FEB-1999] | 9.11% | 9.11% ||
| [03-FEB-1999 - 03-FEB-2000] | 9.44% | 9.44% ||
| [03-FEB-2000 - 03-FEB-2001] | 9.67% | 9.67% ||
| [03-FEB-2001 - 03-FEB-2002] | 9.28% | 9.28% ||
| [03-FEB-2002 - 03-FEB-2003] | 9.18% | 9.18% ||
| [03-FEB-2003 - 03-FEB-2004] | 8.85% | 8.85% ||
| [03-FEB-2004 - 03-FEB-2005] | 9.06% | 9.06% ||
| [03-FEB-2005 - 03-FEB-2006] | 9.06% | 9.06% ||
| [03-FEB-2006 - 03-FEB-2007] | 9.06% | 9.06% ||
| [03-FEB-2007 - 03-FEB-2008] | 9.06% | 9.06% ||
| [03-FEB-2008 - 03-FEB-2009] | 9.06% | 9.06% ||
| [03-FEB-2009 - 03-FEB-2010] | 9.06% | 9.06% ||
| [03-FEB-2010 - 03-FEB-2011] | 9.06% | 9.06% ||
| [03-FEB-2011 - 03-FEB-2012] | 9.06% | 9.06% ||
| [03-FEB-2012 - 03-FEB-2013] | 9.06% | 9.06% ||
| [03-FEB-2013 - 03-FEB-2014] | 9.06% | 9.06% ||
| [03-FEB-2014 - 03-FEB-2015] | 9.06% | 9.06% ||
| ||
|--------------------------------------------------||
|--------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:00:30 EST 2020
| Setup Time => Mon Jan 27 01:00:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
L -> R:
Reference Currency
Settlement Type
Settlement Quote Valuation (for Cash Settled Options)
--------------------------------------------------------------------------------------------------------
AUD => PHYSICAL DELIVERY
CHF => CASH SETTLED | INTERNAL RATE OF RETURN
DKK => CASH SETTLED | INTERNAL RATE OF RETURN
EUR => CASH SETTLED | INTERNAL RATE OF RETURN
GBP => CASH SETTLED | INTERNAL RATE OF RETURN
JPY => PHYSICAL DELIVERY
NOK => CASH SETTLED | INTERNAL RATE OF RETURN
SEK => CASH SETTLED | INTERNAL RATE OF RETURN
USD => CASH SETTLED | EXACT CURVE
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