|-----------------------------------------------------------------|
| 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
|-----------------------------------------------------------------|
------------------------------------------------------------
------------------- 1M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => 00.43 | 55.10 | -55.08 | 0.24 | 0.23 |
2Y => 01.31 | 38.70 | -38.66 | 1.17 | 1.13 |
3Y => 02.19 | 29.80 | -29.74 | 2.26 | 2.19 |
4Y => 02.89 | 24.70 | -24.63 | 2.91 | 2.82 |
5Y => 03.25 | 21.10 | -21.03 | 3.35 | 3.24 |
6Y => 03.40 | 18.50 | -18.43 | 3.50 | 3.39 |
7Y => 03.75 | 16.50 | -16.43 | 3.70 | 3.59 |
8Y => 03.62 | 15.00 | -14.93 | 3.90 | 3.78 |
9Y => 04.53 | 13.70 | -13.63 | 4.09 | 3.96 |
10Y => 03.06 | 12.70 | -12.63 | 4.27 | 4.14 |
11Y => 02.70 | 11.90 | -11.83 | 2.73 | 2.64 |
12Y => 02.76 | 11.20 | -11.14 | 2.73 | 2.64 |
15Y => 02.96 | 09.60 | -09.55 | 2.73 | 2.64 |
20Y => 02.87 | 07.90 | -07.86 | 2.73 | 2.64 |
25Y => 02.84 | 06.90 | -06.86 | 2.73 | 2.64 |
30Y => 02.69 | 06.20 | -06.17 | 2.73 | 2.64 |
------------------------------------------------------------
------------------- 3M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => 00.23 | 18.60 | -18.60 | 0.19 | 0.19 |
2Y => 01.17 | 12.70 | -12.69 | 1.02 | 1.00 |
3Y => 02.10 | 09.70 | -09.69 | 2.16 | 2.12 |
4Y => 02.79 | 08.00 | -07.99 | 2.81 | 2.76 |
5Y => 03.27 | 06.70 | -06.69 | 3.29 | 3.23 |
6Y => 03.28 | 05.80 | -05.79 | 3.44 | 3.38 |
7Y => 03.85 | 05.10 | -05.09 | 3.65 | 3.58 |
8Y => 03.44 | 04.60 | -04.59 | 3.84 | 3.77 |
9Y => 04.65 | 04.20 | -04.19 | 4.03 | 3.96 |
10Y => 03.10 | 03.80 | -03.79 | 4.21 | 4.14 |
11Y => 02.69 | 03.50 | -03.49 | 2.70 | 2.65 |
12Y => 02.75 | 03.30 | -03.29 | 2.70 | 2.65 |
15Y => 02.97 | 02.80 | -02.79 | 2.70 | 2.65 |
20Y => 02.89 | 02.20 | -02.19 | 2.70 | 2.65 |
25Y => 02.85 | 02.00 | -01.99 | 2.70 | 2.65 |
30Y => 02.69 | 01.80 | -01.79 | 2.70 | 2.65 |
------------------------------------------------------------
------------------- 12M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => -00.18 | -21.20 | 21.21 | 0.12 | 0.12 |
2Y => 00.54 | -15.20 | 15.22 | 0.64 | 0.64 |
3Y => 01.68 | -11.70 | 11.73 | 1.72 | 1.72 |
4Y => 02.51 | -09.70 | 09.73 | 2.52 | 2.52 |
5Y => 03.12 | -08.20 | 08.24 | 3.11 | 3.11 |
6Y => 03.38 | -07.20 | 07.24 | 3.34 | 3.35 |
7Y => 03.60 | -06.30 | 06.34 | 3.54 | 3.56 |
8Y => 03.80 | -05.70 | 05.73 | 3.74 | 3.75 |
9Y => 04.01 | -05.10 | 05.13 | 3.94 | 3.95 |
10Y => 04.19 | -04.70 | 04.73 | 4.11 | 4.14 |
11Y => 02.71 | -04.40 | 04.43 | 2.68 | 2.68 |
12Y => 02.71 | -04.10 | 04.13 | 2.68 | 2.68 |
15Y => 03.70 | -03.50 | 03.52 | 2.68 | 2.68 |
20Y => 03.45 | -02.80 | 02.82 | 2.68 | 2.68 |
25Y => 03.22 | -02.50 | 02.52 | 2.68 | 2.68 |
30Y => 02.97 | -02.20 | 02.21 | 2.68 | 2.68 |
35Y => 02.94 | -02.20 | 02.21 | 2.68 | 2.68 |
40Y => 02.71 | -02.20 | 02.21 | 2.68 | 2.68 |
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------- 1M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD1M | 1Y: Wengert{0} => [-42.245, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 2Y: Wengert{0} => [-0.116, -79.994, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 3Y: Wengert{0} => [ 0.000, -0.220, -119.120, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.441, -205.324, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.699, -306.101, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------- 3M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD3M | 1Y: Wengert{0} => [-17.054, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 2Y: Wengert{0} => [-0.047, -30.135, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 3Y: Wengert{0} => [ 0.000, -0.083, -43.750, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.160, -73.855, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.250, -109.031, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------ 12M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD12M | 1Y: Wengert{0} => [-4.973, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 2Y: Wengert{0} => [-0.014, -8.037, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 3Y: Wengert{0} => [ 0.000, -0.022, -11.258, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.040, -18.402, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.062, -26.785, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:31 EST 2020
| Setup Time => Mon Jan 27 01:00:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
------------------------------------------------------------
------------------- 1M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => 00.43 | 55.10 | -55.08 | 0.24 | 0.23 |
2Y => 01.31 | 38.70 | -38.66 | 1.17 | 1.13 |
3Y => 02.19 | 29.80 | -29.74 | 2.26 | 2.19 |
4Y => 02.89 | 24.70 | -24.63 | 2.91 | 2.82 |
5Y => 03.25 | 21.10 | -21.03 | 3.35 | 3.24 |
6Y => 03.40 | 18.50 | -18.43 | 3.50 | 3.39 |
7Y => 03.75 | 16.50 | -16.43 | 3.70 | 3.59 |
8Y => 03.62 | 15.00 | -14.93 | 3.90 | 3.78 |
9Y => 04.53 | 13.70 | -13.63 | 4.09 | 3.96 |
10Y => 03.06 | 12.70 | -12.63 | 4.27 | 4.14 |
11Y => 02.70 | 11.90 | -11.83 | 2.73 | 2.64 |
12Y => 02.76 | 11.20 | -11.14 | 2.73 | 2.64 |
15Y => 02.96 | 09.60 | -09.55 | 2.73 | 2.64 |
20Y => 02.87 | 07.90 | -07.86 | 2.73 | 2.64 |
25Y => 02.84 | 06.90 | -06.86 | 2.73 | 2.64 |
30Y => 02.69 | 06.20 | -06.17 | 2.73 | 2.64 |
------------------------------------------------------------
------------------- 3M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => 00.23 | 18.60 | -18.60 | 0.19 | 0.19 |
2Y => 01.17 | 12.70 | -12.69 | 1.02 | 1.00 |
3Y => 02.10 | 09.70 | -09.69 | 2.16 | 2.12 |
4Y => 02.79 | 08.00 | -07.99 | 2.81 | 2.76 |
5Y => 03.27 | 06.70 | -06.69 | 3.29 | 3.23 |
6Y => 03.28 | 05.80 | -05.79 | 3.44 | 3.38 |
7Y => 03.85 | 05.10 | -05.09 | 3.65 | 3.58 |
8Y => 03.44 | 04.60 | -04.59 | 3.84 | 3.77 |
9Y => 04.65 | 04.20 | -04.19 | 4.03 | 3.96 |
10Y => 03.10 | 03.80 | -03.79 | 4.21 | 4.14 |
11Y => 02.69 | 03.50 | -03.49 | 2.70 | 2.65 |
12Y => 02.75 | 03.30 | -03.29 | 2.70 | 2.65 |
15Y => 02.97 | 02.80 | -02.79 | 2.70 | 2.65 |
20Y => 02.89 | 02.20 | -02.19 | 2.70 | 2.65 |
25Y => 02.85 | 02.00 | -01.99 | 2.70 | 2.65 |
30Y => 02.69 | 01.80 | -01.79 | 2.70 | 2.65 |
------------------------------------------------------------
------------------- 12M-6M Basis Swap -----------------
------------------------------------------------------------
SPL => n=4 | | |
---------------------------------------| LOG DF | LIBOR |
MSR => RECALC | REFEREN | DERIVED | | |
------------------------------------------------------------
1Y => -00.18 | -21.20 | 21.21 | 0.12 | 0.12 |
2Y => 00.54 | -15.20 | 15.22 | 0.64 | 0.64 |
3Y => 01.68 | -11.70 | 11.73 | 1.72 | 1.72 |
4Y => 02.51 | -09.70 | 09.73 | 2.52 | 2.52 |
5Y => 03.12 | -08.20 | 08.24 | 3.11 | 3.11 |
6Y => 03.38 | -07.20 | 07.24 | 3.34 | 3.35 |
7Y => 03.60 | -06.30 | 06.34 | 3.54 | 3.56 |
8Y => 03.80 | -05.70 | 05.73 | 3.74 | 3.75 |
9Y => 04.01 | -05.10 | 05.13 | 3.94 | 3.95 |
10Y => 04.19 | -04.70 | 04.73 | 4.11 | 4.14 |
11Y => 02.71 | -04.40 | 04.43 | 2.68 | 2.68 |
12Y => 02.71 | -04.10 | 04.13 | 2.68 | 2.68 |
15Y => 03.70 | -03.50 | 03.52 | 2.68 | 2.68 |
20Y => 03.45 | -02.80 | 02.82 | 2.68 | 2.68 |
25Y => 03.22 | -02.50 | 02.52 | 2.68 | 2.68 |
30Y => 02.97 | -02.20 | 02.21 | 2.68 | 2.68 |
35Y => 02.94 | -02.20 | 02.21 | 2.68 | 2.68 |
40Y => 02.71 | -02.20 | 02.21 | 2.68 | 2.68 |
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------- 1M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD1M | 1Y: Wengert{0} => [-42.245, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 2Y: Wengert{0} => [-0.116, -79.994, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 3Y: Wengert{0} => [ 0.000, -0.220, -119.120, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.441, -205.324, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD1M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.699, -306.101, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------- 3M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD3M | 1Y: Wengert{0} => [-17.054, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 2Y: Wengert{0} => [-0.047, -30.135, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 3Y: Wengert{0} => [ 0.000, -0.083, -43.750, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.160, -73.855, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD3M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.250, -109.031, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
--------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------ 12M-6M Micro Jack -------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------
QUARTIC_FWD12M | 1Y: Wengert{0} => [-4.973, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 2Y: Wengert{0} => [-0.014, -8.037, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 3Y: Wengert{0} => [ 0.000, -0.022, -11.258, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, -0.040, -18.402, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
QUARTIC_FWD12M | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, -0.062, -26.785, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:00:31 EST 2020
| Setup Time => Mon Jan 27 01:00:31 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
---- DISCOUNT CURVE WITH OVERNIGHT INDEX ---
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[09-MAR-2018] = 0.000400 | 0.000400
[12-MAR-2018] = 0.000400 | 0.000400
[13-MAR-2018] = 0.000400 | 0.000400
----------------------------------------------------------------
SHORT END OIS INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-MAR-2018] = 0.000700 | 0.000700
[22-MAR-2018] = 0.000690 | 0.000690
[29-MAR-2018] = 0.000780 | 0.000780
[08-APR-2018] = 0.000740 | 0.000740
----------------------------------------------------------------
OIS FUTURE INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[08-MAY-2018] = 0.000460 | 0.000460
[08-JUN-2018] = 0.000160 | 0.000160
[08-JUL-2018] = -0.000070 | -0.000070
[08-AUG-2018] = -0.000130 | -0.000130
[08-SEP-2018] = -0.000140 | -0.000140
----------------------------------------------------------------
LONG END OIS INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[08-JUN-2019] = 0.000020 | 0.000020
[08-SEP-2019] = 0.000080 | 0.000080
[08-DEC-2019] = 0.000210 | 0.000210
[08-MAR-2020] = 0.000360 | 0.000360
[08-MAR-2021] = 0.001270 | 0.001270
[08-MAR-2022] = 0.002740 | 0.002740
[08-MAR-2023] = 0.004560 | 0.004560
[08-MAR-2024] = 0.006470 | 0.006470
[08-MAR-2025] = 0.008270 | 0.008270
[08-MAR-2026] = 0.009960 | 0.009960
[08-MAR-2027] = 0.011470 | 0.011470
[08-MAR-2028] = 0.012800 | 0.012800
[08-MAR-2029] = 0.014040 | 0.014040
[08-MAR-2030] = 0.015160 | 0.015160
[08-MAR-2033] = 0.017640 | 0.017640
[08-MAR-2038] = 0.019390 | 0.019390
[08-MAR-2043] = 0.020030 | 0.020030
[08-MAR-2048] = 0.020380 | 0.020380
----------------------------------------------------------------
DEPOSIT MATURITY DISCOUNT FACTOR JACOBIAN
----------------------------------------------------------------
09-MAR-2018 => Wengert{0} => [-2.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
12-MAR-2018 => Wengert{0} => [ 0.000, -2.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
13-MAR-2018 => Wengert{0} => [ 0.000, 0.000, -2.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
SHORT END OIS MATURITY DISCOUNT FACTOR JACOBIAN
----------------------------------------------------------------
15-MAR-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
22-MAR-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
29-MAR-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-APR-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
----------------------------------------------------------------
OIS FUTURE MATURITY DISCOUNT FACTOR JACOBIAN
----------------------------------------------------------------
08-MAY-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-JUN-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-JUL-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-AUG-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-SEP-2018 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 4.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
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LONG END OIS MATURITY DISCOUNT FACTOR JACOBIAN
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08-JUN-2019 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 10.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-SEP-2019 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 11.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-DEC-2019 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 12.999, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2020 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 13.997, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2021 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 19.986, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2022 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 25.960, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2023 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 31.919, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2024 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 37.862, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2025 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 43.797, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2026 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 49.723, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2027 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 55.643, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2028 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 61.558, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2029 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 67.470, 0.000, 0.000, 0.000, 0.000, 0.000]
08-MAR-2030 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 73.378, 0.000, 0.000, 0.000, 0.000]
08-MAR-2033 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 90.421, 0.000, 0.000, 0.000]
08-MAR-2038 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 118.651, 0.000, 0.000]
08-MAR-2043 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 147.694, 0.000]
08-MAR-2048 => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 176.753]