|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 6.340000000000001E-5 ||
| cleandv01 => 2.518159854254932E-5 ||
| cleanprice => 100.06799031606488 ||
| cleanpv => 6.799031606487975E-4 ||
| compoundingadjustedcleandv01 => 2.518159854254932E-5 ||
| compoundingadjustedcleanprice => 100.06799031606488 ||
| compoundingadjustedcleanpv => 6.799031606487975E-4 ||
| compoundingadjusteddirtydv01 => 2.518159854254932E-5 ||
| compoundingadjusteddirtyprice => 100.06799031606488 ||
| compoundingadjusteddirtypv => 6.799031606487975E-4 ||
| compoundingadjustedfairpremium => 0.002699999999999865 ||
| compoundingadjustedparrate => 0.002699999999999865 ||
| compoundingadjustedprice => 100.06799031606488 ||
| compoundingadjustedpv => 6.799031606487975E-4 ||
| compoundingadjustedrate => 0.002699999999999865 ||
| compoundingadjustedupfront => 6.799031606487975E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06799031606488 ||
| creditforwardconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06799031606488 ||
| creditforwardconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| creditforwardconvexityadjusteddv01 => 2.518159854254932E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002699999999999865 ||
| creditforwardconvexityadjustedparrate => 0.002699999999999865 ||
| creditforwardconvexityadjustedprice => 100.06799031606488 ||
| creditforwardconvexityadjustedpv => 6.799031606487975E-4 ||
| creditforwardconvexityadjustedrate => 0.002699999999999865 ||
| creditforwardconvexityadjustedupfront => 6.799031606487975E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06799031606488 ||
| creditfundingconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06799031606488 ||
| creditfundingconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| creditfundingconvexityadjusteddv01 => 2.518159854254932E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002699999999999865 ||
| creditfundingconvexityadjustedparrate => 0.002699999999999865 ||
| creditfundingconvexityadjustedprice => 100.06799031606488 ||
| creditfundingconvexityadjustedpv => 6.799031606487975E-4 ||
| creditfundingconvexityadjustedrate => 0.002699999999999865 ||
| creditfundingconvexityadjustedupfront => 6.799031606487975E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06799031606488 ||
| creditfxconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06799031606488 ||
| creditfxconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| creditfxconvexityadjusteddv01 => 2.518159854254932E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002699999999999865 ||
| creditfxconvexityadjustedparrate => 0.002699999999999865 ||
| creditfxconvexityadjustedprice => 100.06799031606488 ||
| creditfxconvexityadjustedpv => 6.799031606487975E-4 ||
| creditfxconvexityadjustedrate => 0.002699999999999865 ||
| creditfxconvexityadjustedupfront => 6.799031606487975E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06799031606488 ||
| cumulativeconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06799031606488 ||
| cumulativeconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| cumulativeconvexityadjusteddv01 => 2.518159854254932E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002699999999999865 ||
| cumulativeconvexityadjustedparrate => 0.002699999999999865 ||
| cumulativeconvexityadjustedprice => 100.06799031606488 ||
| cumulativeconvexityadjustedpv => 6.799031606487975E-4 ||
| cumulativeconvexityadjustedrate => 0.002699999999999865 ||
| cumulativeconvexityadjustedupfront => 6.799031606487975E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.518159854254932E-5 ||
| dirtydv01 => 2.518159854254932E-5 ||
| dirtyprice => 100.06799031606488 ||
| dirtypv => 6.799031606487975E-4 ||
| dv01 => 2.518159854254932E-5 ||
| fairpremium => 0.002699999999999865 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06799031606488 ||
| forwardfundingconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06799031606488 ||
| forwardfundingconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.518159854254932E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002699999999999865 ||
| forwardfundingconvexityadjustedparrate => 0.002699999999999865 ||
| forwardfundingconvexityadjustedprice => 100.06799031606488 ||
| forwardfundingconvexityadjustedpv => 6.799031606487975E-4 ||
| forwardfundingconvexityadjustedrate => 0.002699999999999865 ||
| forwardfundingconvexityadjustedupfront => 6.799031606487975E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06799031606488 ||
| forwardfxconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06799031606488 ||
| forwardfxconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| forwardfxconvexityadjusteddv01 => 2.518159854254932E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002699999999999865 ||
| forwardfxconvexityadjustedparrate => 0.002699999999999865 ||
| forwardfxconvexityadjustedprice => 100.06799031606488 ||
| forwardfxconvexityadjustedpv => 6.799031606487975E-4 ||
| forwardfxconvexityadjustedrate => 0.002699999999999865 ||
| forwardfxconvexityadjustedupfront => 6.799031606487975E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002699999999999865 ||
| fundingfxconvexityadjustedcleandv01 => 2.518159854254932E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06799031606488 ||
| fundingfxconvexityadjustedcleanpv => 6.799031606487975E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.518159854254932E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06799031606488 ||
| fundingfxconvexityadjusteddirtypv => 6.799031606487975E-4 ||
| fundingfxconvexityadjusteddv01 => 2.518159854254932E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002699999999999865 ||
| fundingfxconvexityadjustedparrate => 0.002699999999999865 ||
| fundingfxconvexityadjustedprice => 100.06799031606488 ||
| fundingfxconvexityadjustedpv => 6.799031606487975E-4 ||
| fundingfxconvexityadjustedrate => 0.002699999999999865 ||
| fundingfxconvexityadjustedupfront => 6.799031606487975E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002699999999999865 ||
| price => 100.06799031606488 ||
| pv => 6.799031606487975E-4 ||
| rate => 0.002699999999999865 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002699999999999864 ||
| unadjustedcleandv01 => 2.518159854254932E-5 ||
| unadjustedcleanprice => 100.06799031606488 ||
| unadjustedcleanpv => 6.799031606487975E-4 ||
| unadjusteddirtydv01 => 2.518159854254932E-5 ||
| unadjusteddirtyprice => 100.06799031606488 ||
| unadjusteddirtypv => 6.799031606487975E-4 ||
| unadjustedfairpremium => 0.002699999999999865 ||
| unadjustedparrate => 0.002699999999999865 ||
| unadjustedprice => 100.06799031606488 ||
| unadjustedpv => 6.799031606487975E-4 ||
| unadjustedrate => 0.002699999999999865 ||
| unadjustedupfront => 6.799031606487975E-4 ||
| upfront => 6.799031606487975E-4 ||
|------------------------------||
|----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2521 | 3M | AUD | AUD-BBSW-3M | 0.9991 | 0.27% ||
|----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 8.81E-5 ||
| cleandv01 => 2.5181554319884422E-5 ||
| cleanprice => 100.06799019666369 ||
| cleanpv => 6.799019666368452E-4 ||
| compoundingadjustedcleandv01 => 2.5181554319884422E-5 ||
| compoundingadjustedcleanprice => 100.06799019666369 ||
| compoundingadjustedcleanpv => 6.799019666368452E-4 ||
| compoundingadjusteddirtydv01 => 2.5181554319884422E-5 ||
| compoundingadjusteddirtyprice => 100.06799019666369 ||
| compoundingadjusteddirtypv => 6.799019666368452E-4 ||
| compoundingadjustedfairpremium => 0.0026999999999998644 ||
| compoundingadjustedparrate => 0.0026999999999998644 ||
| compoundingadjustedprice => 100.06799019666369 ||
| compoundingadjustedpv => 6.799019666368452E-4 ||
| compoundingadjustedrate => 0.0026999999999998644 ||
| compoundingadjustedupfront => 6.799019666368452E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06799019666369 ||
| creditforwardconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06799019666369 ||
| creditforwardconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.0026999999999998644 ||
| creditforwardconvexityadjustedparrate => 0.0026999999999998644 ||
| creditforwardconvexityadjustedprice => 100.06799019666369 ||
| creditforwardconvexityadjustedpv => 6.799019666368452E-4 ||
| creditforwardconvexityadjustedrate => 0.0026999999999998644 ||
| creditforwardconvexityadjustedupfront => 6.799019666368452E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06799019666369 ||
| creditfundingconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06799019666369 ||
| creditfundingconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.0026999999999998644 ||
| creditfundingconvexityadjustedparrate => 0.0026999999999998644 ||
| creditfundingconvexityadjustedprice => 100.06799019666369 ||
| creditfundingconvexityadjustedpv => 6.799019666368452E-4 ||
| creditfundingconvexityadjustedrate => 0.0026999999999998644 ||
| creditfundingconvexityadjustedupfront => 6.799019666368452E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06799019666369 ||
| creditfxconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06799019666369 ||
| creditfxconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| creditfxconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| creditfxconvexityadjustedfairpremium => 0.0026999999999998644 ||
| creditfxconvexityadjustedparrate => 0.0026999999999998644 ||
| creditfxconvexityadjustedprice => 100.06799019666369 ||
| creditfxconvexityadjustedpv => 6.799019666368452E-4 ||
| creditfxconvexityadjustedrate => 0.0026999999999998644 ||
| creditfxconvexityadjustedupfront => 6.799019666368452E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06799019666369 ||
| cumulativeconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06799019666369 ||
| cumulativeconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.0026999999999998644 ||
| cumulativeconvexityadjustedparrate => 0.0026999999999998644 ||
| cumulativeconvexityadjustedprice => 100.06799019666369 ||
| cumulativeconvexityadjustedpv => 6.799019666368452E-4 ||
| cumulativeconvexityadjustedrate => 0.0026999999999998644 ||
| cumulativeconvexityadjustedupfront => 6.799019666368452E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5181554319884422E-5 ||
| dirtydv01 => 2.5181554319884422E-5 ||
| dirtyprice => 100.06799019666369 ||
| dirtypv => 6.799019666368452E-4 ||
| dv01 => 2.5181554319884422E-5 ||
| fairpremium => 0.0026999999999998644 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06799019666369 ||
| forwardfundingconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06799019666369 ||
| forwardfundingconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.0026999999999998644 ||
| forwardfundingconvexityadjustedparrate => 0.0026999999999998644 ||
| forwardfundingconvexityadjustedprice => 100.06799019666369 ||
| forwardfundingconvexityadjustedpv => 6.799019666368452E-4 ||
| forwardfundingconvexityadjustedrate => 0.0026999999999998644 ||
| forwardfundingconvexityadjustedupfront => 6.799019666368452E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06799019666369 ||
| forwardfxconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06799019666369 ||
| forwardfxconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.0026999999999998644 ||
| forwardfxconvexityadjustedparrate => 0.0026999999999998644 ||
| forwardfxconvexityadjustedprice => 100.06799019666369 ||
| forwardfxconvexityadjustedpv => 6.799019666368452E-4 ||
| forwardfxconvexityadjustedrate => 0.0026999999999998644 ||
| forwardfxconvexityadjustedupfront => 6.799019666368452E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.0026999999999998644 ||
| fundingfxconvexityadjustedcleandv01 => 2.5181554319884422E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06799019666369 ||
| fundingfxconvexityadjustedcleanpv => 6.799019666368452E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5181554319884422E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06799019666369 ||
| fundingfxconvexityadjusteddirtypv => 6.799019666368452E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5181554319884422E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.0026999999999998644 ||
| fundingfxconvexityadjustedparrate => 0.0026999999999998644 ||
| fundingfxconvexityadjustedprice => 100.06799019666369 ||
| fundingfxconvexityadjustedpv => 6.799019666368452E-4 ||
| fundingfxconvexityadjustedrate => 0.0026999999999998644 ||
| fundingfxconvexityadjustedupfront => 6.799019666368452E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.0026999999999998644 ||
| price => 100.06799019666369 ||
| pv => 6.799019666368452E-4 ||
| rate => 0.0026999999999998644 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002699999999999864 ||
| unadjustedcleandv01 => 2.5181554319884422E-5 ||
| unadjustedcleanprice => 100.06799019666369 ||
| unadjustedcleanpv => 6.799019666368452E-4 ||
| unadjusteddirtydv01 => 2.5181554319884422E-5 ||
| unadjusteddirtyprice => 100.06799019666369 ||
| unadjusteddirtypv => 6.799019666368452E-4 ||
| unadjustedfairpremium => 0.0026999999999998644 ||
| unadjustedparrate => 0.0026999999999998644 ||
| unadjustedprice => 100.06799019666369 ||
| unadjustedpv => 6.799019666368452E-4 ||
| unadjustedrate => 0.0026999999999998644 ||
| unadjustedupfront => 6.799019666368452E-4 ||
| upfront => 6.799019666368452E-4 ||
|------------------------------||
|----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2521 | 3M | CAD | CAD-CDOR-3M | 0.9991 | 0.27% ||
|----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 6.2E-5 ||
| cleandv01 => 2.5530963831978955E-5 ||
| cleanprice => 100.06893360234635 ||
| cleanpv => 6.893360234635112E-4 ||
| compoundingadjustedcleandv01 => 2.5530963831978955E-5 ||
| compoundingadjustedcleanprice => 100.06893360234635 ||
| compoundingadjustedcleanpv => 6.893360234635112E-4 ||
| compoundingadjusteddirtydv01 => 2.5530963831978955E-5 ||
| compoundingadjusteddirtyprice => 100.06893360234635 ||
| compoundingadjusteddirtypv => 6.893360234635112E-4 ||
| compoundingadjustedfairpremium => 0.002700000000000311 ||
| compoundingadjustedparrate => 0.002700000000000311 ||
| compoundingadjustedprice => 100.06893360234635 ||
| compoundingadjustedpv => 6.893360234635112E-4 ||
| compoundingadjustedrate => 0.002700000000000311 ||
| compoundingadjustedupfront => 6.893360234635112E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06893360234635 ||
| creditforwardconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditforwardconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditforwardconvexityadjustedparrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedprice => 100.06893360234635 ||
| creditforwardconvexityadjustedpv => 6.893360234635112E-4 ||
| creditforwardconvexityadjustedrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06893360234635 ||
| creditfundingconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditfundingconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfundingconvexityadjustedparrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedprice => 100.06893360234635 ||
| creditfundingconvexityadjustedpv => 6.893360234635112E-4 ||
| creditfundingconvexityadjustedrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06893360234635 ||
| creditfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfxconvexityadjustedparrate => 0.002700000000000311 ||
| creditfxconvexityadjustedprice => 100.06893360234635 ||
| creditfxconvexityadjustedpv => 6.893360234635112E-4 ||
| creditfxconvexityadjustedrate => 0.002700000000000311 ||
| creditfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06893360234635 ||
| cumulativeconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06893360234635 ||
| cumulativeconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002700000000000311 ||
| cumulativeconvexityadjustedparrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedprice => 100.06893360234635 ||
| cumulativeconvexityadjustedpv => 6.893360234635112E-4 ||
| cumulativeconvexityadjustedrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedupfront => 6.893360234635112E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5530963831978955E-5 ||
| dirtydv01 => 2.5530963831978955E-5 ||
| dirtyprice => 100.06893360234635 ||
| dirtypv => 6.893360234635112E-4 ||
| dv01 => 2.5530963831978955E-5 ||
| fairpremium => 0.002700000000000311 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06893360234635 ||
| forwardfundingconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06893360234635 ||
| forwardfundingconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfundingconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedprice => 100.06893360234635 ||
| forwardfundingconvexityadjustedpv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjustedrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedupfront => 6.893360234635112E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06893360234635 ||
| forwardfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| forwardfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfxconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedprice => 100.06893360234635 ||
| forwardfxconvexityadjustedpv => 6.893360234635112E-4 ||
| forwardfxconvexityadjustedrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06893360234635 ||
| fundingfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| fundingfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| fundingfxconvexityadjustedparrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedprice => 100.06893360234635 ||
| fundingfxconvexityadjustedpv => 6.893360234635112E-4 ||
| fundingfxconvexityadjustedrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002700000000000311 ||
| price => 100.06893360234635 ||
| pv => 6.893360234635112E-4 ||
| rate => 0.002700000000000311 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002700000000000311 ||
| unadjustedcleandv01 => 2.5530963831978955E-5 ||
| unadjustedcleanprice => 100.06893360234635 ||
| unadjustedcleanpv => 6.893360234635112E-4 ||
| unadjusteddirtydv01 => 2.5530963831978955E-5 ||
| unadjusteddirtyprice => 100.06893360234635 ||
| unadjusteddirtypv => 6.893360234635112E-4 ||
| unadjustedfairpremium => 0.002700000000000311 ||
| unadjustedparrate => 0.002700000000000311 ||
| unadjustedprice => 100.06893360234635 ||
| unadjustedpv => 6.893360234635112E-4 ||
| unadjustedrate => 0.002700000000000311 ||
| unadjustedupfront => 6.893360234635112E-4 ||
| upfront => 6.893360234635112E-4 ||
|------------------------------||
|-----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|-----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2556 | 3M | CHF | CHF-LIBOR-3M | 0.9990 | 0.27% ||
|-----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 8.67E-5 ||
| cleandv01 => 2.5530963831978955E-5 ||
| cleanprice => 100.06893360234635 ||
| cleanpv => 6.893360234635112E-4 ||
| compoundingadjustedcleandv01 => 2.5530963831978955E-5 ||
| compoundingadjustedcleanprice => 100.06893360234635 ||
| compoundingadjustedcleanpv => 6.893360234635112E-4 ||
| compoundingadjusteddirtydv01 => 2.5530963831978955E-5 ||
| compoundingadjusteddirtyprice => 100.06893360234635 ||
| compoundingadjusteddirtypv => 6.893360234635112E-4 ||
| compoundingadjustedfairpremium => 0.002700000000000311 ||
| compoundingadjustedparrate => 0.002700000000000311 ||
| compoundingadjustedprice => 100.06893360234635 ||
| compoundingadjustedpv => 6.893360234635112E-4 ||
| compoundingadjustedrate => 0.002700000000000311 ||
| compoundingadjustedupfront => 6.893360234635112E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06893360234635 ||
| creditforwardconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditforwardconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditforwardconvexityadjustedparrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedprice => 100.06893360234635 ||
| creditforwardconvexityadjustedpv => 6.893360234635112E-4 ||
| creditforwardconvexityadjustedrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06893360234635 ||
| creditfundingconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditfundingconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfundingconvexityadjustedparrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedprice => 100.06893360234635 ||
| creditfundingconvexityadjustedpv => 6.893360234635112E-4 ||
| creditfundingconvexityadjustedrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06893360234635 ||
| creditfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| creditfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| creditfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfxconvexityadjustedparrate => 0.002700000000000311 ||
| creditfxconvexityadjustedprice => 100.06893360234635 ||
| creditfxconvexityadjustedpv => 6.893360234635112E-4 ||
| creditfxconvexityadjustedrate => 0.002700000000000311 ||
| creditfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06893360234635 ||
| cumulativeconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06893360234635 ||
| cumulativeconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002700000000000311 ||
| cumulativeconvexityadjustedparrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedprice => 100.06893360234635 ||
| cumulativeconvexityadjustedpv => 6.893360234635112E-4 ||
| cumulativeconvexityadjustedrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedupfront => 6.893360234635112E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5530963831978955E-5 ||
| dirtydv01 => 2.5530963831978955E-5 ||
| dirtyprice => 100.06893360234635 ||
| dirtypv => 6.893360234635112E-4 ||
| dv01 => 2.5530963831978955E-5 ||
| fairpremium => 0.002700000000000311 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06893360234635 ||
| forwardfundingconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06893360234635 ||
| forwardfundingconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfundingconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedprice => 100.06893360234635 ||
| forwardfundingconvexityadjustedpv => 6.893360234635112E-4 ||
| forwardfundingconvexityadjustedrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedupfront => 6.893360234635112E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06893360234635 ||
| forwardfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| forwardfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfxconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedprice => 100.06893360234635 ||
| forwardfxconvexityadjustedpv => 6.893360234635112E-4 ||
| forwardfxconvexityadjustedrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedcleandv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06893360234635 ||
| fundingfxconvexityadjustedcleanpv => 6.893360234635112E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06893360234635 ||
| fundingfxconvexityadjusteddirtypv => 6.893360234635112E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5530963831978955E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| fundingfxconvexityadjustedparrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedprice => 100.06893360234635 ||
| fundingfxconvexityadjustedpv => 6.893360234635112E-4 ||
| fundingfxconvexityadjustedrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedupfront => 6.893360234635112E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002700000000000311 ||
| price => 100.06893360234635 ||
| pv => 6.893360234635112E-4 ||
| rate => 0.002700000000000311 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002700000000000311 ||
| unadjustedcleandv01 => 2.5530963831978955E-5 ||
| unadjustedcleanprice => 100.06893360234635 ||
| unadjustedcleanpv => 6.893360234635112E-4 ||
| unadjusteddirtydv01 => 2.5530963831978955E-5 ||
| unadjusteddirtyprice => 100.06893360234635 ||
| unadjusteddirtypv => 6.893360234635112E-4 ||
| unadjustedfairpremium => 0.002700000000000311 ||
| unadjustedparrate => 0.002700000000000311 ||
| unadjustedprice => 100.06893360234635 ||
| unadjustedpv => 6.893360234635112E-4 ||
| unadjustedrate => 0.002700000000000311 ||
| unadjustedupfront => 6.893360234635112E-4 ||
| upfront => 6.893360234635112E-4 ||
|------------------------------||
|-------------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|-------------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2556 | 3M | EUR | EUR-EURIBOR-3M | 0.9990 | 0.27% ||
|-------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 6.29E-5 ||
| cleandv01 => 2.5530988872472373E-5 ||
| cleanprice => 100.06893366995568 ||
| cleanpv => 6.893366995568335E-4 ||
| compoundingadjustedcleandv01 => 2.5530988872472373E-5 ||
| compoundingadjustedcleanprice => 100.06893366995568 ||
| compoundingadjustedcleanpv => 6.893366995568335E-4 ||
| compoundingadjusteddirtydv01 => 2.5530988872472373E-5 ||
| compoundingadjusteddirtyprice => 100.06893366995568 ||
| compoundingadjusteddirtypv => 6.893366995568335E-4 ||
| compoundingadjustedfairpremium => 0.002700000000000311 ||
| compoundingadjustedparrate => 0.002700000000000311 ||
| compoundingadjustedprice => 100.06893366995568 ||
| compoundingadjustedpv => 6.893366995568335E-4 ||
| compoundingadjustedrate => 0.002700000000000311 ||
| compoundingadjustedupfront => 6.893366995568335E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06893366995568 ||
| creditforwardconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06893366995568 ||
| creditforwardconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditforwardconvexityadjustedparrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedprice => 100.06893366995568 ||
| creditforwardconvexityadjustedpv => 6.893366995568335E-4 ||
| creditforwardconvexityadjustedrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedupfront => 6.893366995568335E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06893366995568 ||
| creditfundingconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06893366995568 ||
| creditfundingconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfundingconvexityadjustedparrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedprice => 100.06893366995568 ||
| creditfundingconvexityadjustedpv => 6.893366995568335E-4 ||
| creditfundingconvexityadjustedrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedupfront => 6.893366995568335E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06893366995568 ||
| creditfxconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06893366995568 ||
| creditfxconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| creditfxconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfxconvexityadjustedparrate => 0.002700000000000311 ||
| creditfxconvexityadjustedprice => 100.06893366995568 ||
| creditfxconvexityadjustedpv => 6.893366995568335E-4 ||
| creditfxconvexityadjustedrate => 0.002700000000000311 ||
| creditfxconvexityadjustedupfront => 6.893366995568335E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06893366995568 ||
| cumulativeconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06893366995568 ||
| cumulativeconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002700000000000311 ||
| cumulativeconvexityadjustedparrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedprice => 100.06893366995568 ||
| cumulativeconvexityadjustedpv => 6.893366995568335E-4 ||
| cumulativeconvexityadjustedrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedupfront => 6.893366995568335E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5530988872472373E-5 ||
| dirtydv01 => 2.5530988872472373E-5 ||
| dirtyprice => 100.06893366995568 ||
| dirtypv => 6.893366995568335E-4 ||
| dv01 => 2.5530988872472373E-5 ||
| fairpremium => 0.002700000000000311 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06893366995568 ||
| forwardfundingconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06893366995568 ||
| forwardfundingconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfundingconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedprice => 100.06893366995568 ||
| forwardfundingconvexityadjustedpv => 6.893366995568335E-4 ||
| forwardfundingconvexityadjustedrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedupfront => 6.893366995568335E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06893366995568 ||
| forwardfxconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06893366995568 ||
| forwardfxconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfxconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedprice => 100.06893366995568 ||
| forwardfxconvexityadjustedpv => 6.893366995568335E-4 ||
| forwardfxconvexityadjustedrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedupfront => 6.893366995568335E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedcleandv01 => 2.5530988872472373E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06893366995568 ||
| fundingfxconvexityadjustedcleanpv => 6.893366995568335E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5530988872472373E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06893366995568 ||
| fundingfxconvexityadjusteddirtypv => 6.893366995568335E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5530988872472373E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| fundingfxconvexityadjustedparrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedprice => 100.06893366995568 ||
| fundingfxconvexityadjustedpv => 6.893366995568335E-4 ||
| fundingfxconvexityadjustedrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedupfront => 6.893366995568335E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002700000000000311 ||
| price => 100.06893366995568 ||
| pv => 6.893366995568335E-4 ||
| rate => 0.002700000000000311 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002700000000000311 ||
| unadjustedcleandv01 => 2.5530988872472373E-5 ||
| unadjustedcleanprice => 100.06893366995568 ||
| unadjustedcleanpv => 6.893366995568335E-4 ||
| unadjusteddirtydv01 => 2.5530988872472373E-5 ||
| unadjusteddirtyprice => 100.06893366995568 ||
| unadjusteddirtypv => 6.893366995568335E-4 ||
| unadjustedfairpremium => 0.002700000000000311 ||
| unadjustedparrate => 0.002700000000000311 ||
| unadjustedprice => 100.06893366995568 ||
| unadjustedpv => 6.893366995568335E-4 ||
| unadjustedrate => 0.002700000000000311 ||
| unadjustedupfront => 6.893366995568335E-4 ||
| upfront => 6.893366995568335E-4 ||
|------------------------------||
|-----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|-----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2556 | 3M | USD | USD-LIBOR-3M | 0.9990 | 0.27% ||
|-----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:24 EST 2020
| Setup Time => Mon Jan 27 07:30:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 6.0200000000000006E-5 ||
| cleandv01 => 2.5181556607399018E-5 ||
| cleanprice => 100.06799020283998 ||
| cleanpv => 6.799020283997393E-4 ||
| compoundingadjustedcleandv01 => 2.5181556607399018E-5 ||
| compoundingadjustedcleanprice => 100.06799020283998 ||
| compoundingadjustedcleanpv => 6.799020283997393E-4 ||
| compoundingadjusteddirtydv01 => 2.5181556607399018E-5 ||
| compoundingadjusteddirtyprice => 100.06799020283998 ||
| compoundingadjusteddirtypv => 6.799020283997393E-4 ||
| compoundingadjustedfairpremium => 0.002699999999999864 ||
| compoundingadjustedparrate => 0.002699999999999864 ||
| compoundingadjustedprice => 100.06799020283998 ||
| compoundingadjustedpv => 6.799020283997393E-4 ||
| compoundingadjustedrate => 0.002699999999999864 ||
| compoundingadjustedupfront => 6.799020283997393E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.06799020283998 ||
| creditforwardconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.06799020283998 ||
| creditforwardconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002699999999999864 ||
| creditforwardconvexityadjustedparrate => 0.002699999999999864 ||
| creditforwardconvexityadjustedprice => 100.06799020283998 ||
| creditforwardconvexityadjustedpv => 6.799020283997393E-4 ||
| creditforwardconvexityadjustedrate => 0.002699999999999864 ||
| creditforwardconvexityadjustedupfront => 6.799020283997393E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.06799020283998 ||
| creditfundingconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.06799020283998 ||
| creditfundingconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002699999999999864 ||
| creditfundingconvexityadjustedparrate => 0.002699999999999864 ||
| creditfundingconvexityadjustedprice => 100.06799020283998 ||
| creditfundingconvexityadjustedpv => 6.799020283997393E-4 ||
| creditfundingconvexityadjustedrate => 0.002699999999999864 ||
| creditfundingconvexityadjustedupfront => 6.799020283997393E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| creditfxconvexityadjustedcleanprice => 100.06799020283998 ||
| creditfxconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.06799020283998 ||
| creditfxconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| creditfxconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002699999999999864 ||
| creditfxconvexityadjustedparrate => 0.002699999999999864 ||
| creditfxconvexityadjustedprice => 100.06799020283998 ||
| creditfxconvexityadjustedpv => 6.799020283997393E-4 ||
| creditfxconvexityadjustedrate => 0.002699999999999864 ||
| creditfxconvexityadjustedupfront => 6.799020283997393E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.06799020283998 ||
| cumulativeconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.06799020283998 ||
| cumulativeconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002699999999999864 ||
| cumulativeconvexityadjustedparrate => 0.002699999999999864 ||
| cumulativeconvexityadjustedprice => 100.06799020283998 ||
| cumulativeconvexityadjustedpv => 6.799020283997393E-4 ||
| cumulativeconvexityadjustedrate => 0.002699999999999864 ||
| cumulativeconvexityadjustedupfront => 6.799020283997393E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5181556607399018E-5 ||
| dirtydv01 => 2.5181556607399018E-5 ||
| dirtyprice => 100.06799020283998 ||
| dirtypv => 6.799020283997393E-4 ||
| dv01 => 2.5181556607399018E-5 ||
| fairpremium => 0.002699999999999864 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.06799020283998 ||
| forwardfundingconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.06799020283998 ||
| forwardfundingconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002699999999999864 ||
| forwardfundingconvexityadjustedparrate => 0.002699999999999864 ||
| forwardfundingconvexityadjustedprice => 100.06799020283998 ||
| forwardfundingconvexityadjustedpv => 6.799020283997393E-4 ||
| forwardfundingconvexityadjustedrate => 0.002699999999999864 ||
| forwardfundingconvexityadjustedupfront => 6.799020283997393E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.06799020283998 ||
| forwardfxconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.06799020283998 ||
| forwardfxconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002699999999999864 ||
| forwardfxconvexityadjustedparrate => 0.002699999999999864 ||
| forwardfxconvexityadjustedprice => 100.06799020283998 ||
| forwardfxconvexityadjustedpv => 6.799020283997393E-4 ||
| forwardfxconvexityadjustedrate => 0.002699999999999864 ||
| forwardfxconvexityadjustedupfront => 6.799020283997393E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002699999999999864 ||
| fundingfxconvexityadjustedcleandv01 => 2.5181556607399018E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.06799020283998 ||
| fundingfxconvexityadjustedcleanpv => 6.799020283997393E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5181556607399018E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.06799020283998 ||
| fundingfxconvexityadjusteddirtypv => 6.799020283997393E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5181556607399018E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002699999999999864 ||
| fundingfxconvexityadjustedparrate => 0.002699999999999864 ||
| fundingfxconvexityadjustedprice => 100.06799020283998 ||
| fundingfxconvexityadjustedpv => 6.799020283997393E-4 ||
| fundingfxconvexityadjustedrate => 0.002699999999999864 ||
| fundingfxconvexityadjustedupfront => 6.799020283997393E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002699999999999864 ||
| price => 100.06799020283998 ||
| pv => 6.799020283997393E-4 ||
| rate => 0.002699999999999864 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002699999999999864 ||
| unadjustedcleandv01 => 2.5181556607399018E-5 ||
| unadjustedcleanprice => 100.06799020283998 ||
| unadjustedcleanpv => 6.799020283997393E-4 ||
| unadjusteddirtydv01 => 2.5181556607399018E-5 ||
| unadjusteddirtyprice => 100.06799020283998 ||
| unadjusteddirtypv => 6.799020283997393E-4 ||
| unadjustedfairpremium => 0.002699999999999864 ||
| unadjustedparrate => 0.002699999999999864 ||
| unadjustedprice => 100.06799020283998 ||
| unadjustedpv => 6.799020283997393E-4 ||
| unadjustedrate => 0.002699999999999864 ||
| unadjustedupfront => 6.799020283997393E-4 ||
| upfront => 6.799020283997393E-4 ||
|------------------------------||
|-----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|-----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2521 | 3M | GBP | GBP-LIBOR-3M | 0.9991 | 0.27% ||
|-----------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:25 EST 2020
| Setup Time => Mon Jan 27 07:30:25 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
| accrualcoupon => NaN ||
| accrued => 0.0 ||
| accrued01 => 0.0 ||
| calctime => 6.3E-5 ||
| cleandv01 => 2.5530980207105314E-5 ||
| cleanprice => 100.0689336465592 ||
| cleanpv => 6.893364655919229E-4 ||
| compoundingadjustedcleandv01 => 2.5530980207105314E-5 ||
| compoundingadjustedcleanprice => 100.0689336465592 ||
| compoundingadjustedcleanpv => 6.893364655919229E-4 ||
| compoundingadjusteddirtydv01 => 2.5530980207105314E-5 ||
| compoundingadjusteddirtyprice => 100.0689336465592 ||
| compoundingadjusteddirtypv => 6.893364655919229E-4 ||
| compoundingadjustedfairpremium => 0.002700000000000311 ||
| compoundingadjustedparrate => 0.002700000000000311 ||
| compoundingadjustedprice => 100.0689336465592 ||
| compoundingadjustedpv => 6.893364655919229E-4 ||
| compoundingadjustedrate => 0.002700000000000311 ||
| compoundingadjustedupfront => 6.893364655919229E-4 ||
| compoundingadjustmentfactor => 1.0 ||
| compoundingadjustmentpremium => 0.0 ||
| compoundingadjustmentpremiumupfront => 0.0 ||
| creditforwardconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| creditforwardconvexityadjustedcleanprice => 100.0689336465592 ||
| creditforwardconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| creditforwardconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| creditforwardconvexityadjusteddirtyprice => 100.0689336465592 ||
| creditforwardconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| creditforwardconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| creditforwardconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditforwardconvexityadjustedparrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedprice => 100.0689336465592 ||
| creditforwardconvexityadjustedpv => 6.893364655919229E-4 ||
| creditforwardconvexityadjustedrate => 0.002700000000000311 ||
| creditforwardconvexityadjustedupfront => 6.893364655919229E-4 ||
| creditforwardconvexityadjustmentfactor => 1.0 ||
| creditforwardconvexityadjustmentpremium => 0.0 ||
| creditforwardconvexityadjustmentpremiumupfront => 0.0 ||
| creditfundingconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| creditfundingconvexityadjustedcleanprice => 100.0689336465592 ||
| creditfundingconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| creditfundingconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| creditfundingconvexityadjusteddirtyprice => 100.0689336465592 ||
| creditfundingconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| creditfundingconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| creditfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfundingconvexityadjustedparrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedprice => 100.0689336465592 ||
| creditfundingconvexityadjustedpv => 6.893364655919229E-4 ||
| creditfundingconvexityadjustedrate => 0.002700000000000311 ||
| creditfundingconvexityadjustedupfront => 6.893364655919229E-4 ||
| creditfundingconvexityadjustmentfactor => 1.0 ||
| creditfundingconvexityadjustmentpremium => 0.0 ||
| creditfundingconvexityadjustmentpremiumupfront => 0.0 ||
| creditfxconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| creditfxconvexityadjustedcleanprice => 100.0689336465592 ||
| creditfxconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| creditfxconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| creditfxconvexityadjusteddirtyprice => 100.0689336465592 ||
| creditfxconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| creditfxconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| creditfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| creditfxconvexityadjustedparrate => 0.002700000000000311 ||
| creditfxconvexityadjustedprice => 100.0689336465592 ||
| creditfxconvexityadjustedpv => 6.893364655919229E-4 ||
| creditfxconvexityadjustedrate => 0.002700000000000311 ||
| creditfxconvexityadjustedupfront => 6.893364655919229E-4 ||
| creditfxconvexityadjustmentfactor => 1.0 ||
| creditfxconvexityadjustmentpremium => 0.0 ||
| creditfxconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativeconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| cumulativeconvexityadjustedcleanprice => 100.0689336465592 ||
| cumulativeconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| cumulativeconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| cumulativeconvexityadjusteddirtyprice => 100.0689336465592 ||
| cumulativeconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| cumulativeconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| cumulativeconvexityadjustedfairpremium => 0.002700000000000311 ||
| cumulativeconvexityadjustedparrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedprice => 100.0689336465592 ||
| cumulativeconvexityadjustedpv => 6.893364655919229E-4 ||
| cumulativeconvexityadjustedrate => 0.002700000000000311 ||
| cumulativeconvexityadjustedupfront => 6.893364655919229E-4 ||
| cumulativeconvexityadjustmentfactor => 1.0 ||
| cumulativeconvexityadjustmentpremium => 0.0 ||
| cumulativeconvexityadjustmentpremiumupfront => 0.0 ||
| cumulativecouponamount => 0.0 ||
| cumulativecoupondcf => 0.0 ||
| cv01 => 2.5530980207105314E-5 ||
| dirtydv01 => 2.5530980207105314E-5 ||
| dirtyprice => 100.0689336465592 ||
| dirtypv => 6.893364655919229E-4 ||
| dv01 => 2.5530980207105314E-5 ||
| fairpremium => 0.002700000000000311 ||
| fixing01 => 0.0 ||
| forwardfundingconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| forwardfundingconvexityadjustedcleanprice => 100.0689336465592 ||
| forwardfundingconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| forwardfundingconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| forwardfundingconvexityadjusteddirtyprice => 100.0689336465592 ||
| forwardfundingconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| forwardfundingconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| forwardfundingconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfundingconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedprice => 100.0689336465592 ||
| forwardfundingconvexityadjustedpv => 6.893364655919229E-4 ||
| forwardfundingconvexityadjustedrate => 0.002700000000000311 ||
| forwardfundingconvexityadjustedupfront => 6.893364655919229E-4 ||
| forwardfundingconvexityadjustmentfactor => 1.0 ||
| forwardfundingconvexityadjustmentpremium => 0.0 ||
| forwardfundingconvexityadjustmentpremiumupfront => 0.0 ||
| forwardfxconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| forwardfxconvexityadjustedcleanprice => 100.0689336465592 ||
| forwardfxconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| forwardfxconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| forwardfxconvexityadjusteddirtyprice => 100.0689336465592 ||
| forwardfxconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| forwardfxconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| forwardfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| forwardfxconvexityadjustedparrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedprice => 100.0689336465592 ||
| forwardfxconvexityadjustedpv => 6.893364655919229E-4 ||
| forwardfxconvexityadjustedrate => 0.002700000000000311 ||
| forwardfxconvexityadjustedupfront => 6.893364655919229E-4 ||
| forwardfxconvexityadjustmentfactor => 1.0 ||
| forwardfxconvexityadjustmentpremium => 0.0 ||
| forwardfxconvexityadjustmentpremiumupfront => 0.0 ||
| forwardrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedcleandv01 => 2.5530980207105314E-5 ||
| fundingfxconvexityadjustedcleanprice => 100.0689336465592 ||
| fundingfxconvexityadjustedcleanpv => 6.893364655919229E-4 ||
| fundingfxconvexityadjusteddirtydv01 => 2.5530980207105314E-5 ||
| fundingfxconvexityadjusteddirtyprice => 100.0689336465592 ||
| fundingfxconvexityadjusteddirtypv => 6.893364655919229E-4 ||
| fundingfxconvexityadjusteddv01 => 2.5530980207105314E-5 ||
| fundingfxconvexityadjustedfairpremium => 0.002700000000000311 ||
| fundingfxconvexityadjustedparrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedprice => 100.0689336465592 ||
| fundingfxconvexityadjustedpv => 6.893364655919229E-4 ||
| fundingfxconvexityadjustedrate => 0.002700000000000311 ||
| fundingfxconvexityadjustedupfront => 6.893364655919229E-4 ||
| fundingfxconvexityadjustmentfactor => 1.0 ||
| fundingfxconvexityadjustmentpremium => 0.0 ||
| fundingfxconvexityadjustmentpremiumupfront => 0.0 ||
| parrate => 0.002700000000000311 ||
| price => 100.0689336465592 ||
| pv => 6.893364655919229E-4 ||
| rate => 0.002700000000000311 ||
| resetdate => -2.147483648E9 ||
| resetrate => NaN ||
| totalcoupon => 0.002700000000000311 ||
| unadjustedcleandv01 => 2.5530980207105314E-5 ||
| unadjustedcleanprice => 100.0689336465592 ||
| unadjustedcleanpv => 6.893364655919229E-4 ||
| unadjusteddirtydv01 => 2.5530980207105314E-5 ||
| unadjusteddirtyprice => 100.0689336465592 ||
| unadjusteddirtypv => 6.893364655919229E-4 ||
| unadjustedfairpremium => 0.002700000000000311 ||
| unadjustedparrate => 0.002700000000000311 ||
| unadjustedprice => 100.0689336465592 ||
| unadjustedpv => 6.893364655919229E-4 ||
| unadjustedrate => 0.002700000000000311 ||
| unadjustedupfront => 6.893364655919229E-4 ||
| upfront => 6.893364655919229E-4 ||
|------------------------------||
|-----------------------------------------------------------------------------------------------------------------------||
| Cash Flow Details ||
| ----------------- ||
| Start Date ||
| End Date ||
| Pay Date ||
| FX Fixing Date ||
| Base Notional ||
| Period DCF ||
| Tenor ||
| Funding Label ||
| Forward Label ||
| Pay Discount Factor ||
| Coupon Rate ||
|-----------------------------------------------------------------------------------------------------------------------||
| [15-MAR-2020 - 15-JUN-2020] => 15-JUN-2020 | 15-JUN-2020 | 1.0000 | 0.2556 | 3M | JPY | JPY-LIBOR-3M | 0.9990 | 0.27% ||
|-----------------------------------------------------------------------------------------------------------------------||