|-----------------------------------------------------------------|
| 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 01:02:29 EST 2020
| Setup Time => Mon Jan 27 01:02:29 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|------------------------------||
| TREASURY FUTURES CONTRACT ||
| -------- ------- -------- ||
| ||
| L -> R: ||
| ||
| Futures Code ||
| Futures ID ||
| Treasury Code ||
| Futures Tenor ||
| Treasury Type ||
| ||
|------------------------------||
| G1 | G1 | GILT | 10Y | NOTE ||
| CN1 | CN1 | CAN | 10Y | NOTE ||
| DGB | DGB | DGB | 10Y | NOTE ||
| DU1 | DU1 | DBR | 02Y | NOTE ||
| FV1 | FV1 | UST | 05Y | NOTE ||
| IK1 | IK1 | BTPS | 10Y | NOTE ||
| JB1 | JB1 | JGB | 10Y | NOTE ||
| OE1 | OE1 | DBR | 05Y | NOTE ||
| RX1 | RX1 | DBR | 10Y | NOTE ||
| TU1 | TU1 | UST | 02Y | NOTE ||
| TY1 | TY1 | UST | 10Y | NOTE ||
| UB1 | UB1 | DBR | 30Y | NOTE ||
| US1 | US1 | UST | 20Y | NOTE ||
| WB1 | WB1 | GILT | 02Y | NOTE ||
| WN1 | WN1 | UST | 30Y | NOTE ||
| XM1 | XM1 | AGB | 10Y | NOTE ||
| YM1 | YM1 | AGB | 03Y | NOTE ||
| BOBL | OE1 | DBR | 05Y | NOTE ||
| BUND | RX1 | DBR | 10Y | NOTE ||
| BUXL | UB1 | DBR | 30Y | NOTE ||
| FBB1 | FBB1 | SPGB | 10Y | NOTE ||
| OAT1 | OAT1 | FRTR | 10Y | NOTE ||
| ULTRA | WN1 | UST | 30Y | NOTE ||
| GSWISS | GSWISS | GSWISS | 10Y | NOTE ||
| SCHATZ | DU1 | DBR | 02Y | NOTE ||
|------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:29 EST 2020
| Setup Time => Mon Jan 27 01:02:29 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
Name: AUD-BANKBILLS-3M | Currency: AUD | Calendar: AUD | Underlier Type: BANK | Underlier Sub-type: BILLS | Maturity Tenor: 3M | Basket Notional: 1000000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 100000.0 | CODES => {AUD-BANKBILLS-3M} | EXCHANGES => (ASX)
[DateInMonth => Instance Generator Rule: 2 | From Back Flag: false | Day Of Week: 4 | Week In Month: 2 | Specific Day In Month: -1 | Lag: -1]
[Futures Eligibility => Maturity Band: 85D -> 95D] [Issuers: Australia and New Zealand Banking Group Limited | Commonwealth Bank of Australia | National Australia Bank Limited | Westpac Banking Corporation] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 1 | Wild Card: false | Current Reference Coupon: NaN | Original Reference Coupon: NaN | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: AUD-TREASURY-BOND-3Y | Currency: AUD | Calendar: AUD | Underlier Type: TREASURY | Underlier Sub-type: BOND | Maturity Tenor: 3Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {YMA} | EXCHANGES => (SFE)
[DateInMonth => Instance Generator Rule: 2 | From Back Flag: false | Day Of Week: 4 | Week In Month: 2 | Specific Day In Month: -1 | Lag: -1]
[Futures Eligibility => Maturity Band: 2Y -> 4Y] [Issuers: ] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 1 | Settlement Quote Style: 3 | Wild Card: false | Current Reference Coupon: NaN | Original Reference Coupon: NaN | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: AUD-TREASURY-BOND-10Y | Currency: AUD | Calendar: AUD | Underlier Type: TREASURY | Underlier Sub-type: BOND | Maturity Tenor: 10Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {XMA} | EXCHANGES => (SFE)
[DateInMonth => Instance Generator Rule: 2 | From Back Flag: false | Day Of Week: 4 | Week In Month: 2 | Specific Day In Month: -1 | Lag: -1]
[Futures Eligibility => Maturity Band: 8Y -> 12Y] [Issuers: ] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 1 | Settlement Quote Style: 3 | Wild Card: false | Current Reference Coupon: NaN | Original Reference Coupon: NaN | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: EUR EURO-BUND | Currency: EUR | Calendar: EUR | Underlier Type: EURO | Underlier Sub-type: SCHATZ | Maturity Tenor: 2Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {SCHATZ | EXCHANGES => (EUREX, NLX)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 10]
[Futures Eligibility => Maturity Band: 21M -> 27M] [Issuers: EUR-Germany SCHATZ Bonds] [Minimum Outstanding Notional: 5.0E9]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 2 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: EUR EURO-BUND | Currency: EUR | Calendar: EUR | Underlier Type: EURO | Underlier Sub-type: BOBL | Maturity Tenor: 5Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {BOBL | EXCHANGES => (EUREX, NLX)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 10]
[Futures Eligibility => Maturity Band: 54M -> 66M] [Issuers: EUR-Germany BOBL Bonds] [Minimum Outstanding Notional: 5.0E9]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 2 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: EUR EURO-BUND | Currency: EUR | Calendar: EUR | Underlier Type: EURO | Underlier Sub-type: BUND | Maturity Tenor: 10Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {BUND | EXCHANGES => (EUREX, NLX)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 10]
[Futures Eligibility => Maturity Band: 102M -> 126M] [Issuers: EUR-Germany BUND Bonds] [Minimum Outstanding Notional: 5.0E9]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 2 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: EUR EURO-BUXL | Currency: EUR | Calendar: EUR | Underlier Type: EURO | Underlier Sub-type: BUXL | Maturity Tenor: 30Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {BUXL} | EXCHANGES => (EUREX)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 10]
[Futures Eligibility => Maturity Band: 24Y -> 35Y] [Issuers: EUR-Germany BUXL Bonds] [Minimum Outstanding Notional: 5.0E9]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 2 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.04 | Original Reference Coupon: 0.04 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: EUR 10Y BONO | Currency: EUR | Calendar: EUR | Underlier Type: TREASURY | Underlier Sub-type: BONO | Maturity Tenor: 10Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {10Y-BONO | EXCHANGES => (MEFF, SENAF)
[DateInMonth => Instance Generator Rule: 3 | From Back Flag: false | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: 10 | Lag: -1]
[Futures Eligibility => Maturity Band: 102M -> MAX] [Issuers: EUR BONO] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: -2 | Expiry To Last Trading Lag: -2 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: GBP SHORT-GILT | Currency: GBP | Calendar: GBP | Underlier Type: SHORT | Underlier Sub-type: GILT | Maturity Tenor: 2Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {SHORT-GILT} | EXCHANGES => (LIFFE)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 2]
[Futures Eligibility => Maturity Band: 18M -> 39M] [Issuers: GBP Short GILT Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 0 | Expiry To Final Delivery Lag: 22 | Expiry To Delivery Notice Lag: -2 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.04 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: GBP MEDIUM-GILT | Currency: GBP | Calendar: GBP | Underlier Type: MEDIUM | Underlier Sub-type: GILT | Maturity Tenor: 5Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {MEDIUM-GILT} | EXCHANGES => (LIFFE)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 2]
[Futures Eligibility => Maturity Band: 4Y -> 75M] [Issuers: GBP Medium GILT Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 0 | Expiry To Final Delivery Lag: 22 | Expiry To Delivery Notice Lag: -2 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.04 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: GBP LONG-GILT | Currency: GBP | Calendar: GBP | Underlier Type: MEDIUM | Underlier Sub-type: GILT | Maturity Tenor: 10Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {LONG-GILT | EXCHANGES => (LIFFE, NLX)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 2]
[Futures Eligibility => Maturity Band: 105M -> 13Y] [Issuers: GBP Long GILT Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 0 | Expiry To Final Delivery Lag: 22 | Expiry To Delivery Notice Lag: -2 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.03 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: JPY 5Y JGB | Currency: JPY | Calendar: JPY | Underlier Type: TREASURY | Underlier Sub-type: JGB | Maturity Tenor: 5Y | Basket Notional: 1.0E9 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {5Y-JGB} | EXCHANGES => (TSE)
[DateInMonth => Instance Generator Rule: 3 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: 20 | Lag: -1]
[Futures Eligibility => Maturity Band: 4Y -> 63M] [Issuers: JPY JGB] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: -7 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.03 | Original Reference Coupon: 0.03 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: JPY 10Y JGB | Currency: JPY | Calendar: JPY | Underlier Type: TREASURY | Underlier Sub-type: JGB | Maturity Tenor: 10Y | Basket Notional: 1.0E9 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {10Y-JGB} | EXCHANGES => (TSE)
[DateInMonth => Instance Generator Rule: 3 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: 20 | Lag: -1]
[Futures Eligibility => Maturity Band: 7Y -> 10Y] [Issuers: JPY JGB] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: -7 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: USD 2-YR NOTE | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: NOTE | Maturity Tenor: 2Y | Basket Notional: 200000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {ZT}, TU | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 0]
[Futures Eligibility => Maturity Band: 21M -> 2Y] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: USD 3-YR NOTE | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: NOTE | Maturity Tenor: 3Y | Basket Notional: 200000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {Z3N}, 3YR | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 0]
[Futures Eligibility => Maturity Band: 33M -> 3Y] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: USD 5-YR NOTE | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: NOTE | Maturity Tenor: 5Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {ZF}, FV | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 0]
[Futures Eligibility => Maturity Band: 50M -> 63M] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 3 | Expiry To Final Delivery Lag: 3 | Expiry To Delivery Notice Lag: 0 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: USD 10-YR NOTE | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: NOTE | Maturity Tenor: 10Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {ZN}, TY | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 7]
[Futures Eligibility => Maturity Band: 78M -> 10Y] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: -1 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: USD 30-YR BOND | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: BOND | Maturity Tenor: 30Y | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {ZB}, US | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 7]
[Futures Eligibility => Maturity Band: 15Y -> 25Y] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: -1 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
Name: ULTRA T-BOND | Currency: USD | Calendar: USD | Underlier Type: TREASURY | Underlier Sub-type: BOND | Maturity Tenor: ULTRA | Basket Notional: 100000.0 | Minimum Price Movement: 0.03125 | Component Notional Minimum: 0.0 | CODES => {UB}, UL, UBE | EXCHANGES => (CBOT)
[DateInMonth => Instance Generator Rule: 1 | From Back Flag: true | Day Of Week: -1 | Week In Month: -1 | Specific Day In Month: -1 | Lag: 7]
[Futures Eligibility => Maturity Band: 25Y -> MAX] [Issuers: US Government Bonds] [Minimum Outstanding Notional: 0.0]
[Futures Settle => Expiry To First Delivery Lag: 1 | Expiry To Final Delivery Lag: 1 | Expiry To Delivery Notice Lag: -1 | Expiry To Last Trading Lag: 0 | Settlement Type: 2 | Settlement Quote Style: 2 | Wild Card: false | Current Reference Coupon: 0.06 | Original Reference Coupon: 0.06 | Delivery Months: {February,May,August,November}]
--------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:02:29 EST 2020
| Setup Time => Mon Jan 27 01:02:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: USD-TREASURY-BOND-ULTRA | Premium Type: PREMIUM | CODES => {OUB, OUL}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: USD-TREASURY-BOND-30Y | Premium Type: PREMIUM | CODES => {OZB, CG-PG}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: USD-TREASURY-NOTE-10Y | Premium Type: PREMIUM | CODES => {OZN, TC-TP}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: USD-TREASURY-NOTE-5Y | Premium Type: PREMIUM | CODES => {OZF, FL-FP}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: USD-TREASURY-NOTE-2Y | Premium Type: PREMIUM | CODES => {OZT, TUC-TUP}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: EUR-EURO-BUXL-30Y | Premium Type: MARGIN | CODES => {BUXL}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: EUR-EURO-BUND-10Y | Premium Type: MARGIN | CODES => {BUND}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: EUR-EURO-BOBL-10Y | Premium Type: MARGIN | CODES => {BOBL}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: EUR-EURO-SCHATZ-10Y | Premium Type: MARGIN | CODES => {SCHATZ}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
TreasuryFuturesIndex: EUR-TREASURY-BONO-10Y | Premium Type: MARGIN | CODES => {BONO}
MID CURVE OPTION::REGULAR@2D
MID CURVE OPTION::QUARTERLY
--------------------------------------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 01:02:29 EST 2020
| Setup Time => Mon Jan 27 01:02:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------|
| EXPIRY | DELIV START | DELIV END | DELIV NOTICE | LAST TRADE | FUTURE |
|------------------------------------------------------------------------------------------------|
| 20-APR-2020 | 21-APR-2020 | 21-APR-2020 | 20-APR-2020 | 21-APR-2020 | [AUD-BANK-BILLS-3M]
| 20-APR-2020 | 21-APR-2020 | 21-APR-2020 | 20-APR-2020 | 21-APR-2020 | [AUD-TREASURY-BOND-3Y]
| 20-APR-2020 | 21-APR-2020 | 21-APR-2020 | 20-APR-2020 | 21-APR-2020 | [AUD-TREASURY-BOND-10Y]
| 16-APR-2020 | 17-APR-2020 | 17-APR-2020 | 16-APR-2020 | 17-APR-2020 | [EUR-EURO-SCHATZ-2Y]
| 16-APR-2020 | 17-APR-2020 | 17-APR-2020 | 16-APR-2020 | 17-APR-2020 | [EUR-EURO-BOBL-5Y]
| 16-APR-2020 | 17-APR-2020 | 17-APR-2020 | 16-APR-2020 | 17-APR-2020 | [EUR-EURO-BUND-10Y]
| 16-APR-2020 | 17-APR-2020 | 17-APR-2020 | 16-APR-2020 | 17-APR-2020 | [EUR-EURO-BUXL-30Y]
| 14-APR-2020 | 15-APR-2020 | 15-APR-2020 | 14-APR-2020 | 15-APR-2020 | [EUR-TREASURY-BONO-10Y]
| 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | [GBP-SHORT-GILT-2Y]
| 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | [GBP-MEDIUM-GILT-5Y]
| 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | 28-APR-2020 | [GBP-LONG-GILT-10Y]
| 20-APR-2020 | 21-APR-2020 | 21-APR-2020 | 20-APR-2020 | 21-APR-2020 | [JPY-TREASURY-JGB-5Y]
| 20-APR-2020 | 21-APR-2020 | 21-APR-2020 | 20-APR-2020 | 21-APR-2020 | [JPY-TREASURY-JGB-10Y]
| 30-APR-2020 | 01-MAY-2020 | 01-MAY-2020 | 30-APR-2020 | 01-MAY-2020 | [USD-TREASURY-NOTE-2Y]
| 30-APR-2020 | 01-MAY-2020 | 01-MAY-2020 | 30-APR-2020 | 01-MAY-2020 | [USD-TREASURY-NOTE-3Y]
| 30-APR-2020 | 05-MAY-2020 | 05-MAY-2020 | 30-APR-2020 | 05-MAY-2020 | [USD-TREASURY-NOTE-5Y]
| 21-APR-2020 | 22-APR-2020 | 22-APR-2020 | 21-APR-2020 | 22-APR-2020 | [USD-TREASURY-NOTE-10Y]
| 21-APR-2020 | 22-APR-2020 | 22-APR-2020 | 21-APR-2020 | 22-APR-2020 | [USD-TREASURY-BOND-30Y]
| 21-APR-2020 | 22-APR-2020 | 22-APR-2020 | 21-APR-2020 | 22-APR-2020 | [USD-TREASURY-BOND-ULTRA]
|------------------------------------------------------------------------------------------------|
|-----------------------------------------------------------------|
| 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 01:02:29 EST 2020
| Setup Time => Mon Jan 27 01:02:29 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [20-NOV-2015] = 0.001950 | 0.001950 ||
| [25-NOV-2015] = 0.001760 | 0.001760 ||
| [18-DEC-2015] = 0.003010 | 0.003010 ||
| [19-JAN-2016] = 0.004010 | 0.004010 ||
| [18-FEB-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [20-NOV-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [20-NOV-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [20-NOV-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [20-NOV-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [20-NOV-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [20-NOV-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [20-NOV-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [20-NOV-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [20-NOV-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [20-NOV-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [20-NOV-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [20-NOV-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [20-NOV-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [20-NOV-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [20-NOV-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [20-NOV-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [20-NOV-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [20-NOV-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|--------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|--------------------------------------------||
| UST 1.00 18-NOV-2016 | 00.69% | 00.69% ||
| UST 1.00 18-NOV-2017 | 00.95% | 00.94% ||
| UST 1.25 18-NOV-2018 | 01.26% | 01.26% ||
| UST 1.50 18-NOV-2020 | 01.68% | 01.68% ||
| UST 2.00 18-NOV-2022 | 02.02% | 02.02% ||
| UST 2.25 18-NOV-2025 | 02.23% | 02.23% ||
| UST 3.00 18-NOV-2045 | 02.97% | 02.97% ||
|--------------------------------------------||
|---------------------------------------------||
| ||
| Bond #1: UST 0.75 31-DEC-2017 ||
| Bond #2: UST 1.00 15-DEC-2017 ||
| Bond #3: UST 0.62 30-NOV-2017 ||
| Bond #4: UST 0.88 15-NOV-2017 ||
| Bond #5: UST 0.75 31-OCT-2017 ||
| Bond #6: UST 0.88 17-OCT-2017 ||
| Bond #7: UST 0.62 30-SEP-2017 ||
| Bond #8: UST 1.00 15-SEP-2017 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 1.00 15-SEP-2017 ||
|---------------------------------------------||
| ASW : -13
| Bond Basis : 43
| Convexity : 0.1532
| Discount Margin : 34
| G Spread : 03
| I Spread : -08
| Macaulay Duration : 3.6054
| Modified Duration : 3.5880
| Price : 100.2500
| Workout Date : 15-SEP-2017
| Workout Factor : 01.0000
| Workout Type : 3
| Workout Yield : 0.9278%
| Yield01 : 3.6096
| Yield Basis : 43
| Yield Spread : 43
| Z Spread : 43
|---------------------------------------------||
|--------------------------------------------------------------------------||
| CTD Full Bond Measures ||
|--------------------------------------------------------------------------||
| accrued => 3.51648351648352E-7
| accrued01 => 3.516483516483517E-5
| assetswapspread => -0.011002545826366566
| asw => -0.011002545826366566
| bondbasis => -9.550319603989759E-4
| cleancouponpv => 0.03979461201150709
| cleandv01 => 4.3310743879638916E-4
| cleanindexcouponpv => NaN
| cleanprice => 1.0217094845314987
| cleanpv => 1.0217094845314987
| convexity => 1.4886839580179377E-7
| creditbasis => NaN
| creditrisklessparpv => 0.9819148725199917
| creditrisklessprincipalpv => 0.0
| creditriskyparpv => NaN
| creditriskyprincipalpv => 0.0
| defaultexposure => NaN
| defaultexposurenorec => NaN
| dirtycouponpv => 0.03979426036315544
| dirtydv01 => 3.97942603631554E-4
| dirtyindexcouponpv => 0.039794260363155406
| dirtyprice => 1.0217091328831471
| dirtypv => 1.0217091328831471
| discountmargin => -0.0018293336856154419
| duration => 3.598171085510983E-4
| dv01 => 4.3310743879638916E-4
| expectedrecovery => 0.0
| fairaccrued => 3.51648351648352E-7
| fairaccrued01 => 3.516483516483517E-5
| fairassetswapspread => -0.011002545826366566
| fairasw => -0.011002545826366566
| fairbondbasis => -9.550319603989759E-4
| faircleancouponpv => 0.03979461201150709
| faircleandv01 => 4.3310743879638916E-4
| faircleanindexcouponpv => NaN
| faircleanprice => 1.0217094845314987
| faircleanpv => 1.0217094845314987
| fairconvexity => 1.4886839580179377E-7
| faircreditbasis => NaN
| faircreditrisklessparpv => 0.9819148725199917
| faircreditrisklessprincipalpv => 0.0
| faircreditriskyparpv => NaN
| faircreditriskyprincipalpv => 0.0
| fairdefaultexposure => NaN
| fairdefaultexposurenorec => NaN
| fairdirtycouponpv => 0.03979426036315544
| fairdirtydv01 => 3.97942603631554E-4
| fairdirtyindexcouponpv => 0.039794260363155406
| fairdirtyprice => 1.0217091328831471
| fairdirtypv => 1.0217091328831471
| fairdiscountmargin => -0.0018293336856154419
| fairduration => 3.598171085510983E-4
| fairdv01 => 4.3310743879638916E-4
| fairexpectedrecovery => 0.0
| fairfirstcouponrate => 0.010000000000000009
| fairfirstindexrate => NaN
| fairgspread => -0.004991124248653695
| fairispread => -0.006031719081414077
| fairlossoninstantaneousdefault => NaN
| fairmacaulayduration => 3.606140601328488
| fairmodifiedduration => 3.598171085510983E-4
| fairoas => -0.004991084168846127
| fairoaspread => -0.004991084168846127
| fairoptionadjustedspread => -0.004991084168846127
| fairparpv => 0.9819148725199917
| fairpecs => NaN
| fairprice => 1.0217094845314987
| fairprincipalpv => 0.0
| fairpv => 1.0217094845314987
| fairrecoverypv => 0.0
| fairrisklesscleancouponpv => 0.03979461201150709
| fairrisklesscleandv01 => 4.3310743879638916E-4
| fairrisklesscleanindexcouponpv => NaN
| fairrisklesscleanpv => 1.0217094845314987
| fairrisklessdirtycouponpv => 0.03979426036315544
| fairrisklessdirtydv01 => 3.97942603631554E-4
| fairrisklessdirtyindexcouponpv => 0.039794260363155406
| fairrisklessdirtypv => 1.0217091328831471
| fairtsyspread => -0.00543474068700986
| fairworkoutdate => 2458012.0
| fairworkoutfactor => 1.0
| fairworkouttype => 3.0
| fairworkoutyield => 0.00401525931299014
| fairyield => 0.00401525931299014
| fairyield01 => 3.6889386931049373E-4
| fairyieldbasis => -9.550319603989759E-4
| fairyieldspread => -9.550319603989759E-4
| fairzspread => -9.550702351703864E-4
| firstcouponrate => 0.010000000000000009
| firstindexrate => NaN
| gspread => -0.004991124248653695
| ispread => -0.006031719081414077
| lossoninstantaneousdefault => NaN
| macaulayduration => 3.606140601328488
| modifiedduration => 3.598171085510983E-4
| oas => -0.004991084168846127
| oaspread => -0.004991084168846127
| optionadjustedspread => -0.004991084168846127
| parpv => 0.9819148725199917
| pecs => NaN
| price => 1.0217094845314987
| principalpv => 0.0
| pv => 1.0217094845314987
| recoverypv => 0.0
| risklesscleancouponpv => 0.03979461201150709
| risklesscleandv01 => 4.3310743879638916E-4
| risklesscleanindexcouponpv => NaN
| risklesscleanpv => 1.0217094845314987
| risklessdirtycouponpv => 0.03979426036315544
| risklessdirtydv01 => 3.97942603631554E-4
| risklessdirtyindexcouponpv => 0.039794260363155406
| risklessdirtypv => 1.0217091328831471
| tsyspread => -0.00543474068700986
| workoutdate => 2458012.0
| workoutfactor => 1.0
| workouttype => 3.0
| workoutyield => 0.00401525931299014
| yield => 0.00401525931299014
| yield01 => 3.6889386931049373E-4
| yieldbasis => -9.550319603989759E-4
| yieldspread => -9.550319603989759E-4
| zspread => -9.550702351703864E-4
|--------------------------------------------------------------------------||
|--------------------------------------------------------------------------||
| Bond Futures Measures ||
|--------------------------------------------------------------------------||
| costofcarry => 0.0030800000000000003
| ctd::accrued => 3.51648351648352E-7
| ctd::accrued01 => 3.516483516483517E-5
| ctd::assetswapspread => -0.001308590439328484
| ctd::asw => -0.001308590439328484
| ctd::bondbasis => 0.004308017689378336
| ctd::cleancouponpv => 0.03979461201150709
| ctd::cleandv01 => 4.3310743879638916E-4
| ctd::cleanindexcouponpv => NaN
| ctd::cleanprice => 1.0217094845314987
| ctd::cleanpv => 1.0217094845314987
| ctd::convexity => 1.5319132885492466E-7
| ctd::creditbasis => NaN
| ctd::creditrisklessparpv => 0.9819148725199917
| ctd::creditrisklessprincipalpv => 0.0
| ctd::creditriskyparpv => NaN
| ctd::creditriskyprincipalpv => 0.0
| ctd::defaultexposure => NaN
| ctd::defaultexposurenorec => NaN
| ctd::dirtycouponpv => 0.03979426036315544
| ctd::dirtydv01 => 3.97942603631554E-4
| ctd::dirtyindexcouponpv => 0.039794260363155406
| ctd::dirtyprice => 1.0217091328831471
| ctd::dirtypv => 1.0217091328831471
| ctd::discountmargin => 0.0034337159641618696
| ctd::duration => 3.588016852417646E-4
| ctd::dv01 => 4.3310743879638916E-4
| ctd::expectedrecovery => 0.0
| ctd::fairaccrued => 3.51648351648352E-7
| ctd::fairaccrued01 => 3.516483516483517E-5
| ctd::fairassetswapspread => -0.011002545826366566
| ctd::fairasw => -0.011002545826366566
| ctd::fairbondbasis => -9.550319603989759E-4
| ctd::faircleancouponpv => 0.03979461201150709
| ctd::faircleandv01 => 4.3310743879638916E-4
| ctd::faircleanindexcouponpv => NaN
| ctd::faircleanprice => 1.0217094845314987
| ctd::faircleanpv => 1.0217094845314987
| ctd::fairconvexity => 1.4886839580179377E-7
| ctd::faircreditbasis => NaN
| ctd::faircreditrisklessparpv => 0.9819148725199917
| ctd::faircreditrisklessprincipalpv => 0.0
| ctd::faircreditriskyparpv => NaN
| ctd::faircreditriskyprincipalpv => 0.0
| ctd::fairdefaultexposure => NaN
| ctd::fairdefaultexposurenorec => NaN
| ctd::fairdirtycouponpv => 0.03979426036315544
| ctd::fairdirtydv01 => 3.97942603631554E-4
| ctd::fairdirtyindexcouponpv => 0.039794260363155406
| ctd::fairdirtyprice => 1.0217091328831471
| ctd::fairdirtypv => 1.0217091328831471
| ctd::fairdiscountmargin => -0.0018293336856154419
| ctd::fairduration => 3.598171085510983E-4
| ctd::fairdv01 => 4.3310743879638916E-4
| ctd::fairexpectedrecovery => 0.0
| ctd::fairfirstcouponrate => 0.010000000000000009
| ctd::fairfirstindexrate => NaN
| ctd::fairgspread => -0.004991124248653695
| ctd::fairispread => -0.006031719081414077
| ctd::fairlossoninstantaneousdefault => NaN
| ctd::fairmacaulayduration => 3.606140601328488
| ctd::fairmodifiedduration => 3.598171085510983E-4
| ctd::fairoas => -0.004991084168846127
| ctd::fairoaspread => -0.004991084168846127
| ctd::fairoptionadjustedspread => -0.004991084168846127
| ctd::fairparpv => 0.9819148725199917
| ctd::fairparspread => 100.00000000000018
| ctd::fairpecs => NaN
| ctd::fairprice => 1.0217094845314987
| ctd::fairprincipalpv => 0.0
| ctd::fairpv => 1.0217094845314987
| ctd::fairrecoverypv => 0.0
| ctd::fairrisklesscleancouponpv => 0.03979461201150709
| ctd::fairrisklesscleandv01 => 4.3310743879638916E-4
| ctd::fairrisklesscleanindexcouponpv => NaN
| ctd::fairrisklesscleanpv => 1.0217094845314987
| ctd::fairrisklessdirtycouponpv => 0.03979426036315544
| ctd::fairrisklessdirtydv01 => 3.97942603631554E-4
| ctd::fairrisklessdirtyindexcouponpv => 0.039794260363155406
| ctd::fairrisklessdirtypv => 1.0217091328831471
| ctd::fairtsyspread => -0.00543474068700986
| ctd::fairworkoutdate => 2458012.0
| ctd::fairworkoutfactor => 1.0
| ctd::fairworkouttype => 3.0
| ctd::fairworkoutyield => 0.00401525931299014
| ctd::fairyield => 0.00401525931299014
| ctd::fairyield01 => 3.6889386931049373E-4
| ctd::fairyieldbasis => -9.550319603989759E-4
| ctd::fairyieldspread => -9.550319603989759E-4
| ctd::fairzspread => -9.550702351703864E-4
| ctd::firstcouponrate => 0.010000000000000009
| ctd::firstindexrate => NaN
| ctd::gspread => 2.719254011236162E-4
| ctd::ispread => -7.686694316367659E-4
| ctd::lossoninstantaneousdefault => NaN
| ctd::macaulayduration => 3.6054316014825445
| ctd::marketassetswapspread => -0.001308590439328484
| ctd::marketasw => -0.001308590439328484
| ctd::marketbondbasis => 0.004308017689378336
| ctd::marketconvexity => 1.5319132885492466E-7
| ctd::marketcreditbasis => NaN
| ctd::marketdiscountmargin => 0.0034337159641618696
| ctd::marketduration => 3.588016852417646E-4
| ctd::marketgspread => 2.719254011236162E-4
| ctd::marketinputtype=cleanprice => 1.0025
| ctd::marketispread => -7.686694316367659E-4
| ctd::marketmacaulayduration => 3.6054316014825445
| ctd::marketmodifiedduration => 3.588016852417646E-4
| ctd::marketoas => 2.720210713825435E-4
| ctd::marketoaspread => 2.720210713825435E-4
| ctd::marketoptionadjustedspread => 2.720210713825435E-4
| ctd::marketparspread => 47.52892295552281
| ctd::marketpecs => NaN
| ctd::marketprice => 1.002500002610009
| ctd::markettsyspread => -1.716910372325485E-4
| ctd::marketworkoutdate => 2458012.0
| ctd::marketworkoutfactor => 1.0
| ctd::marketworkouttype => 3.0
| ctd::marketworkoutyield => 0.009278308962767452
| ctd::marketyield => 0.009278308962767452
| ctd::marketyield01 => 3.609630195371416E-4
| ctd::marketyieldbasis => 0.004308017689378336
| ctd::marketyieldspread => 0.004308017689378336
| ctd::marketzspread => 0.004308192170492787
| ctd::modifiedduration => 3.588016852417646E-4
| ctd::oas => 2.720210713825435E-4
| ctd::oaspread => 2.720210713825435E-4
| ctd::optionadjustedspread => 2.720210713825435E-4
| ctd::parpv => 0.9819148725199917
| ctd::parspread => 47.52892295552281
| ctd::pecs => NaN
| ctd::price => 1.002500002610009
| ctd::principalpv => 0.0
| ctd::pv => 1.0217094845314987
| ctd::recoverypv => 0.0
| ctd::risklesscleancouponpv => 0.03979461201150709
| ctd::risklesscleandv01 => 4.3310743879638916E-4
| ctd::risklesscleanindexcouponpv => NaN
| ctd::risklesscleanpv => 1.0217094845314987
| ctd::risklessdirtycouponpv => 0.03979426036315544
| ctd::risklessdirtydv01 => 3.97942603631554E-4
| ctd::risklessdirtyindexcouponpv => 0.039794260363155406
| ctd::risklessdirtypv => 1.0217091328831471
| ctd::tsyspread => -1.716910372325485E-4
| ctd::workoutdate => 2458012.0
| ctd::workoutfactor => 1.0
| ctd::workouttype => 3.0
| ctd::workoutyield => 0.009278308962767452
| ctd::yield => 0.009278308962767452
| ctd::yield01 => 3.609630195371416E-4
| ctd::yieldbasis => 0.004308017689378336
| ctd::yieldspread => 0.004308017689378336
| ctd::zspread => 0.004308192170492787
| ctdconversionfactor => 0.9181
| ctdforwardprice => 1.0021741534034696
| ctdreporate => 0.01
| ctdspotprice => 1.0025
| ctdtreasuryyield => 0.00692
| impliedrepo => -3.7831528386897917
| impliedreporate => -3.7831528386897917
| netbasis => -3.7931528386897915
| pv => -0.009837138263469547
| settlementamount => -0.009837138263469547
| settlepv => -0.009837138263469547
| spotpv => -0.009825375718292034
|--------------------------------------------------------------------------||
|---------------------------------------------||
| Futures Price : 108.08594 ||
| Contract Size : 200000.00 ||
| Contract Value : 216171.88 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:30 EST 2020
| Setup Time => Mon Jan 27 01:02:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [20-NOV-2015] = 0.001950 | 0.001950 ||
| [25-NOV-2015] = 0.001760 | 0.001760 ||
| [18-DEC-2015] = 0.003010 | 0.003010 ||
| [19-JAN-2016] = 0.004010 | 0.004010 ||
| [18-FEB-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [20-NOV-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [20-NOV-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [20-NOV-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [20-NOV-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [20-NOV-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [20-NOV-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [20-NOV-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [20-NOV-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [20-NOV-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [20-NOV-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [20-NOV-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [20-NOV-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [20-NOV-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [20-NOV-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [20-NOV-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [20-NOV-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [20-NOV-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [20-NOV-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|--------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|--------------------------------------------||
| UST 1.00 18-NOV-2016 | 00.69% | 00.69% ||
| UST 1.00 18-NOV-2017 | 00.95% | 00.94% ||
| UST 1.25 18-NOV-2018 | 01.26% | 01.26% ||
| UST 1.50 18-NOV-2020 | 01.68% | 01.68% ||
| UST 2.00 18-NOV-2022 | 02.02% | 02.02% ||
| UST 2.25 18-NOV-2025 | 02.23% | 02.23% ||
| UST 3.00 18-NOV-2045 | 02.97% | 02.97% ||
|--------------------------------------------||
|---------------------------------------------||
| ||
| Bond #1: UST 1.38 29-FEB-2020 ||
| Bond #2: UST 1.38 31-MAR-2020 ||
| Bond #3: UST 1.38 30-APR-2020 ||
| Bond #4: UST 1.50 31-MAY-2020 ||
| Bond #5: UST 1.62 30-JUN-2020 ||
| Bond #6: UST 1.62 31-JUL-2020 ||
| Bond #7: UST 1.38 31-AUG-2020 ||
| Bond #8: UST 1.38 30-SEP-2020 ||
| Bond #9: UST 1.38 31-OCT-2020 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 1.38 29-FEB-2020 ||
|---------------------------------------------||
| ASW : -01
| Bond Basis : 72
| Convexity : 0.7135
| Discount Margin : 90
| G Spread : -04
| I Spread : -06
| Macaulay Duration : 8.1135
| Modified Duration : 8.0502
| Price : 99.0938
| Workout Date : 29-FEB-2020
| Workout Factor : 01.0000
| Workout Type : 3
| Workout Yield : 1.4823%
| Yield01 : 8.0266
| Yield Basis : 72
| Yield Spread : 72
| Z Spread : 72
|---------------------------------------------||
|--------------------------------------------------------------------------||
| CTD Full Bond Measures ||
|--------------------------------------------------------------------------||
| accrued => 6.119505494505453E-7
| accrued01 => 4.4505494505494504E-5
| assetswapspread => -0.011422682587046273
| asw => -0.011422682587046273
| bondbasis => -7.126511416542733E-4
| cleancouponpv => 0.12075215436600684
| cleandv01 => 9.226985302542815E-4
| cleanindexcouponpv => NaN
| cleanprice => 1.0568125187384532
| cleanpv => 1.0568125187384532
| convexity => 7.218140764753952E-7
| creditbasis => NaN
| creditrisklessparpv => 0.9360603643724464
| creditrisklessprincipalpv => 0.0
| creditriskyparpv => NaN
| creditriskyprincipalpv => 0.0
| defaultexposure => NaN
| defaultexposurenorec => NaN
| dirtycouponpv => 0.12075154241545738
| dirtydv01 => 8.78193035748787E-4
| dirtyindexcouponpv => 0.12075154241545819
| dirtyprice => 1.0568119067879038
| dirtypv => 1.0568119067879038
| discountmargin => 0.0010594621611076608
| duration => 8.101399014673719E-4
| dv01 => 9.226985302542815E-4
| expectedrecovery => 0.0
| fairaccrued => 6.119505494505453E-7
| fairaccrued01 => 4.4505494505494504E-5
| fairassetswapspread => -0.011422682587046273
| fairasw => -0.011422682587046273
| fairbondbasis => -7.126511416542733E-4
| faircleancouponpv => 0.12075215436600684
| faircleandv01 => 9.226985302542815E-4
| faircleanindexcouponpv => NaN
| faircleanprice => 1.0568125187384532
| faircleanpv => 1.0568125187384532
| fairconvexity => 7.218140764753952E-7
| faircreditbasis => NaN
| faircreditrisklessparpv => 0.9360603643724464
| faircreditrisklessprincipalpv => 0.0
| faircreditriskyparpv => NaN
| faircreditriskyprincipalpv => 0.0
| fairdefaultexposure => NaN
| fairdefaultexposurenorec => NaN
| fairdirtycouponpv => 0.12075154241545738
| fairdirtydv01 => 8.78193035748787E-4
| fairdirtyindexcouponpv => 0.12075154241545819
| fairdirtyprice => 1.0568119067879038
| fairdirtypv => 1.0568119067879038
| fairdiscountmargin => 0.0010594621611076608
| fairduration => 8.101399014673719E-4
| fairdv01 => 9.226985302542815E-4
| fairexpectedrecovery => 0.0
| fairfirstcouponrate => 0.013749999999999908
| fairfirstindexrate => NaN
| fairgspread => -0.008361266317714937
| fairispread => -0.008506854829250975
| fairlossoninstantaneousdefault => NaN
| fairmacaulayduration => 8.132985651571579
| fairmodifiedduration => 8.101399014673719E-4
| fairoas => -0.00836039702710297
| fairoaspread => -0.00836039702710297
| fairoptionadjustedspread => -0.00836039702710297
| fairparpv => 0.9360603643724464
| fairpecs => NaN
| fairprice => 1.0568125187384532
| fairprincipalpv => 0.0
| fairpv => 1.0568125187384532
| fairrecoverypv => 0.0
| fairrisklesscleancouponpv => 0.12075215436600684
| fairrisklesscleandv01 => 9.226985302542815E-4
| fairrisklesscleanindexcouponpv => NaN
| fairrisklesscleanpv => 1.0568125187384532
| fairrisklessdirtycouponpv => 0.12075154241545738
| fairrisklessdirtydv01 => 8.78193035748787E-4
| fairrisklessdirtyindexcouponpv => 0.12075154241545819
| fairrisklessdirtypv => 1.0568119067879038
| fairtsyspread => -0.009875944840286758
| fairworkoutdate => 2458909.0
| fairworkoutfactor => 1.0
| fairworkouttype => 3.0
| fairworkoutyield => 0.006904055159713243
| fairyield => 0.006904055159713243
| fairyield01 => 8.611238990843262E-4
| fairyieldbasis => -7.126511416542733E-4
| fairyieldspread => -7.126511416542733E-4
| fairzspread => -7.130139908035731E-4
| firstcouponrate => 0.013749999999999908
| firstindexrate => NaN
| gspread => -0.008361266317714937
| ispread => -0.008506854829250975
| lossoninstantaneousdefault => NaN
| macaulayduration => 8.132985651571579
| modifiedduration => 8.101399014673719E-4
| oas => -0.00836039702710297
| oaspread => -0.00836039702710297
| optionadjustedspread => -0.00836039702710297
| parpv => 0.9360603643724464
| pecs => NaN
| price => 1.0568125187384532
| principalpv => 0.0
| pv => 1.0568125187384532
| recoverypv => 0.0
| risklesscleancouponpv => 0.12075215436600684
| risklesscleandv01 => 9.226985302542815E-4
| risklesscleanindexcouponpv => NaN
| risklesscleanpv => 1.0568125187384532
| risklessdirtycouponpv => 0.12075154241545738
| risklessdirtydv01 => 8.78193035748787E-4
| risklessdirtyindexcouponpv => 0.12075154241545819
| risklessdirtypv => 1.0568119067879038
| tsyspread => -0.009875944840286758
| workoutdate => 2458909.0
| workoutfactor => 1.0
| workouttype => 3.0
| workoutyield => 0.006904055159713243
| yield => 0.006904055159713243
| yield01 => 8.611238990843262E-4
| yieldbasis => -7.126511416542733E-4
| yieldspread => -7.126511416542733E-4
| zspread => -7.130139908035731E-4
|--------------------------------------------------------------------------||
|--------------------------------------------------------------------------||
| Bond Futures Measures ||
|--------------------------------------------------------------------------||
| costofcarry => 0.0010800000000000002
| ctd::accrued => 6.119505494505453E-7
| ctd::accrued01 => 4.4505494505494504E-5
| ctd::assetswapspread => -1.037520573231223E-4
| ctd::asw => -1.037520573231223E-4
| ctd::bondbasis => 0.007206027924100218
| ctd::cleancouponpv => 0.12075215436600684
| ctd::cleandv01 => 9.226985302542815E-4
| ctd::cleanindexcouponpv => NaN
| ctd::cleanprice => 1.0568125187384532
| ctd::cleanpv => 1.0568125187384532
| ctd::convexity => 7.135238137736837E-7
| ctd::creditbasis => NaN
| ctd::creditrisklessparpv => 0.9360603643724464
| ctd::creditrisklessprincipalpv => 0.0
| ctd::creditriskyparpv => NaN
| ctd::creditriskyprincipalpv => 0.0
| ctd::defaultexposure => NaN
| ctd::defaultexposurenorec => NaN
| ctd::dirtycouponpv => 0.12075154241545738
| ctd::dirtydv01 => 8.78193035748787E-4
| ctd::dirtyindexcouponpv => 0.12075154241545819
| ctd::dirtyprice => 1.0568119067879038
| ctd::dirtypv => 1.0568119067879038
| ctd::discountmargin => 0.008978141226862153
| ctd::duration => 8.050243765647319E-4
| ctd::dv01 => 9.226985302542815E-4
| ctd::expectedrecovery => 0.0
| ctd::fairaccrued => 6.119505494505453E-7
| ctd::fairaccrued01 => 4.4505494505494504E-5
| ctd::fairassetswapspread => -0.011422682587046273
| ctd::fairasw => -0.011422682587046273
| ctd::fairbondbasis => -7.126511416542733E-4
| ctd::faircleancouponpv => 0.12075215436600684
| ctd::faircleandv01 => 9.226985302542815E-4
| ctd::faircleanindexcouponpv => NaN
| ctd::faircleanprice => 1.0568125187384532
| ctd::faircleanpv => 1.0568125187384532
| ctd::fairconvexity => 7.218140764753952E-7
| ctd::faircreditbasis => NaN
| ctd::faircreditrisklessparpv => 0.9360603643724464
| ctd::faircreditrisklessprincipalpv => 0.0
| ctd::faircreditriskyparpv => NaN
| ctd::faircreditriskyprincipalpv => 0.0
| ctd::fairdefaultexposure => NaN
| ctd::fairdefaultexposurenorec => NaN
| ctd::fairdirtycouponpv => 0.12075154241545738
| ctd::fairdirtydv01 => 8.78193035748787E-4
| ctd::fairdirtyindexcouponpv => 0.12075154241545819
| ctd::fairdirtyprice => 1.0568119067879038
| ctd::fairdirtypv => 1.0568119067879038
| ctd::fairdiscountmargin => 0.0010594621611076608
| ctd::fairduration => 8.101399014673719E-4
| ctd::fairdv01 => 9.226985302542815E-4
| ctd::fairexpectedrecovery => 0.0
| ctd::fairfirstcouponrate => 0.013749999999999908
| ctd::fairfirstindexrate => NaN
| ctd::fairgspread => -0.008361266317714937
| ctd::fairispread => -0.008506854829250975
| ctd::fairlossoninstantaneousdefault => NaN
| ctd::fairmacaulayduration => 8.132985651571579
| ctd::fairmodifiedduration => 8.101399014673719E-4
| ctd::fairoas => -0.00836039702710297
| ctd::fairoaspread => -0.00836039702710297
| ctd::fairoptionadjustedspread => -0.00836039702710297
| ctd::fairparpv => 0.9360603643724464
| ctd::fairparspread => 137.49999999999906
| ctd::fairpecs => NaN
| ctd::fairprice => 1.0568125187384532
| ctd::fairprincipalpv => 0.0
| ctd::fairpv => 1.0568125187384532
| ctd::fairrecoverypv => 0.0
| ctd::fairrisklesscleancouponpv => 0.12075215436600684
| ctd::fairrisklesscleandv01 => 9.226985302542815E-4
| ctd::fairrisklesscleanindexcouponpv => NaN
| ctd::fairrisklesscleanpv => 1.0568125187384532
| ctd::fairrisklessdirtycouponpv => 0.12075154241545738
| ctd::fairrisklessdirtydv01 => 8.78193035748787E-4
| ctd::fairrisklessdirtyindexcouponpv => 0.12075154241545819
| ctd::fairrisklessdirtypv => 1.0568119067879038
| ctd::fairtsyspread => -0.009875944840286758
| ctd::fairworkoutdate => 2458909.0
| ctd::fairworkoutfactor => 1.0
| ctd::fairworkouttype => 3.0
| ctd::fairworkoutyield => 0.006904055159713243
| ctd::fairyield => 0.006904055159713243
| ctd::fairyield01 => 8.611238990843262E-4
| ctd::fairyieldbasis => -7.126511416542733E-4
| ctd::fairyieldspread => -7.126511416542733E-4
| ctd::fairzspread => -7.130139908035731E-4
| ctd::firstcouponrate => 0.013749999999999908
| ctd::firstindexrate => NaN
| ctd::gspread => -4.425872519604468E-4
| ctd::ispread => -5.881757634964829E-4
| ctd::lossoninstantaneousdefault => NaN
| ctd::macaulayduration => 8.11350000722601
| ctd::marketassetswapspread => -1.037520573231223E-4
| ctd::marketasw => -1.037520573231223E-4
| ctd::marketbondbasis => 0.007206027924100218
| ctd::marketconvexity => 7.135238137736837E-7
| ctd::marketcreditbasis => NaN
| ctd::marketdiscountmargin => 0.008978141226862153
| ctd::marketduration => 8.050243765647319E-4
| ctd::marketgspread => -4.425872519604468E-4
| ctd::marketinputtype=cleanprice => 0.9909375
| ctd::marketispread => -5.881757634964829E-4
| ctd::marketmacaulayduration => 8.11350000722601
| ctd::marketmodifiedduration => 8.050243765647319E-4
| ctd::marketoas => -4.406624915477788E-4
| ctd::marketoaspread => -4.406624915477788E-4
| ctd::marketoptionadjustedspread => -4.406624915477788E-4
| ctd::marketparspread => 59.474610426042965
| ctd::marketpecs => NaN
| ctd::marketprice => 0.9909375000000022
| ctd::markettsyspread => -0.001957265774532266
| ctd::marketworkoutdate => 2458909.0
| ctd::marketworkoutfactor => 1.0
| ctd::marketworkouttype => 3.0
| ctd::marketworkoutyield => 0.014822734225467734
| ctd::marketyield => 0.014822734225467734
| ctd::marketyield01 => 8.026551942512672E-4
| ctd::marketyieldbasis => 0.007206027924100218
| ctd::marketyieldspread => 0.007206027924100218
| ctd::marketzspread => 0.007209771185508395
| ctd::modifiedduration => 8.050243765647319E-4
| ctd::oas => -4.406624915477788E-4
| ctd::oaspread => -4.406624915477788E-4
| ctd::optionadjustedspread => -4.406624915477788E-4
| ctd::parpv => 0.9360603643724464
| ctd::parspread => 59.474610426042965
| ctd::pecs => NaN
| ctd::price => 0.9909375000000022
| ctd::principalpv => 0.0
| ctd::pv => 1.0568125187384532
| ctd::recoverypv => 0.0
| ctd::risklesscleancouponpv => 0.12075215436600684
| ctd::risklesscleandv01 => 9.226985302542815E-4
| ctd::risklesscleanindexcouponpv => NaN
| ctd::risklesscleanpv => 1.0568125187384532
| ctd::risklessdirtycouponpv => 0.12075154241545738
| ctd::risklessdirtydv01 => 8.78193035748787E-4
| ctd::risklessdirtyindexcouponpv => 0.12075154241545819
| ctd::risklessdirtypv => 1.0568119067879038
| ctd::tsyspread => -0.001957265774532266
| ctd::workoutdate => 2458909.0
| ctd::workoutfactor => 1.0
| ctd::workouttype => 3.0
| ctd::workoutyield => 0.014822734225467734
| ctd::yield => 0.014822734225467734
| ctd::yield01 => 8.026551942512672E-4
| ctd::yieldbasis => 0.007206027924100218
| ctd::yieldspread => 0.007206027924100218
| ctd::zspread => 0.007209771185508395
| ctdconversionfactor => 0.8317
| ctdforwardprice => 0.9909374999999999
| ctdreporate => 0.008
| ctdspotprice => 0.9909375
| ctdtreasuryyield => 0.00692
| impliedrepo => -3.2795222858843665
| impliedreporate => -3.2795222858843665
| netbasis => -3.2875222858843665
| pv => -0.0012145000000000072
| settlementamount => -0.0012145000000000072
| settlepv => -0.0012145000000000072
| spotpv => -0.0012130477879099182
|--------------------------------------------------------------------------||
|---------------------------------------------||
| Futures Price : 119.00000 ||
| Contract Size : 100000.00 ||
| Contract Value : 119000.00 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:30 EST 2020
| Setup Time => Mon Jan 27 01:02:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [20-NOV-2015] = 0.001950 | 0.001950 ||
| [25-NOV-2015] = 0.001760 | 0.001760 ||
| [18-DEC-2015] = 0.003010 | 0.003010 ||
| [19-JAN-2016] = 0.004010 | 0.004010 ||
| [18-FEB-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [20-NOV-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [20-NOV-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [20-NOV-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [20-NOV-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [20-NOV-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [20-NOV-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [20-NOV-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [20-NOV-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [20-NOV-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [20-NOV-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [20-NOV-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [20-NOV-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [20-NOV-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [20-NOV-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [20-NOV-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [20-NOV-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [20-NOV-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [20-NOV-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|--------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|--------------------------------------------||
| UST 1.00 18-NOV-2016 | 00.69% | 00.69% ||
| UST 1.00 18-NOV-2017 | 00.95% | 00.94% ||
| UST 1.25 18-NOV-2018 | 01.26% | 01.26% ||
| UST 1.50 18-NOV-2020 | 01.68% | 01.68% ||
| UST 2.00 18-NOV-2022 | 02.02% | 02.02% ||
| UST 2.25 18-NOV-2025 | 02.23% | 02.23% ||
| UST 3.00 18-NOV-2045 | 02.97% | 02.97% ||
|--------------------------------------------||
|---------------------------------------------||
| ||
| Bond # 1: UST 2.12 30-JUN-2022 ||
| Bond # 2: UST 1.88 31-AUG-2022 ||
| Bond # 3: UST 2.00 31-JUL-2022 ||
| Bond # 4: UST 1.62 15-AUG-2022 ||
| Bond # 5: UST 1.88 31-OCT-2022 ||
| Bond # 6: UST 1.88 30-SEP-2022 ||
| Bond # 7: UST 1.62 15-NOV-2022 ||
| Bond # 8: UST 2.00 15-FEB-2023 ||
| Bond # 9: UST 1.75 15-MAY-2023 ||
| Bond #10: UST 2.50 15-AUG-2023 ||
| Bond #11: UST 2.75 15-NOV-2023 ||
| Bond #12: UST 2.75 15-FEB-2024 ||
| Bond #13: UST 2.50 15-MAY-2024 ||
| Bond #14: UST 2.38 15-AUG-2024 ||
| Bond #15: UST 2.25 15-NOV-2024 ||
| Bond #16: UST 2.00 15-FEB-2025 ||
| Bond #17: UST 2.12 15-MAY-2025 ||
| Bond #18: UST 2.00 15-AUG-2025 ||
| Bond #19: UST 2.12 15-NOV-2025 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 2.12 30-JUN-2022 ||
|---------------------------------------------||
| ASW : 16
| Bond Basis : 114
| Convexity : 1.4864
| Discount Margin : 147
| G Spread : 09
| I Spread : 19
| Macaulay Duration : 11.5265
| Modified Duration : 11.4020
| Price : 100.7187
| Workout Date : 30-JUN-2022
| Workout Factor : 01.0000
| Workout Type : 3
| Workout Yield : 2.0516%
| Yield01 : 11.6717
| Yield Basis : 114
| Yield Spread : 114
| Z Spread : 114
|---------------------------------------------||
|--------------------------------------------------------------------------||
| CTD Full Bond Measures ||
|--------------------------------------------------------------------------||
| accrued => 1.6462912087912106E-6
| accrued01 => 7.747252747252747E-5
| assetswapspread => -0.022494833460547755
| asw => -0.022494833460547755
| bondbasis => -0.0012047979056953786
| cleancouponpv => 0.28362282394617383
| cleandv01 => 0.00141216042231942
| cleanindexcouponpv => NaN
| cleanprice => 1.1671938323151327
| cleanpv => 1.1671938323151327
| convexity => 1.530910107797996E-6
| creditbasis => NaN
| creditrisklessparpv => 0.8835710083689591
| creditrisklessprincipalpv => 0.0
| creditriskyparpv => NaN
| creditriskyprincipalpv => 0.0
| defaultexposure => NaN
| defaultexposurenorec => NaN
| dirtycouponpv => 0.28362117765496503
| dirtydv01 => 0.0013346878948468925
| dirtyindexcouponpv => 0.2836211776549647
| dirtyprice => 1.167192186023924
| dirtypv => 1.167192186023924
| discountmargin => 0.0020690513235577202
| duration => 0.0011629487475995777
| dv01 => 0.00141216042231942
| expectedrecovery => 0.0
| fairaccrued => 1.6462912087912106E-6
| fairaccrued01 => 7.747252747252747E-5
| fairassetswapspread => -0.022494833460547755
| fairasw => -0.022494833460547755
| fairbondbasis => -0.0012047979056953786
| faircleancouponpv => 0.28362282394617383
| faircleandv01 => 0.00141216042231942
| faircleanindexcouponpv => NaN
| faircleanprice => 1.1671938323151327
| faircleanpv => 1.1671938323151327
| fairconvexity => 1.530910107797996E-6
| faircreditbasis => NaN
| faircreditrisklessparpv => 0.8835710083689591
| faircreditrisklessprincipalpv => 0.0
| faircreditriskyparpv => NaN
| faircreditriskyprincipalpv => 0.0
| fairdefaultexposure => NaN
| fairdefaultexposurenorec => NaN
| fairdirtycouponpv => 0.28362117765496503
| fairdirtydv01 => 0.0013346878948468925
| fairdirtyindexcouponpv => 0.2836211776549647
| fairdirtyprice => 1.167192186023924
| fairdirtypv => 1.167192186023924
| fairdiscountmargin => 0.0020690513235577202
| fairduration => 0.0011629487475995777
| fairdv01 => 0.00141216042231942
| fairexpectedrecovery => 0.0
| fairfirstcouponrate => 0.021250000000000026
| fairfirstindexrate => NaN
| fairgspread => -0.011666122801124367
| fairispread => -0.010688767876369238
| fairlossoninstantaneousdefault => NaN
| fairmacaulayduration => 11.68318456301489
| fairmodifiedduration => 0.0011629487475995777
| fairoas => -0.01166272839225379
| fairoaspread => -0.01166272839225379
| fairoptionadjustedspread => -0.01166272839225379
| fairparpv => 0.8835710083689591
| fairpecs => NaN
| fairprice => 1.1671938323151327
| fairprincipalpv => 0.0
| fairpv => 1.1671938323151327
| fairrecoverypv => 0.0
| fairrisklesscleancouponpv => 0.28362282394617383
| fairrisklesscleandv01 => 0.00141216042231942
| fairrisklesscleanindexcouponpv => NaN
| fairrisklesscleanpv => 1.1671938323151327
| fairrisklessdirtycouponpv => 0.28362117765496503
| fairrisklessdirtydv01 => 0.0013346878948468925
| fairrisklessdirtyindexcouponpv => 0.2836211776549647
| fairrisklessdirtypv => 1.167192186023924
| fairtsyspread => -0.012336355677836698
| fairworkoutdate => 2459761.0
| fairworkoutfactor => 1.0
| fairworkouttype => 3.0
| fairworkoutyield => 0.007913644322163302
| fairyield => 0.007913644322163302
| fairyield01 => 0.001376532128487984
| fairyieldbasis => -0.0012047979056953786
| fairyieldspread => -0.0012047979056953786
| fairzspread => -0.001207116183981813
| firstcouponrate => 0.021250000000000026
| firstindexrate => NaN
| gspread => -0.011666122801124367
| ispread => -0.010688767876369238
| lossoninstantaneousdefault => NaN
| macaulayduration => 11.68318456301489
| modifiedduration => 0.0011629487475995777
| oas => -0.01166272839225379
| oaspread => -0.01166272839225379
| optionadjustedspread => -0.01166272839225379
| parpv => 0.8835710083689591
| pecs => NaN
| price => 1.1671938323151327
| principalpv => 0.0
| pv => 1.1671938323151327
| recoverypv => 0.0
| risklesscleancouponpv => 0.28362282394617383
| risklesscleandv01 => 0.00141216042231942
| risklesscleanindexcouponpv => NaN
| risklesscleanpv => 1.1671938323151327
| risklessdirtycouponpv => 0.28362117765496503
| risklessdirtydv01 => 0.0013346878948468925
| risklessdirtyindexcouponpv => 0.2836211776549647
| risklessdirtypv => 1.167192186023924
| tsyspread => -0.012336355677836698
| workoutdate => 2459761.0
| workoutfactor => 1.0
| workouttype => 3.0
| workoutyield => 0.007913644322163302
| yield => 0.007913644322163302
| yield01 => 0.001376532128487984
| yieldbasis => -0.0012047979056953786
| yieldspread => -0.0012047979056953786
| zspread => -0.001207116183981813
|--------------------------------------------------------------------------||
|--------------------------------------------------------------------------||
| Bond Futures Measures ||
|--------------------------------------------------------------------------||
| costofcarry => 0.0010800000000000002
| ctd::accrued => 1.6462912087912106E-6
| ctd::accrued01 => 7.747252747252747E-5
| ctd::assetswapspread => 0.0015667396007305364
| ctd::asw => 0.0015667396007305364
| ctd::bondbasis => 0.011397743705276419
| ctd::cleancouponpv => 0.28362282394617383
| ctd::cleandv01 => 0.00141216042231942
| ctd::cleanindexcouponpv => NaN
| ctd::cleanprice => 1.1671938323151327
| ctd::cleanpv => 1.1671938323151327
| ctd::convexity => 1.4864367670703706E-6
| ctd::creditbasis => NaN
| ctd::creditrisklessparpv => 0.8835710083689591
| ctd::creditrisklessprincipalpv => 0.0
| ctd::creditriskyparpv => NaN
| ctd::creditriskyprincipalpv => 0.0
| ctd::defaultexposure => NaN
| ctd::defaultexposurenorec => NaN
| ctd::dirtycouponpv => 0.28362117765496503
| ctd::dirtydv01 => 0.0013346878948468925
| ctd::dirtyindexcouponpv => 0.2836211776549647
| ctd::dirtyprice => 1.167192186023924
| ctd::dirtypv => 1.167192186023924
| ctd::discountmargin => 0.014671592934529517
| ctd::duration => 0.0011402041810568754
| ctd::dv01 => 0.00141216042231942
| ctd::expectedrecovery => 0.0
| ctd::fairaccrued => 1.6462912087912106E-6
| ctd::fairaccrued01 => 7.747252747252747E-5
| ctd::fairassetswapspread => -0.022494833460547755
| ctd::fairasw => -0.022494833460547755
| ctd::fairbondbasis => -0.0012047979056953786
| ctd::faircleancouponpv => 0.28362282394617383
| ctd::faircleandv01 => 0.00141216042231942
| ctd::faircleanindexcouponpv => NaN
| ctd::faircleanprice => 1.1671938323151327
| ctd::faircleanpv => 1.1671938323151327
| ctd::fairconvexity => 1.530910107797996E-6
| ctd::faircreditbasis => NaN
| ctd::faircreditrisklessparpv => 0.8835710083689591
| ctd::faircreditrisklessprincipalpv => 0.0
| ctd::faircreditriskyparpv => NaN
| ctd::faircreditriskyprincipalpv => 0.0
| ctd::fairdefaultexposure => NaN
| ctd::fairdefaultexposurenorec => NaN
| ctd::fairdirtycouponpv => 0.28362117765496503
| ctd::fairdirtydv01 => 0.0013346878948468925
| ctd::fairdirtyindexcouponpv => 0.2836211776549647
| ctd::fairdirtyprice => 1.167192186023924
| ctd::fairdirtypv => 1.167192186023924
| ctd::fairdiscountmargin => 0.0020690513235577202
| ctd::fairduration => 0.0011629487475995777
| ctd::fairdv01 => 0.00141216042231942
| ctd::fairexpectedrecovery => 0.0
| ctd::fairfirstcouponrate => 0.021250000000000026
| ctd::fairfirstindexrate => NaN
| ctd::fairgspread => -0.011666122801124367
| ctd::fairispread => -0.010688767876369238
| ctd::fairlossoninstantaneousdefault => NaN
| ctd::fairmacaulayduration => 11.68318456301489
| ctd::fairmodifiedduration => 0.0011629487475995777
| ctd::fairoas => -0.01166272839225379
| ctd::fairoaspread => -0.01166272839225379
| ctd::fairoptionadjustedspread => -0.01166272839225379
| ctd::fairparpv => 0.8835710083689591
| ctd::fairparspread => 212.50000000000023
| ctd::fairpecs => NaN
| ctd::fairprice => 1.1671938323151327
| ctd::fairprincipalpv => 0.0
| ctd::fairpv => 1.1671938323151327
| ctd::fairrecoverypv => 0.0
| ctd::fairrisklesscleancouponpv => 0.28362282394617383
| ctd::fairrisklesscleandv01 => 0.00141216042231942
| ctd::fairrisklesscleanindexcouponpv => NaN
| ctd::fairrisklesscleanpv => 1.1671938323151327
| ctd::fairrisklessdirtycouponpv => 0.28362117765496503
| ctd::fairrisklessdirtydv01 => 0.0013346878948468925
| ctd::fairrisklessdirtyindexcouponpv => 0.2836211776549647
| ctd::fairrisklessdirtypv => 1.167192186023924
| ctd::fairtsyspread => -0.012336355677836698
| ctd::fairworkoutdate => 2459761.0
| ctd::fairworkoutfactor => 1.0
| ctd::fairworkouttype => 3.0
| ctd::fairworkoutyield => 0.007913644322163302
| ctd::fairyield => 0.007913644322163302
| ctd::fairyield01 => 0.001376532128487984
| ctd::fairyieldbasis => -0.0012047979056953786
| ctd::fairyieldspread => -0.0012047979056953786
| ctd::fairzspread => -0.001207116183981813
| ctd::firstcouponrate => 0.021250000000000026
| ctd::firstindexrate => NaN
| ctd::gspread => 9.364188098474301E-4
| ctd::ispread => 0.00191377373460256
| ctd::lossoninstantaneousdefault => NaN
| ctd::macaulayduration => 11.52650998297954
| ctd::marketassetswapspread => 0.0015667396007305364
| ctd::marketasw => 0.0015667396007305364
| ctd::marketbondbasis => 0.011397743705276419
| ctd::marketconvexity => 1.4864367670703706E-6
| ctd::marketcreditbasis => NaN
| ctd::marketdiscountmargin => 0.014671592934529517
| ctd::marketduration => 0.0011402041810568754
| ctd::marketgspread => 9.364188098474301E-4
| ctd::marketinputtype=cleanprice => 1.0071875
| ctd::marketispread => 0.00191377373460256
| ctd::marketmacaulayduration => 11.52650998297954
| ctd::marketmodifiedduration => 0.0011402041810568754
| ctd::marketoas => 9.45712056249583E-4
| ctd::marketoaspread => 9.45712056249583E-4
| ctd::marketoptionadjustedspread => 9.45712056249583E-4
| ctd::marketparspread => 87.5371449855949
| ctd::marketpecs => NaN
| ctd::marketprice => 1.007187500000453
| ctd::markettsyspread => 2.661859331350991E-4
| ctd::marketworkoutdate => 2459761.0
| ctd::marketworkoutfactor => 1.0
| ctd::marketworkouttype => 3.0
| ctd::marketworkoutyield => 0.0205161859331351
| ctd::marketyield => 0.0205161859331351
| ctd::marketyield01 => 0.001167170480259827
| ctd::marketyieldbasis => 0.011397743705276419
| ctd::marketyieldspread => 0.011397743705276419
| ctd::marketzspread => 0.011420705519820116
| ctd::modifiedduration => 0.0011402041810568754
| ctd::oas => 9.45712056249583E-4
| ctd::oaspread => 9.45712056249583E-4
| ctd::optionadjustedspread => 9.45712056249583E-4
| ctd::parpv => 0.8835710083689591
| ctd::parspread => 87.5371449855949
| ctd::pecs => NaN
| ctd::price => 1.007187500000453
| ctd::principalpv => 0.0
| ctd::pv => 1.1671938323151327
| ctd::recoverypv => 0.0
| ctd::risklesscleancouponpv => 0.28362282394617383
| ctd::risklesscleandv01 => 0.00141216042231942
| ctd::risklesscleanindexcouponpv => NaN
| ctd::risklesscleanpv => 1.1671938323151327
| ctd::risklessdirtycouponpv => 0.28362117765496503
| ctd::risklessdirtydv01 => 0.0013346878948468925
| ctd::risklessdirtyindexcouponpv => 0.2836211776549647
| ctd::risklessdirtypv => 1.167192186023924
| ctd::tsyspread => 2.661859331350991E-4
| ctd::workoutdate => 2459761.0
| ctd::workoutfactor => 1.0
| ctd::workouttype => 3.0
| ctd::workoutyield => 0.0205161859331351
| ctd::yield => 0.0205161859331351
| ctd::yield01 => 0.001167170480259827
| ctd::yieldbasis => 0.011397743705276419
| ctd::yieldspread => 0.011397743705276419
| ctd::zspread => 0.011420705519820116
| ctdconversionfactor => 0.7939
| ctdforwardprice => 1.006951854610957
| ctdreporate => 0.008
| ctdspotprice => 1.0071875
| ctdtreasuryyield => 0.00692
| impliedrepo => -3.050254578224628
| impliedreporate => -3.050254578224628
| netbasis => -3.058254578224628
| pv => -0.0020481202359570183
| settlementamount => -0.0020481202359570183
| settlepv => -0.0020481202359570183
| spotpv => -0.0020456712405114747
|--------------------------------------------------------------------------||
|---------------------------------------------||
| Futures Price : 126.57813 ||
| Contract Size : 100000.00 ||
| Contract Value : 126578.13 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:31 EST 2020
| Setup Time => Mon Jan 27 01:02:31 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [20-NOV-2015] = 0.001950 | 0.001950 ||
| [25-NOV-2015] = 0.001760 | 0.001760 ||
| [18-DEC-2015] = 0.003010 | 0.003010 ||
| [19-JAN-2016] = 0.004010 | 0.004010 ||
| [18-FEB-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [20-NOV-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [20-NOV-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [20-NOV-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [20-NOV-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [20-NOV-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [20-NOV-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [20-NOV-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [20-NOV-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [20-NOV-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [20-NOV-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [20-NOV-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [20-NOV-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [20-NOV-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [20-NOV-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [20-NOV-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [20-NOV-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [20-NOV-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [20-NOV-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|--------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|--------------------------------------------||
| UST 1.00 18-NOV-2016 | 00.69% | 00.69% ||
| UST 1.00 18-NOV-2017 | 00.95% | 00.94% ||
| UST 1.25 18-NOV-2018 | 01.26% | 01.26% ||
| UST 1.50 18-NOV-2020 | 01.68% | 01.68% ||
| UST 2.00 18-NOV-2022 | 02.02% | 02.02% ||
| UST 2.25 18-NOV-2025 | 02.23% | 02.23% ||
| UST 3.00 18-NOV-2045 | 02.97% | 02.97% ||
|--------------------------------------------||
|---------------------------------------------||
| ||
| Bond # 1: UST 4.50 15-FEB-2036 ||
| Bond # 2: UST 5.00 15-MAY-2037 ||
| Bond # 3: UST 4.75 15-FEB-2037 ||
| Bond # 4: UST 4.50 15-MAY-2038 ||
| Bond # 5: UST 4.38 15-FEB-2038 ||
| Bond # 6: UST 4.50 15-AUG-2039 ||
| Bond # 7: UST 4.62 15-FEB-2040 ||
| Bond # 8: UST 4.25 15-MAY-2039 ||
| Bond # 9: UST 4.38 15-NOV-2039 ||
| Bond #10: UST 4.38 15-MAY-2040 ||
| Bond #11: UST 4.25 15-NOV-2040 ||
| Bond #12: UST 3.88 15-AUG-2040 ||
| Bond #13: UST 3.50 15-FEB-2039 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 4.50 15-FEB-2036 ||
|---------------------------------------------||
| ASW : 24
| Bond Basis : 201
| Convexity : 6.4334
| Discount Margin : 265
| G Spread : 62
| I Spread : 66
| Macaulay Duration : 21.2667
| Modified Duration : 20.8961
| Price : 127.6562
| Workout Date : 15-FEB-2036
| Workout Factor : 01.0000
| Workout Type : 3
| Workout Yield : 3.2347%
| Yield01 : 27.1660
| Yield Basis : 201
| Yield Spread : 201
| Z Spread : 205
|---------------------------------------------||
|--------------------------------------------------------------------------||
| CTD Full Bond Measures ||
|--------------------------------------------------------------------------||
| accrued => 2.3489010989010995E-6
| accrued01 => 5.219780219780219E-5
| assetswapspread => -0.04574241496646313
| asw => -0.04574241496646313
| bondbasis => -4.4990968124141405E-4
| cleancouponpv => 1.4785614965163072
| cleandv01 => 0.0033378847968982663
| cleanindexcouponpv => NaN
| cleanprice => 2.0640177097454973
| cleanpv => 2.0640177097454973
| convexity => 8.418319352432782E-6
| creditbasis => NaN
| creditrisklessparpv => 0.5854562132291901
| creditrisklessprincipalpv => 0.0
| creditriskyparpv => NaN
| creditriskyprincipalpv => 0.0
| defaultexposure => NaN
| defaultexposurenorec => NaN
| dirtycouponpv => 1.4785591476152082
| dirtydv01 => 0.0032856869947004643
| dirtyindexcouponpv => 1.4785591476152076
| dirtyprice => 2.0640153608443983
| dirtypv => 2.0640153608443983
| discountmargin => 0.005968363611497308
| duration => 0.0025158664278232255
| dv01 => 0.0033378847968982663
| expectedrecovery => 0.0
| fairaccrued => 2.3489010989010995E-6
| fairaccrued01 => 5.219780219780219E-5
| fairassetswapspread => -0.04574241496646313
| fairasw => -0.04574241496646313
| fairbondbasis => -4.4990968124141405E-4
| faircleancouponpv => 1.4785614965163072
| faircleandv01 => 0.0033378847968982663
| faircleanindexcouponpv => NaN
| faircleanprice => 2.0640177097454973
| faircleanpv => 2.0640177097454973
| fairconvexity => 8.418319352432782E-6
| faircreditbasis => NaN
| faircreditrisklessparpv => 0.5854562132291901
| faircreditrisklessprincipalpv => 0.0
| faircreditriskyparpv => NaN
| faircreditriskyprincipalpv => 0.0
| fairdefaultexposure => NaN
| fairdefaultexposurenorec => NaN
| fairdirtycouponpv => 1.4785591476152082
| fairdirtydv01 => 0.0032856869947004643
| fairdirtyindexcouponpv => 1.4785591476152076
| fairdirtyprice => 2.0640153608443983
| fairdirtypv => 2.0640153608443983
| fairdiscountmargin => 0.005968363611497308
| fairduration => 0.0025158664278232255
| fairdv01 => 0.0033378847968982663
| fairexpectedrecovery => 0.0
| fairfirstcouponrate => 0.04500000000000002
| fairfirstindexrate => NaN
| fairgspread => -0.01431133086422976
| fairispread => -0.013927439732589949
| fairlossoninstantaneousdefault => NaN
| fairmacaulayduration => 25.349551419825726
| fairmodifiedduration => 0.0025158664278232255
| fairoas => -0.014292323366904738
| fairoaspread => -0.014292323366904738
| fairoptionadjustedspread => -0.014292323366904738
| fairparpv => 0.5854562132291901
| fairpecs => NaN
| fairprice => 2.0640177097454973
| fairprincipalpv => 0.0
| fairpv => 2.0640177097454973
| fairrecoverypv => 0.0
| fairrisklesscleancouponpv => 1.4785614965163072
| fairrisklesscleandv01 => 0.0033378847968982663
| fairrisklesscleanindexcouponpv => NaN
| fairrisklesscleanpv => 2.0640177097454973
| fairrisklessdirtycouponpv => 1.4785591476152082
| fairrisklessdirtydv01 => 0.0032856869947004643
| fairrisklessdirtyindexcouponpv => 1.4785591476152076
| fairrisklessdirtypv => 2.0640153608443983
| fairtsyspread => -0.017907043389897112
| fairworkoutdate => 2464739.0
| fairworkoutfactor => 1.0
| fairworkouttype => 3.0
| fairworkoutyield => 0.01181295661010289
| fairyield => 0.01181295661010289
| fairyield01 => 0.005251888076551303
| fairyieldbasis => -4.4990968124141405E-4
| fairyieldspread => -4.4990968124141405E-4
| fairzspread => -4.577932792985442E-4
| firstcouponrate => 0.04500000000000002
| firstindexrate => NaN
| gspread => -0.01431133086422976
| ispread => -0.013927439732589949
| lossoninstantaneousdefault => NaN
| macaulayduration => 25.349551419825726
| modifiedduration => 0.0025158664278232255
| oas => -0.014292323366904738
| oaspread => -0.014292323366904738
| optionadjustedspread => -0.014292323366904738
| parpv => 0.5854562132291901
| pecs => NaN
| price => 2.0640177097454973
| principalpv => 0.0
| pv => 2.0640177097454973
| recoverypv => 0.0
| risklesscleancouponpv => 1.4785614965163072
| risklesscleandv01 => 0.0033378847968982663
| risklesscleanindexcouponpv => NaN
| risklesscleanpv => 2.0640177097454973
| risklessdirtycouponpv => 1.4785591476152082
| risklessdirtydv01 => 0.0032856869947004643
| risklessdirtyindexcouponpv => 1.4785591476152076
| risklessdirtypv => 2.0640153608443983
| tsyspread => -0.017907043389897112
| workoutdate => 2464739.0
| workoutfactor => 1.0
| workouttype => 3.0
| workoutyield => 0.01181295661010289
| yield => 0.01181295661010289
| yield01 => 0.005251888076551303
| yieldbasis => -4.4990968124141405E-4
| yieldspread => -4.4990968124141405E-4
| zspread => -4.577932792985442E-4
|--------------------------------------------------------------------------||
|--------------------------------------------------------------------------||
| Bond Futures Measures ||
|--------------------------------------------------------------------------||
| costofcarry => 0.0010800000000000002
| ctd::accrued => 2.3489010989010995E-6
| ctd::accrued01 => 5.219780219780219E-5
| ctd::assetswapspread => 0.002364094671901209
| ctd::asw => 0.002364094671901209
| ctd::bondbasis => 0.020084544989624104
| ctd::cleancouponpv => 1.4785614965163072
| ctd::cleandv01 => 0.0033378847968982663
| ctd::cleanindexcouponpv => NaN
| ctd::cleanprice => 2.0640177097454973
| ctd::cleanpv => 2.0640177097454973
| ctd::convexity => 6.433408172794525E-6
| ctd::creditbasis => NaN
| ctd::creditrisklessparpv => 0.5854562132291901
| ctd::creditrisklessprincipalpv => 0.0
| ctd::creditriskyparpv => NaN
| ctd::creditriskyprincipalpv => 0.0
| ctd::defaultexposure => NaN
| ctd::defaultexposurenorec => NaN
| ctd::dirtycouponpv => 1.4785591476152082
| ctd::dirtydv01 => 0.0032856869947004643
| ctd::dirtyindexcouponpv => 1.4785591476152076
| ctd::dirtyprice => 2.0640153608443983
| ctd::dirtypv => 2.0640153608443983
| ctd::discountmargin => 0.026502818282362825
| ctd::duration => 0.0020896088940892408
| ctd::dv01 => 0.0033378847968982663
| ctd::expectedrecovery => 0.0
| ctd::fairaccrued => 2.3489010989010995E-6
| ctd::fairaccrued01 => 5.219780219780219E-5
| ctd::fairassetswapspread => -0.04574241496646313
| ctd::fairasw => -0.04574241496646313
| ctd::fairbondbasis => -4.4990968124141405E-4
| ctd::faircleancouponpv => 1.4785614965163072
| ctd::faircleandv01 => 0.0033378847968982663
| ctd::faircleanindexcouponpv => NaN
| ctd::faircleanprice => 2.0640177097454973
| ctd::faircleanpv => 2.0640177097454973
| ctd::fairconvexity => 8.418319352432782E-6
| ctd::faircreditbasis => NaN
| ctd::faircreditrisklessparpv => 0.5854562132291901
| ctd::faircreditrisklessprincipalpv => 0.0
| ctd::faircreditriskyparpv => NaN
| ctd::faircreditriskyprincipalpv => 0.0
| ctd::fairdefaultexposure => NaN
| ctd::fairdefaultexposurenorec => NaN
| ctd::fairdirtycouponpv => 1.4785591476152082
| ctd::fairdirtydv01 => 0.0032856869947004643
| ctd::fairdirtyindexcouponpv => 1.4785591476152076
| ctd::fairdirtyprice => 2.0640153608443983
| ctd::fairdirtypv => 2.0640153608443983
| ctd::fairdiscountmargin => 0.005968363611497308
| ctd::fairduration => 0.0025158664278232255
| ctd::fairdv01 => 0.0033378847968982663
| ctd::fairexpectedrecovery => 0.0
| ctd::fairfirstcouponrate => 0.04500000000000002
| ctd::fairfirstindexrate => NaN
| ctd::fairgspread => -0.01431133086422976
| ctd::fairispread => -0.013927439732589949
| ctd::fairlossoninstantaneousdefault => NaN
| ctd::fairmacaulayduration => 25.349551419825726
| ctd::fairmodifiedduration => 0.0025158664278232255
| ctd::fairoas => -0.014292323366904738
| ctd::fairoaspread => -0.014292323366904738
| ctd::fairoptionadjustedspread => -0.014292323366904738
| ctd::fairparpv => 0.5854562132291901
| ctd::fairparspread => 449.9999999999998
| ctd::fairpecs => NaN
| ctd::fairprice => 2.0640177097454973
| ctd::fairprincipalpv => 0.0
| ctd::fairpv => 2.0640177097454973
| ctd::fairrecoverypv => 0.0
| ctd::fairrisklesscleancouponpv => 1.4785614965163072
| ctd::fairrisklesscleandv01 => 0.0033378847968982663
| ctd::fairrisklesscleanindexcouponpv => NaN
| ctd::fairrisklesscleanpv => 2.0640177097454973
| ctd::fairrisklessdirtycouponpv => 1.4785591476152082
| ctd::fairrisklessdirtydv01 => 0.0032856869947004643
| ctd::fairrisklessdirtyindexcouponpv => 1.4785591476152076
| ctd::fairrisklessdirtypv => 2.0640153608443983
| ctd::fairtsyspread => -0.017907043389897112
| ctd::fairworkoutdate => 2464739.0
| ctd::fairworkoutfactor => 1.0
| ctd::fairworkouttype => 3.0
| ctd::fairworkoutyield => 0.01181295661010289
| ctd::fairyield => 0.01181295661010289
| ctd::fairyield01 => 0.005251888076551303
| ctd::fairyieldbasis => -4.4990968124141405E-4
| ctd::fairyieldspread => -4.4990968124141405E-4
| ctd::fairzspread => -4.577932792985442E-4
| ctd::firstcouponrate => 0.04500000000000002
| ctd::firstindexrate => NaN
| ctd::gspread => 0.006223123806635759
| ctd::ispread => 0.00660701493827557
| ctd::lossoninstantaneousdefault => NaN
| ctd::macaulayduration => 21.266704973964018
| ctd::marketassetswapspread => 0.002364094671901209
| ctd::marketasw => 0.002364094671901209
| ctd::marketbondbasis => 0.020084544989624104
| ctd::marketconvexity => 6.433408172794525E-6
| ctd::marketcreditbasis => NaN
| ctd::marketdiscountmargin => 0.026502818282362825
| ctd::marketduration => 0.0020896088940892408
| ctd::marketgspread => 0.006223123806635759
| ctd::marketinputtype=cleanprice => 1.2765625
| ctd::marketispread => 0.00660701493827557
| ctd::marketmacaulayduration => 21.266704973964018
| ctd::marketmodifiedduration => 0.0020896088940892408
| ctd::marketoas => 0.006285348366932041
| ctd::marketoaspread => 0.006285348366932041
| ctd::marketoptionadjustedspread => 0.006285348366932041
| ctd::marketparspread => 207.04917300112217
| ctd::marketpecs => NaN
| ctd::marketprice => 1.2765624999999947
| ctd::markettsyspread => 0.002627411280968408
| ctd::marketworkoutdate => 2464739.0
| ctd::marketworkoutfactor => 1.0
| ctd::marketworkouttype => 3.0
| ctd::marketworkoutyield => 0.03234741128096841
| ctd::marketyield => 0.03234741128096841
| ctd::marketyield01 => 0.0027165992001367822
| ctd::marketyieldbasis => 0.020084544989624104
| ctd::marketyieldspread => 0.020084544989624104
| ctd::marketzspread => 0.020492195217494017
| ctd::modifiedduration => 0.0020896088940892408
| ctd::oas => 0.006285348366932041
| ctd::oaspread => 0.006285348366932041
| ctd::optionadjustedspread => 0.006285348366932041
| ctd::parpv => 0.5854562132291901
| ctd::parspread => 207.04917300112217
| ctd::pecs => NaN
| ctd::price => 1.2765624999999947
| ctd::principalpv => 0.0
| ctd::pv => 2.0640177097454973
| ctd::recoverypv => 0.0
| ctd::risklesscleancouponpv => 1.4785614965163072
| ctd::risklesscleandv01 => 0.0033378847968982663
| ctd::risklesscleanindexcouponpv => NaN
| ctd::risklesscleanpv => 2.0640177097454973
| ctd::risklessdirtycouponpv => 1.4785591476152082
| ctd::risklessdirtydv01 => 0.0032856869947004643
| ctd::risklessdirtyindexcouponpv => 1.4785591476152076
| ctd::risklessdirtypv => 2.0640153608443983
| ctd::tsyspread => 0.002627411280968408
| ctd::workoutdate => 2464739.0
| ctd::workoutfactor => 1.0
| ctd::workouttype => 3.0
| ctd::workoutyield => 0.03234741128096841
| ctd::yield => 0.03234741128096841
| ctd::yield01 => 0.0027165992001367822
| ctd::yieldbasis => 0.020084544989624104
| ctd::yieldspread => 0.020084544989624104
| ctd::zspread => 0.020492195217494017
| ctdconversionfactor => 0.8266
| ctdforwardprice => 1.2751178967442738
| ctdreporate => 0.008
| ctdspotprice => 1.2765625
| ctdtreasuryyield => 0.00692
| impliedrepo => -3.2650626435437955
| impliedreporate => -3.2650626435437955
| netbasis => -3.2730626435437955
| pv => -0.004220396744273769
| settlementamount => -0.004220396744273769
| settlepv => -0.004220396744273769
| spotpv => -0.004215350296207069
|--------------------------------------------------------------------------||
|---------------------------------------------||
| Futures Price : 153.75000 ||
| Contract Size : 100000.00 ||
| Contract Value : 153750.00 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:31 EST 2020
| Setup Time => Mon Jan 27 01:02:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|------------------------------------||
| [20-NOV-2015] = 0.001950 | 0.001950 ||
| [25-NOV-2015] = 0.001760 | 0.001760 ||
| [18-DEC-2015] = 0.003010 | 0.003010 ||
| [19-JAN-2016] = 0.004010 | 0.004010 ||
| [18-FEB-2016] = 0.004920 | 0.004920 ||
|------------------------------------||
|------------------------------------||
| FUTURES INPUT vs. CALC ||
|------------------------------------||
| [15-MAR-2016] = 0.006090 | 0.006090 ||
| [15-JUN-2016] = 0.006870 | 0.006870 ||
|------------------------------------||
|-----------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|-----------------------------------------------||
| [20-NOV-2016] = 0.007620 | 0.007620 | 0.007620 ||
| [20-NOV-2017] = 0.010550 | 0.010550 | 0.010550 ||
| [20-NOV-2018] = 0.013000 | 0.013000 | 0.013000 ||
| [20-NOV-2019] = 0.014950 | 0.014950 | 0.014950 ||
| [20-NOV-2020] = 0.016510 | 0.016510 | 0.016510 ||
| [20-NOV-2021] = 0.017870 | 0.017870 | 0.017870 ||
| [20-NOV-2022] = 0.019040 | 0.019040 | 0.019040 ||
| [20-NOV-2023] = 0.020050 | 0.020050 | 0.020050 ||
| [20-NOV-2024] = 0.020900 | 0.020900 | 0.020900 ||
| [20-NOV-2025] = 0.021660 | 0.021660 | 0.021660 ||
| [20-NOV-2026] = 0.022310 | 0.022310 | 0.022310 ||
| [20-NOV-2027] = 0.022890 | 0.022890 | 0.022890 ||
| [20-NOV-2030] = 0.024140 | 0.024140 | 0.024140 ||
| [20-NOV-2035] = 0.025700 | 0.025700 | 0.025700 ||
| [20-NOV-2040] = 0.025940 | 0.025940 | 0.025940 ||
| [20-NOV-2045] = 0.026270 | 0.026270 | 0.026270 ||
| [20-NOV-2055] = 0.026480 | 0.026480 | 0.026480 ||
| [20-NOV-2065] = 0.026320 | 0.026320 | 0.026320 ||
|-----------------------------------------------||
|--------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|--------------------------------------------||
| UST 1.00 18-NOV-2016 | 00.69% | 00.69% ||
| UST 1.00 18-NOV-2017 | 00.95% | 00.94% ||
| UST 1.25 18-NOV-2018 | 01.26% | 01.26% ||
| UST 1.50 18-NOV-2020 | 01.68% | 01.68% ||
| UST 2.00 18-NOV-2022 | 02.02% | 02.02% ||
| UST 2.25 18-NOV-2025 | 02.23% | 02.23% ||
| UST 3.00 18-NOV-2045 | 02.97% | 02.97% ||
|--------------------------------------------||
|---------------------------------------------||
| ||
| Bond # 1: UST 4.75 15-FEB-2041 ||
| Bond # 2: UST 4.38 15-MAY-2041 ||
| Bond # 3: UST 3.75 15-AUG-2041 ||
| Bond # 4: UST 3.62 15-AUG-2043 ||
| Bond # 5: UST 3.75 15-NOV-2043 ||
| Bond # 6: UST 3.12 15-NOV-2041 ||
| Bond # 7: UST 3.12 15-FEB-2043 ||
| Bond # 8: UST 3.62 15-FEB-2044 ||
| Bond # 9: UST 3.12 15-FEB-2043 ||
| Bond #10: UST 3.00 15-MAY-2042 ||
| Bond #11: UST 3.62 15-MAY-2044 ||
| Bond #12: UST 2.38 15-AUG-2042 ||
| Bond #13: UST 2.88 15-MAY-2043 ||
| Bond #14: UST 2.75 15-NOV-2042 ||
| Bond #15: UST 3.12 15-AUG-2044 ||
| Bond #16: UST 3.00 15-NOV-2044 ||
| Bond #17: UST 3.00 15-MAY-2045 ||
| Bond #18: UST 3.00 15-NOV-2045 ||
| Bond #19: UST 2.88 15-AUG-2045 ||
| Bond #20: UST 2.50 15-FEB-2045 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 4.75 15-FEB-2041 ||
|---------------------------------------------||
| ASW : 48
| Bond Basis : 214
| Convexity : 7.9562
| Discount Margin : 280
| G Spread : 59
| I Spread : 79
| Macaulay Duration : 22.9427
| Modified Duration : 22.5212
| Price : 132.0000
| Workout Date : 15-FEB-2041
| Workout Factor : 01.0000
| Workout Type : 3
| Workout Yield : 3.3841%
| Yield01 : 30.2864
| Yield Basis : 214
| Yield Spread : 214
| Z Spread : 219
|---------------------------------------------||
|--------------------------------------------------------------------------||
| CTD Full Bond Measures ||
|--------------------------------------------------------------------------||
| accrued => 2.4793956043956E-6
| accrued01 => 5.219780219780219E-5
| assetswapspread => -0.04820014208062767
| asw => -0.04820014208062767
| bondbasis => -3.6358885297057067E-4
| cleancouponpv => 1.8198275345529344
| cleandv01 => 0.003883408444634293
| cleanindexcouponpv => NaN
| cleanprice => 2.331349998156345
| cleanpv => 2.331349998156345
| convexity => 1.1618710586499809E-5
| creditbasis => NaN
| creditrisklessparpv => 0.5115224636034107
| creditrisklessprincipalpv => 0.0
| creditriskyparpv => NaN
| creditriskyprincipalpv => 0.0
| defaultexposure => NaN
| defaultexposurenorec => NaN
| dirtycouponpv => 1.81982505515733
| dirtydv01 => 0.003831210642436491
| dirtyindexcouponpv => 1.8198250551573323
| dirtyprice => 2.3313475187607406
| dirtypv => 2.3313475187607406
| discountmargin => 0.0062700729293121505
| duration => 0.002909728877256623
| dv01 => 0.003883408444634293
| expectedrecovery => 0.0
| fairaccrued => 2.4793956043956E-6
| fairaccrued01 => 5.219780219780219E-5
| fairassetswapspread => -0.04820014208062767
| fairasw => -0.04820014208062767
| fairbondbasis => -3.6358885297057067E-4
| faircleancouponpv => 1.8198275345529344
| faircleandv01 => 0.003883408444634293
| faircleanindexcouponpv => NaN
| faircleanprice => 2.331349998156345
| faircleanpv => 2.331349998156345
| fairconvexity => 1.1618710586499809E-5
| faircreditbasis => NaN
| faircreditrisklessparpv => 0.5115224636034107
| faircreditrisklessprincipalpv => 0.0
| faircreditriskyparpv => NaN
| faircreditriskyprincipalpv => 0.0
| fairdefaultexposure => NaN
| fairdefaultexposurenorec => NaN
| fairdirtycouponpv => 1.81982505515733
| fairdirtydv01 => 0.003831210642436491
| fairdirtyindexcouponpv => 1.8198250551573323
| fairdirtyprice => 2.3313475187607406
| fairdirtypv => 2.3313475187607406
| fairdiscountmargin => 0.0062700729293121505
| fairduration => 0.002909728877256623
| fairdv01 => 0.003883408444634293
| fairexpectedrecovery => 0.0
| fairfirstcouponrate => 0.047499999999999924
| fairfirstindexrate => NaN
| fairgspread => -0.01585287821992621
| fairispread => -0.013831325338741363
| fairlossoninstantaneousdefault => NaN
| fairmacaulayduration => 29.331899120967297
| fairmodifiedduration => 0.002909728877256623
| fairoas => -0.015828867731711525
| fairoaspread => -0.015828867731711525
| fairoptionadjustedspread => -0.015828867731711525
| fairparpv => 0.5115224636034107
| fairpecs => NaN
| fairprice => 2.331349998156345
| fairprincipalpv => 0.0
| fairpv => 2.331349998156345
| fairrecoverypv => 0.0
| fairrisklesscleancouponpv => 1.8198275345529344
| fairrisklesscleandv01 => 0.003883408444634293
| fairrisklesscleanindexcouponpv => NaN
| fairrisklesscleanpv => 2.331349998156345
| fairrisklessdirtycouponpv => 1.81982505515733
| fairrisklessdirtydv01 => 0.003831210642436491
| fairrisklessdirtyindexcouponpv => 1.8198250551573323
| fairrisklessdirtypv => 2.3313475187607406
| fairtsyspread => -0.017605334072082267
| fairworkoutdate => 2466566.0
| fairworkoutfactor => 1.0
| fairworkouttype => 3.0
| fairworkoutyield => 0.012114665927917732
| fairyield => 0.012114665927917732
| fairyield01 => 0.006855740584644998
| fairyieldbasis => -3.6358885297057067E-4
| fairyieldspread => -3.6358885297057067E-4
| fairzspread => -3.7091013180149177E-4
| firstcouponrate => 0.047499999999999924
| firstindexrate => NaN
| gspread => -0.01585287821992621
| ispread => -0.013831325338741363
| lossoninstantaneousdefault => NaN
| macaulayduration => 29.331899120967297
| modifiedduration => 0.002909728877256623
| oas => -0.015828867731711525
| oaspread => -0.015828867731711525
| optionadjustedspread => -0.015828867731711525
| parpv => 0.5115224636034107
| pecs => NaN
| price => 2.331349998156345
| principalpv => 0.0
| pv => 2.331349998156345
| recoverypv => 0.0
| risklesscleancouponpv => 1.8198275345529344
| risklesscleandv01 => 0.003883408444634293
| risklesscleanindexcouponpv => NaN
| risklesscleanpv => 2.331349998156345
| risklessdirtycouponpv => 1.81982505515733
| risklessdirtydv01 => 0.003831210642436491
| risklessdirtyindexcouponpv => 1.8198250551573323
| risklessdirtypv => 2.3313475187607406
| tsyspread => -0.017605334072082267
| workoutdate => 2466566.0
| workoutfactor => 1.0
| workouttype => 3.0
| workoutyield => 0.012114665927917732
| yield => 0.012114665927917732
| yield01 => 0.006855740584644998
| yieldbasis => -3.6358885297057067E-4
| yieldspread => -3.6358885297057067E-4
| zspread => -3.7091013180149177E-4
|--------------------------------------------------------------------------||
|--------------------------------------------------------------------------||
| Bond Futures Measures ||
|--------------------------------------------------------------------------||
| costofcarry => 0.0010800000000000002
| ctd::accrued => 2.4793956043956E-6
| ctd::accrued01 => 5.219780219780219E-5
| ctd::assetswapspread => 0.00478807304115747
| ctd::asw => 0.00478807304115747
| ctd::bondbasis => 0.021362913118815875
| ctd::cleancouponpv => 1.8198275345529344
| ctd::cleandv01 => 0.003883408444634293
| ctd::cleanindexcouponpv => NaN
| ctd::cleanprice => 2.331349998156345
| ctd::cleanpv => 2.331349998156345
| ctd::convexity => 7.956178274341125E-6
| ctd::creditbasis => NaN
| ctd::creditrisklessparpv => 0.5115224636034107
| ctd::creditrisklessprincipalpv => 0.0
| ctd::creditriskyparpv => NaN
| ctd::creditriskyprincipalpv => 0.0
| ctd::defaultexposure => NaN
| ctd::defaultexposurenorec => NaN
| ctd::dirtycouponpv => 1.81982505515733
| ctd::dirtydv01 => 0.003831210642436491
| ctd::dirtyindexcouponpv => 1.8198250551573323
| ctd::dirtyprice => 2.3313475187607406
| ctd::dirtypv => 2.3313475187607406
| ctd::discountmargin => 0.027996574901098595
| ctd::duration => 0.0022521211039918656
| ctd::dv01 => 0.003883408444634293
| ctd::expectedrecovery => 0.0
| ctd::fairaccrued => 2.4793956043956E-6
| ctd::fairaccrued01 => 5.219780219780219E-5
| ctd::fairassetswapspread => -0.04820014208062767
| ctd::fairasw => -0.04820014208062767
| ctd::fairbondbasis => -3.6358885297057067E-4
| ctd::faircleancouponpv => 1.8198275345529344
| ctd::faircleandv01 => 0.003883408444634293
| ctd::faircleanindexcouponpv => NaN
| ctd::faircleanprice => 2.331349998156345
| ctd::faircleanpv => 2.331349998156345
| ctd::fairconvexity => 1.1618710586499809E-5
| ctd::faircreditbasis => NaN
| ctd::faircreditrisklessparpv => 0.5115224636034107
| ctd::faircreditrisklessprincipalpv => 0.0
| ctd::faircreditriskyparpv => NaN
| ctd::faircreditriskyprincipalpv => 0.0
| ctd::fairdefaultexposure => NaN
| ctd::fairdefaultexposurenorec => NaN
| ctd::fairdirtycouponpv => 1.81982505515733
| ctd::fairdirtydv01 => 0.003831210642436491
| ctd::fairdirtyindexcouponpv => 1.8198250551573323
| ctd::fairdirtyprice => 2.3313475187607406
| ctd::fairdirtypv => 2.3313475187607406
| ctd::fairdiscountmargin => 0.0062700729293121505
| ctd::fairduration => 0.002909728877256623
| ctd::fairdv01 => 0.003883408444634293
| ctd::fairexpectedrecovery => 0.0
| ctd::fairfirstcouponrate => 0.047499999999999924
| ctd::fairfirstindexrate => NaN
| ctd::fairgspread => -0.01585287821992621
| ctd::fairispread => -0.013831325338741363
| ctd::fairlossoninstantaneousdefault => NaN
| ctd::fairmacaulayduration => 29.331899120967297
| ctd::fairmodifiedduration => 0.002909728877256623
| ctd::fairoas => -0.015828867731711525
| ctd::fairoaspread => -0.015828867731711525
| ctd::fairoptionadjustedspread => -0.015828867731711525
| ctd::fairparpv => 0.5115224636034107
| ctd::fairparspread => 474.9999999999992
| ctd::fairpecs => NaN
| ctd::fairprice => 2.331349998156345
| ctd::fairprincipalpv => 0.0
| ctd::fairpv => 2.331349998156345
| ctd::fairrecoverypv => 0.0
| ctd::fairrisklesscleancouponpv => 1.8198275345529344
| ctd::fairrisklesscleandv01 => 0.003883408444634293
| ctd::fairrisklesscleanindexcouponpv => NaN
| ctd::fairrisklesscleanpv => 2.331349998156345
| ctd::fairrisklessdirtycouponpv => 1.81982505515733
| ctd::fairrisklessdirtydv01 => 0.003831210642436491
| ctd::fairrisklessdirtyindexcouponpv => 1.8198250551573323
| ctd::fairrisklessdirtypv => 2.3313475187607406
| ctd::fairtsyspread => -0.017605334072082267
| ctd::fairworkoutdate => 2466566.0
| ctd::fairworkoutfactor => 1.0
| ctd::fairworkouttype => 3.0
| ctd::fairworkoutyield => 0.012114665927917732
| ctd::fairyield => 0.012114665927917732
| ctd::fairyield01 => 0.006855740584644998
| ctd::fairyieldbasis => -3.6358885297057067E-4
| ctd::fairyieldspread => -3.6358885297057067E-4
| ctd::fairzspread => -3.7091013180149177E-4
| ctd::firstcouponrate => 0.047499999999999924
| ctd::firstindexrate => NaN
| ctd::gspread => 0.005873623751860235
| ctd::ispread => 0.007895176633045082
| ctd::lossoninstantaneousdefault => NaN
| ctd::macaulayduration => 22.942680806766905
| ctd::marketassetswapspread => 0.00478807304115747
| ctd::marketasw => 0.00478807304115747
| ctd::marketbondbasis => 0.021362913118815875
| ctd::marketconvexity => 7.956178274341125E-6
| ctd::marketcreditbasis => NaN
| ctd::marketdiscountmargin => 0.027996574901098595
| ctd::marketduration => 0.0022521211039918656
| ctd::marketgspread => 0.005873623751860235
| ctd::marketinputtype=cleanprice => 1.32
| ctd::marketispread => 0.007895176633045082
| ctd::marketmacaulayduration => 22.942680806766905
| ctd::marketmodifiedduration => 0.0022521211039918656
| ctd::marketoas => 0.005953752955768174
| ctd::marketoaspread => 0.005953752955768174
| ctd::marketoptionadjustedspread => 0.005953752955768174
| ctd::marketparspread => 208.18761422637206
| ctd::marketpecs => NaN
| ctd::marketprice => 1.3200000027583705
| ctd::markettsyspread => 0.004121167899704178
| ctd::marketworkoutdate => 2466566.0
| ctd::marketworkoutfactor => 1.0
| ctd::marketworkouttype => 3.0
| ctd::marketworkoutyield => 0.03384116789970418
| ctd::marketyield => 0.03384116789970418
| ctd::marketyield01 => 0.0030286416038154407
| ctd::marketyieldbasis => 0.021362913118815875
| ctd::marketyieldspread => 0.021362913118815875
| ctd::marketzspread => 0.02187951750322387
| ctd::modifiedduration => 0.0022521211039918656
| ctd::oas => 0.005953752955768174
| ctd::oaspread => 0.005953752955768174
| ctd::optionadjustedspread => 0.005953752955768174
| ctd::parpv => 0.5115224636034107
| ctd::parspread => 208.18761422637206
| ctd::pecs => NaN
| ctd::price => 1.3200000027583705
| ctd::principalpv => 0.0
| ctd::pv => 2.331349998156345
| ctd::recoverypv => 0.0
| ctd::risklesscleancouponpv => 1.8198275345529344
| ctd::risklesscleandv01 => 0.003883408444634293
| ctd::risklesscleanindexcouponpv => NaN
| ctd::risklesscleanpv => 2.331349998156345
| ctd::risklessdirtycouponpv => 1.81982505515733
| ctd::risklessdirtydv01 => 0.003831210642436491
| ctd::risklessdirtyindexcouponpv => 1.8198250551573323
| ctd::risklessdirtypv => 2.3313475187607406
| ctd::tsyspread => 0.004121167899704178
| ctd::workoutdate => 2466566.0
| ctd::workoutfactor => 1.0
| ctd::workouttype => 3.0
| ctd::workoutyield => 0.03384116789970418
| ctd::yield => 0.03384116789970418
| ctd::yield01 => 0.0030286416038154407
| ctd::yieldbasis => 0.021362913118815875
| ctd::yieldspread => 0.021362913118815875
| ctd::zspread => 0.02187951750322387
| ctdconversionfactor => 0.8392
| ctdforwardprice => 1.319022462199145
| ctdreporate => 0.008
| ctdspotprice => 1.32
| ctdtreasuryyield => 0.00692
| impliedrepo => -3.3363883746169565
| impliedreporate => -3.3363883746169565
| netbasis => -3.3443883746169565
| pv => -0.004100962199145242
| settlementamount => -0.004100962199145242
| settlepv => -0.004100962199145242
| spotpv => -0.004096058562351007
|--------------------------------------------------------------------------||
|---------------------------------------------||
| Futures Price : 156.68750 ||
| Contract Size : 100000.00 ||
| Contract Value : 156687.50 ||
|---------------------------------------------||