|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||------------------------------------------------||
|| CVA UNDER HIGH COUNTER PARTY HAZARD ||
||------------------------------------------------||
|| L -> R: ||
|| - Close Out => MTM XVA ||
|| - Funding Spread => None ||
|| - Close Out => MTM Fair Value ||
|| - Funding Spread => Bank ||
||------------------------------------------------||
|| 0.0% => -13.93% | -13.93% | -13.27% | -13.27% ||
|| 0.5% => -13.93% | -15.21% | -13.11% | -14.43% ||
|| 1.0% => -13.93% | -16.47% | -12.96% | -15.55% ||
|| 1.5% => -13.93% | -17.72% | -12.81% | -16.65% ||
|| 2.0% => -13.93% | -18.94% | -12.66% | -17.72% ||
|| 2.5% => -13.93% | -20.15% | -12.51% | -18.76% ||
|| 3.0% => -13.93% | -21.34% | -12.36% | -19.78% ||
|| 3.5% => -13.93% | -22.51% | -12.22% | -20.77% ||
|| 4.0% => -13.93% | -23.66% | -12.08% | -21.74% ||
|| 4.5% => -13.93% | -24.80% | -11.94% | -22.69% ||
|| 5.0% => -13.93% | -25.92% | -11.80% | -23.61% ||
||------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Finish Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||--------------------------------------------------||
|| CVA UNDER LOW COUNTER PARTY HAZARD ||
||--------------------------------------------------||
|| L -> R: ||
|| - Close Out => MTM XVA ||
|| - Funding Spread => None ||
|| - Close Out => MTM Fair Value ||
|| - Funding Spread => Bank ||
||--------------------------------------------------||
|| 0.0% => -00.00% | -00.00% | -00.00% | -00.00% ||
|| 0.5% => -00.00% | -01.49% | -00.00% | -01.48% ||
|| 1.0% => -00.00% | -02.96% | -00.00% | -02.93% ||
|| 1.5% => -00.00% | -04.40% | -00.00% | -04.34% ||
|| 2.0% => -00.00% | -05.82% | -00.00% | -05.71% ||
|| 2.5% => -00.00% | -07.23% | -00.00% | -07.05% ||
|| 3.0% => -00.00% | -08.61% | -00.00% | -08.36% ||
|| 3.5% => -00.00% | -09.97% | -00.00% | -09.63% ||
|| 4.0% => -00.00% | -11.31% | -00.00% | -10.88% ||
|| 4.5% => -00.00% | -12.63% | -00.00% | -12.09% ||
|| 5.0% => -00.00% | -13.93% | -00.00% | -13.27% ||
||--------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Finish Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||------------------------------------------------||
|| CVA UNDER MEDIUM COUNTER PARTY HAZARD ||
||------------------------------------------------||
|| L -> R: ||
|| - Close Out => MTM XVA ||
|| - Funding Spread => None ||
|| - Close Out => MTM Fair Value ||
|| - Funding Spread => Bank ||
||------------------------------------------------||
|| 0.0% => -07.23% | -07.23% | -07.05% | -07.05% ||
|| 0.5% => -07.23% | -08.61% | -06.96% | -08.36% ||
|| 1.0% => -07.23% | -09.97% | -06.88% | -09.63% ||
|| 1.5% => -07.23% | -11.31% | -06.80% | -10.88% ||
|| 2.0% => -07.23% | -12.63% | -06.72% | -12.09% ||
|| 2.5% => -07.23% | -13.93% | -06.64% | -13.27% ||
|| 3.0% => -07.23% | -15.21% | -06.56% | -14.43% ||
|| 3.5% => -07.23% | -16.47% | -06.48% | -15.55% ||
|| 4.0% => -07.23% | -17.72% | -06.40% | -16.65% ||
|| 4.5% => -07.23% | -18.94% | -06.33% | -17.72% ||
|| 5.0% => -07.23% | -20.15% | -06.25% | -18.76% ||
||------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Finish Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@320e0394
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Realization ||
|| - Realization of the Zero Coupon Bank Bond Price ||
|| - Realization of the Zero Coupon Counter Party Bond Price ||
|| - Realization of the Zero Coupon Collateral Bond Price ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative Cash Account Accumulation Component ||
|| - Asset Cash Account Accumulation Component ||
|| - Bank Cash Account Accumulation Component ||
|| - Counter Party Cash Account Accumulation Component ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | 0.761404 | 1.000000 | 1.000000 | 1.000000 | 1.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.958932 | 1.005749 | 0.764826 | 0.997887 | 0.997748 | 0.999713 | 1.001232 | -0.000000 | -0.624232 | 0.001307 | 0.001307 | 0.001232 | 0.000047 | 0.000027 ||
|| 0.917864 | 1.011490 | 0.787984 | 0.996657 | 0.995774 | 0.998770 | 1.002466 | -0.000000 | -0.625001 | 0.002556 | 0.001249 | 0.001173 | 0.000047 | 0.000029 ||
|| 0.876797 | 1.017168 | 0.789776 | 0.995353 | 0.994681 | 0.998452 | 1.003701 | -0.000000 | -0.625415 | 0.003755 | 0.001199 | 0.001122 | 0.000048 | 0.000029 ||
|| 0.835729 | 1.022834 | 0.776596 | 0.994433 | 0.994107 | 0.998947 | 1.004937 | -0.000000 | -0.626708 | 0.004934 | 0.001179 | 0.001102 | 0.000048 | 0.000029 ||
|| 0.791923 | 1.028900 | 0.825012 | 0.992818 | 0.992114 | 0.998918 | 1.006258 | -0.000000 | -0.631095 | 0.006196 | 0.001262 | 0.001174 | 0.000055 | 0.000033 ||
|| 0.750856 | 1.034639 | 0.828955 | 0.991942 | 0.992006 | 0.997361 | 1.007498 | -0.000000 | -0.633892 | 0.007377 | 0.001181 | 0.001104 | 0.000049 | 0.000029 ||
|| 0.709788 | 1.040386 | 0.801551 | 0.991167 | 0.990814 | 0.996848 | 1.008739 | -0.000000 | -0.639135 | 0.008557 | 0.001180 | 0.001102 | 0.000049 | 0.000029 ||
|| 0.668720 | 1.046161 | 0.779874 | 0.989913 | 0.989518 | 0.996589 | 1.009982 | -0.000000 | -0.639579 | 0.009739 | 0.001182 | 0.001103 | 0.000049 | 0.000029 ||
|| 0.627652 | 1.051962 | 0.756438 | 0.988513 | 0.988032 | 0.996143 | 1.011226 | -0.000000 | -0.640275 | 0.010897 | 0.001159 | 0.001080 | 0.000049 | 0.000030 ||
|| 0.583847 | 1.058128 | 0.762382 | 0.986467 | 0.986245 | 0.995273 | 1.012555 | -0.000000 | -0.641158 | 0.012117 | 0.001220 | 0.001129 | 0.000057 | 0.000034 ||
|| 0.542779 | 1.063921 | 0.788546 | 0.984955 | 0.984283 | 0.994950 | 1.013802 | -0.000000 | -0.641109 | 0.013238 | 0.001121 | 0.001041 | 0.000050 | 0.000030 ||
|| 0.501711 | 1.069724 | 0.800928 | 0.983092 | 0.983383 | 0.994305 | 1.015052 | -0.000000 | -0.647177 | 0.014355 | 0.001117 | 0.001037 | 0.000050 | 0.000030 ||
|| 0.460643 | 1.075512 | 0.830300 | 0.982224 | 0.982185 | 0.993847 | 1.016302 | -0.000000 | -0.649924 | 0.015437 | 0.001082 | 0.001002 | 0.000051 | 0.000030 ||
|| 0.419576 | 1.081312 | 0.834602 | 0.980839 | 0.981892 | 0.993569 | 1.017554 | -0.000000 | -0.653772 | 0.016505 | 0.001068 | 0.000987 | 0.000051 | 0.000030 ||
|| 0.375770 | 1.087508 | 0.849867 | 0.980070 | 0.979858 | 0.992438 | 1.018891 | -0.000000 | -0.653951 | 0.017618 | 0.001112 | 0.001019 | 0.000058 | 0.000035 ||
|| 0.334702 | 1.093332 | 0.867661 | 0.978988 | 0.978080 | 0.992297 | 1.020147 | -0.000000 | -0.654776 | 0.018649 | 0.001031 | 0.000950 | 0.000051 | 0.000031 ||
|| 0.293634 | 1.099235 | 0.887652 | 0.977223 | 0.976307 | 0.992064 | 1.021404 | -0.000000 | -0.656504 | 0.019711 | 0.001062 | 0.000980 | 0.000052 | 0.000031 ||
|| 0.252567 | 1.105178 | 0.887577 | 0.976236 | 0.974462 | 0.991317 | 1.022662 | -0.000000 | -0.658954 | 0.020803 | 0.001091 | 0.001009 | 0.000052 | 0.000031 ||
|| 0.211499 | 1.111180 | 0.890396 | 0.974725 | 0.973958 | 0.991242 | 1.023922 | -0.000000 | -0.661826 | 0.021930 | 0.001128 | 0.001044 | 0.000052 | 0.000031 ||
|| 0.167693 | 1.117594 | 0.889324 | 0.973446 | 0.972711 | 0.990976 | 1.025268 | -0.000000 | -0.669023 | 0.023135 | 0.001205 | 0.001110 | 0.000060 | 0.000035 ||
|| 0.126626 | 1.123596 | 0.890999 | 0.971722 | 0.971917 | 0.990325 | 1.026531 | -0.000000 | -0.669150 | 0.024201 | 0.001065 | 0.000981 | 0.000053 | 0.000031 ||
|| 0.085558 | 1.129618 | 0.908807 | 0.970444 | 0.970323 | 0.990187 | 1.027795 | -0.000000 | -0.674367 | 0.025284 | 0.001083 | 0.000999 | 0.000053 | 0.000031 ||
|| 0.044490 | 1.135696 | 0.951261 | 0.968907 | 0.968473 | 0.989811 | 1.029062 | -0.000000 | -0.677662 | 0.026367 | 0.001083 | 0.000998 | 0.000053 | 0.000032 ||
|| 0.000684 | 1.142173 | 1.000000 | 0.967491 | 0.966708 | 0.989138 | 1.030414 | -0.000000 | -0.677863 | 0.027498 | 0.001132 | 0.001034 | 0.000061 | 0.000036 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Finish Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 40 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------||
|| VA DEPENDENCE ON BANK HAZARD RATE ||
||-------------------------------------------------------------------------------------------------------------||
|| Hazard => UCVA | FTDCVA | CVA | CVACL | DVA | FVA | FDA | FCA | FBA | SFVA | Total ||
||-------------------------------------------------------------------------------------------------------------||
|| 025 bp => -1.45% | -1.44% | -1.44% | 0.01% | 0.13% | -0.33% | 0.13% | -0.33% | 0.13% | -0.00% | -1.65% ||
|| 050 bp => -1.44% | -1.43% | -1.43% | 0.02% | 0.25% | -0.67% | 0.25% | -0.67% | 0.25% | -0.01% | -1.84% ||
|| 075 bp => -1.44% | -1.41% | -1.41% | 0.02% | 0.39% | -0.99% | 0.39% | -0.99% | 0.39% | 0.01% | -2.02% ||
|| 100 bp => -1.41% | -1.38% | -1.38% | 0.03% | 0.52% | -1.30% | 0.52% | -1.30% | 0.52% | 0.04% | -2.17% ||
|| 125 bp => -1.41% | -1.37% | -1.37% | 0.04% | 0.64% | -1.63% | 0.64% | -1.63% | 0.64% | 0.04% | -2.36% ||
|| 150 bp => -1.44% | -1.40% | -1.40% | 0.05% | 0.75% | -2.00% | 0.75% | -2.00% | 0.75% | -0.02% | -2.64% ||
|| 175 bp => -1.43% | -1.38% | -1.38% | 0.05% | 0.86% | -2.31% | 0.86% | -2.31% | 0.86% | -0.03% | -2.83% ||
|| 200 bp => -1.43% | -1.37% | -1.37% | 0.06% | 0.99% | -2.63% | 0.99% | -2.63% | 0.99% | 0.00% | -3.01% ||
|| 225 bp => -1.42% | -1.35% | -1.35% | 0.07% | 1.12% | -2.95% | 1.12% | -2.95% | 1.12% | 0.04% | -3.19% ||
|| 250 bp => -1.43% | -1.36% | -1.36% | 0.07% | 1.24% | -3.31% | 1.24% | -3.31% | 1.24% | 0.02% | -3.43% ||
|| 275 bp => -1.45% | -1.37% | -1.37% | 0.08% | 1.34% | -3.68% | 1.34% | -3.68% | 1.34% | -0.08% | -3.71% ||
|| 300 bp => -1.45% | -1.36% | -1.36% | 0.09% | 1.44% | -4.01% | 1.44% | -4.01% | 1.44% | -0.10% | -3.93% ||
||-------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:42 EST 2020
| Setup Time => Mon Jan 27 07:30:42 EST 2020
| Finish Time => Mon Jan 27 07:30:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 7 s 778 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:50 EST 2020
| Setup Time => Mon Jan 27 07:30:50 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------||
|| VA DEPENDENCE ON COUNTER PARTY HAZARD RATE ||
||-------------------------------------------------------------------------------------------------------------||
|| Hazard => UCVA | FTDCVA | CVA | CVACL | DVA | FVA | FDA | FCA | FBA | SFVA | Total ||
||-------------------------------------------------------------------------------------------------------------||
|| 025 bp => -0.15% | -0.15% | -0.15% | 0.00% | 0.75% | -2.11% | 0.75% | -2.11% | 0.75% | -0.05% | -1.51% ||
|| 050 bp => -0.30% | -0.29% | -0.29% | 0.01% | 0.75% | -2.10% | 0.75% | -2.10% | 0.75% | -0.03% | -1.64% ||
|| 075 bp => -0.45% | -0.43% | -0.43% | 0.01% | 0.76% | -2.06% | 0.76% | -2.06% | 0.76% | 0.03% | -1.73% ||
|| 100 bp => -0.60% | -0.58% | -0.58% | 0.02% | 0.76% | -2.08% | 0.76% | -2.08% | 0.76% | -0.01% | -1.90% ||
|| 125 bp => -0.72% | -0.70% | -0.70% | 0.02% | 0.78% | -2.00% | 0.78% | -2.00% | 0.78% | 0.12% | -1.92% ||
|| 150 bp => -0.89% | -0.86% | -0.86% | 0.03% | 0.75% | -2.04% | 0.75% | -2.04% | 0.75% | -0.02% | -2.15% ||
|| 175 bp => -1.02% | -0.99% | -0.99% | 0.03% | 0.76% | -2.02% | 0.76% | -2.02% | 0.76% | 0.00% | -2.25% ||
|| 200 bp => -1.16% | -1.12% | -1.12% | 0.04% | 0.76% | -2.01% | 0.76% | -2.01% | 0.76% | 0.02% | -2.37% ||
|| 225 bp => -1.30% | -1.26% | -1.26% | 0.04% | 0.75% | -2.00% | 0.75% | -2.00% | 0.75% | -0.01% | -2.51% ||
|| 250 bp => -1.44% | -1.39% | -1.39% | 0.05% | 0.74% | -1.98% | 0.74% | -1.98% | 0.74% | -0.04% | -2.63% ||
|| 275 bp => -1.58% | -1.53% | -1.53% | 0.05% | 0.76% | -1.99% | 0.76% | -1.99% | 0.76% | 0.00% | -2.77% ||
|| 300 bp => -1.70% | -1.64% | -1.64% | 0.05% | 0.75% | -1.96% | 0.75% | -1.96% | 0.75% | -0.01% | -2.85% ||
||-------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:50 EST 2020
| Setup Time => Mon Jan 27 07:30:50 EST 2020
| Finish Time => Mon Jan 27 07:30:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 7 s 523 ms
|-----------------------------------------------------------------|