|-----------------------------------------------------------------|
| 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 07:30:57 EST 2020
| Setup Time => Mon Jan 27 07:30:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||--------------------------------------------||
|| DRIP CSA vs Non CSA Forward Rates ||
||--------------------------------------------||
|| CORR => -20% | 00% | 20% | 40% ||
||--------------------------------------------||
|| 01Y => 0.00% | 0.00% | -0.00% | -0.00% ||
|| 02Y => 0.00% | 0.00% | -0.00% | -0.01% ||
|| 03Y => 0.01% | 0.00% | -0.01% | -0.01% ||
|| 04Y => 0.01% | 0.00% | -0.01% | -0.02% ||
|| 05Y => 0.02% | 0.00% | -0.02% | -0.04% ||
|| 07Y => 0.04% | 0.00% | -0.04% | -0.07% ||
|| 10Y => 0.07% | 0.00% | -0.07% | -0.13% ||
|| 15Y => 0.15% | 0.00% | -0.14% | -0.27% ||
|| 20Y => 0.25% | 0.00% | -0.22% | -0.42% ||
|| 25Y => 0.38% | 0.00% | -0.32% | -0.58% ||
|| 30Y => 0.54% | 0.00% | -0.41% | -0.73% ||
||--------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:57 EST 2020
| Setup Time => Mon Jan 27 07:30:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||-----------------------------------------------------||
|| DRIP CSA vs Non CSA Forward Prices ||
||-----------------------------------------------------||
|| CORR => -30% | -20% | -10% | 00% | 10% ||
||-----------------------------------------------------||
|| 01Y => 0.07% | 0.04% | 0.02% | 0.00% | -0.02% ||
|| 02Y => 0.26% | 0.17% | 0.09% | 0.00% | -0.09% ||
|| 03Y => 0.58% | 0.39% | 0.19% | 0.00% | -0.19% ||
|| 04Y => 1.02% | 0.68% | 0.34% | 0.00% | -0.34% ||
|| 05Y => 1.57% | 1.04% | 0.52% | 0.00% | -0.52% ||
|| 06Y => 2.23% | 1.48% | 0.74% | 0.00% | -0.73% ||
|| 07Y => 3.00% | 1.99% | 0.99% | 0.00% | -0.98% ||
|| 08Y => 3.87% | 2.56% | 1.27% | 0.00% | -1.26% ||
|| 09Y => 4.85% | 3.20% | 1.59% | 0.00% | -1.56% ||
|| 10Y => 5.92% | 3.91% | 1.94% | 0.00% | -1.90% ||
||-----------------------------------------------------||
||-----------------------------------------------------||
|| Piterbarg 2010 CSA vs Non CSA Forward Prices ||
||-----------------------------------------------------||
|| CORR => -30% | -20% | -10% | 00% | 10% ||
||-----------------------------------------------------||
|| 01Y => 0.07% | 0.04% | 0.02% | 0.00% | -0.02% ||
|| 02Y => 0.26% | 0.17% | 0.09% | 0.00% | -0.09% ||
|| 03Y => 0.58% | 0.39% | 0.19% | 0.00% | -0.19% ||
|| 04Y => 1.02% | 0.68% | 0.34% | 0.00% | -0.34% ||
|| 05Y => 1.57% | 1.04% | 0.52% | 0.00% | -0.52% ||
|| 06Y => 2.23% | 1.48% | 0.74% | 0.00% | -0.73% ||
|| 07Y => 3.00% | 1.99% | 0.99% | 0.00% | -0.98% ||
|| 08Y => 3.87% | 2.56% | 1.27% | 0.00% | -1.26% ||
|| 09Y => 4.85% | 3.20% | 1.59% | 0.00% | -1.56% ||
|| 10Y => 5.92% | 3.91% | 1.94% | 0.00% | -1.90% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:57 EST 2020
| Setup Time => Mon Jan 27 07:30:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------||
|| PROBABILITY MEASURE DISTRIBUTION SHIFT ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R : ||
|| - Correlation ||
|| - Adjustments for Strikes in unit of 10, from 50 to 150 ||
||----------------------------------------------------------------------------------------------------------------------||
|| -30% => 0.6710 | 0.7368 | 0.8026 | 0.8684 | 0.9342 | 1.0000 | 1.0658 | 1.1316 | 1.1974 | 1.2632 | 1.3290 ||
|| -10% => 0.8924 | 0.9140 | 0.9355 | 0.9570 | 0.9785 | 1.0000 | 1.0215 | 1.0430 | 1.0645 | 1.0860 | 1.1076 ||
|| 00% => 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 ||
|| 10% => 1.1055 | 1.0844 | 1.0633 | 1.0422 | 1.0211 | 1.0000 | 0.9789 | 0.9578 | 0.9367 | 0.9156 | 0.8945 ||
||----------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------------------------------------------------||
|| CSA ATM Option Price => 51.14 | 46.17 | 41.83 | 38.01 | 34.64 | 31.67 | 29.03 | 26.67 | 24.57 | 22.68 | 20.98 ||
||---------------------------------------------------------------------------------------------------------------------------||
||-----------------------------------------------------------------------------------------------------------||
|| CSA CONVEXITY ADJUSTMENT IMPLIED VOLATILITY ||
||-----------------------------------------------------------------------------------------------------------||
|| L -> R : ||
|| - Implied Volatility (%) ||
|| - Adjustments for Strikes in unit of 10, from 50 to 150 ||
||-----------------------------------------------------------------------------------------------------------||
|| -30% => 20.09% | 23.13% | 24.60% | 25.50% | 26.11% | 26.55% | 26.88% | 27.15% | 27.36% | 27.54% | 27.68% ||
|| -10% => 27.12% | 27.83% | 28.25% | 28.52% | 28.71% | 28.85% | 28.96% | 29.05% | 29.12% | 29.18% | 29.23% ||
|| 00% => 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% | 30.00% ||
|| 10% => 32.70% | 32.10% | 31.72% | 31.47% | 31.28% | 31.14% | 31.04% | 30.95% | 30.88% | 30.83% | 30.78% ||
||-----------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:00 EST 2020
| Setup Time => Mon Jan 27 07:31:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||-----------------------------------------------||
|| FORWARD CONTRACT CONVEXITY ADJUSTMENT ||
||-----------------------------------------------||
|| L -> R: ||
|| - Date ||
|| - Spread Numeraire ||
|| - Convexity Adjustment ||
|| - CSA-Funding Convexity Adjustment ||
||-----------------------------------------------||
|| 03-FEB-2020 | 1.0000 | 0.000077 | 0.003833 ||
|| 10-FEB-2020 | 1.0000 | 0.000153 | 0.007666 ||
|| 17-FEB-2020 | 0.9999 | 0.000230 | 0.011498 ||
|| 27-FEB-2020 | 0.9999 | 0.000333 | 0.016665 ||
|| 27-MAR-2020 | 0.9997 | 0.000667 | 0.033325 ||
|| 27-APR-2020 | 0.9995 | 0.001000 | 0.049976 ||
|| 27-JUL-2020 | 0.9988 | 0.002000 | 0.099878 ||
|| 27-OCT-2020 | 0.9977 | 0.003000 | 0.149662 ||
|| 27-JAN-2021 | 0.9966 | 0.004000 | 0.199318 ||
|| 27-JUL-2021 | 0.9929 | 0.006000 | 0.297869 ||
|| 27-JAN-2022 | 0.9868 | 0.008000 | 0.394717 ||
|| 27-JAN-2023 | 0.9646 | 0.012000 | 0.578733 ||
|| 27-JAN-2024 | 0.9459 | 0.016000 | 0.756748 ||
|| 27-JAN-2025 | 0.9223 | 0.020000 | 0.922325 ||
|| 27-JAN-2027 | 0.8754 | 0.028000 | 1.225502 ||
|| 27-JAN-2030 | 0.8147 | 0.040000 | 1.629463 ||
|| 27-JAN-2032 | 0.7793 | 0.048000 | 1.870254 ||
|| 27-JAN-2035 | 0.7316 | 0.060000 | 2.194869 ||
|| 27-JAN-2040 | 0.6577 | 0.080000 | 2.630968 ||
|| 27-JAN-2045 | 0.5871 | 0.100000 | 2.935333 ||
|| 27-JAN-2050 | 0.5247 | 0.120000 | 3.148344 ||
|| 27-JAN-2060 | 0.4276 | 0.160000 | 3.420635 ||
|| 27-JAN-2070 | 0.3527 | 0.200000 | 3.527149 ||
||-----------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:02 EST 2020
| Setup Time => Mon Jan 27 07:31:02 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------||
|| PITERBARG (2010) ZERO STRIKE CALL OPTION ||
||----------------------------------------------------------||
|| L -> R: ||
|| - Date ||
|| - Overnight Zero Coupon Bond Price (100 - PAR)||
|| - Funding Zero Coupon Bond Price (100 - PAR) ||
|| - Overnight Zero Rate (%) ||
|| - Funding Zero Rate (%) ||
|| - Funding - Overnight Basis (bp) ||
||----------------------------------------------------------||
|| 03-FEB-2020 | 100.00 | 100.00 | 0.07% | 0.17% || 010 ||
|| 10-FEB-2020 | 100.00 | 099.99 | 0.07% | 0.18% || 011 ||
|| 17-FEB-2020 | 100.00 | 099.99 | 0.08% | 0.19% || 011 ||
|| 27-FEB-2020 | 099.99 | 099.98 | 0.08% | 0.19% || 012 ||
|| 27-MAR-2020 | 099.99 | 099.96 | 0.06% | 0.22% || 016 ||
|| 27-APR-2020 | 099.99 | 099.94 | 0.05% | 0.24% || 019 ||
|| 27-JUL-2020 | 099.99 | 099.87 | 0.02% | 0.26% || 025 ||
|| 27-OCT-2020 | 100.00 | 099.78 | -0.00% | 0.30% || 030 ||
|| 27-JAN-2021 | 100.00 | 099.66 | -0.00% | 0.34% || 034 ||
|| 27-JUL-2021 | 099.99 | 099.28 | 0.01% | 0.48% || 048 ||
|| 27-JAN-2022 | 099.93 | 098.61 | 0.04% | 0.70% || 066 ||
|| 27-JAN-2023 | 099.62 | 096.09 | 0.13% | 1.33% || 120 ||
|| 27-JAN-2024 | 098.90 | 093.55 | 0.28% | 1.67% || 139 ||
|| 27-JAN-2025 | 097.71 | 090.12 | 0.46% | 2.08% || 162 ||
|| 27-JAN-2027 | 094.25 | 082.50 | 0.85% | 2.75% || 190 ||
|| 27-JAN-2030 | 087.59 | 071.37 | 1.32% | 3.37% || 205 ||
|| 27-JAN-2032 | 082.72 | 064.47 | 1.58% | 3.66% || 208 ||
|| 27-JAN-2035 | 075.71 | 055.39 | 1.86% | 3.94% || 208 ||
|| 27-JAN-2040 | 066.42 | 043.69 | 2.05% | 4.14% || 209 ||
|| 27-JAN-2045 | 059.02 | 034.65 | 2.11% | 4.24% || 213 ||
|| 27-JAN-2050 | 052.60 | 027.60 | 2.14% | 4.29% || 215 ||
|| 27-JAN-2060 | 042.47 | 018.16 | 2.14% | 4.27% || 212 ||
|| 27-JAN-2070 | 034.28 | 012.09 | 2.14% | 4.23% || 208 ||
||----------------------------------------------------------||