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- Basel III Balance Sheet Funding (7, 8) - Balance Sheet Capital Tier 1 Ratio (15, 16) Bug Fixes/Clean-up: Samples: - US SIFI Compliance #1 (1, 2) - US SIFI Compliance #2 (3, 4) - US SIFI Compliance #3 (5, 6) - US SIFI Compliance #4 (9, 10) - US SIFI Compliance #5 (11, 12) - US SIFI Compliance #6 (13, 14) - US SIFI Compliance #7 (17, 18) - US SIFI Compliance #8 (19, 20) - US SIFI Compliance #9 (21, 22) - US SIFI Compliance #10 (23, 24) - US SIFI Compliance #11 (25, 26) - US SIFI Compliance #12 (27, 28) - US SIFI Compliance #13 (29, 30) - US SIFI Compliance #14 (31, 32) - US SIFI Compliance #15 (33, 34) - US SIFI Compliance #16 (35, 36) - US SIFI Compliance #17 (37, 38) - US SIFI Compliance #18 (39, 40) - US SIFI Compliance #19 (41, 42) - Dual CAD 3M6M USD 3M6M (43) - Dual CCBS Discount Curve (44) - Dual CCBS Forward Curve (45) - Dual CHF 3M6M USD 3M6M (46) - Dual DKK 3M6M USD 3M6M (47) - Dual EUR 3M6M USD 3M6M (48) - Dual GBP 3M6M USD 3M6M (49) - Dual JPY 3M6M USD 3M6M (50) - Dual NOK 3M6M USD 3M6M (51) - Dual PLN 3M6M USD 3M6M (52) - Dual SEK 3M6M USD 3M6M (53) - Dual (54) - Efron Stein Bounded Markovitz Bullet (55) - Efron Stein Long Only Markovitz Bullet (56) - Efron Stein Unbounded Markovitz Bullet (57) - Efron Stein Unbounded Markovitz Bullet Explicit (58) - Efron Stein (59)
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Features: | ||
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- Basel III Balance Sheet Funding (7, 8) | ||
- Balance Sheet Capital Tier 1 Ratio (15, 16) | ||
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Bug Fixes/Clean-up: | ||
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Samples: | ||
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- US SIFI Compliance #1 (1, 2) | ||
- US SIFI Compliance #2 (3, 4) | ||
- US SIFI Compliance #3 (5, 6) | ||
- US SIFI Compliance #4 (9, 10) | ||
- US SIFI Compliance #5 (11, 12) | ||
- US SIFI Compliance #6 (13, 14) | ||
- US SIFI Compliance #7 (17, 18) | ||
- US SIFI Compliance #8 (19, 20) | ||
- US SIFI Compliance #9 (21, 22) | ||
- US SIFI Compliance #10 (23, 24) | ||
- US SIFI Compliance #11 (25, 26) | ||
- US SIFI Compliance #12 (27, 28) | ||
- US SIFI Compliance #13 (29, 30) | ||
- US SIFI Compliance #14 (31, 32) | ||
- US SIFI Compliance #15 (33, 34) | ||
- US SIFI Compliance #16 (35, 36) | ||
- US SIFI Compliance #17 (37, 38) | ||
- US SIFI Compliance #18 (39, 40) | ||
- US SIFI Compliance #19 (41, 42) | ||
- Dual CAD 3M6M USD 3M6M (43) | ||
- Dual CCBS Discount Curve (44) | ||
- Dual CCBS Forward Curve (45) | ||
- Dual CHF 3M6M USD 3M6M (46) | ||
- Dual DKK 3M6M USD 3M6M (47) | ||
- Dual EUR 3M6M USD 3M6M (48) | ||
- Dual GBP 3M6M USD 3M6M (49) | ||
- Dual JPY 3M6M USD 3M6M (50) | ||
- Dual NOK 3M6M USD 3M6M (51) | ||
- Dual PLN 3M6M USD 3M6M (52) | ||
- Dual SEK 3M6M USD 3M6M (53) | ||
- Dual (54) | ||
- Efron Stein Bounded Markovitz Bullet (55) | ||
- Efron Stein Long Only Markovitz Bullet (56) | ||
- Efron Stein Unbounded Markovitz Bullet (57) | ||
- Efron Stein Unbounded Markovitz Bullet Explicit (58) | ||
- Efron Stein (59) |
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|-----------------------------------------------------------------| | ||
| Copyright (C) 2011-2019 (DRIP, DROP) | ||
|-----------------------------------------------------------------| | ||
| Build Version => 3.98.0 multi mode | ||
| Build JVM (TM) => 1.8.0_112 | ||
| Build Snap => Thu Jan 03 12:59:38 EST 2018 | ||
| Start Time => Thu Jan 03 22:20:16 EST 2019 | ||
| Setup Time => Thu Jan 03 22:20:17 EST 2019 | ||
| Setup Duration => 494 ms | ||
|-----------------------------------------------------------------| | ||
|
||
---------------------------------------------------------------- | ||
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.3360% | ||
[11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.3770% | ||
[11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.7634% | ||
[11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 1.1594% | ||
[11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.7238% | ||
[11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.3278% | ||
[11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 3.0811% | ||
[11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 3.0870% | ||
[11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.6980% | ||
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||
---------------------------------------------------------------- | ||
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- | ||
---------------------------------------------------------------- | ||
11-DEC-2013 | 1Y: Wengert{0} => [ 18.758, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.839, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.034, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.577, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.026, 0.000, 0.000, 0.000] | ||
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---------------------------------------------------------------- | ||
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.0865% | ||
[11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.1938% | ||
[11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.4889% | ||
[11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 0.8863% | ||
[11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.3866% | ||
[11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.1030% | ||
[11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 2.7613% | ||
[11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 2.9038% | ||
[11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.2960% | ||
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||
---------------------------------------------------------------- | ||
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- | ||
---------------------------------------------------------------- | ||
11-DEC-2013 | 1Y: Wengert{0} => [ 18.762, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.849, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.050, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.609, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.055, 0.000, 0.000, 0.000] | ||
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||
---------------------------------------------------------------- | ||
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = 1.087% | 1.050% | -04 | 0.9892 | ||
[11-DEC-2012 - 11-DEC-2014] = 1.169% | 1.150% | -02 | 0.9769 | ||
[11-DEC-2012 - 11-DEC-2015] = 1.252% | 1.225% | -03 | 0.9632 | ||
[11-DEC-2012 - 11-DEC-2016] = 1.354% | 1.325% | -03 | 0.9473 | ||
[11-DEC-2012 - 11-DEC-2017] = 1.450% | 1.425% | -03 | 0.9300 | ||
[11-DEC-2012 - 11-DEC-2019] = 1.515% | 1.500% | -02 | 0.8993 | ||
[11-DEC-2012 - 11-DEC-2022] = 1.500% | 1.500% | 00 | 0.8608 | ||
[11-DEC-2012 - 11-DEC-2027] = 1.490% | 1.525% | 04 | 0.8001 | ||
[11-DEC-2012 - 11-DEC-2032] = 1.467% | 1.525% | 06 | 0.7466 | ||
---------------------------------------------------------------------- | ||
CCBS DERIVED BASIS TENOR JACOBIAN | ||
---------------------------------------------------------------------- | ||
1Y => Wengert{0} => [ 3.959, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
2Y => Wengert{0} => [ 0.000, 9.936, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
3Y => Wengert{0} => [ 0.000, 0.000, 13.905, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.868, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.826, 0.000, 0.000, 0.000, 0.000] | ||
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||
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.653, 0.000, 0.000, 0.000] | ||
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||
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.366, 0.000, 0.000] | ||
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||
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.597, 0.000] | ||
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||
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.139] | ||
|
||
---------------------------------------------------------------- | ||
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = 0.798% | 1.050% | 25 | 0.9921 | ||
[11-DEC-2012 - 11-DEC-2014] = 0.895% | 1.150% | 25 | 0.9823 | ||
[11-DEC-2012 - 11-DEC-2015] = 0.946% | 1.225% | 28 | 0.9721 | ||
[11-DEC-2012 - 11-DEC-2016] = 1.022% | 1.325% | 30 | 0.9599 | ||
[11-DEC-2012 - 11-DEC-2017] = 1.105% | 1.425% | 32 | 0.9462 | ||
[11-DEC-2012 - 11-DEC-2019] = 1.174% | 1.500% | 33 | 0.9210 | ||
[11-DEC-2012 - 11-DEC-2022] = 1.191% | 1.500% | 31 | 0.8877 | ||
[11-DEC-2012 - 11-DEC-2027] = 1.251% | 1.525% | 27 | 0.8284 | ||
[11-DEC-2012 - 11-DEC-2032] = 1.281% | 1.525% | 24 | 0.7731 | ||
---------------------------------------------------------------------- | ||
CCBS REFERENCE BASIS TENOR JACOBIAN | ||
---------------------------------------------------------------------- | ||
1Y => Wengert{0} => [ 3.956, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
2Y => Wengert{0} => [ 0.000, 9.931, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
3Y => Wengert{0} => [ 0.000, 0.000, 13.896, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.855, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.809, 0.000, 0.000, 0.000, 0.000] | ||
|
||
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.631, 0.000, 0.000, 0.000] | ||
|
||
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.337, 0.000, 0.000] | ||
|
||
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.565, 0.000] | ||
|
||
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.107] | ||
|
||
|
||
|-----------------------------------------------------------------| | ||
| Copyright (C) 2011-2019 (DRIP, DROP) | ||
|-----------------------------------------------------------------| | ||
| Build Version => 3.98.0 multi mode | ||
| Build JVM (TM) => 1.8.0_112 | ||
| Build Snap => Thu Jan 03 12:59:38 EST 2018 | ||
| Start Time => Thu Jan 03 22:20:16 EST 2019 | ||
| Setup Time => Thu Jan 03 22:20:17 EST 2019 | ||
| Finish Time => Thu Jan 03 22:20:24 EST 2019 | ||
| Setup Duration => 494 ms | ||
| Run Duration => 6 s 957 ms | ||
|-----------------------------------------------------------------| | ||
|
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,144 @@ | ||
|
||
|-----------------------------------------------------------------| | ||
| Copyright (C) 2011-2019 (DRIP, DROP) | ||
|-----------------------------------------------------------------| | ||
| Build Version => 3.98.0 multi mode | ||
| Build JVM (TM) => 1.8.0_112 | ||
| Build Snap => Thu Jan 03 12:59:38 EST 2018 | ||
| Start Time => Thu Jan 03 22:23:13 EST 2019 | ||
| Setup Time => Thu Jan 03 22:23:13 EST 2019 | ||
| Setup Duration => 485 ms | ||
|-----------------------------------------------------------------| | ||
|
||
---------------------------------------------------------------- | ||
RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1376% | ||
[11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2236% | ||
[11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.4457% | ||
[11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 0.8899% | ||
[11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.3724% | ||
[11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.1254% | ||
[11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7249% | ||
[11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0190% | ||
[11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2675% | ||
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||
---------------------------------------------------------------- | ||
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- | ||
---------------------------------------------------------------- | ||
11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.294, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
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11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.688, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.294, 0.000, 0.000, 0.000] | ||
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||
---------------------------------------------------------------- | ||
RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS | ||
---------------------------------------------------------------- | ||
[11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1407% | ||
[11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2656% | ||
[11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.5440% | ||
[11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 1.0182% | ||
[11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.4811% | ||
[11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.2066% | ||
[11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7938% | ||
[11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0532% | ||
[11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2488% | ||
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||
---------------------------------------------------------------- | ||
---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- | ||
---------------------------------------------------------------- | ||
11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.292, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.679, 0.000, 0.000, 0.000, 0.000] | ||
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11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.285, 0.000, 0.000, 0.000] | ||
|
||
---------------------------------------------------------------- | ||
IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS | ||
---------------------------------------------------------------- | ||
[13-DEC-2012 - 13-DEC-2013] = 0.644% | 0.500% | -14 | 0.9936 | ||
[13-DEC-2012 - 13-DEC-2014] = 0.642% | 0.500% | -14 | 0.9872 | ||
[13-DEC-2012 - 13-DEC-2015] = 1.543% | 1.375% | -17 | 0.9547 | ||
[13-DEC-2012 - 13-DEC-2016] = 2.443% | 2.250% | -19 | 0.9061 | ||
[13-DEC-2012 - 13-DEC-2017] = 2.958% | 2.750% | -21 | 0.8608 | ||
[13-DEC-2012 - 13-DEC-2019] = 3.215% | 3.000% | -21 | 0.7966 | ||
[13-DEC-2012 - 13-DEC-2022] = 3.205% | 3.000% | -20 | 0.7254 | ||
[13-DEC-2012 - 13-DEC-2027] = 2.919% | 2.750% | -17 | 0.6512 | ||
[13-DEC-2012 - 13-DEC-2032] = 2.385% | 2.250% | -14 | 0.6386 | ||
---------------------------------------------------------------------- | ||
CCBS DERIVED BASIS TENOR JACOBIAN | ||
---------------------------------------------------------------------- | ||
1Y => Wengert{0} => [ 5.972, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
2Y => Wengert{0} => [ 0.000, 7.963, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
3Y => Wengert{0} => [ 0.000, 0.000, 10.856, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.699, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.555, 0.000, 0.000, 0.000, 0.000] | ||
|
||
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.262, 0.000, 0.000, 0.000] | ||
|
||
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.786, 0.000, 0.000] | ||
|
||
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.802, 0.000] | ||
|
||
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.607] | ||
|
||
---------------------------------------------------------------- | ||
IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS | ||
---------------------------------------------------------------- | ||
[13-DEC-2012 - 13-DEC-2013] = 0.356% | 0.500% | 14 | 0.9964 | ||
[13-DEC-2012 - 13-DEC-2014] = 0.369% | 0.500% | 13 | 0.9926 | ||
[13-DEC-2012 - 13-DEC-2015] = 1.236% | 1.375% | 14 | 0.9635 | ||
[13-DEC-2012 - 13-DEC-2016] = 2.106% | 2.250% | 14 | 0.9185 | ||
[13-DEC-2012 - 13-DEC-2017] = 2.602% | 2.750% | 15 | 0.8764 | ||
[13-DEC-2012 - 13-DEC-2019] = 2.853% | 3.000% | 15 | 0.8171 | ||
[13-DEC-2012 - 13-DEC-2022] = 2.866% | 3.000% | 13 | 0.7500 | ||
[13-DEC-2012 - 13-DEC-2027] = 2.647% | 2.750% | 10 | 0.6763 | ||
[13-DEC-2012 - 13-DEC-2032] = 2.169% | 2.250% | 08 | 0.6627 | ||
---------------------------------------------------------------------- | ||
CCBS REFERENCE BASIS TENOR JACOBIAN | ||
---------------------------------------------------------------------- | ||
1Y => Wengert{0} => [ 5.969, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
2Y => Wengert{0} => [ 0.000, 7.958, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
3Y => Wengert{0} => [ 0.000, 0.000, 10.847, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.686, 0.000, 0.000, 0.000, 0.000, 0.000] | ||
|
||
5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.538, 0.000, 0.000, 0.000, 0.000] | ||
|
||
7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.240, 0.000, 0.000, 0.000] | ||
|
||
10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.757, 0.000, 0.000] | ||
|
||
15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.771, 0.000] | ||
|
||
20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.575] | ||
|
||
|
||
|-----------------------------------------------------------------| | ||
| Copyright (C) 2011-2019 (DRIP, DROP) | ||
|-----------------------------------------------------------------| | ||
| Build Version => 3.98.0 multi mode | ||
| Build JVM (TM) => 1.8.0_112 | ||
| Build Snap => Thu Jan 03 12:59:38 EST 2018 | ||
| Start Time => Thu Jan 03 22:23:13 EST 2019 | ||
| Setup Time => Thu Jan 03 22:23:13 EST 2019 | ||
| Finish Time => Thu Jan 03 22:23:18 EST 2019 | ||
| Setup Duration => 485 ms | ||
| Run Duration => 4 s 463 ms | ||
|-----------------------------------------------------------------| | ||
|
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