VT 2207

##SCeconNET Release 1.2204.1.
42 221109 12:56 (PrincipiaMode=1)

##Mode=dbg
sceCldrAddDaysArray
0 (STRUCT DATEARRAY)datein
0 (STRUCT DATEARRAY)datein[0] 2024 2 5
1 (FL64)ds -7
2 (STRUCT CALCONV)cal
0 (ENUM CALENDAR)cldr act365
1 (STRUCT HOLI_STR)holiday
0 (ENUM BUSCONV)bus no_busadjust
1 (STRUCT DATEARRAY)holidays
2 (STRUCT DATEARRAY)busdays
3 (STRUCT BOOLEARRAY)weekdays
3 (STRUCT BOOLEARRAY)weekdays[0] 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (STRUCT DATEARRAY)funcres
1 (STRUCT DATEARRAY)funcres[0] 2024 1 29
OUTPUT END
##SCeconNET Release 1.2204.1.42 221109 12:56 (PrincipiaMode=1)
##Mode=dbg
sceCldrDaysBetweenDatesArray
0 (YYYYMMDD)d1 1600 1 1
1 (STRUCT DATEARRAY)d2
1 (STRUCT DATEARRAY)d2[0] 4712 12 31
1 (STRUCT HOLI_STR)holi
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (STRUCT INTLARRAY)funcres
1 (STRUCT INTLARRAY)funcres[0] 1136999
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 2503
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddBusinessdays
0 (YYYYMMDD)datein 2023 10 6
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (YYYYMMDD)funcres 2023 10 5
OUTPUT END
##Mode=dbg
1 (FL64)ds -1
1 (STRUCT DATEARRAY)holidays[0] 2011 1 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrIsBusinessDate
0 (YYYYMMDD)date 2023 10 5
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (FL64)funcres 1
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
1 (FL64)ds -8
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrNextBusinessDateArray
0 (ENUM BUSCONV)bus nextinmonth
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCflwPaydaysWrap
0 (STRUCT PAYDAYDEFARRAY)pday
0 (STRUCT PAYDAYDEFARRAY)pday[0]
0 (FL64)is_first 1
1 (YYYYMMDD)first 2020 1 17
2 (YYYYMMDD)seclast 0 0 0
3 (YYYYMMDD)last 2024 10 17
4 (FL64)snap2 1
5 (STRUCT PAYDAYSEQ)pseq
0 (ENUM ODDCONV)odd1 noodd
1 (ENUM ODDCONV)oddn noodd
2 (ENUM SEQCONV)seq anchor
3 (FL64)term 3
4 (ENUM TERMUNIT)unit months
5 (ENUM EOMCONV)eom last
6 (FL64)incexcone 0
7 (FL64)incexconelast 0
8 (STRUCT MONTHWEEKDAY)monthweekday
0 (FL64)month 0
1 (FL64)week 0
2 (ENUM WEEKDAY)weekday day
6 (STRUCT DATEARRAY)irreg_days
7 (STRUCT DATEARRAY)payment_days
1 (STRUCT ROLLOVER)rollover
0 (STRUCT DATEARRAY)dates
1 (STRUCT PMTFREQARRAY)pmt_freqs
2 (STRUCT FL64ARRAY)coupon_rates
3 (STRUCT FL64ARRAY)redemp_rates
2 (STRUCT GENUSS_STR)genuss
0 (STRUCT DATEARRAY)announcement
1 (STRUCT DATEARRAY)payment
2 (FL64)separate_last_coupon 0
3 (YYYYMMDD)analysis 4712 12 31
4 (STRUCT HOLI_STRARRAY)holi
4 (STRUCT HOLI_STRARRAY)holi[0]
5 (YYYYMMDD)effective 2019 10 17
6 (STRUCT BOOLEARRAY)holpre
6 (STRUCT BOOLEARRAY)holpre[0] 1
7 (STRUCT EXRULE)exrule
0 (ENUM EXDAYCONV)xconv ex_days
1 (FL64)exdays 0
2 (FL64)caldays 1
4 (YYYYMMDD)dex 0 0 0
5 (STRUCT DATEARRAY)pday
6 (STRUCT DATEARRAY)xpday
7 (FL64)xlast 1
8 (FL64)sep1stperiod 0
8 (STRUCT RETURNTYPEARRAY)returntypes
8 (STRUCT RETURNTYPEARRAY)returntypes[0] accrual
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (STRUCT RESULT)result
0 (FL64)funcres 1
1 (FL64)ndates 20
2 (STRUCT DATEMATRIX)paydays
2 (STRUCT DATEMATRIX)paydays[0][0] 2020 1 17
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceFRNCalcBase2Keys
0 (STRUCT TRADEINFO)start
0 (YYYYMMDD)trade 2023 10 6
1 (YYYYMMDD)aisttl 2023 10 6
2 (YYYYMMDD)settle 2023 10 6
3 (FL64)brd 0
4 (FL64)incl_cflw 0
5 (FL64)price 0
6 (FL64)nom 100
7 (STRUCT EXTRADE)xctrade
0 (FL64)spec 0
1 (FL64)ex_fix 0
8 (STRUCT EXTRADE)xptrade
0 (FL64)spec 0
1 (FL64)ex_fix 0
1 (STRUCT MDEF)mc
0 (ENUM MCONV)mconv maturity
1 (YYYYMMDD)exercise 2024 10 17
2 (FL64)price 100
3 (FL64)trans 0
2 (STRUCT FRN)frn
0 (STRUCT REPAYMNT)repay
0 (ENUM BONDTYPE)type bullet
1 (YYYYMMDD)teomatur 1000 1 1
2 (FL64)io 0
3 (FL64)init_exch 0
4 (STRUCT PP_STR)pp
0 (FL64)pp_price 100
1 (STRUCT PLAN_STR)ppmts
0 (STRUCT DATEARRAY)day
1 (STRUCT FL64ARRAY)f64
5 (STRUCT PLAN_STR)irreg
6 (STRUCT PLAN_STR)aufab
7 (FL64)rpct 0
8 (FL64)rpct_first 0
9 (YYYYMMDD)upfront_pmt_date 2019 10 17
10 (FL64)upfront_pmt 0
11 (YYYYMMDD)backend_pmt_date 2024 10 17
12 (FL64)backend_pmt 0
13 (STRUCT PLAN_STR)special_redemp
14 (FL64)init_redemp_rate 0
15 (FL64)shorten_maturity 0
16 (STRUCT PLAN_STR)pool_factors
17 (FL64)recovery_price 0
1 (STRUCT PAYDAYDEF)rday
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 1
4 (ENUM TERMUNIT)unit years
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
2 (STRUCT FLOATRATE)float1
0 (STRUCT FLOATBASE)fbase
0 (FL64)coupon1 0
3 (FL64)spread 1.03161
4 (FL64)is_fix 0
1 (FL64)factor 1
2 (FL64)backset 0
3 (STRUCT HOLPRE)coupon_holpre
0 (FL64)first 1
1 (FL64)normal 1
2 (FL64)last 1
4 (STRUCT HOLPRE)fixing_holpre
0 (FL64)first 1
1 (FL64)normal 1
2 (FL64)last 1
5 (STRUCT PERIOD)delay
0 (FL64)num 0
1 (ENUM TERMUNIT)unit busdays
6 (FL64)shifted 0
7 (FL64)isda_fallback 0
8 (FL64)suspdays 0
9 (ENUM COMPMETHOD)method dailycompound
10 (FL64)rounding 9
11 (ENUM PMTFREQ)compfreq no_frequency
12 (STRUCT RATEINDEX)index
0 (ENUM RATECONV)LIBORtype mmrate
1 (FL64)LIBORdur 1
2 (ENUM TERMUNIT)LIBORunit days
3 (ENUM PMTFREQ)LIBORfreq no_frequency
4 (STRUCT CALCONV)LIBORcal
5 (FL64)coupon 0
13 (STRUCT HOLI_STR)fix_holi
14 (STRUCT CAPFLOOR)capfloor
0 (FL64)ignore_spread 1
1 (FL64)cap 0
2 (FL64)use_cap 0
3 (FL64)floor 0
4 (FL64)use_floor 0
5 (STRUCT PLAN_STR)vcaps
6 (STRUCT PLAN_STR)vfloors
15 (STRUCT CAPFLOOR)coupon_capfloor
1 (FL64)cap 0
2 (FL64)use_cap 0
3 (FL64)floor 0
4 (FL64)use_floor 0
16 (STRUCT AVGFLOAT)avgfl
0 (FL64)avgdur 0
1 (ENUM TERMUNIT)avgunit years
2 (FL64)avgmeth 0
17 (STRUCT GENUSSAVERAGE)avgfloat
0 (YYYYMMDD)first_regular_fixing 0 0 0
1 (FL64)include_fixings 0
18 (STRUCT USFLOAT)usfl
0 (FL64)maturity 0
1 (ENUM SPREADTYPE)spreadtype no_compound
2 (FL64)high_rate_term 0
3 (ENUM TERMUNIT)high_rate_unit zerounit
4 (YYYYMMDD)first_index_fix 2019 10 17
5 (YYYYMMDD)fixings_include_from 0 0 0
6 (YYYYMMDD)fixings_include_till 0 0 0
19 (STRUCT PLAN_STR)stepspr
20 (STRUCT PLAN_STR)stepfac
21 (STRUCT PLAN_STR)ratefix
0 (STRUCT DATEARRAY)day[0] 2022 8 11
1 (STRUCT FL64ARRAY)f64[0] 2.29
1 (STRUCT FL64ARRAY)f64[18] 3
22 (STRUCT DATEARRAY)compounding_days
23 (STRUCT DATEARRAY)fixing_days
24 (FL64)coupon_decimal -1
25 (ENUM ROUNDCONV)coupon_roundmethod round_near
3 (STRUCT PAYDAYDEF)pday
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
4 (FL64)payment_delay 0
6 (STRUCT ACCRUINT)accru
1 (ENUM COUPONBASE)cb_accru oddcoup
2 (ENUM COUPONBASE)cbodd_accru oddcoup
3 (ENUM INCCONV)incconv incexc
4 (FL64)pre 0
5 (FL64)flat 0
6 (ENUM IRRCONV)irr simple_mm
7 (FL64)qbas 1
8 (FL64)schuldsch 0
9 (FL64)CGB184 0
10 (FL64)BRDfeb 0
11 (FL64)polish 0
12 (STRUCT EXRULE)exr
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
13 (FL64)decimal -1
14 (ENUM ROUNDCONV)roundmethod round_near
15 (FL64)linear 0
16 (YYYYMMDD)linear_from 1000 1 1
17 (FL64)periodic_decimal -1
18 (ENUM ROUNDCONV)periodic_roundmethod round_near
7 (STRUCT EXRULE)exp
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 0
8 (FL64)quotefac 100
9 (FL64)faceval 1
10 (STRUCT PLAN_STR)adjfac
11 (STRUCT PLAN_STR)repay_adjfac
12 (STRUCT PUTCALLINFO)put_call_info
0 (YYYYMMDD)mature 2024 10 17
1 (STRUCT DATEARRAY)date
2 (STRUCT FL64ARRAY)price
3 (STRUCT BOOLEARRAY)side
3 (STRUCT CB_FRN)calcbase
0 (ENUM PRICETYPE)type p_price
1 (FL64)price 100.36683
2 (FL64)margin 0
3 (STRUCT AUSFRNQUOTE)ausquote
0 (STRUCT PLAN_STR)s
1 (STRUCT PLAN_STR)r
2 (ENUM INTPOLCONV)ipol linear_flat_end
5 (ENUM PMTFREQ)freq no_frequency
6 (FL64)austm 0
7 (FL64)fracper 0
4 (FL64)ytm 0
5 (FL64)acc_yield 0
6 (YYYYMMDD)yield_date 0 0 0
7 (STRUCT YTMCONV)ytmc
0 (ENUM IRRCONV)irr compound
1 (ENUM PMTFREQ)qb_ytm annually
2 (FL64)dayfrac_first 1
3 (FL64)dayfrac_normal 1
4 (FL64)dayfrac_last 1
5 (STRUCT CALCONV)cal_first
0 (ENUM CALENDAR)cldr actleap
6 (STRUCT CALCONV)cal_normal
7 (STRUCT CALCONV)cal_last
8 (ENUM YTMDATEADJUST)date_adjust noadjust
9 (FL64)as_bullet 0
8 (STRUCT YTMCONV)ytmr
0 (ENUM IRRCONV)irr compoundsimple
9 (FL64)as_bullet 0
9 (STRUCT YTMCONV)ytms
0 (ENUM IRRCONV)irr compoundsimple
9 (FL64)as_bullet 0
10 (STRUCT YTMCONV)ytmt
9 (FL64)as_bullet 0
11 (STRUCT YTMCONV)ytmf
9 (FL64)as_bullet 0
12 (FL64)projection 0
13 (ENUM DMCONV)dm avgfwd
14 (FL64)dm_rate 0
15 (STRUCT CMCONVADJ)cmadj
0 (ENUM CMADJTYPE)order no_cmadj
1 (STRUCT VOL_STR)volCM
0 (STRUCT PLAN_STR)vol
1 (ENUM VOLCONV)vc forwforw
0 (ENUM CALENDAR)cldr eu30e360
3 (ENUM INTPOLCONV)iconv linear_flat_end
2 (STRUCT VOL_STR)volLIBOR
3 (FL64)corr 0
16 (STRUCT DISCFAC)df_cflw
0 (STRUCT PLAN_STR)disc
1 (ENUM DISCIPOL)what di_spot
5 (ENUM PMTFREQ)freq annually
6 (STRUCT UFRCONV)ufrconv
0 (ENUM UFRMETHOD)method ufr_2015
1 (FL64)ufr 0
2 (STRUCT FL64ARRAY)llfr
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
7 (FL64)smoothness 0
17 (STRUCT DISCFAC)df_disc
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
18 (STRUCT DFSPREAD)dfs_cflw
0 (FL64)spread 0
3 (STRUCT PLAN_STR)spr_list
19 (STRUCT DFSPREAD)dfs_disc
0 (FL64)spread 0
20 (FL64)shock 0
21 (STRUCT DELTASET)ds_cflw
0 (STRUCT PLANARRAY)shock
1 (FL64)dom 0
2 (ENUM DFWHICH)dfwhich df_both
3 (FL64)zero 0
4 (STRUCT DATEARRAY)mid
7 (STRUCT FL64ARRAY)size
8 (STRUCT DFSPREAD)dfs
0 (FL64)spread 0
1 (ENUM IRRCONV)irr continuous
9 (STRUCT DISCFAC)df
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
22 (STRUCT DELTASET)ds_disc
1 (FL64)dom 0
2 (ENUM DFWHICH)dfwhich df_both
3 (FL64)zero 0
8 (STRUCT DFSPREAD)dfs
0 (FL64)spread 0
1 (ENUM IRRCONV)irr continuous
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
23 (FL64)df_shock_both 0
24 (FL64)remove_coupons 0
25 (FL64)calc_ytm_on_df_cflw 0
26 (FL64)acc_calconv_from_sec 0
27 (FL64)acc_coupon_stepped 0
28 (FL64)ytm_amort_call 0
29 (FL64)is_expected_maturity 0
30 (STRUCT SPREADSET)spr
1 (FL64)dom 0
2 (FL64)zero 0
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
31 (STRUCT DFSURFACE)df_surface_first
0 (STRUCT PERIODARRAY)periods
1 (STRUCT DISCFACARRAY)df_data
32 (STRUCT DFSURFACE)df_surface_last
33 (STRUCT BASIS_SPREAD)bsc
34 (STRUCT CCS_MTM)mtm
0 (FL64)spot 0
1 (STRUCT DISCFAC)df_foreign
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
35 (STRUCT CCS_NDS)nds
0 (STRUCT PLAN_STR)fx_fixings
1 (FL64)settlement_days 0
3 (STRUCT CCS_MTM)fx_info
0 (FL64)spot 0
1 (STRUCT DISCFAC)df_foreign
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
36 (STRUCT FRN_SCENARIOS)scenariodata
0 (STRUCT FL64MATRIX)df_cflw_scenarios
1 (STRUCT FL64MATRIX)df_disc_scenarios
2 (STRUCT FL64MATRIX)bsc_scenarios
3 (STRUCT FL64ARRAY)dfs_cflw_scenarios
4 (STRUCT FL64ARRAY)dfs_disc_scenarios
37 (STRUCT KEYRATIOARRAY)what
37 (STRUCT KEYRATIOARRAY)what[0] k_exc_date
37 (STRUCT KEYRATIOARRAY)what[1] k_exc_price
37 (STRUCT KEYRATIOARRAY)what[2] k_mat_conv
37 (STRUCT KEYRATIOARRAY)what[3] k_exp_matdate
37 (STRUCT KEYRATIOARRAY)what[4] k_exposure
37 (STRUCT KEYRATIOARRAY)what[5] k_life
37 (STRUCT KEYRATIOARRAY)what[6] k_maturity
37 (STRUCT KEYRATIOARRAY)what[7] k_wal
37 (STRUCT KEYRATIOARRAY)what[8] k_ytm_cflw
37 (STRUCT KEYRATIOARRAY)what[9] k_mdur_df
37 (STRUCT KEYRATIOARRAY)what[10] k_mconv_df
37 (STRUCT KEYRATIOARRAY)what[11] k_ddur_df
37 (STRUCT KEYRATIOARRAY)what[12] k_dconv_df
37 (STRUCT KEYRATIOARRAY)what[13] k_exp_maturity
37 (STRUCT KEYRATIOARRAY)what[14] k_spr_mdur
37 (STRUCT KEYRATIOARRAY)what[15] k_spr_dconv
37 (STRUCT KEYRATIOARRAY)what[16] k_spr_mconv
37 (STRUCT KEYRATIOARRAY)what[17] k_spr_i
37 (STRUCT KEYRATIOARRAY)what[18] k_clean
37 (STRUCT KEYRATIOARRAY)what[19] k_dirty
37 (STRUCT KEYRATIOARRAY)what[20] k_accru
37 (STRUCT KEYRATIOARRAY)what[21] k_curr_ytm
37 (STRUCT KEYRATIOARRAY)what[22] k_spr_ddur
37 (STRUCT KEYRATIOARRAY)what[23] k_ytw_call
37 (STRUCT KEYRATIOARRAY)what[24] k_ytw_put_call
37 (STRUCT KEYRATIOARRAY)what[25] k_ytb_put_call
37 (STRUCT KEYRATIOARRAY)what[26] k_ytb_put
37 (STRUCT KEYRATIOARRAY)what[27] k_clean_df
37 (STRUCT KEYRATIOARRAY)what[28] k_lasm
37 (STRUCT KEYRATIOARRAY)what[29] k_ytm_risk
37 (STRUCT KEYRATIOARRAY)what[30] k_eqv_life_ytm
37 (STRUCT KEYRATIOARRAY)what[31] k_dur_ytm
37 (STRUCT KEYRATIOARRAY)what[32] k_conv_ytm
37 (STRUCT KEYRATIOARRAY)what[33] k_ddur_ytm
37 (STRUCT KEYRATIOARRAY)what[34] k_dconv_ytm
37 (STRUCT KEYRATIOARRAY)what[35] k_mdur_ytm
37 (STRUCT KEYRATIOARRAY)what[36] k_mconv_ytm
37 (STRUCT KEYRATIOARRAY)what[37] k_pv01_ytm
37 (STRUCT KEYRATIOARRAY)what[38] k_ytm_sec
37 (STRUCT KEYRATIOARRAY)what[39] k_yv01_ytm
37 (STRUCT KEYRATIOARRAY)what[40] k_spr_df
37 (STRUCT KEYRATIOARRAY)what[41] k_dm
37 (STRUCT KEYRATIOARRAY)what[42] k_delta_ir_df
37 (STRUCT KEYRATIOARRAY)what[43] k_delta_ir_ytm
37 (STRUCT KEYRATIOARRAY)what[44] k_theta_adj
5 (STRUCT ITERCTRL)ictrl
0 (FL64)maxiter -1
1 (FL64)init_guess -1
2 (FL64)use_init_guess 0
3 (FL64)lower -1
4 (FL64)use_lower 0
5 (FL64)upper 10000000000
6 (FL64)use_upper 1
7 (FL64)damp -1
8 (FL64)acc 1e-010
9 (FL64)what_acc -1
10 (FL64)gfreq -1
11 (FL64)bisec -1
12 (FL64)shock -1
6 (ENUM EXPCALC)expcalc_format xls
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 0
1 (STRING)ec <?xml version="1.0" standalone="yes"?>
<PrincipiaException>
<Error>In order to calculate yield curve sensitivities a discount function must be
given</Error>
<ErrorNo> 519 </ErrorNo>
<Exception Type="Argument"></Exception>
</PrincipiaException>
0 (STRUCT KEYRESLIST)funcres
0 (STRUCT KEYRESARRAY)keyreses
0 (STRUCT KEYRESARRAY)keyreses[0]
0 (FL64)ok 1
1 (STRUCT FL64MATRIX)res
1 (STRUCT FL64MATRIX)res[0][0] 20241017
1 (STRUCT FL64MATRIX)res[4][0] 101.800380345205
1 (STRUCT FL64MATRIX)res[33][0] -0.949001055148102
2 (STRUCT INTIARRAY)nres
2 (STRUCT INTIARRAY)nres[0] 1
3 (STRUCT KEYRATIOARRAY)what
3 (STRUCT KEYRATIOARRAY)what[0] k_exc_date
3 (STRUCT KEYRATIOARRAY)what[1] k_exc_price
3 (STRUCT KEYRATIOARRAY)what[2] k_mat_conv
3 (STRUCT KEYRATIOARRAY)what[3] k_exp_matdate
3 (STRUCT KEYRATIOARRAY)what[4] k_exposure
3 (STRUCT KEYRATIOARRAY)what[5] k_life
3 (STRUCT KEYRATIOARRAY)what[6] k_maturity
3 (STRUCT KEYRATIOARRAY)what[7] k_wal
3 (STRUCT KEYRATIOARRAY)what[8] k_ytm_cflw
3 (STRUCT KEYRATIOARRAY)what[9] k_mdur_df
3 (STRUCT KEYRATIOARRAY)what[10] k_mconv_df
3 (STRUCT KEYRATIOARRAY)what[11] k_ddur_df
3 (STRUCT KEYRATIOARRAY)what[12] k_dconv_df
3 (STRUCT KEYRATIOARRAY)what[13] k_exp_maturity
3 (STRUCT KEYRATIOARRAY)what[14] k_spr_mdur
3 (STRUCT KEYRATIOARRAY)what[15] k_spr_dconv
3 (STRUCT KEYRATIOARRAY)what[16] k_spr_mconv
3 (STRUCT KEYRATIOARRAY)what[17] k_spr_i
3 (STRUCT KEYRATIOARRAY)what[18] k_clean
3 (STRUCT KEYRATIOARRAY)what[19] k_dirty
3 (STRUCT KEYRATIOARRAY)what[20] k_accru
3 (STRUCT KEYRATIOARRAY)what[21] k_curr_ytm
3 (STRUCT KEYRATIOARRAY)what[22] k_spr_ddur
3 (STRUCT KEYRATIOARRAY)what[23] k_ytw_call
3 (STRUCT KEYRATIOARRAY)what[24] k_ytw_put_call
3 (STRUCT KEYRATIOARRAY)what[25] k_ytb_put_call
3 (STRUCT KEYRATIOARRAY)what[26] k_ytb_put
3 (STRUCT KEYRATIOARRAY)what[27] k_clean_df
3 (STRUCT KEYRATIOARRAY)what[28] k_lasm
3 (STRUCT KEYRATIOARRAY)what[29] k_ytm_risk
3 (STRUCT KEYRATIOARRAY)what[30] k_eqv_life_ytm
3 (STRUCT KEYRATIOARRAY)what[31] k_dur_ytm
3 (STRUCT KEYRATIOARRAY)what[32] k_conv_ytm
3 (STRUCT KEYRATIOARRAY)what[33] k_ddur_ytm
3 (STRUCT KEYRATIOARRAY)what[34] k_dconv_ytm
3 (STRUCT KEYRATIOARRAY)what[35] k_mdur_ytm
3 (STRUCT KEYRATIOARRAY)what[36] k_mconv_ytm
3 (STRUCT KEYRATIOARRAY)what[37] k_pv01_ytm
3 (STRUCT KEYRATIOARRAY)what[38] k_ytm_sec
3 (STRUCT KEYRATIOARRAY)what[39] k_yv01_ytm
3 (STRUCT KEYRATIOARRAY)what[40] k_spr_df
3 (STRUCT KEYRATIOARRAY)what[41] k_dm
3 (STRUCT KEYRATIOARRAY)what[42] k_delta_ir_df
3 (STRUCT KEYRATIOARRAY)what[43] k_delta_ir_ytm
3 (STRUCT KEYRATIOARRAY)what[44] k_theta_adj
1 (STRING)expcalc_output <?xml version="1.0"?>
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<ss:Cell>
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<Font html:Size="8"
html:Color="#000000">Please find the description in table HelpEnum for ENUM
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<ss:Cell><ss:Data
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<ss:Data ss:Type="String">FloatBaseCoupon</ss:Data>
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<ss:Cell><ss:Data
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<ss:Row>
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<ss:Data ss:Type="String">FloatBaseIsFix</ss:Data>
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<ss:Cell><ss:Data
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<ss:Row>
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<ss:Data ss:Type="String">Projection</ss:Data>
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<ss:Cell><ss:Data
</ss:Row>
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<ss:Cell><ss:Data
</ss:Row></ss:Table>
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ss:Span="5" ss:AutoFitWidth="1" ss:Width="100"/><ss:Row ss:StyleID="s86"><ss:Cell
ss:StyleID="s86"><ss:Data ss:Type="String">List of Fixing
Coupon</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="Default"><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Number</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Date</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Fixing Rate</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Bold"><ss:Data ss:Type="String"> Adjusted Fixing
Rate</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="Default"><ss:Cell
ss:StyleID="Default"><ss:Data ss:Type="Number">1</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Date"><ss:Data
ss:Type="DateTime">2022-08-11T00:00:00.000</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Default"><ss:Data
ss:Type="Number">2.2900000000000000</ss:Data></ss:Cell><ss:Cell
ss:Type="Number">2.2900000000000000</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="s18"><ss:Cell ss:StyleID="s18"><ss:Data
ss:Type="String">Rate Fixings Generation</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Fixing DFCalendar Convetion</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Default"><ss:Data ss:Type="String"></ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Fixing DFInterpolation Convetion</ss:Data></ss:Cell><ss:Cell
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ss:Type="String"> Coupon Sequence Convetion</ss:Data></ss:Cell><ss:Cell
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ss:Type="String"> Coupon Component</ss:Data></ss:Cell><ss:Cell
ss:StyleID="s16"><ss:Data ss:Type="String"> Spread
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Coupon With Spread</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="Default"><ss:Cell ss:StyleID="Date"><ss:Data
ss:Type="String">Dirty Value Calculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Price Type</ss:Data></ss:Cell><ss:Cell
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ss:Type="String"> Coupon Term Calendar Convetion</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Coupon Sequence Convetion</ss:Data></ss:Cell><ss:Cell
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ss:Type="String"> Coupon Unit</ss:Data></ss:Cell><ss:Cell
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ss:Type="String"> Discounting DFCalendar Convetion</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Discounting DFInterpolation Convetion</ss:Data></ss:Cell><ss:Cell
</ss:Table>
</ss:Worksheet><ss:Worksheet ss:Name="Pricing"><ss:Table><ss:Column
ss:Span="5" ss:AutoFitWidth="1" ss:Width="100"/><ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Price Type</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data ss:Type="String">Quoted
Price</ss:Data></ss:Cell>
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Present Value</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
</ss:Row><ss:Row ss:StyleID="s18"><ss:Cell
ss:StyleID="s18"><ss:Data ss:Type="String">Cash Flow
Calculations</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="Cyan"><ss:Cell ss:StyleID="Cyan"><ss:Data
ss:Type="String">Accrued Interest Calculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Coupon Rate Calculations</ss:Data></ss:Cell></ss:Row>
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ss:StyleID="Bold"><ss:Data ss:Type="String"> Coupon
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Coupon Component</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Spread Component</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Bold"><ss:Data ss:Type="String"> Coupon With
Spread</ss:Data></ss:Cell></ss:Row>
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ss:Type="String"> Notional</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
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ss:StyleID="Bold"><ss:Data ss:Type="String"> Accrued
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Accrued Spread</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Coupon Rate</ss:Data></ss:Cell><ss:Cell
Accrued Total</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Accrued Spread</ss:Data></ss:Cell><ss:Cell
Saldo</ss:Data></ss:Cell></ss:Row>
ss:StyleID="Default" ss:Formula="= (RC[-6] + RC[-5]) * RC[-2]"/><ss:Cell
ss:StyleID="Default" ss:Formula="= RC[-7] * RC[-2] + RC[-4]"/><ss:Cell
ss:StyleID="Default" ss:Formula="= RC[-2] + RC[-6]"/></ss:Row>
ss:Type="String"> Accrued Saldo</ss:Data></ss:Cell><ss:Cell
Deferred Coupon</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Deferred Spread</ss:Data></ss:Cell><ss:Cell
Accrual</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data ss:Type="String">
Spread Accrual</ss:Data></ss:Cell></ss:Row>
ss:StyleID="Default" ss:Formula="=RC[-4]-RC[-2]"/><ss:Cell ss:StyleID="Default"
ss:Formula="=RC[-4]-RC[-2]"/></ss:Row>
ss:Type="String"> Accrued Coupon</ss:Data></ss:Cell><ss:Cell
Deferred Coupon</ss:Data></ss:Cell><ss:Cell ss:StyleID="Bold"><ss:Data
ss:Type="String"> Deferred Spread</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Bold"><ss:Data ss:Type="String"> AI</ss:Data></ss:Cell></ss:Row>
ss:StyleID="Default" ss:Formula="= RC[-4] + RC[-3] + RC[-2] + RC[-1]"/></ss:Row>
</ss:Table>
</ss:Worksheet><ss:Worksheet ss:Name="YTMCalculation"><ss:Table><ss:Column
ss:StyleID="s87"><ss:Data ss:Type="String"></ss:Data></ss:Cell></ss:Row>
ss:Type="String">YTMSecond</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Static Data</ss:Data></ss:Cell></ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Calendar
Convention</ss:Data>
</ss:Cell>
<ss:Cell>
html40">
<Font html:Size="8"
CALENDAR</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Interest Rate
Convention</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">COMPOUNDSIMPLE</ss:Data>
html40">
<Font html:Size="8"
IRRCONV</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Payment Frequency</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">ANNUALLY</ss:Data>
html40">
<Font html:Size="8"
PMTFREQ</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">DirtyPrice</ss:Data>
</ss:Cell>
<ss:Cell
ss:Formula="101.8003803452048004/100.0000000000000000">
<ss:Data ss:Type="Number"/>
html40">
<Font html:Size="8" html:Color="#000000">
That is dirty price which was calculated in principia.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
ss:StyleID="s63"><ss:Data ss:Type="String">Calculation</ss:Data></ss:Cell></ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">YTMSecondValue</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data
ss:Type="Number">6.2659484556890259</ss:Data>
html40">
YTMSecond is calculated as root of Iterative approaching to the Dirty Price.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
ss:Type="String">YTMRisk</ss:Data></ss:Cell></ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">DirtyPrice</ss:Data>
</ss:Cell>
<ss:Cell
ss:Formula="101.8003803452048004/100.0000000000000000">
<ss:Data ss:Type="Number"/>
html40">
That is dirty price which was calculated in principia.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
ss:StyleID="s63"><ss:Data ss:Type="String">Calculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String">PresentValueCalcDetails</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Number</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Date</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Coupon</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Repay</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Issue</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Premium</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Disc Factor</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> PV</ss:Data></ss:Cell><ss:Cell ss:StyleID="s16"><ss:Data
ss:Type="String"> Sum PV</ss:Data></ss:Cell></ss:Row>
ss:Type="Number">1</ss:Data></ss:Cell><ss:Cell ss:StyleID="Date63"><ss:Data
ss:Type="Number">0.9981850136206604</ss:Data></ss:Cell><ss:Cell ss:StyleID="s63"
ss:Formula="=(RC[-5]+RC[-4]+RC[-3]+RC[-2])*RC[-1]"/><ss:Cell ss:StyleID="s63"
ss:Formula="=IF(RC[-8]=1,RC[-1],R[-1]C+RC[-1])"/></ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">YTMRiskValue</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data
ss:Type="Number">6.2659484556890259</ss:Data>
html40">
YTMSecond is calculated as root of Iterative approaching to the Dirty Price.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
ss:Type="String">WALCalc</ss:Data></ss:Cell></ss:Row>
<ss:Row ss:StyleID="s16">
<ss:Cell>
<ss:Data ss:Type="String">Number</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Repay</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Issue</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Premium</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Term</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">WALNominator</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">WALDenominator</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Data ss:Type="Number">1</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row><ss:Row ss:StyleID="Default"><ss:Cell
ss:StyleID="Bold"><ss:Data ss:Type="String"> WALValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String"></ss:Data></ss:Cell></ss:Row>
ss:Type="String">Yield to maturity Price Change
Calculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Shock Size</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Is Symmetric</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Price Change YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="Number">-0.0094900105514810</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Yield to maturity Dollar Duration
ss:Type="String">DollarDuration = PriceChange / (ShockSize *
100)</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Dollar Duration YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Dollar Convexity
ss:Type="String">DollarConvexity = (ShockedUpPV + ShockedDnPV - 2 * UnShockedPV) /
((ShockSize * 100)^2)</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Dollar Convexity YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Modified Duration
ss:Type="String">ModifiedDuration = 100 * DollarDuration /
PVValue</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> PVValue</ss:Data></ss:Cell><ss:Cell ss:StyleID="Default"><ss:Data
ss:Type="String"> Modified Duration YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Modified Convexity
ss:Type="String">ModifiedConvexity = 100 * DollarConvexity /
ss:Type="String"> Modified Convexity YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Dollar Convexity
ss:Type="String">DollarConvexity = (ShockedUpPV + ShockedDnPV - 2 * UnShockedPV) /
((ShockSize * 100)^2)</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Shocked Up Yield</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Shocked Up PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Shocked Dn Yield</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Shocked Dn PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Un Shocked Yield</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Un Shocked PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Shocked Up PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Shocked Dn PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Un Shocked PV</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Dollar Convexity YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Macauley Convexity
ss:Type="String">MacauleyConvexity = 100 * DollarConvexity * (1 + Quote)^2 /
ss:Type="String"> Quote Value</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Macauley Convexity YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Price Change
ss:Type="String"> Is Symmetric</ss:Data></ss:Cell><ss:Cell
ss:Type="String"> Price Change YTMValue</ss:Data></ss:Cell><ss:Cell
ss:Type="String">Yield to maturity Yield Change
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">IsSymmetric</ss:Data>
</ss:Cell>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">PVShockedUp</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Yield</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">PVShockedDn</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Yield</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data
ss:Type="String">YieldChangeYTMValue</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
ss:Type="String">EquivalentLife</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Date</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Coupon</ss:Data>
</ss:Cell>
<ss:Cell>
</ss:Cell>
<ss:Cell>
</ss:Cell>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Term</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">DiscFactor</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">SumPV</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">SumMeanterm</ss:Data>
</ss:Cell>
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Equivalent Life
Value</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
ss:Type="String">YTMCurrent</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Iteration 1</ss:Data></ss:Cell></ss:Row>
ss:Type="String">List of Rates</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Rate Value</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Generated Future Rates</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Note</ss:Data></ss:Cell><ss:Cell ss:StyleID="s62"><ss:Data
ss:Type="String">Unknown rate is set to the most recent given rate
fixing</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Issue to maturity cash flow</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">UnadjustedDate</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Date</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Coupon</ss:Data>
</ss:Cell>
<ss:Cell>
</ss:Cell>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Notional</ss:Data>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
<ss:Cell><ss:Data
ss:Type="String">AccruedInterest</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Settlement</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Amount</ss:Data>
</ss:Cell>
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
ss:Type="Number">-0.0143355034520481</ss:Data></ss:Cell>
</ss:Row>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">ResaleDate</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">AIAmount</ss:Data>
</ss:Cell>
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row>
<ss:Cell>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">ResaleDate</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">NotionalAmount</ss:Data>
</ss:Cell>
</ss:Row>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell><ss:Data
</ss:Row><ss:Row ss:StyleID="Default"><ss:Cell
ss:StyleID="Default"><ss:Data ss:Type="String">
AICorrection</ss:Data></ss:Cell><ss:Cell ss:StyleID="Default"><ss:Data
ss:StyleID="Default"><ss:Data ss:Type="String"> AIRate</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Default"><ss:Data ss:Type="String"> AIPaid</ss:Data></ss:Cell><ss:Cell
ss:StyleID="Default"><ss:Data ss:Type="String">
AICapitalised</ss:Data></ss:Cell><ss:Cell ss:StyleID="Default"><ss:Data
ss:Type="String">List of Rates</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Rate Value</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Generated Future Rates</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> Note</ss:Data></ss:Cell><ss:Cell ss:StyleID="s62"><ss:Data
ss:Type="String">Unknown rate is set to the most recent given rate
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">YTM Current Value</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
ss:Type="String">MaturityTimeCalculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Life</ss:Data></ss:Cell></ss:Row>
<ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">LifeValue</ss:Data>
</ss:Cell>
<ss:Cell><ss:Data
ss:Type="String">ExpMaturityTimeCalculation</ss:Data></ss:Cell></ss:Row>
ss:StyleID="Default"><ss:Data ss:Type="String"> Expected Life
Value</ss:Data></ss:Cell><ss:Cell ss:StyleID="Default"><ss:Data
</ss:Table>
</ss:Worksheet><ss:Worksheet ss:Name="YTWBCalculation"><ss:Table><ss:Column
ss:StyleID="s63"><ss:Data ss:Type="String">YTM
ss:Type="String"> Maturity Date</ss:Data></ss:Cell><ss:Cell
ss:Type="DateTime">2024-10-17T00:00:00.000</ss:Data></ss:Cell></ss:Row>
ss:Type="String"> YTMYield</ss:Data></ss:Cell><ss:Cell
</ss:Table>
</ss:Worksheet><ss:Worksheet ss:Name="KeyRatio"><ss:Table><ss:Column
ss:Span="5" ss:AutoFitWidth="1" ss:Width="100"/><ss:Row ss:StyleID="s18">
<ss:Cell>
<ss:Data ss:Type="String">KeyRatioList</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Cell>
<ss:Data ss:Type="String">Name</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">Value</ss:Data>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">OK</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EXC_DATE</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Exercise date. Depends on maturity convention (FRN).</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
<ss:Data ss:Type="String">True</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EXC_PRICE</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Exercise price. Depends on maturity convention (FRN).</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MAT_CONV</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Maturity convention (FRN).</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EXP_MATDATE</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Maturity date. This is the date of the last redemption date
with non-zero redemption. Date is independent of maturity convention. Corresponds
to K_EXP_MATURITY.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EXPOSURE</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Risk exposure of the position.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_LIFE</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Remaining time to maturity</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MATURITY</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Remaining time to final maturity ignoring zero notional and
the maturity convention (FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_WAL</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Weighted average life</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTM_CFLW</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Yield calculation based on expected cashflow.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MDUR_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified Duration based on Zero Yields</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
<ss:Data ss:Type="String">False</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MCONV_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified Convexity based on Zero Yields</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DDUR_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Duration based on Zero Yields</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DCONV_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Convexity based on Zero Yields</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EXP_MATURITY</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Remaining time to Maturity ignoring the maturity convention
(FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_MDUR</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified duration where only the discounting curve is shocked
(FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_DCONV</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Convexity where only the discounting curve is shocked
(FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_MCONV</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified convexity where only the discounting curve is shocked
(FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_I</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Interpolated spread is the difference between the YTM of the
bond and the interpolated yield to the same maturity on the reference curve.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_CLEAN</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Clean Price</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DIRTY</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Dirty Price</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_ACCRU</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Accrued Interest</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_CURR_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Current Yield</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_DDUR</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Duration where only the discounting curve is shocked
(FRN)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTW_CALL</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Min yield to date from dates and prices list on call
side.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTW_PUT_CALL</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Min yield to date from dates and prices list on both
side.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTB_PUT_CALL</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Max yield to date from dates and prices list on both
side.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTB_PUT</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Max yield to date from dates and prices list on put
side.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_CLEAN_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Theoretical clean price based on discount function.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_LASM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Asummed future libor rate</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTM_RISK</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Yield to Maturity (risk specific)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_EQV_LIFE_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Equivalent life (duration for coupon stripped bond) based on
YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DUR_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Duration based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_CONV_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">K_CONV_YTM, Convexity based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DDUR_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Duration based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DCONV_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Convexity based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MDUR_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified Duration based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_MCONV_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Modified Convexity based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_PV01_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">PV01 based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YTM_SEC</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Yield to Maturity (second yield)</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_YV01_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">YV01 based on YTM_RISK</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_SPR_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Spread to a Zero Yield Curve</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">Discounted margin</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DELTA_IR_DF</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">EDRAM DELTA INTEREST RATE DF key ratio</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_DELTA_IR_YTM</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">EDRAM DELTA INTEREST RATE YTM key ratio</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row>
<ss:Row>
<ss:Data ss:Type="String">K_THETA_ADJ</ss:Data>
html40">
<Font html:Size="8"
html:Color="#000000">For all the instruments with a maturity date. Similar to
K_THETA but takes business day adjustment into account.</Font>
</ss:Data>
</ss:Comment>
</ss:Cell>
<ss:Cell><ss:Data
<ss:Cell>
</ss:Cell>
</ss:Row></ss:Table>
</ss:Worksheet><ss:Worksheet ss:Name="EnumHelp"><ss:Table><ss:Column
ss:Span="5" ss:AutoFitWidth="1" ss:Width="100"/><ss:Row ss:StyleID="s87">
<ss:Cell>
<ss:Data ss:Type="String">#################### ENUM
PRICETYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This type is used to
definehow prices are quoted:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"/></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_PRICE
Price is input directly</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_YTM
Price defined using input YTM</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DF
Price defined using input Zero Curve</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FUTSPOT
For futures futures price and spot price is given</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FUTREPO
For futures futures price and repo rate is given</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_REPOSPOT
For futures repo rate and spot price is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL
Premium defined using (flat) volatility</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL_TS
Premium defined using a term struct. of vols.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SHORTLONG
For FRAs, the short and long rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SHORTFRA
For FRAs, the short and FRA rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FRALONG
For FRAs, the FRA and long rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DM
For FRNs, discounted margining.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_AUSTM
For FRNs, Australian trading margin.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL_SMILE
Premium defined using (flat) volatility with a smile.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">
This means that one vol is found in the vol_str2d </ss:Data></ss:Cell></ss:Row>
structure and only this is used in the pricing.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_STIBOR
For FRNs, Stibor trading margin.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DIRTY
Dirty price is input. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_BASISSWAP
Used for princing of basis swaps legs.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_QUALITYOPT
Quality option for bond futures.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SABR
SABR.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_RR_BF
Risk reversal and butterfly, used for FX options.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
FIXDCOMP ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The type is used to
define how decompounding on fixed rates is performed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in
SCecon:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">NODCOMP means that no
decompounding is done.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EPR_PER means that
periodic decompounded rates are found as:</ss:Data></ss:Cell></ss:Row>
1/n</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> fix = ((1
+ fix_rate) - 1) * n</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where n is the number
of annual payments.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EPR_DF that the
decompounded rate is</ss:Data></ss:Cell></ss:Row>
d/dpy</ss:Data></ss:Cell></ss:Row>
+ fix_rate) - 1) * dpy / d</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where dpy is the
number of days per year (given a CALCONV) and d is
the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">number of days in the
current period. This is used for FRF domestic market</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">TAM and TAG swaps
(fixed legs in broken periods). Note that TAM/TAG's
use</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data
ss:Type="String">ACTACT.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EDDR means that the
decompounded rate is:</ss:Data></ss:Cell></ss:Row>
1/d</ss:Data></ss:Cell></ss:Row>
+ fix_rate * d / dpy) - 1) * dpy</ss:Data></ss:Cell></ss:Row>
number of days per year (given a CALCONV) and d is
current period. This is used for FRF domestic market</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">T4M swaps (fixed
legs). Note that T4M's use ACT360.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">BRAZ means that the
decompounded rate is</ss:Data></ss:Cell></ss:Row>
+ fix_rate) - 1)</ss:Data></ss:Cell></ss:Row>
number of days per year (given a CALCONV) and d is the</ss:Data></ss:Cell></ss:Row>
current period. This is used for calculating</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the coupon for
Brazilian Index Linked Bonds as well as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">for Brazilian typed
OIS Swaps (fix leg).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that for
Brazilian Index Linked Bonds d is payment frequency</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in months and dpy is
always 12.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For Brazilian typed
OIS Swaps d/dpy is given by BUS252.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The BRAZ type is only
implemented in principia.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">BRAZEVENODD means that
the decompounded rate is:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> sp <
1 : fix = ((1 + fix_rate) - 1) * dpy / d</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where sp is sub
period. sp = d / coupon_period_days. dpy is the number
</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of days per year
(given a CALCONV) and d is the number of accrual days.
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is used for
calculating AI for Brazilian Index Linked Bonds.</ss:Data></ss:Cell></ss:Row>
bp</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> sp = 1 :
fix = ((1 + fix_rate) - 1), </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where
<ss:Row><ss:Cell><ss:Data ss:Type="String">bp is base period.
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EVEN
coupon : bp = 1/N </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ODD coupon
: bp = coupon_period_days / dpy </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">N is number of coupons
per year. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is used for
calculating the coupon for Brazilian Index Linked
Bonds.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The BRAZAI type is
only implemented in principia.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CANADIAN means that
the decompounded rate for US pool MBS is:</ss:Data></ss:Cell></ss:Row>
1/6</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> fix =
(1+i/200) - 1</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where i is the annual
rate of US MBS.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">N.B. EPR means
equivalent period rate, and EDDR means equivalent
day-to-day</ss:Data></ss:Cell></ss:Row>
ss:Type="String">rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that EPR_DF and
EDDR are not supported for ANNUITY's and SERIAL's.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
OPTTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Call options give you
the right to buy an asset at some time (interval)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in the future at
conditions agreed of today, while put options give you</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the right to sell the
asset.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">A straddle is a
portfolio where a call and a put option are purchased
at</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the same strike levels
and maturity dates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Risk reversal and
butterfly spread are used to describe a volatility surface
<ss:Row><ss:Cell><ss:Data ss:Type="String">along with an ATM
volatility.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
PREMIUMTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If the premium type is
UP_FRONT, the premium is paid up front, i.e. when</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the options are
bought, while the premium is paid at expiry for
options</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">with premium type
BY_MARGIN.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The information about
premium type has impact on the way the future</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">expected pay off from
the option at expiry is discounted when computing</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the theoretical prices
- and risk ratios - for options.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
EOMCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For a semiannually
paying instrument, issued on February 28, 1992 for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">instance, the first
coupon day according to the SAME end of month</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">convention would be on
August 28, 1992.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Using the LAST end of
month convention, the first coupon day would have</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">been August 31,
1991.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In case the bond had
been issued on August 31, 1991, the next coupon day</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">would be February 29,
1992 no matter the convention (SAME or LAST).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Using LAST360 is
slightly different. Here the 31'st of any month and
<ss:Row><ss:Cell><ss:Data ss:Type="String">29'th of February are
always ignored. Consequently the semiannual payment</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">following August 29 or
30 is always February 28. This is essentially the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">only use of this
EOMCONV value. This is known to be used in Norway.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">LASTNOLEAP is another
slight variation. It is similar to last but 29th of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">february is always
ignored. This is used e.g. to generate semiannualy
paying</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">bonds with payments on
the 28th of February and the 31st og August in leap</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">years. This is known
to be used in South Africa.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
COUPONBASE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Coupon
calculation</ss:Data></ss:Cell></ss:Row>
ss:Type="String">------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The coupon base
defines calculating method for coupons:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If EVENCOUP is chosen
then all 'periodic' coupons are equal to the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">annual coupon divided
by the number of annual payments. The coupons are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">therefore equal even
though the number of days in the periods are not
equal.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">When used in odd first
and last periods 'pseudo' coupon days are inserted to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">make the coupon days
periodic and the coupons are computed using a mixture</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of the method for the
regular coupons and day count fractions. This is in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">compliance with the
ISMA conventions and used in most Government Bond
Markets.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If ODDCOUP is chosen
then the coupons are calculated as a day count</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fractions times the
annual coupon - in both regular and odd periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The day count fraction
is determined by the given calendar convention</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CALCONV. This in
particular applies for the ACTLEAP calendar convention
which</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">implements the special
ISDA swap rule for dealing with leap years. It also</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">applies for the ACTAFB
calendar convention which is the recommended ISDA</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">convention for new
euro swap denominations.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If EQUALCOUP is chosen
then all coupon are equal to the annual coupon divided</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">by the number of
annual payments - irrespective of the period lengths,
odd</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">periods
etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EVENODD is the same as
EVENCOUP in regular periods. In long odd first and
last</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">periods 'pseudo'
coupon days are inserted to make the coupon days
periodic</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">as for EVENCOUP. The
coupon is then calculated as a 'periodic' coupon</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">following the same
scheme as EVENCOUP, plus a fractional coupon following</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the same scheme as
ODDCOUP. This is used for Japanese government bonds in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">long
periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that EVENCOUP,
EQUALCOUP, and EVENODD only differ in their behaviour</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in odd first and last
periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Accrued
interest</ss:Data></ss:Cell></ss:Row>
ss:Type="String">----------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The coupon base also
defines the calculation method for accrued interest:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The accrued interest
is then computed according to the same rules as the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">corresponding
coupon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The accrued interest
is computed as the annual coupon times a day count</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fraction. The
numerator in the day count fraction is the number of
accrued</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">days. The denominator
is the number of days per year which is determined by</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the coupon
base.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If EVENCOUP is chosen
then the number of days per year equals the number</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of days in the
corresponding regular or 'pseudo' regular period times
<ss:Row><ss:Cell><ss:Data ss:Type="String">number of annual
payments. In long odd periods the day count fraction is
a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">sum over several
periods. This is in compliance with the ISMA
convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If ODDCOUP is chosen
the number of days per year is inherent in the
calendar</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">convention CALCONV.
This means that the accrued interest equals the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">next coupon - computed
according to the ODDCOUP convention defined above -</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">times the fraction
consisting of the number of accrual days divided by
coupon period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If EQUALCOUP is chosen
then the number of days per year is the number of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">days in the period
times the number of annual payments.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EVENODD works as
EVENCOUP in regular and 'pseudo' regular periods and
as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ODDCOUP in the
remaining fractional period.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
BONDTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For bonds of type
BULLET the debt is repaid at the maturity</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">date of the
bond.</ss:Data></ss:Cell></ss:Row>
SERIAL the debt is repaid in equal size redemptions</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">throughout the life of
the bond.</ss:Data></ss:Cell></ss:Row>
ANNUITY the total payment, i.e. redemption plus coupon</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment have equal
size thoughout the life of the bond. The bonds cannot </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">be partly paid issues
and the coupon and redemption days should coincide.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The total payment may
not be equal in first and last odd periods. In this</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">case the redemption
equals the redemption of a regular annuity with the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">same number of
payments while the coupon is computed according to the
given</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">convention for coupons
in odd periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that annuities
with stepped coupons are implemented as the special</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Scandinavian type
which are standard annuities in the periods between
rate</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">adjustments but may
not necessarily have constant payments throughout the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">life of the
bond.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Bonds of type
PERPETUAL do not repay at all. They are bullet loans
with</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">infinite maturity; so
the only payments from this bond type are coupons.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Currently NOT
implemented in SCecon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The NONREGULAR bond
type is included for generality, although nothing</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">general can be said
about its repayment schedule. This is the typical</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">backdoor when nothing
else can be said about redemptions.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SERIAL_PCT is used for
serial loans where the redemption is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a fixed percentage of
the initial borrowed amount. Used for some</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">danish mortgage
loans.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ANNUITY_PCT is used to
define annuity loans where the total payment is a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fixed percentage of
the initial borrowed amount. Used for some danish mortgage
ss:Type="String">loans.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ANNUITY_PREP defines
prepaid loans that are annuities, i.e. has equal size</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payments. In order to
obtain equal size payments the prepaid option</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">on FIXRATE must be
set.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SERIAL_CPR is a serial
redemption scheme with prepayments according to </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the CPR model. The
model assumes that a constant fraction of the remaining
<ss:Row><ss:Cell><ss:Data ss:Type="String">loan will be prepaid
every month. This is used by US Mortgage Backed
Securities.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SERIAL_PSA is a serial
redemption scheme with prepayments according to </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the PSA model. The
model assumes that a fraction of the remaining loan</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">will be prepaid every
month. The fraction will grow linearly, from zero,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the first 30 months
and then retain a steady value. This is used by </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">US Mortgage Backed
Securities.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ANNUITY_CPR is a
annuity redemption scheme with prepayments according to
<ss:Row><ss:Cell><ss:Data ss:Type="String">the CPR model. This is
used by US Mortgage Backed Securities.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ANNUITY_PSA is a
annuity redemption scheme with prepayments according to
<ss:Row><ss:Cell><ss:Data ss:Type="String">the PSA model. This is
used by US Mortgage Backed Securities</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ANNUITY_BALLOON is an
annuity redemption scheme with equal annuity payments </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">over the life of the
bond which are defined by the sum of coupon rate and </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">initial redemption
rate.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
COMPMETHOD ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">NONE indicates that no
compounding applies.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> FLAT and
REGCOMPOUND are in accordance with ISDA convention for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> flat or regular
compounding.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> The interest paid
using these two methods effectively contains</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> interest on
interest. The REGCOMPOUND also includes interest on
spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> TAM represents the
French TAM/TAG conventions, where averaged</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> O/N rates are
compounded into annual rates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DECOMPOUND
indicates that the annual rates are decompounded to find
<ss:Row><ss:Cell><ss:Data ss:Type="String"> periodical payment
- using the period as decompounding term. This can be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> used to find the
French TEC FRN cashflow, based on Government Bond
Yields.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EONIA indicates
that the daily O/N fixings are compounded to form the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> interest
payments.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> AVERAGE represents
the averaging method used by the German Genussscheine.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> German
Genusscheine uses the following averaging method if the
libor</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> frequency is a
fraction of the coupon frequency (always yearly):</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Let n denote the
number of times the libor frequency is less than the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> payment
frequency:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> n =
fp/fl,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> where fp denotes
payment frequency and fl denotes libor frequency.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Then the coupon is
calculated as follows:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C = (r1 + s) * t1
+ (r2 + s) * t2 + ...+ (rn + s) * tn,</ss:Data></ss:Cell></ss:Row>
where</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C denotes the
coupon size paid,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ri denotes the
rate fixing at libor period i and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ti denotes the
year fraction of the libor period i</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Note: this example
assumes that fixing dates are ignored during term</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> computation, see
GENUSSAVERAGE.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Be aware that
AVERAGE is defined independent of previous attempts of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> defining an
averaging method as for instance AVGFLOAT. This type
is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> neglected if
method is chosen to be AVERAGE.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> USCOMPOUND denotes
the compound swap definition of the US market. The</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> compounding
frequency equals the libor frequency. However, the
compounding</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> frequency is
typically less than the payment frequency.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Some USCOMPOUND
first pays out interest at maturity (see USFLOAT).</ss:Data></ss:Cell></ss:Row>
USCOMPOUND is defined independent of previous attempts
of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> defining a
compound methods. The parameter compfreq and AVGFLOAT
are</ss:Data></ss:Cell></ss:Row>
method is chosen to be USCOMPOUND.</ss:Data></ss:Cell></ss:Row>
USARITHMETICAVERAGE denotes arithmetic averaging based on calendar
days.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Daily rate fixings
are observed every business day and the fixing is
weighted</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> in the average
based on the number of calendar days to the next
<ss:Row><ss:Cell><ss:Data ss:Type="String"> divided by the
total number of calendar days in the accrual period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> This method is
only supported in Principia. In SCecon the result will</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> be undefined if
this value is used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> USBILLCOMPOUND
denotes compounded discount rates, e.g used for
T-Bills.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> The rates can be
interpreted as auction high rates over a specified</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> high rate period
(see USFLOAT). The coupon is calculated as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C = ((1 - hp *
r1)^(- t1 / hp) * (1 - hp * r2)^(- t2 / hp) * ...*</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (1 - hp *
rn)^(- tn / hp)) - 1,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> where hp is the
high rate period and the ti the index fixing periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> COMPOUNDYIELD
denotes compounded yields, where the coupon is calculated
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C = ((1 + r1 +
s)^t1 * (1 + r2 + s)^t2 * ...* (1 + rn + s)^tn) - 1,
where</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> the ti are the
index fixing periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DAILYCOMPOUND
should be used when daily compounding is needed,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> in the sense of
interest on interest on a daily basis.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C = ( (1 + r1 *
t1) * (1 + r2 * t2) * ... * (1 + rn * tn) ) - 1,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> where ri and ti
are the fixing rates and the fixing periods</ss:Data></ss:Cell></ss:Row>
respectively.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> The ri's can
include the spread or not depending on the SPREADTYPE</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> set on
FLOATRATE.usfl.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> SIMPLE_AVERAGE
denotes arithmetic averaging based on calendar days.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Daily rate fixings
are observed every business day and average is taken
<ss:Row><ss:Cell><ss:Data ss:Type="String"> all fixings until
the last known before accrual date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> For week-ends and
holidays the last known fixing is used in the
averaging.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> BRAZILIANCOMPOUND
denotes compounding used in brazilian market, where the
coupon</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> is calculated as C
= ((1 + r1)^t1 * (1 + s)^t1 * (1 + r2)^t2 * (1 + s)^t2
*...*</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (1 + rn)^tn * (1 +
s)^tn) - 1, where the ti are the index fixing periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Also the rounding
is applied to decompounded rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> CNYCOMPOUND
denotes the compound swap definition of the China market.
The</ss:Data></ss:Cell></ss:Row>
frequency equals the libor frequency. However, the
compounding</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> frequency is
typically less than the payment frequency.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Some CNYCOMPOUND
first pays out interest at maturity (see USFLOAT).</ss:Data></ss:Cell></ss:Row>
CNYCOMPOUND is defined independent of previous attempts
<ss:Row><ss:Cell><ss:Data ss:Type="String"> defining a
compound methods. The parameter compfreq and AVGFLOAT
method is chosen to be CNYCOMPOUND.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
SPREADTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Where the individual
entries are defined as:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> NO_COMPOUND
means no spread is not compounded, but added after the</ss:Data></ss:Cell></ss:Row>
has taken place. This type is also refered to as:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Compound and
add spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> INCL_COMPOUND
means that the spread is added to the rate prior</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> compounding.
This type is also refered to as: Add spread and
compound.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EXCL_COMPOUND
means that the interest amount including the spread</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> is compounding
at the rates excluding the spread. This type is also</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> refered to as:
Flat Compounding</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
TERMUNIT ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note ZEROUNIT always
means 0 DAYS no matter what term it is combined with.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note DAYS30EU and
DAYS30US assumes that all month contain 30 days.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> typedef
TERMUNIT * TERMUNITARRAY ;</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
DISCIPOL ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in disc.h of the
SCecon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_DISC indicates that
interpolation is to be performed in the discount</ss:Data></ss:Cell></ss:Row>
ss:Type="String">factors.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_SPOT indicates that
the spot (continuous) rates are to be used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_SPOTTERM indicates
that the product of spot rates and term should be the
variable</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in which to
interpolate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_GROWTH indicates
that the inverse discount factors should be the
variable</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in which to
interpolate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_FORW is used when
interpolation is performed in the forward rates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Currently it is
assumed that forward rates are CONSTANT between grid
points.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that the enum
sequence has been choosen so that False corresponds to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DI_SPOT and True to
DI_DISC (this is not to say that we recommend coding</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">using this
condition).</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
INTPOLCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in scutl.h of the
SCecon Library.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Linear interpolation
can be carried out in two ways, LINEAR_EXTRAPOL and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">LINEAR_FLAT_END. These
methods differ in the way out of sample values</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are
treated.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According to the
LINEAR_EXTRAPOL method, out of sample values of y are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">computed
y(last) - y(second last)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> y(x) = y(last)
+ ------------------------ * (x - x(last) ).</ss:Data></ss:Cell></ss:Row>
x(last) - x(second last)</ss:Data></ss:Cell></ss:Row>
LINEAR_FLAT_END method, out of sample values of y are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">computed
<ss:Row><ss:Cell><ss:Data ss:Type="String"> y(x) =
y(last).</ss:Data></ss:Cell></ss:Row>
LOG_LINEAR method the values are calculated as</ss:Data></ss:Cell></ss:Row>
x - xlow</ss:Data></ss:Cell></ss:Row>
--------</ss:Data></ss:Cell></ss:Row>
xup - xlow</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (
y(xhigh) )</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> y(x) = y(xlow) *
(----------)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (
y(xlow) )</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Out of sample values
are extrapolated. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Stair case
interpolation of corresponding (y,x) values are
calculated</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">using either EXCL_INCL
or INCL_EXCL.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According to
EXCL_INCL,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> y(x) =
y(xhigh) if xlow < x <= xhigh,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">while y(x) is computed
<ss:Row><ss:Cell><ss:Data ss:Type="String"> y(x) = y(xlow)
if xlow <= x < xhigh</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">using the INCL_EXCL
interpolation method.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Finally, using
CUBIC_CUBIC or CUBIC_LINEAR, corresponding values of (y,x) are
computed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">according to a third
degree polynomia, that fits the observed pairs of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">(x,y) values best. The
differnce lays in extrapolation implmentation - when CUBIC_LINEAR is
<ss:Row><ss:Cell><ss:Data ss:Type="String">selected and x is
beyond last supplied point the values of y lay on the straight line contrary to
<ss:Row><ss:Cell><ss:Data ss:Type="String">CUBIC_CUBIC - where y
still lays on 3rd degree polinomial.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">MONOTONE_CONVEX, is a
method which preserves the properties of interpolated curve such
<ss:Row><ss:Cell><ss:Data ss:Type="String">monotonocity and
convexity both on interpolated and extrapolated
sections.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">MONOTONE_CONVEX_PFR,
same as above with additional requirement of Positivity of Forward
Rates.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
IRRCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The CONTINUOUS
interest rate convention calculates net present value
-rt</ss:Data></ss:Cell></ss:Row>
e</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where r
continuously compounded yield,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> t term
to payment in fractional years,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">using continuously
compounded yields.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This interest rate
convention is heavily used in academic literature due</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">to its nice
mathematical characteristics.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According the the
COMPOUND interest rate convention, net present value</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">is calculated
<ss:Row><ss:Cell><ss:Data ss:Type="String"> -t
* qb</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (1 + r /
qb)</ss:Data></ss:Cell></ss:Row>
compounded yield</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> qb
quoting base</ss:Data></ss:Cell></ss:Row>
to payment in fractional years</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The well known
AIBD/ISMA convention is the special case, where qb is 1.
Use</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">qb 2 for semiannually
compounded yields etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The US_TREASURY
convention discount payments exponentially using
semiannual</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">compounding in
'normal' periods. Any fractional periods are
discounted</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">linearly. In the last
period linear discounting is used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Following the
SIMPLE_MM interest rate convention, net present value
<ss:Row><ss:Cell><ss:Data ss:Type="String">calculated
<ss:Row><ss:Cell><ss:Data ss:Type="String"> 1 / (1 +
rt)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where r simple
money market yield</ss:Data></ss:Cell></ss:Row>
to payment in fractional years</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This convention is
default for money market instruments.</ss:Data></ss:Cell></ss:Row>
COMPOUNDSIMPLE interest rate convention, a cashflow
with</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">more than 1 future
payment is discounted as COMPOUND, and when only the
final</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment is outstanding
SIMPLE_MM is used. If only one payment remains and
this</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">falls more than 12
months into the future, COMPOUND will be used (relevant
for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">valuing longer zero
coupon bonds).</ss:Data></ss:Cell></ss:Row>
BRAESSFANGMEYER convention, present value is computed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">by calculating the
horizon value and discounting this value back to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">evaluation date using
compounded yields for whole years and simple</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">money market yields
for fractional years.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The MOOSMULLER
convention is analog to the BRAESSFANGMEYER convention</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">except that periods -
rather than years - determine whether compounded</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">yields or simple money
market yields are used for discounting.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According to the MAIR
convention, the horizon value is determined using</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a(n array of)
reinvestment rate(s).</ss:Data></ss:Cell></ss:Row>
DISCOUNT convention, price is computed as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> 1.0 - r *
t</ss:Data></ss:Cell></ss:Row>
discount yield</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> t time
to payment in fractional years.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This convention is
used for T-Bills, CD's etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">JGBYTM is a special
Japanese convention for finding yields. This
convention</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">cannot be used in the
tvmunit functions, but ONLY in combination with</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">yield calculations
when using YTMCONV. The reason being that the setup is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">so special that it
does NOT fit into the standard PV framework. The</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">advantage, however, is
that closed-form yields can be found, thereby avoiding</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">iterations. Currently
JGBYTM is only allowed when using the functions:</ss:Data></ss:Cell></ss:Row>
Bond_YTM2Yield()</ss:Data></ss:Cell></ss:Row>
Bond_YTM2Price()</ss:Data></ss:Cell></ss:Row>
Cflw_YTM2Yield()</ss:Data></ss:Cell></ss:Row>
Cflw_YTM2Price()</ss:Data></ss:Cell></ss:Row>
Bond_YTM2PV01()</ss:Data></ss:Cell></ss:Row>
Bond_YTM2YV01()</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Remember that JGBYTM
yield are calculated using ACTNL365.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SIMPLE_REPO is
equivalent to SIMPLE_MM except that any payment is first
<ss:Row><ss:Cell><ss:Data ss:Type="String">discounted to the
maturity date, and thereafter back till the PV date.
This</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">gives a slight
difference in PV to the SIMPLE_MM method. This method is
<ss:Row><ss:Cell><ss:Data ss:Type="String">standard in the
European Repo markets for calculating implied repo or
<ss:Row><ss:Cell><ss:Data ss:Type="String">settlement
price.</ss:Data></ss:Cell></ss:Row>
COMPOUNDSIMPLE_ODD interest rate convention, a cashflow
that</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">contains payments more
than 12 months into the future is discounted as
COMPOUND.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Cashflows of 12 months
or less are discounted as SIMPLE_MM. This convention
<ss:Row><ss:Cell><ss:Data ss:Type="String">used in Sweden. Refer
to YTMCONV for a description of the calendar
<ss:Row><ss:Cell><ss:Data ss:Type="String">used in the two
situations.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CHAIN_MM defines a
discounting based on compounded yield with irregular </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">compounding
frequencey. One payment is discounted to the previous coupon
<ss:Row><ss:Cell><ss:Data ss:Type="String">date using simple
yield. This is then repeated backwards until present
date</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">is reached. The method
is used when discounting cash flows from certificates </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of deposit (CD).
<ss:Row><ss:Cell><ss:Data ss:Type="String">MEXICAN defines
compound method for Mexican bonds.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">THAI convention is
similar to COMPOUNDED ISDA/ISMA with the first period
always</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ISDA. Used for Thai
bonds.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that discounting
is always combined with a calendar convention,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">described
elsewhere.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
CALENDAR ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The main purpose of
the calendar convention is to define the day count</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fraction used e.g.
when computing accrued interest over a certain time
period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The day count fraction
is in general computed as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Number of
days in period / Number of days per year.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The time period in
question is defined to go from, and including, the
period</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">start date to, but
excluding, the period end date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The definition of
these are described below, followed of a short note on</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the market
practice.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The definitions are in
accordance with the ISMA publication "Bond Markets:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Structures and Yield
Calculations" (1998) by Patrick Brown and the ISDA
note</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">"Emu and Market
Conventions: Recent Developments" (1998).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Number of days in
period</ss:Data></ss:Cell></ss:Row>
ss:Type="String">------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For the ACT based
conventions, ACTACT, ACTLEAP, ACTAFB, ACTEUROBOND,
ACTFRF,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACT365, ACT360,
ACT252, ACT364 the number of days between the two dates is computed
<ss:Row><ss:Cell><ss:Data ss:Type="String">the actual number of
calendar days in the period, including 29 February if
it</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">occurs in the period.
For ACTNL365, which is used in Japan, 29 February is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">not counted if period
more than year. For ACTNLE365, ACTNL360 29 February is never
counted.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For the 30-day month
based conventions, EU30360, EU30E360, EU30E365,
EU30EP360,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">US30360, US30E360,
EU30ES360, US30SIA360, E30SG360 the number of days between
two</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">days, written on the
form day-month-year as d1m1y1 and d2m2y2, is computed
according</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">to the
formula:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> 360 * (y2 -
y1) + 30 * (m2 - m1) + (d2 - d1),</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where the original
dates are modified according to the rules below:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30360, US30360
convention (also know as the "30-day month U.S.
method"):</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> If d1 = 31
then d1 is set to 30.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> If d2 = 31 and
modified d1 = 30 then d2 is set to 30.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30E365, EU30E365,
US30E360 convention (also known as the "30-day
European</ss:Data></ss:Cell></ss:Row>
ss:Type="String">method"):</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">US30F360 convantion
(the same as US30360 but adjusts 31 to following day)</ss:Data></ss:Cell></ss:Row>
then d1 is set to 1st of following month.</ss:Data></ss:Cell></ss:Row>
modified d1 = 1 </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> then d2 is
set to 1st of following month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30EP360
convention:</ss:Data></ss:Cell></ss:Row>
then d2 is set to 1, m2 (and possibly y2) is updated</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> to next
month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30ES360
convention:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> If d1 = 31 or
d1 is last day of February</ss:Data></ss:Cell></ss:Row>
set to 30.</ss:Data></ss:Cell></ss:Row>
set to 30</ss:Data></ss:Cell></ss:Row>
ss:Type="String">US30SIA360:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> If d1 is last
day of February and </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> d2 is last
day of February </ss:Data></ss:Cell></ss:Row>
modified d1 = 30 </ss:Data></ss:Cell></ss:Row>
ss:Type="String">E30SG360:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> if the end of
February is included in the interest period,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> then calculate
it with 28 days (29 days in leap years) instead of 30.</ss:Data></ss:Cell></ss:Row>
ss:Type="String">ONEONE:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Day count
fraction will be always 1 if this convention is choosen.
<ss:Row><ss:Cell><ss:Data ss:Type="String"> This convention
to be used with Zero Coupon Swaps (CR461976).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Number of days per
year</ss:Data></ss:Cell></ss:Row>
ss:Type="String">-----------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">For the 360-days
conventions, EU30360, EU30E360, EU30EP360, US30360,
E30SG360,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">US30E360, ACT360,
EU30ES360 and ACTNL360 the number of days per year is
conventions, EU30E365, ACT365, ACTNL365, ACTNLE365, the
number</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of days per year is
365</ss:Data></ss:Cell></ss:Row>
conventions ACT252 and BUS 252, the number of days per</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">year is
conventions ACT364, the number of days per year is
<ss:Row><ss:Cell><ss:Data ss:Type="String">For the actual-days
conventions, ACTACT, ACTLEAP, ACTAFB, ACTEUROBOND,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTFRF, the number of
days per is the actual number of days per year,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">differing in the
treatment of leap years in the following manner:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTACT convention: The
number of days per year is the actual number of days</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">from the period start
date and one year ahead.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTAFB: If the period
is shorter than one year then the number of days is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">366 if 29 February
occurs in the period. Otherwise it is 365.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If the period is
longer than one year then the period is split into one
year</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">sub-periods - counting
backwards from the period end date - plus the
remaining</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">initial stub period of
length shorter than one year. The day count fraction</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">is the sum over the
day count fractions of the sub-periods. The stub period
<ss:Row><ss:Cell><ss:Data ss:Type="String">treated in accordance
with the first rule and the remaining year-long
periods</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">have a day count
fraction of 1.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTEUROBOND: If the
period equals a whole year then the number of days per</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">year equals the actual
number of days in the period. If the period is not</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a whole year the the
number of days per year equals the number of days in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the calendar year of
the end period date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTFRF: The number of
days per year is the actual number of days from</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the end period date
and one year back.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTLEAP: The period is
split into the periods which are in leap</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">and non-leap years. In
the former periods the number of days per year is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">366 while in the
latter periods the number of years is 365. The day
count</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fraction is the sum
over the day count fractions of the sub-periods.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">BUS252: The number of
days between two dates are calculated</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">as the number of
business days between the dates. This calendar
<ss:Row><ss:Cell><ss:Data ss:Type="String">is used together with
a HOLI_STRUCT that defines which dates are holidays</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">and non business
dates. This is a special calendar which is so far only</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">partially implemented
in SCecon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Market
practice</ss:Data></ss:Cell></ss:Row>
ss:Type="String">---------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The actual-actual
calendar conventions, ACTACT, ACTLEAP, ACTAFB,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTEUROBOND, ACTFRF,
are used in the swap (floating leg) and bond markets.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The recommendation of
using actual-actual in the new euro denominations has</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">highlighted the
differences between the conventions even though they</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">only differ in the
number of days per year when considering leap years.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTACT
Original SCecon convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTLEAP
ISDA convention for swaps. It has been proposed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> to
switch to ACTAFB.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTAFB
AFB convention. Recommended new ISDA convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTEUROBOND
Used in the Eurobond market.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ACTFRF
Used in the French market.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The 30-month calendar
conventions, EU30360, EU30E360, EU30E365, US30360,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">US30E360, EU30EP360,
are used swap (fixed leg) and bond markets.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30360, US30360
Used in Finland</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30E360, US30E360
Previous standard in Europe. Still used in Denmark,</ss:Data></ss:Cell></ss:Row>
Sweden, Holland, Belgium, and Austria.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30EP360
Used in Switzerland.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EU30ES360
Used in Switzerland. Bloomberg examples can be found</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> on
CR 251050. Also known as German (30/360).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">E30SG360
Used in Eurobond markets. Also known as Special German
(30S/360).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> CR
<ss:Row><ss:Cell><ss:Data ss:Type="String">US30F360
Used in accounting to have amortization on 30th of
<ss:Row><ss:Cell><ss:Data ss:Type="String">The actual-360
convention, ACT360, is used in money and swap</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">(floating leg)
markets.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The actual-365
conventions, ACT365 and ACTNL365, are used in Norway,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Canada, and
Japan</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">BUS252 is a SimCorp
invented calendar to handle special needs in the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Internal Rate of
Return calculations.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
PMTFREQ ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According the the
TRIANNUALLY and BIANNUALLY conventions, payments are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">due every third and
second year respectively.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">A bond following
ANNUALLY following pays annually, while a bond being</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SEMIANNUALLY pays
twice per year.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Bond following
QUARTERLY pays four times per year, while bonds paying</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">once per month follows
the MONTHLY convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The convention
NO_FREQUENCY specifies that no regular patterns
defines</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the
cashflow.</ss:Data></ss:Cell></ss:Row>
PMTFREQ * PMTFREQARRAY ;</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
PRICETYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
definehow prices are quoted:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_PRICE
Price is input directly</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_YTM
Price defined using input YTM</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DF
Price defined using input Zero Curve</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FUTSPOT
For futures futures price and spot price is given</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FUTREPO
For futures futures price and repo rate is given</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_REPOSPOT
For futures repo rate and spot price is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL
Premium defined using (flat) volatility</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL_TS
Premium defined using a term struct. of vols.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SHORTLONG
For FRAs, the short and long rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SHORTFRA
For FRAs, the short and FRA rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_FRALONG
For FRAs, the FRA and long rate is given.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DM
For FRNs, discounted margining.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_AUSTM
For FRNs, Australian trading margin.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_VOL_SMILE
Premium defined using (flat) volatility with a smile.</ss:Data></ss:Cell></ss:Row>
This means that one vol is found in the vol_str2d </ss:Data></ss:Cell></ss:Row>
structure and only this is used in the pricing.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_STIBOR
For FRNs, Stibor trading margin.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_DIRTY
Dirty price is input. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_BASISSWAP
Used for princing of basis swaps legs.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_QUALITYOPT
Quality option for bond futures.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_SABR
SABR.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P_RR_BF
Risk reversal and butterfly, used for FX options.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
DIVIDENDTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">NO_DIVIDENDS means
that the discrete dividend structure is not used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">PROPORTIONAL means
that the dividend structure contains proportional </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dividends (in %). The
paid dividend per stock equals the stock price </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">times the proportional
dividend / 100.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CASH means that the
dividend structure contains cash dividends. The paid</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dividend per stock is
the cash dividend independently of the stock price.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that continuous
dividends are entered directly in the relevant </ss:Data></ss:Cell></ss:Row>
ss:Type="String">functions.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
RATECONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The various entries
have the following interpretations:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> MMRATE is the
standard (*IBOR) SIMPLE_MM rate index.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> BILLDISC is a
DISCOUNT rate based index (as in South African </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Discounted
Bank Bill FRA's, or Italian CCT's)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> BILLYIELD
means that the rate is the yield of a bank bill</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (as in
Australian 90 day bank bill futures)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> PARYIELD means
that the index is the rate of an underlying </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> security (par
yield of bond or swap) as used in Constant Maturity </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Swaps and
Caps.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> REX means that
the index is the rate of an underlying </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> security
(yield of non-par bond) as used in REX floaters.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The type is used for
defining FRA, IRF, Swap (floating legs) and Cap/Floor</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">index
types.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
SEQCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If ANCHOR is choosen
then all paydays are calculated relative to a fixed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">date - typically the
issuedate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If ANCHORBACK is
choosen then all paydays are calculated relative to
<ss:Row><ss:Cell><ss:Data ss:Type="String">last payday
calculating backwards.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that in this case
odd last periods cannot be handled (unless</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">second last payday are
entered). NOTE that end of month conventions are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">computed relative to
the maturity date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CHAIN means that the
dates are calculated relative to the previous payday.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Essentially this is
equal to ANCHOR if no holidays are used, and the days</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are not near end of
month days.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">IMM means that the
paydays are meant to be on IMM days. (Real) IMM days</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are the 3rd wednesday
in march, june, september or december. These are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">internationally
recognised settlement days for many contracts (like</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">interest rate futures,
FRA's, swaps). Sometime pseudoIMM days are used,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">meaning the 3rd
wednesday in any month. This is distinguished by the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment frequency
(quarterly or monthly, or ...).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CAD_BA are Canadian BA
days. These are 2 days prior to IMM F1(or pseudo,IMM)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">days. I.e. mondays in
the week of the 3'rd wednesday of the month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">If ANCHORSHIFT is used
the paydays are generated as when using ANCHOR,
however,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the paydays in the
first half year will automatically be the second, and
<ss:Row><ss:Cell><ss:Data ss:Type="String">paydays in the second
half year will automatically be the first. This can be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">used to handle
Norwegian loans with paydays on (2-Jan and 1-Jul or 2-May
and</ss:Data></ss:Cell></ss:Row>
ss:Type="String">1-Nov).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">LASTBUS indicates the
last business date of any payment month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">IMM_ZAR are South
African 'IMM' dates. I.e. the 3rd thursday in</ss:Data></ss:Cell></ss:Row>
ss:Type="String">Feb/May/Aug/Nov.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">TAM_T4M defines the
convention for these swap types, after which the
paydays</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are aligned to the
'closest' first day of a month. I.e. on the 1st
through</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the 15th (incl) of a
month the effective date is the first of the current</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">month and the paydays
relative to this, on the 16th through 31st the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">effective date i the
1st of the following month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Remember that T4M's
pay monthly and TAM's pay annually (except if a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">broken period is
used).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CDSDATES The credit
default swap market uses a date sequence which is the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">20th of the first
month of each quater or the following business day.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">EDSP Like IMM, but
'IMM days' are the 3rd friday in specified months.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Used for TRS. Only
implemented in principia.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">MONTH_WEEK_WEEKDAY
means that payments are each x-th month, on y-th week
<ss:Row><ss:Cell><ss:Data ss:Type="String">month and on specified
day of week. For example "3rd Friday of each third </ss:Data></ss:Cell></ss:Row>
ss:Type="String">month".</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
DMCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
define which discounted margin convention to calculate.
<ss:Row><ss:Cell><ss:Data ss:Type="String">The individual
elements have the following interpretation:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> AVGFWD
Assumed rate is given by the average </ss:Data></ss:Cell></ss:Row>
future forward rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> FWD
Forward rate is given by discount function</ss:Data></ss:Cell></ss:Row>
and time varying.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> CURRENTFIX
Assumed rate is given as last known fixing.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> REFERENCE
Assumed rate explicitly given as input.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
QOTCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Let us illustrate
these different quoting methods using the Black 76</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">formula for an
interest rate option.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Assuming a strike
rate, X, and a FRA-rate of F, the Black 76 formula for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a call option
becomes</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (F * N(d1) - X
* N(d2))</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">according to the
Q_PERANNUMFORW convention,</ss:Data></ss:Cell></ss:Row>
* N(d2)) * disc</ss:Data></ss:Cell></ss:Row>
Q_PERANNUM convention,</ss:Data></ss:Cell></ss:Row>
* N(d2)) * (d_fra/d_year)</ss:Data></ss:Cell></ss:Row>
Q_FLATFORW convention and</ss:Data></ss:Cell></ss:Row>
* N(d2)) * (d_fra/d_year) * disc</ss:Data></ss:Cell></ss:Row>
Q_FLAT convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the formulas above,
the following notations</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> disc the
discount factor corresponding to the last</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> day of
the FRA period in question,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> d_fra number
of days in the FRA period in question</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> with
respect to calendar convention and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> d_year number
of days per year according to calendar</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are
used.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
KEYCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_PRICE corresponds
to the price of the underlying security or variable.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Use this to calculate
delta and gamma wrt the underlying variable (i.e.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">futures price or
adjusted spot).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_VOL corresponds to
the volatility of the underlying security. Use</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">this to calculate vega
and the second order derivative with respect to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">volatility. In case of
routines to calculate implied ratios, KEY_VOL</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">will calculate implied
volatility.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_MATURITY
corresponds to term to option expiry. Use this
<ss:Row><ss:Cell><ss:Data ss:Type="String">to calculate theta or
implied term to volatility.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_MATURITY_BPV is
also used to calculate theta, but this theta is not</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">annualized - i.e. it
is a simple shock difference.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_MATURITY_ADJ is
also used to calculate theta, but takes business</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">day adjustment into
account and only dates are shifted in DFs.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_FIRSTDELIVERY is
relevant for american type options, and corresponds</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">to first eligible
strike day. This convention is used only in the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">routines related the
the Cox, Ross and Rubinstein model for options on</ss:Data></ss:Cell></ss:Row>
ss:Type="String">stocks.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_REPO and
KEY_STRIKE correspond to the discount rate and agreed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">strike price
respectively.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The KEY_SIZE
convention is relevant when finding contract sizes.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_DF is used to
calculate risk ratios for shocks to the term structure
<ss:Row><ss:Cell><ss:Data ss:Type="String">interest rates (or
Discount Factors (DF)). Essentially this corresponds
to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dollar duration and
dollar convexity.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_GAP is used for
calculating the implied gap for options. This can be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">used to find the
premium for a CONTINGENT PREMIUM OPTION or PAY LATER</ss:Data></ss:Cell></ss:Row>
ss:Type="String">options.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_A is used for
calculating sensitivities wrt the a parameter in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the HWCF model (Hull
& White refers to this as Vega2)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_SIGMA is used for
calculating sensitivities wrt the sigma parameter in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the HWCF model (Hull
& White refers to this as Vega1)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_SPREAD is used for
calculating implied spreads-.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_DIVYLD is used for
calculating implied dividend yields.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_SPOT corresponds
to the spot price of the underlying security or</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">variable. Use this to
calculate delta and gamma wrt the SPOT price of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the underlying
variable.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_PROB is used to
specify calculation of the probability of being in the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">money for options.
This an alternative definition for delta / gamma that
<ss:Row><ss:Cell><ss:Data ss:Type="String">sometimes used for
swaptions. Essentially in this setup:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> delta =
N(d1)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> gamma =
d(delta) / dF</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">here F is the
underlying variable. This formulation is only valid
for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">vanilla
options.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_BPV defines
basispoint values with respect to zero curves (DF) or
<ss:Row><ss:Cell><ss:Data ss:Type="String">underlying rate (YTM,
repo).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_YTM defines
sensitivities with respect to yield to maturity</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_FRA The FRA
rate, ie. from start of the FRA period </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> until end of
FRA period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_SHORT The short
rate, ie. from analysis date till start of FRA period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_LONG The long
rate, ie. from analysis date till end of FRA period.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_GAMMAX The second
order derivative wrt two different variables.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_INDEX The
sensitivity wrt to the change in an index used when
pricing</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">indexed bonds.
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_SPR is used to
calculate risk ratios for shocks to the discount term </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">structure of interest
rates (or Discount Factors (DF_disc)). Essentially </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">this corresponds to
spread dollar duration and spread dollar convexity on</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">an
FRN.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_RELATIVE is used
to calculate risk key ratios for relative shocks</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in EDRAM delta equity
key ration calculations. This convention is relevant</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">for equity futures and
options as well as for equity future options. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_DIVIDEND is used
for relative shocking of dividend cash flow or </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dividend yield in
EDRAM epsilon key ratio calculations.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_DELTA_IR is used
for shocking of yield curves in EDRAM delta interest
rate</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">key ratio
calculations.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">KEY_CREDIT_DEFAULT
corresponds to the spot price of the underlying
security.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Use this to calculate
a credit exposure.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
ZEROMODEL ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in fitzero.h in
SCecon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The entries represents
various Term theoretical Term Structure models.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">These models are all
theoretically well-defined models taken from the</ss:Data></ss:Cell></ss:Row>
ss:Type="String">literature.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Some of these models
are, however, numerically sensitive. In order to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">deal efficiently with
these numerical issues we have - at the bottom</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">level in the code -
implemented various 'safety valves'.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">From the users point
of view this can be regarded as implementation</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">specific issues.
However, one thing must be borne in mind. Once the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">coefficients of a
given model have been estimated you should only use</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the SCecon functions
to generate term structures or bond prices using</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the estimated
coefficients. This is important, since the estimated</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">coefficients might not
always be equal to the corresponding coefficients</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">from the literature,
due to scaling etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Also externally given
values may not necessarily give you the expected</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">price
etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the following the
models are briefly described:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Cox
Ingersoll Ross (CIR) model</ss:Data></ss:Cell></ss:Row>
------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The CIR model from the
article of Cox, Ingersoll and Ross, "A Theory of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the Term Structure of
Interest Rates", Econometrica, 1985, is really a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">one factor equilibrium
model of interest rates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">It is derived from a
stochastic process of short rates, where the short</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">rate of interest is
mean reverting and its volatility is proportional to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">its square
root.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Mean reversion means,
that if rates are high relative to some target or</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">steady state level,
they will tend to drift downwards, and if they are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">low, they tend to come
up. Interestingly enough, this process itself is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">endogenously derived
from the uncertainty about future technology and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">economic agents
preferences.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Based on this, CIR
derive an equation describing the term structure as a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">function of five
parameters:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Kappa The
rate of mean reversal or how fast does the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> market
adjust.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> This
should be between 0 and 1.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Lambda The
market price of risk, or the risk premium.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> This
should be negative in the CIR formulation</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> since
risk corrected returns are lowered by</ss:Data></ss:Cell></ss:Row>
increased risk aversion.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Sigma The
instantaneous volatility of short rates, which</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> must -
of course - be positive.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Theta The
steady state level of interest rates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> R The
current short rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">As long as people are
allowed to hold cash - which fortunately seems to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">be the case in most
situations - Theta and R are non-negative.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">According to the CIR
article, Kappa, Lambda and Theta are not independent</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">so in our
implementation we use only 4 parameters</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Alpha Kappa
* Theta,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Beta Kappa
+ Lambda,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Sigma
and</ss:Data></ss:Cell></ss:Row>
R.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the original CIR
model, all of these parameters are fixed, except the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">current short rate, r,
which is variable. This is the single factor in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the model. Under that
- strict - interpretation of the model, the long</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">term yields are given
whereas short term yields may move.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">However, in SCecon, we
allow you to use the CIR model in a slightly</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">different
manner:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Instead of postulating
all parameters except R, and letting the fitter</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">determine R, you can
let the fitter determine all parameters of the model.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is not completely
in theoretical line with the original paper, but it</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">allows you to fit very
nice looking term structures.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This version of the
CIR model simply utilizes the mathematical properties</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">of the closed form
solution found by CIR, without attaching any deeper</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">meaning to
it.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Standard guesses and
bounds for the parameters could be:</ss:Data></ss:Cell></ss:Row>
Coefficient Guess Lower Bound Upper Bound</ss:Data></ss:Cell></ss:Row>
-------------------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Alpha
0.0159 0.001 0.25</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Beta
<ss:Row><ss:Cell><ss:Data ss:Type="String"> R
<ss:Row><ss:Cell><ss:Data ss:Type="String">These coefficients
approximates a flat term structure at 10.00% annually</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">compounded
rates.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Cox
Ingersoll Ross with inflation (CIRNOM) model</ss:Data></ss:Cell></ss:Row>
------------------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The CIRNOM model is
equivalent to the CIR model described above except for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a 5'th parameter - the
expected inflation. The model is referred to a the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">nominal model with
lognormal inflation.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The original reference
to this model is the same paper in Econometrica,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">1985. The model is the
first example of a 2 factor model with a closed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">form
solution.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In SCecon this model
variation is handled as the CIR model - except of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">course for the 5'th
parameter.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">A standard guess and
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EI
-0.0904 -0.50000 0.50000</ss:Data></ss:Cell></ss:Row>
Chambers Carleton Waldman (CCW) Model</ss:Data></ss:Cell></ss:Row>
-------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The CCW model
introduced in the article "A New Approach to Estimation
<ss:Row><ss:Cell><ss:Data ss:Type="String">the Term Structure of
Interest Rates", from the distinguished Journal of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Financial and
Quantitative Analysis, September 1984, uses a polynomial
<ss:Row><ss:Cell><ss:Data ss:Type="String">a description of the
term structure.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> yield(t) = a +
b t + c t + ...</ss:Data></ss:Cell></ss:Row>
bounds for the parameters could be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> a
0.0953 -1.0 1.0</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> b
<ss:Row><ss:Cell><ss:Data ss:Type="String"> .
. . .</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is a third order
approximation. Values for polynomials of a higher</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">order approximation
can be found by adding more coefficients using the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">same bounds and
guesses of 0.0.</ss:Data></ss:Cell></ss:Row>
Modified Nelson Siegel Model (IYEXT)</ss:Data></ss:Cell></ss:Row>
------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The modified Nelson
and Siegel model (IYEXT) uses Laguerre polynomials,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">or decay functions, to
fit the term structure. The advantage is that</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">short term and long
term yields are then both bounded.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">A curve fitted by the
IYEXT model consists of a superimposition of three</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">functions. One
determines the decay of short term impacts, one
determines</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the medium term decay,
and one determines the long term decay.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The point where we
distinguish between short term and medium term is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">given by the time
scaling parameter.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The model has five
parameters. The first parameter is the long term
yield,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">quoted as continuously
compounded rates. The rest are coefficients that</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">determine the decay
behaviour in the three segments of the curve.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Yield
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Decay1
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Scale
Extended Nelson Siegel Model (EXTNS)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The extended Nelson
and Siegel model (EXTNS) uses Laguerre polynomials,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">or decay functions, to
fit the term structure. The advantage is that</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">short term and long
term yields are then both bounded.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">A curve fitted by the
EXTNS model consists of a superimposition of three</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">functions. One
determines the decay of short term impacts, one
determines</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the medium term decay,
and one determines the long term decay.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The point where we
distinguish between short term and medium term is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">given by the time
scaling parameter.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The model has six
parameters. The first parameter is the long term
yield,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">quoted as continuously
compounded rates. The rest are coefficients that</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">determine the decay
behaviour in the three segments of the curve.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This specification has
several alternative parsimonious models as nested</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">cases. By restricting
the 4th parameter to zero the original Nelson and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Siegel model arise.
Similar by setting the 3rd parameter to zero Bliss's </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">extended Nelson/Siegel
model arise.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Yield
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Scale1
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Scale2
Polynomial Fit to Discount Function (DPOLY)</ss:Data></ss:Cell></ss:Row>
-------------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DPOLY assumes that the
discount function can be described as a polynomial of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">some user specified
degree</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> disc(t) = 1 + a t
+ b t^2 + c t^3 + ...</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where disc(t) is the
discount factor for maturity t.</ss:Data></ss:Cell></ss:Row>
bounds for the parameters could be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> a
<ss:Row><ss:Cell><ss:Data ss:Type="String"> b
<ss:Row><ss:Cell><ss:Data ss:Type="String"> c
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is a third order
approximation. Values for polynomials of a higher</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">order approximation
can be found by adding more coefficients using the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">same bounds and
guesses of 0.0.</ss:Data></ss:Cell></ss:Row>
Cubic Spline on Yields (SPLINEYIELD)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the SPLINEYIELD
model, we fit a chain of third degree polynomials to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the term
structure.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The polynomials are
chained in the knot points as input by the user as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">terms, and the
coefficients of the polynomials are chosen such that
<ss:Row><ss:Cell><ss:Data ss:Type="String">first and second order
derivatives of the interpolating function are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">continuous in the knot
<ss:Row><ss:Cell><ss:Data ss:Type="String">Outside the range
given in the input knot points, the term structure
will</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">be flat at the level
in the first or last knot point.</ss:Data></ss:Cell></ss:Row>
bounds for the parameters could - with n spline</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">points -
be</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Coefficient
Guess Lower Bound Upper Bound Splinedate</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Yspl(1)
0.0953 0.0 0.3 1.0</ss:Data></ss:Cell></ss:Row>
. . . .</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Yspl(n)
0.0953 0.0 0.3 any</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The spline terms must
be unique and sorted ascendingly.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">With more involved
term structures the splinedates must be selected very</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">carefully depending on
the maturity spectre etc.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The method has been
implemented such that approximately a flat yield curve</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">will prevail above the
highest spline point and below the first one.</ss:Data></ss:Cell></ss:Row>
Cubic Spline on Yields (SPLINEX)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is equivalent to
SPLINEYIELD except that extrapolation is performed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">beyond the outer
spline points (i.e. linear extrapolation).</ss:Data></ss:Cell></ss:Row>
Cubic Spline on Yields (SPLINEF)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This is equivalent to
SPLINEYIELD except that the first order derivatives</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are 0 at the outer
spline points.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Cubic
Spline on the Discount Function (SPLINEDISC)</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the SPLINEDISC
<ss:Row><ss:Cell><ss:Data ss:Type="String">the discount function
- the mirror image of the term structure.</ss:Data></ss:Cell></ss:Row>
chained in the knot points specified by the user as</ss:Data></ss:Cell></ss:Row>
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Dspl(1)
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Dspl(2)
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Dspl(n)
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
Exponential Spline (SPLINEEXPO)</ss:Data></ss:Cell></ss:Row>
-------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the SPLINEEXPO
<ss:Row><ss:Cell><ss:Data ss:Type="String">the term e = t*y(t) of
the pricing equation P = exp(-e). Hence the name</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">exponential
spline.</ss:Data></ss:Cell></ss:Row>
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Espl(1)
0.0953 -1.0 1.0 1.0</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Espl(n)
t*0.0953 -1.0 1.0 t</ss:Data></ss:Cell></ss:Row>
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
Transformed Yield Spline (SPLINETRANS)</ss:Data></ss:Cell></ss:Row>
--------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the SPLINETRANS
<ss:Row><ss:Cell><ss:Data ss:Type="String">a simple
transformation of the yield curve, u(t), such that y(t) =
<ss:Row><ss:Cell><ss:Data ss:Type="String">u(t)/(1+t) which leads
to the pricing equation P = exp(-t/(1+t)u(t)). </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Hence the name
transformed yield spline.</ss:Data></ss:Cell></ss:Row>
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Espl(n)
t*0.0953 -1.0 1.0 t</ss:Data></ss:Cell></ss:Row>
---------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
Vasicek (VASICEK)</ss:Data></ss:Cell></ss:Row>
-----------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The Vasicek is an
equilibrium model of the interest rates based on the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">assumption that the
short rate is determined by a one-factor stochastic</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">proces. This proces
assumes that the short rate is normally distributed.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The parameters of the
proces are:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Kappa : The
rate of mean reversal (how fast does the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> market
adjust) - This should be between 0 and 1</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Lambda: The
market price of risk, or the risk premium -</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Sigma : The
instantaneous volatility of short rates -</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> this
should be positive</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Theta : The
steady state level of interest rates -</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> of
course positive</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> R : The
current short rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Lambda/Theta are not
independent so in our implementation we use 4
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Phi : Theta
- Lambda * Sigma</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Kappa
:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This corresponds to
the formulation by Hull & White (Review of
Financial</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Studies, 3, 1990, o
573 - 592).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the original
Vasicek model, all these parameters are fixed, except
<ss:Row><ss:Cell><ss:Data ss:Type="String">current short rate, r,
which is variable. This is the single factor in the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">model. Under that -
strict - interpretation of the model, the long term
yields</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">are given whereas
short term yields may move. However, we allow you to use
<ss:Row><ss:Cell><ss:Data ss:Type="String">Vasicek model in a
slightly different manner: Instead of postulating all</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">parameters except R,
and letting the fitter determine R, you can let the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fitter determine all
parameters of the model. This is not completely in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">theoretical line with
the original paper, but it allows you to fit very nice</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">looking term
structures. This version of the Vasicek model simply
utilizes</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the mathematical
properties of the closed form solution found by
Vasicek,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">without attaching any
deeper meaning to it.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Phi
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Kappa
Longstaff Schwartz model (LONGSCH)</ss:Data></ss:Cell></ss:Row>
----------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This model is the most
recent development in the field of term structure</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">modelling - to be
published in 1992. It is essentially a 2 factor model</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">with the 2 factors as
the short rate and the volatility of the short rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">From our point of view
we use the model in a similar way as we use the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CIR model, which means
that we estimate the 8 parameters of the model</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">without attaching any
deeper meaning to the parameters.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The parameters of the
stochastic differential equation to be solved in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the original
formulation are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> a, b, c, d, e,
f, mu, theta, sigma and lambda.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The parameters are
(following the authors) in our formulation transformed</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">to the following 8
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Alpha mu * c
,</ss:Data></ss:Cell></ss:Row>
2 2</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Beta (theta
- sigma ) * f ,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Gamma a /
c ,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Delta
b,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Eta d /
f ,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Nu e +
lambda,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> R the
current short rate and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> V the
current short rate volatility.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Gamma
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Delta
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Eta
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Nu
<ss:Row><ss:Cell><ss:Data ss:Type="String"> V
Bootstrapping (BOOTSTRAP, BOOTSTRAPFX, OISBOOTSTRAP and
FIXINGBOOTSTRAP)</ss:Data></ss:Cell></ss:Row>
-------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">These model differs
somewhat from the other methods. Here an exact fit to
<ss:Row><ss:Cell><ss:Data ss:Type="String">market prices are
provided by simply sorting securities according to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">maturities and
hereafter finding the relevant discount factors for
<ss:Row><ss:Cell><ss:Data ss:Type="String">various maturities.
See boot_genrdisc() for details. In case of
FIXINGBOOTSTRAP</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">external discount
function is used for discounting.</ss:Data></ss:Cell></ss:Row>
Basis Spline on Yields (BSPLYLD)</ss:Data></ss:Cell></ss:Row>
--------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In this model the term
structure is fitted using basis splines.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The spline used is a
3'rd order. Therefore the estimation requires 3 + n</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">3'rd order basis
splines.</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> P1
1.0 -100.0 100.0 -3.0</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Y1
.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Yn
1.0 -100.0 100.0 any</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In the list the first
3 spline points must be found. The last n are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">user
selected.</ss:Data></ss:Cell></ss:Row>
Bernstein Polynomial on Yields (BRNSTYLD)</ss:Data></ss:Cell></ss:Row>
-----------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In this model the term
structure is fitted using a Bernstein polynomial.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> A standard guess and
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> C1
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Cn
0.0953 0.01 0.5 LAST</ss:Data></ss:Cell></ss:Row>
--------------------------------------------------------------</ss:Data></
ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">All spline dates are 0
except the last date which reflects the last relevant</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">maturity date for the
term structure (e.g 10Y or 30Y).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The order (n) of the
polynomial approximation is user defined.</ss:Data></ss:Cell></ss:Row>
The Ho-Lee model (HOLEE)</ss:Data></ss:Cell></ss:Row>
------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The Ho-Lee model is
no-arbitrage model of the term structure. It has a form
<ss:Row><ss:Cell><ss:Data ss:Type="String">binomial tree of bond
prices with two parameters: the short-rate standard </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">deviation and the
market price of risk of the short rate. The
continuous-time</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">limit of the model
<ss:Row><ss:Cell><ss:Data ss:Type="String"> dr =
S(t)dt + sigma * dz,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where sigma, the
instantaneous standard deviation of the short rate, is
<ss:Row><ss:Cell><ss:Data ss:Type="String">constant and S(t)
defines the average direction of r movement at time t.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The Ho-Lee model is a
particular case of the Hull-White model with a = 0.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Currently yield curve
fitting is not implemented for this model. It is only</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">used for convexity
adjustment calculation.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> The
Hull-White (one factor) model (HULLWHITE)</ss:Data></ss:Cell></ss:Row>
---------------------------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The Hull-White model
is an extension of the Vasicek model that provide an
exact</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">fit to the initial
term structure. Differential notation of the model is </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> dr =
[S(t) - a * r]dt + sigma * dz,</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">where sigma is
constant volatility and a is mean reversion rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Currently yield curve
fitting is not implemented for this model. It is only</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">used for convexity
adjustment calculation.</ss:Data></ss:Cell></ss:Row>
Ultimate Forward Rate (UFR)</ss:Data></ss:Cell></ss:Row>
---------------------------</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This estimation
principle modifies supplied yield curve with the set of weights
<ss:Row><ss:Cell><ss:Data ss:Type="String">provided as inputs.
The weights are applied to the input curve on the points laying
<ss:Row><ss:Cell><ss:Data ss:Type="String">in certain range which
is designated by starting and ending number of the point of
<ss:Row><ss:Cell><ss:Data ss:Type="String">the curve. The points
on the curve laying further from end's pointare all modified
<ss:Row><ss:Cell><ss:Data ss:Type="String">using the constant
namely, ultimate forward rate.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
BUSCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Using the NEXT
business day conventions, payments are postponed to
<ss:Row><ss:Cell><ss:Data ss:Type="String">first business day
after the scheduled payment day.</ss:Data></ss:Cell></ss:Row>
the Following convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Using the NEXTINMONTH
business day convention, payments are postponed as</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">above, unless the
resulting business day is in the following month, in</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">which case, payments
are precipitated to the first business day before</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the scheduled payment
day.</ss:Data></ss:Cell></ss:Row>
the Modified Following convention.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Using the CLOSEST
business day convention, the actual payment day is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">moved to the business
day closest to the scheduled payment day.</ss:Data></ss:Cell></ss:Row>
CLOSESTINMONTH business day convention, the actual</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment day is found
as with the CLOSEST convention, unless this day</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">happens to be in a
month different than the month of the scheduled</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment day. In this
case, the payment day is moved to the closest</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">business day of the
same month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Following the PREVIOUS
business day convention, payments are</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">precipitated to the
first business day before the scheduled payment day.</ss:Data></ss:Cell></ss:Row>
PREVIOUSINMONTH business day convention, the actual</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">payment day is found
as with the PREVIOUS convention, except if this day</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">happens to be in a
month before that of the scheduled payment day. In</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">this case, the payment
day is moved to the first business day after the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">scheduled payment
day.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">When NO_BUSADJUST is
invoked no adjustment will take place.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Lists of BUSCONV are
handled using:</ss:Data></ss:Cell></ss:Row>
BUSCONV * BUSCONVARRAY ;</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
VOLCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in vol.h of the SCecon
Library.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">These 2 types have the
following meanings</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">FORWFORW means
forward-forward volatility which implies that a cap -
a</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">series of caplets or
differential caps - must be valued with different</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">forward volatilities
for each maturity.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In contrast the
forward volatility, FORWVOL, implies that all caplets
<ss:Row><ss:Cell><ss:Data ss:Type="String">the cap must be valued
with the same forward volatility.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The volatility
structures found for each of these types are
different.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">In general the FORWVOL
curve will look like a 'running average' of the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">FORWFORW
curve.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
MONEYNESSTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in volstruct.h of the
<ss:Row><ss:Cell><ss:Data ss:Type="String">Moneyness types have
the following meanings</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">M_ABSOLUTE means
strike is specified in absolute number.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">M_ATM means strike is
specified as a shift from ATM strike.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">M_DELTA means strike
is specified as a option delta value.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
ATMCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">in volstruct.h of the
<ss:Row><ss:Cell><ss:Data ss:Type="String">ATM conventions have
the following meanings</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ATM_NONE is used for
non-ATM related strike types.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ATM_SPOT means that
ATM is defined as a spot rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ATM_FORWARD means that
ATM strike is set to a forward rate.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ATM_INC_PREM and
ATM_EXC_PREM define the ATM strike as the strike </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">for which it is
possible to buy a straddle that corresponds to</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">a pure long vega
position with no net delta.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
DFWHICH ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The individual data
are to be interpreted as follows:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DF_BOTH
specified that the shocks in a DELTASET will be </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> used to
shock both discount factor curves.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DF_BOTH
should only be used when the 2 discount factor </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> curves are
identical (e.g. as in vanilla swaps, caps and </ss:Data></ss:Cell></ss:Row>
swaptions)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DF_CFLW
shock the discount factor curve used for </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> generating
payments. For diff swaps this means the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> foreign
currency discount factor curve.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> DF_DISC
shock the discount factor curve Used for </ss:Data></ss:Cell></ss:Row>
discounting. For diff swaps this means the domestic</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> currency
discount factor curve.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
DIVIDENDTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">NO_DIVIDENDS means
that the discrete dividend structure is not used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">PROPORTIONAL means
that the dividend structure contains proportional </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dividends (in %). The
paid dividend per stock equals the stock price </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">times the proportional
dividend / 100.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">CASH means that the
dividend structure contains cash dividends. The paid</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">dividend per stock is
the cash dividend independently of the stock price.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Note that continuous
dividends are entered directly in the relevant </ss:Data></ss:Cell></ss:Row>
ss:Type="String">functions.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
EXDAYCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">This type defines how
an ex-coupon, ex-dividend or ex-principal date is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">calculated. The
following conventions are available.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_DAYS means
a fixed number of days before a given date (e.g.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> 30 in DK or 0
in USA etc).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_DATE means
that bond goes ex on a specific date (used for</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ex-principal
in DK)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_DATEARRAY
means that the ex-date is specified as a list of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ex-dates (one
for each payment date).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_FIX means
that the ex-status is fised, and set anywhere.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_AUT is the
Austrian domestic rules.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_OLDBRD
means the old German rules (not in effect from
1/1/94).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> After this
date Bunds do not trade ex-coupon.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_UKGILT
means the special UK Gilt rules (except the War Loan).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> After 1/1/-96
the original rules are changed such that the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ex-dividend
period is 7 working days. This rule is aso implemented</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> and a check is
made for the date 1/1-96 to select the rule version.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EX_IRLGILT
means the special Irish Gilt rules.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> Wednesday
nearest 3 weeks before coupon.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
HWFIXPARM ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the type is used to
identify the 1-factor stochastic differential model</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">type. HWFIXPARM
relates to the definition of the drift term. Generally</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the drift term can be
defined as:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> drift(r, t) =
( theta(t) + phi(t) * g(r) ) * dt</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">here g(r) can be
defined via a HWFUNC type, and</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_BDT
identifies a BDT type proces, i.e. where phi is</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> determined by
the spot volatilities and theta by the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> zero-coupon
discount factors.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> However, phi
and the short rate volatility are linked.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_NOFIX
identifies a proces where neither of the 2 parts of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> the drift
element are fixed - i.e. are to be determined by the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> zero-coupon
discount factors (theta) and the spot volatilities</ss:Data></ss:Cell></ss:Row>
(phi)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_AFIX
identifies a proces with fixed mean reversion term</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> (phi), and the
first part of the drift (theta) is determined</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> by the zero-
coupon discount factors</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_BOTHFIX
identifies a proces with a fixed drift term, so both</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> parameters
(theta, phi) are given elsewhere. This is equivalent</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> to handling
the equilibrium type of models like the original</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> CIR, Vasicek
etc, where parameteres are constant.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
HWFUNC ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">the type is used to
identify how 1-factor stochastic differential</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">equations are
formulated.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_LINEAR
identifies a function f(r) = r</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_SQRT
identifies a function f(r) = sqrt(r)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> HW_LOG
identifies a function f(r) = ln(r)</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
MCONV ####################</ss:Data>
</ss:Cell>
</ss:Row>
define which maturity convention to calculate. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The individual
elements have the following interpretation:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> MATURITY
Mature on stated maturity date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ADJ
Mature on next reset date, i.e. next </ss:Data></ss:Cell></ss:Row>
known coupon. Cash flow with annuity spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> FRN_PUT
Mature on next put date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ADJ_PUT
Mature on next reset or put date. Cash flow </ss:Data></ss:Cell></ss:Row>
with annuity spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> FRN_CALL
Mature on next call date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ADJ_CALL
Mature on next reset or call date. Cash flow </ss:Data></ss:Cell></ss:Row>
with annuity spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> PUT_CALL
Mature on next put or call date.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ADJ_PUT_CALL
Mature on next reset, put or call date. Cash </ss:Data></ss:Cell></ss:Row>
flow with annuity spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> ADJ_NO_SPREAD
Mature on next reset date, i.e. next known </ss:Data></ss:Cell></ss:Row>
coupon. Cash flow without annuity spread.</ss:Data></ss:Cell></ss:Row>
ADJ_NO_SPREAD_PUT Mature on next reset or put date. Cash flow
without annuity spread.</ss:Data></ss:Cell></ss:Row>
ADJ_NO_SPREAD_CALL Mature on next reset or call date. Cash flow
without annuity spread.</ss:Data></ss:Cell></ss:Row>
ADJ_NO_SPREAD_PUT_CALL Mature on next reset, put or call date. Cash
flow without annuity spread.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> EXP_MATURITY
Mature on specified (expected maturity) date</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
INDEXTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The various entries
have the following interpretations:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">NO_INDEX is used to
signal that the instrument is not linked to a specific</ss:Data></ss:Cell></ss:Row>
ss:Type="String">index.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">UKINDEX_OLD is used to
invoke special rounding rule. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Rounding is performed
before multiplication with year fraction </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">when calculating
coupons and AI.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Index entries are
treated as if they were given on the first day of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">UKINDEX is used to
invoke the new implementation of calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">values for UK index
linked bonds. Among other things it means that the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">redemption is index
adjusted. Index entries are treated as if they were</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">given on the first day
of the month.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">FRENCH is used to
invoke the French/Canadian method of calculating index</ss:Data></ss:Cell></ss:Row>
ss:Type="String">values.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">DANISH is used to
invoke the Danish method of calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">SWEDISH is used to
invoke the Swedish method of calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">BRAZILIAN is used to
invoke the Brazilian method of calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">AUSTRALIAN_ANNUITY is
used to invoke the method for calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">values for Australian
IIAs.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">AUSTRALIAN_CIB is used
to invoke the method for calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">values for Australian
Capital Indexed Bonds. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">JAPANESE is used to
invoke the method for calculating index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">values for Japanese
Government Indexed Bonds. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">UKINDEX_OLDNOINFL is
used to invoke the new implementation of calculating
index</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">values for UK index
linked bonds. Among other things it means that the</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">redemption and coupond
is not index adjusted. Rounding is performed before</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">multiplication with
year fraction when calculating coupons and AI.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">Index entries are
treated as if they were given on the first day of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">ITALIAN_BTP is used to
calculate BTP Italy bonds. That index bonds have
features:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">- There is a fixed
coupon paid every coupon period (floor).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">- There is a
revaluation of the nominal based on the inflation index at every coupon
term.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> "High Water Mark"
feature:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> - the revaluation
relates to the maximum index reached before</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> - in case of an
inflation period the difference is paid out.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> - if there is a
deflation period followed by a smaller inflation period then there is no
revaluation</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> as the maximum index
(before the deflation) is not yet reached again</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> - deflation periods
don't lead to revaluations</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">- There is a bonus
payment when the bond was held to maturity (not
implemented).</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The type is used for
defining index types for index linked bonds.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
MTMTYPE ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">The interpretation of
the data is:</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> NO_MTM - There
is no MTM adjustments.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> MTM_DOMESTIC -
MTM adjustments is applied to domestic currency leg of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> cross currency
swap.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> MTM_FOREIGN -
MTM adjustments is applied to foreign currency leg of</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> cross currency
swap.</ss:Data></ss:Cell></ss:Row>
<ss:Cell>
UFRMETHOD ####################</ss:Data>
</ss:Cell>
</ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">UFR_2015 indicates
that UFR 2015 is used. </ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> First smoothing
point is at 20 years.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> LLFR Calculation
<ss:Row><ss:Cell><ss:Data ss:Type="String"> LLFR =
w*( fc(t,20,25) + 1/2*fc(t,20,30) + 1/4*fc(t,20,40) + 1/8*fc(t,20,50)
)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> w = 0.5333
(default)</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String">UFR_2021 indicates
that UFR 2015 is used.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> First smoothing
point is at 30 years.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> The LLFR 2021 the
average LLFR rate of the latest 5 trading days.</ss:Data></ss:Cell></ss:Row>
<ss:Row><ss:Cell><ss:Data ss:Type="String"> LLFR Calculation
<ss:Row><ss:Cell><ss:Data ss:Type="String"> LLFR =
2/3*fc(t,s,30,40) + 1/3*fc(t,s,30,50)</ss:Data></ss:Cell></ss:Row></ss:Table>
</ss:Worksheet></ss:Workbook>
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
0 (ENUM CALENDAR)cldr actnl365
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2019 10 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
1 (FL64)ds -7
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCflwPaydaysWrap
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
8 (STRUCT RETURNTYPEARRAY)returntypes[0] virtualpayment
8 (STRUCT RETURNTYPEARRAY)returntypes[1] payment
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
0 (FL64)funcres 1
1 (FL64)ndates 20
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCBBondGenrCflwWrap
3 (FL64)brd 0
4 (FL64)incl_cflw 0
5 (FL64)price 0
6 (FL64)nom 100
0 (FL64)spec 1
1 (FL64)ex_fix 0
0 (FL64)spec 1
1 (FL64)ex_fix 0
1 (STRUCT TRADEINFO)end
3 (FL64)brd 0
4 (FL64)incl_cflw 0
5 (FL64)price 100
6 (FL64)nom 100
0 (FL64)spec 0
1 (FL64)ex_fix 0
0 (FL64)spec 0
1 (FL64)ex_fix 0
2 (STRUCT FIXPAY)fixp
0 (STRUCT PAYDAYDEF)cday
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
2 (STRUCT FIXRATE)fix
0 (FL64)fix_rate 6.3327
3 (YYYYMMDD)lastaccr 0 0 0
4 (STRUCT PLAN_STR)accrfac
5 (FL64)strip_zero 0
6 (ENUM COUPONBASE)cbase oddcoup
7 (ENUM COUPONBASE)cbodd oddcoup
8 (FL64)prepaid 0
9 (FL64)jgb 0
10 (STRUCT PLAN_STR)stepcoup
0 (FL64)first 1
1 (FL64)normal 1
2 (FL64)last 1
13 (ENUM FIXDCOMP)decomp nodcomp
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 1
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
2 (FL64)io 0
3 (FL64)init_exch 0
4 (STRUCT PP_STR)pp
7 (FL64)rpct 0
3 (ENUM INCCONV)incconv incexc
4 (FL64)pre 0
5 (FL64)flat 0
7 (FL64)qbas 1
8 (FL64)schuldsch 0
9 (FL64)CGB184 0
10 (FL64)BRDfeb 0
11 (FL64)polish 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
13 (FL64)decimal -1
15 (FL64)linear 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 0
8 (STRUCT TAXINFO)tax
0 (FL64)tax_c 0
1 (FL64)tax_cg 0
2 (FL64)bp_tax 0
3 (FL64)pro_rata 0
9 (STRUCT USPOOL)us_pool
0 (FL64)WAC 0
1 (STRUCT PLAN_STR)stepped_WAC
2 (FL64)WAM 0
3 (YYYYMMDD)key_ratio_date 1000 1 1
4 (FL64)prepay_rate 0
5 (FL64)CPR3M 0
6 (FL64)CPR6M 0
7 (FL64)CPR9M 0
8 (FL64)CPR12M 0
9 (FL64)CPR24M 0
10 (ENUM PREPAY)prepay_model no_prepay
11 (FL64)net_delay 1
0 (FL64)num 0
1 (ENUM TERMUNIT)unit days
12 (FL64)faceval 1
13 (STRUCT INDEXFAC)idxfac
0 (FL64)baseidx 100
1 (STRUCT PLAN_STR)idxfac
2 (STRUCT PLAN_STR)idxfac2
0 (FL64)num 0
1 (ENUM TERMUNIT)unit zerounit
4 (ENUM EOMCONV)eom same
5 (ENUM INTPOLCONV)ipol linear_extrapol
0 (ENUM CALENDAR)cldr actact
7 (ENUM ROUNDCONV)round round_near
8 (FL64)roundoff 0
9 (ENUM INDEXTYPE)idx_type no_index
10 (FL64)exp_inflation 0
11 (STRUCT PLAN_STR)idxrebase
12 (STRUCT PLAN_STR)zcis
13 (STRUCT PLAN_STR)zcis_up
14 (STRUCT PLAN_STR)zcis_down
15 (FL64)shock_size 0
14 (STRUCT PLAN_STR)rfv
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (STRUCT CFLWWRAPARRAY)funcres
1 (STRUCT CFLWWRAPARRAY)funcres[0]
0 (STRUCT DATEARRAY)accrual_days
0 (STRUCT DATEARRAY)accrual_days[0] 2019 10 17
1 (STRUCT DATEARRAY)pay_days
1 (STRUCT DATEARRAY)pay_days[0] 2019 10 17
2 (STRUCT FL64ARRAY)repay
2 (STRUCT FL64ARRAY)repay[0] 0
3 (STRUCT FL64ARRAY)coupon
3 (STRUCT FL64ARRAY)coupon[0] 0
3 (STRUCT FL64ARRAY)coupon[1] 0.463651888888889
4 (STRUCT FL64ARRAY)notional
4 (STRUCT FL64ARRAY)notional[0] 0
5 (STRUCT FL64ARRAY)premium
5 (STRUCT FL64ARRAY)premium[0] 0
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCflwPaydaysWrap
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
8 (STRUCT RETURNTYPEARRAY)returntypes[0] virtualpayment
8 (STRUCT RETURNTYPEARRAY)returntypes[1] payment
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
0 (FL64)funcres 1
1 (FL64)ndates 20
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCflwPaydaysWrap
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
8 (STRUCT RETURNTYPEARRAY)returntypes[0] accrual
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
0 (FL64)funcres 1
1 (FL64)ndates 20
OUTPUT END
##Mode=dbg
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceFRNAccruint
3 (FL64)brd 0
4 (FL64)incl_cflw 0
5 (FL64)price 0
6 (FL64)nom 100
0 (FL64)spec 1
1 (FL64)ex_fix 0
0 (FL64)spec 0
1 (FL64)ex_fix 0
1 (STRUCT FRN)sfl
2 (FL64)io 0
3 (FL64)init_exch 0
4 (STRUCT PP_STR)pp
7 (FL64)rpct 0
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 1
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
2 (STRUCT FLOATRATE)float1
0 (STRUCT FLOATBASE)fbase
0 (FL64)coupon1 0
3 (FL64)spread 1.03161
4 (FL64)is_fix 0
1 (FL64)factor 1
2 (FL64)backset 0
0 (FL64)first 1
1 (FL64)normal 1
2 (FL64)last 1
4 (STRUCT HOLPRE)fixing_holpre
0 (FL64)first 1
1 (FL64)normal 1
2 (FL64)last 1
0 (FL64)num 0
1 (ENUM TERMUNIT)unit busdays
6 (FL64)shifted 0
7 (FL64)isda_fallback 0
8 (FL64)suspdays 0
9 (ENUM COMPMETHOD)method dailycompound
10 (FL64)rounding 9
11 (ENUM PMTFREQ)compfreq no_frequency
12 (STRUCT RATEINDEX)index
0 (ENUM RATECONV)LIBORtype mmrate
1 (FL64)LIBORdur 1
2 (ENUM TERMUNIT)LIBORunit days
3 (ENUM PMTFREQ)LIBORfreq no_frequency
4 (STRUCT CALCONV)LIBORcal
5 (FL64)coupon 0
13 (STRUCT HOLI_STR)fix_holi
14 (STRUCT CAPFLOOR)capfloor
1 (FL64)cap 0
2 (FL64)use_cap 0
3 (FL64)floor 0
4 (FL64)use_floor 0
15 (STRUCT CAPFLOOR)coupon_capfloor
1 (FL64)cap 0
2 (FL64)use_cap 0
3 (FL64)floor 0
4 (FL64)use_floor 0
16 (STRUCT AVGFLOAT)avgfl
0 (FL64)avgdur 0
1 (ENUM TERMUNIT)avgunit years
2 (FL64)avgmeth 0
17 (STRUCT GENUSSAVERAGE)avgfloat
0 (YYYYMMDD)first_regular_fixing 0 0 0
1 (FL64)include_fixings 0
18 (STRUCT USFLOAT)usfl
0 (FL64)maturity 0
1 (ENUM SPREADTYPE)spreadtype no_compound
2 (FL64)high_rate_term 0
3 (ENUM TERMUNIT)high_rate_unit zerounit
4 (YYYYMMDD)first_index_fix 2019 10 17
5 (YYYYMMDD)fixings_include_from 0 0 0
6 (YYYYMMDD)fixings_include_till 0 0 0
19 (STRUCT PLAN_STR)stepspr
20 (STRUCT PLAN_STR)stepfac
21 (STRUCT PLAN_STR)ratefix
22 (STRUCT DATEARRAY)compounding_days
23 (STRUCT DATEARRAY)fixing_days
3 (STRUCT PAYDAYDEF)pday
0 (FL64)is_first 1
4 (FL64)snap2 1
3 (FL64)term 3
6 (FL64)incexcone 0
0 (FL64)month 0
1 (FL64)week 0
3 (ENUM INCCONV)incconv incinc
4 (FL64)pre 0
5 (FL64)flat 0
7 (FL64)qbas 1
8 (FL64)schuldsch 0
9 (FL64)CGB184 0
10 (FL64)BRDfeb 0
11 (FL64)polish 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 1
13 (FL64)decimal -1
15 (FL64)linear 0
1 (FL64)exdays 0
2 (FL64)caldays 1
7 (FL64)xlast 0
9 (FL64)faceval 1
3 (STRUCT DISCFAC)df_cflw
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
4 (STRUCT DISCFAC)df_disc
1 (FL64)ufr 0
3 (FL64)alpha 0
4 (FL64)w 0
5 (FL64)a 0
5 (STRUCT DFSURFACE)df_surface_first
6 (STRUCT DFSURFACE)df_surface_last
7 (STRUCT CMCONVADJ)cmadj
0 (ENUM CMADJTYPE)order no_cmadj
1 (STRUCT VOL_STR)volCM
2 (STRUCT VOL_STR)volLIBOR
3 (FL64)corr 0
8 (FL64)projection 0
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
1 (STRUCT AIRESULT)funcres
0 (FL64)AI 1.45137125216777
1 (FL64)AI_cap 0
2 (FL64)AI_paid 0
3 (FL64)AIdays 82
4 (YYYYMMDD)next 2023 10 17
5 (FL64)exc 0
6 (FL64)AI_per_day 0.0176996494166801
7 (FL64)AI_rate 0.000147777777777778
8 (FL64)AI_infl 0
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 7 17
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -30
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -30
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds 1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -30
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (YYYYMMDD)d1 2023 10 6
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
0 (ENUM BUSCONV)bus previous
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddDaysArray
1 (FL64)ds -1
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END
##Mode=dbg
sceCldrAddMonths
1 (FL64)ms -3
2 (ENUM EOMCONV)eom same
OUTPUT BEGIN
0 (STRUCT OKEC)okec
0 (FL64)ok 1
1 (STRING)ec
OUTPUT END

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##SCeconNET Release 1.2204.1.

42 221109 12:56 (PrincipiaMode=1)

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