{"text_format":"1","workbook":"xlsx","n_sheets":9,"sheets":["Settings","Discount Factors","Libor Rates","Volatility","Libor In-Arrears","Example Convexity","Diagrams","Static Replication","Market Convexity"],"not_rendered":{"charts":4,"images":9,"macros":1,"external_links":1,"defined_names":97,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Settings","index":0,"n_rows":21,"n_cols":7,"rows_kept":21,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,"AsOfDate",{"$f":"TODAY()","v":"2019-01-29"}]
[]
[]
[null,"Swap Market Conventions"]
[null,null,"Convention","EUR","USD","GBP","JPY"]
[null,"Fixed Leg","Frequency","ANNUAL","SEMI-ANNUAL","SEMI-ANNUAL","SEMI-ANNUAL"]
[null,null,"Daycount","30E/360","30/360","Act/365","Act/365F"]
[null,"Float Leg","Frequency","SEMI-ANNUAL","QUARTERLY","SEMI-ANNUAL","SEMI-ANNUAL"]
[null,null,"Daycount","Act/360","Act/360","Act/365","Act/360"]
[]
[]
[null,"Instructions"]
[null,"1.  UPDATING THE WORKBOOK:  Refresh each worksheet starting from left to right using Shift-F9. Alternatively use F9 to refresh all worksheets at once."]
[null,"2.  FORMAT & COLOUR CODING: Yellow boxes are for user input, whilst grey boxes and text in green indicates a formula and should not be modified."]
[null,"3.  PRICING SWAPS: On the \"Swaps\" worksheet enter the details in yellow and refresh using Shift-F9"]
[]
[null,"Swap Settings"]
[null,"1.  DISCOUNT FACTORS: Discount Factors can be forced to be 1.0 using the approximation flag in cell C14 on the Swaps worksheet. This simplifies the calculations."]
[null,"2.  MARKET CONVENTIONS: Swap coupon frequencies can also be annulaized and coupon year fractions forced to 1.0 using the approximation flag in cell C14."]

{"sheet":"Discount Factors","index":1,"n_rows":108,"n_cols":31,"rows_kept":108,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Discount Factors",null,null,null,null,null,null,"Discount Factor Curves for Pricing",null,null,null,null,null,null,null,null,null,null,null,"Discount Factor Curves for Risk"]
[]
[null,"Periodicity",50,"Days"]
[null,"Bump Size",-1,"Bps"]
[]
[null,"Zero Rates",null,"Base",2.7E-2,5.0000000000000001E-3,0,null,"EUR Discount Factors",null,null,"USD Discount Factors",null,null,"GBP Discount Factors",null,null,"JPY Discount Factors",null,null,"EUR Bumped Discount Factors",null,null,"USD Bumped Discount Factors",null,null,"GBP Bumped Discount Factors",null,null,"JPY Bumped Discount Factors"]
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{"sheet":"Libor Rates","index":2,"n_rows":107,"n_cols":16,"rows_kept":107,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Benchmark Libor Curves",null,null,null,"Libor Data for Pricing & Risk"]
[]
[null,"Bump Size",-1,"Bps"]
[]
[null,"EUR",null,null,null,"USD",null,null,null,"GBP",null,null,null,"JPY"]
["Row","Date","EUR6ML","Bumped",null,"Date","USD3ML","Bumped",null,"Date","GBP6ML","Bumped",null,"Date","JPY6ML","Bumped"]
[1,{"$f":"AsOfDate","v":"2019-01-29"},4.8733112772613422E-4,{"$f":"C8+(BumpSizeLiborRates*0.0001)","v":3.8733112772613423E-4},null,{"$f":"AsOfDate","v":"2019-01-29"},2.7825000000000003E-2,{"$f":"G8+(BumpSizeLiborRates*0.0001)","v":2.7725000000000003E-2},null,{"$f":"AsOfDate","v":"2019-01-29"},7.4999999999999997E-3,{"$f":"K8+(BumpSizeLiborRates*0.0001)","v":7.3999999999999995E-3},null,{"$f":"AsOfDate","v":"2019-01-29"},5.0000000000000001E-3,{"$f":"O8+(BumpSizeLiborRates*0.0001)","v":4.8999999999999998E-3}]
[{"$f":"A8+1","v":2},{"$f":"B8+Periodicity","v":"2019-03-20"},{"$f":"C8+0.02%","v":6.8733112772613426E-4},5.8733112772613421E-4,null,{"$f":"F8+Periodicity","v":"2019-03-20"},2.6960099999999997E-2,2.6860099999999998E-2,null,{"$f":"J8+Periodicity","v":"2019-03-20"},{"$f":"K8-0.004%","v":7.4599999999999996E-3},7.3599999999999994E-3,null,{"$f":"N8+Periodicity","v":"2019-03-20"},5.0000000000000001E-3,4.8999999999999998E-3]
[{"$f":"A9+1","v":3},"2019-05-09",{"$f":"C9+0.02%","v":8.8733112772613424E-4},7.8733112772613419E-4,null,"2019-05-09",2.6960099999999997E-2,2.6860099999999998E-2,null,"2019-05-09",{"$f":"K9-0.004%","v":7.4199999999999995E-3},7.3199999999999993E-3,null,"2019-05-09",5.0000000000000001E-3,4.8999999999999998E-3]
[4,"2019-06-28",1.0873311277261343E-3,9.8733112772613429E-4,null,"2019-06-28",2.7260800000000002E-2,2.7160800000000002E-2,null,"2019-06-28",7.3799999999999994E-3,7.2799999999999991E-3,null,"2019-06-28",5.0000000000000001E-3,4.8999999999999998E-3]
[5,"2019-08-17",1.2873311277261344E-3,1.1873311277261344E-3,null,"2019-08-17",2.7260800000000002E-2,2.7160800000000002E-2,null,"2019-08-17",7.3399999999999993E-3,7.239999999999999E-3,null,"2019-08-17",5.0000000000000001E-3,4.8999999999999998E-3]
[6,"2019-10-06",1.4873311277261345E-3,1.3873311277261345E-3,null,"2019-10-06",2.7130700000000001E-2,2.7030700000000001E-2,null,"2019-10-06",7.2999999999999992E-3,7.1999999999999989E-3,null,"2019-10-06",5.0000000000000001E-3,4.8999999999999998E-3]
[7,"2019-11-25",1.6873311277261346E-3,1.5873311277261346E-3,null,"2019-11-25",2.7130700000000001E-2,2.7030700000000001E-2,null,"2019-11-25",7.2599999999999991E-3,7.1599999999999988E-3,null,"2019-11-25",5.0000000000000001E-3,4.8999999999999998E-3]
[8,"2020-01-14",1.8873311277261347E-3,1.7873311277261346E-3,null,"2020-01-14",2.6955699999999999E-2,2.68557E-2,null,"2020-01-14",7.219999999999999E-3,7.1199999999999987E-3,null,"2020-01-14",5.0000000000000001E-3,4.8999999999999998E-3]
[9,"2020-03-04",2.0873311277261348E-3,1.987331127726135E-3,null,"2020-03-04",2.6955699999999999E-2,2.68557E-2,null,"2020-03-04",7.1799999999999989E-3,7.0799999999999986E-3,null,"2020-03-04",5.0000000000000001E-3,4.8999999999999998E-3]
[10,"2020-04-23",2.2873311277261349E-3,2.187331127726135E-3,null,"2020-04-23",2.6180699999999998E-2,2.6080699999999998E-2,null,"2020-04-23",7.1399999999999988E-3,7.0399999999999985E-3,null,"2020-04-23",5.0000000000000001E-3,4.8999999999999998E-3]
[11,"2020-06-12",2.487331127726135E-3,2.3873311277261351E-3,null,"2020-06-12",2.6007099999999998E-2,2.5907099999999999E-2,null,"2020-06-12",7.0999999999999987E-3,6.9999999999999984E-3,null,"2020-06-12",5.0000000000000001E-3,4.8999999999999998E-3]
[12,"2020-08-01",2.6873311277261351E-3,2.5873311277261352E-3,null,"2020-08-01",2.6007099999999998E-2,2.5907099999999999E-2,null,"2020-08-01",7.0599999999999986E-3,6.9599999999999983E-3,null,"2020-08-01",5.0000000000000001E-3,4.8999999999999998E-3]
[13,"2020-09-20",2.8873311277261351E-3,2.7873311277261353E-3,null,"2020-09-20",2.61966E-2,2.6096600000000001E-2,null,"2020-09-20",7.0199999999999985E-3,6.9199999999999982E-3,null,"2020-09-20",5.0000000000000001E-3,4.8999999999999998E-3]
[14,"2020-11-09",3.0873311277261352E-3,2.9873311277261354E-3,null,"2020-11-09",2.61966E-2,2.6096600000000001E-2,null,"2020-11-09",6.9799999999999984E-3,6.8799999999999981E-3,null,"2020-11-09",5.0000000000000001E-3,4.8999999999999998E-3]
[15,"2020-12-29",3.2873311277261353E-3,3.1873311277261355E-3,null,"2020-12-29",2.5799300000000001E-2,2.5699300000000001E-2,null,"2020-12-29",6.9399999999999983E-3,6.839999999999998E-3,null,"2020-12-29",5.0000000000000001E-3,4.8999999999999998E-3]
[16,"2021-02-17",3.4873311277261354E-3,3.3873311277261356E-3,null,"2021-02-17",2.5799300000000001E-2,2.5699300000000001E-2,null,"2021-02-17",6.8999999999999981E-3,6.7999999999999979E-3,null,"2021-02-17",5.0000000000000001E-3,4.8999999999999998E-3]
[17,"2021-04-08",3.6873311277261355E-3,3.5873311277261357E-3,null,"2021-04-08",2.5400900000000001E-2,2.5300900000000001E-2,null,"2021-04-08",6.859999999999998E-3,6.7599999999999978E-3,null,"2021-04-08",5.0000000000000001E-3,4.8999999999999998E-3]
[18,"2021-05-28",3.8873311277261356E-3,3.7873311277261358E-3,null,"2021-05-28",2.5400900000000001E-2,2.5300900000000001E-2,null,"2021-05-28",6.8199999999999979E-3,6.7199999999999977E-3,null,"2021-05-28",5.0000000000000001E-3,4.8999999999999998E-3]
[19,"2021-07-17",4.0873311277261357E-3,3.9873311277261354E-3,null,"2021-07-17",2.5180400000000002E-2,2.5080400000000003E-2,null,"2021-07-17",6.7799999999999978E-3,6.6799999999999976E-3,null,"2021-07-17",5.0000000000000001E-3,4.8999999999999998E-3]
[20,"2021-09-05",4.2873311277261354E-3,4.1873311277261351E-3,null,"2021-09-05",2.5180400000000002E-2,2.5080400000000003E-2,null,"2021-09-05",6.7399999999999977E-3,6.6399999999999975E-3,null,"2021-09-05",5.0000000000000001E-3,4.8999999999999998E-3]
[21,"2021-10-25",4.487331127726135E-3,4.3873311277261347E-3,null,"2021-10-25",2.5137200000000002E-2,2.5037200000000003E-2,null,"2021-10-25",6.6999999999999976E-3,6.5999999999999974E-3,null,"2021-10-25",5.0000000000000001E-3,4.8999999999999998E-3]
[22,"2021-12-14",4.6873311277261347E-3,4.5873311277261344E-3,null,"2021-12-14",2.5245299999999998E-2,2.5145299999999999E-2,null,"2021-12-14",6.6599999999999975E-3,6.5599999999999973E-3,null,"2021-12-14",5.0000000000000001E-3,4.8999999999999998E-3]
[23,"2022-02-02",4.8873311277261343E-3,4.7873311277261341E-3,null,"2022-02-02",2.5245299999999998E-2,2.5145299999999999E-2,null,"2022-02-02",6.6199999999999974E-3,6.5199999999999972E-3,null,"2022-02-02",5.0000000000000001E-3,4.8999999999999998E-3]
[24,"2022-03-24",5.087331127726134E-3,4.9873311277261337E-3,null,"2022-03-24",2.54004E-2,2.5300400000000001E-2,null,"2022-03-24",6.5799999999999973E-3,6.479999999999997E-3,null,"2022-03-24",5.0000000000000001E-3,4.8999999999999998E-3]
[25,"2022-05-13",5.2873311277261336E-3,5.1873311277261334E-3,null,"2022-05-13",2.54004E-2,2.5300400000000001E-2,null,"2022-05-13",6.5399999999999972E-3,6.4399999999999969E-3,null,"2022-05-13",5.0000000000000001E-3,4.8999999999999998E-3]
[26,"2022-07-02",5.4873311277261333E-3,5.387331127726133E-3,null,"2022-07-02",2.5576500000000002E-2,2.5476500000000003E-2,null,"2022-07-02",6.4999999999999971E-3,6.3999999999999968E-3,null,"2022-07-02",5.0000000000000001E-3,4.8999999999999998E-3]
[27,"2022-08-21",5.687331127726133E-3,5.5873311277261327E-3,null,"2022-08-21",2.5576500000000002E-2,2.5476500000000003E-2,null,"2022-08-21",6.459999999999997E-3,6.3599999999999967E-3,null,"2022-08-21",5.0000000000000001E-3,4.8999999999999998E-3]
[28,"2022-10-10",5.8873311277261326E-3,5.7873311277261323E-3,null,"2022-10-10",2.5772099999999999E-2,2.56721E-2,null,"2022-10-10",6.4199999999999969E-3,6.3199999999999966E-3,null,"2022-10-10",5.0000000000000001E-3,4.8999999999999998E-3]
[29,"2022-11-29",6.0873311277261323E-3,5.987331127726132E-3,null,"2022-11-29",2.5772099999999999E-2,2.56721E-2,null,"2022-11-29",6.3799999999999968E-3,6.2799999999999965E-3,null,"2022-11-29",5.0000000000000001E-3,4.8999999999999998E-3]
[30,"2023-01-18",6.2873311277261319E-3,6.1873311277261317E-3,null,"2023-01-18",2.59764E-2,2.5876400000000001E-2,null,"2023-01-18",6.3399999999999967E-3,6.2399999999999964E-3,null,"2023-01-18",5.0000000000000001E-3,4.8999999999999998E-3]
[31,"2023-03-09",6.4873311277261316E-3,6.3873311277261313E-3,null,"2023-03-09",2.6168800000000002E-2,2.6068800000000003E-2,null,"2023-03-09",6.2999999999999966E-3,6.1999999999999963E-3,null,"2023-03-09",5.0000000000000001E-3,4.8999999999999998E-3]
[32,"2023-04-28",6.6873311277261312E-3,6.587331127726131E-3,null,"2023-04-28",2.6168800000000002E-2,2.6068800000000003E-2,null,"2023-04-28",6.2599999999999965E-3,6.1599999999999962E-3,null,"2023-04-28",5.0000000000000001E-3,4.8999999999999998E-3]
[33,"2023-06-17",6.8873311277261309E-3,{"$f":"C40+(BumpSizeLiborRates*0.0001)","v":6.7873311277261306E-3},null,"2023-06-17",2.63428E-2,{"$f":"G40+(BumpSizeLiborRates*0.0001)","v":2.62428E-2},null,"2023-06-17",6.2199999999999964E-3,{"$f":"K40+(BumpSizeLiborRates*0.0001)","v":6.1199999999999961E-3},null,"2023-06-17",5.0000000000000001E-3,{"$f":"O40+(BumpSizeLiborRates*0.0001)","v":4.8999999999999998E-3}]
[34,{"$f":"B40+Periodicity","v":"2023-08-06"},7.0873311277261306E-3,6.9873311277261303E-3,null,{"$f":"F40+Periodicity","v":"2023-08-06"},2.63428E-2,2.62428E-2,null,{"$f":"J40+Periodicity","v":"2023-08-06"},6.1799999999999963E-3,6.079999999999996E-3,null,{"$f":"N40+Periodicity","v":"2023-08-06"},5.0000000000000001E-3,4.8999999999999998E-3]
[35,"2023-09-25",7.2873311277261302E-3,7.1873311277261299E-3,null,"2023-09-25",2.6496100000000002E-2,2.6396100000000002E-2,null,"2023-09-25",6.1399999999999962E-3,6.0399999999999959E-3,null,"2023-09-25",5.0000000000000001E-3,4.8999999999999998E-3]
[36,"2023-11-14",7.4873311277261299E-3,7.3873311277261296E-3,null,"2023-11-14",2.6496100000000002E-2,2.6396100000000002E-2,null,"2023-11-14",6.0999999999999961E-3,5.9999999999999958E-3,null,"2023-11-14",5.0000000000000001E-3,4.8999999999999998E-3]
[37,"2024-01-03",7.6873311277261295E-3,7.5873311277261293E-3,null,"2024-01-03",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-01-03",6.0599999999999959E-3,5.9599999999999957E-3,null,"2024-01-03",5.0000000000000001E-3,4.8999999999999998E-3]
[38,"2024-02-22",7.8873311277261292E-3,7.7873311277261289E-3,null,"2024-02-22",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-02-22",6.0199999999999958E-3,5.9199999999999956E-3,null,"2024-02-22",5.0000000000000001E-3,4.8999999999999998E-3]
[39,"2024-04-12",8.0873311277261297E-3,7.9873311277261303E-3,null,"2024-04-12",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-04-12",5.9799999999999957E-3,5.8799999999999955E-3,null,"2024-04-12",5.0000000000000001E-3,4.8999999999999998E-3]
[40,"2024-06-01",8.2873311277261302E-3,8.1873311277261308E-3,null,"2024-06-01",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-06-01",5.9399999999999956E-3,5.8399999999999954E-3,null,"2024-06-01",5.0000000000000001E-3,4.8999999999999998E-3]
[41,"2024-07-21",8.4873311277261308E-3,8.3873311277261314E-3,null,"2024-07-21",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-07-21",5.8999999999999955E-3,5.7999999999999953E-3,null,"2024-07-21",5.0000000000000001E-3,4.8999999999999998E-3]
[42,"2024-09-09",8.6873311277261313E-3,8.5873311277261319E-3,null,"2024-09-09",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-09-09",5.8599999999999954E-3,5.7599999999999952E-3,null,"2024-09-09",5.0000000000000001E-3,4.8999999999999998E-3]
[43,"2024-10-29",8.8873311277261318E-3,8.7873311277261324E-3,null,"2024-10-29",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-10-29",5.8199999999999953E-3,5.7199999999999951E-3,null,"2024-10-29",5.0000000000000001E-3,4.8999999999999998E-3]
[44,"2024-12-18",9.0873311277261323E-3,8.9873311277261329E-3,null,"2024-12-18",2.6496100000000002E-2,2.6396100000000002E-2,null,"2024-12-18",5.7799999999999952E-3,5.6799999999999949E-3,null,"2024-12-18",5.0000000000000001E-3,4.8999999999999998E-3]
[45,"2025-02-06",9.2873311277261329E-3,9.1873311277261335E-3,null,"2025-02-06",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-02-06",5.7399999999999951E-3,5.6399999999999948E-3,null,"2025-02-06",5.0000000000000001E-3,4.8999999999999998E-3]
[46,"2025-03-28",9.4873311277261334E-3,9.387331127726134E-3,null,"2025-03-28",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-03-28",5.699999999999995E-3,5.5999999999999947E-3,null,"2025-03-28",5.0000000000000001E-3,4.8999999999999998E-3]
[47,"2025-05-17",9.6873311277261339E-3,9.5873311277261345E-3,null,"2025-05-17",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-05-17",5.6599999999999949E-3,5.5599999999999946E-3,null,"2025-05-17",5.0000000000000001E-3,4.8999999999999998E-3]
[48,"2025-07-06",9.8873311277261344E-3,9.787331127726135E-3,null,"2025-07-06",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-07-06",5.6199999999999948E-3,5.5199999999999945E-3,null,"2025-07-06",5.0000000000000001E-3,4.8999999999999998E-3]
[49,"2025-08-25",1.0087331127726135E-2,9.9873311277261356E-3,null,"2025-08-25",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-08-25",5.5799999999999947E-3,5.4799999999999944E-3,null,"2025-08-25",5.0000000000000001E-3,4.8999999999999998E-3]
[50,"2025-10-14",1.0287331127726135E-2,1.0187331127726136E-2,null,"2025-10-14",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-10-14",5.5399999999999946E-3,5.4399999999999943E-3,null,"2025-10-14",5.0000000000000001E-3,4.8999999999999998E-3]
[51,"2025-12-03",1.0487331127726136E-2,1.0387331127726137E-2,null,"2025-12-03",2.6496100000000002E-2,2.6396100000000002E-2,null,"2025-12-03",5.4999999999999945E-3,5.3999999999999942E-3,null,"2025-12-03",5.0000000000000001E-3,4.8999999999999998E-3]
[52,"2026-01-22",1.0687331127726137E-2,1.0587331127726137E-2,null,"2026-01-22",2.6496100000000002E-2,2.6396100000000002E-2,null,"2026-01-22",5.4599999999999944E-3,5.3599999999999941E-3,null,"2026-01-22",5.0000000000000001E-3,4.8999999999999998E-3]
[53,"2026-03-13",1.0887331127726137E-2,1.0787331127726138E-2,null,"2026-03-13",2.6496100000000002E-2,2.6396100000000002E-2,null,"2026-03-13",5.4199999999999943E-3,5.319999999999994E-3,null,"2026-03-13",5.0000000000000001E-3,4.8999999999999998E-3]
[54,"2026-05-02",1.1087331127726138E-2,1.0987331127726138E-2,null,"2026-05-02",2.6496100000000002E-2,2.6396100000000002E-2,null,"2026-05-02",5.3799999999999942E-3,5.2799999999999939E-3,null,"2026-05-02",5.0000000000000001E-3,4.8999999999999998E-3]
[55,"2026-06-21",1.1287331127726138E-2,1.1187331127726139E-2,null,"2026-06-21",2.6496100000000002E-2,2.6396100000000002E-2,null,"2026-06-21",5.3399999999999941E-3,5.2399999999999938E-3,null,"2026-06-21",5.0000000000000001E-3,4.8999999999999998E-3]
[56,"2026-08-10",1.1487331127726139E-2,1.1387331127726139E-2,null,"2026-08-10",2.6496100000000002E-2,2.6396100000000002E-2,null,"2026-08-10",5.299999999999994E-3,5.1999999999999937E-3,null,"2026-08-10",5.0000000000000001E-3,4.8999999999999998E-3]
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[]
[null,"5 YEAR CAP VOLATILITIES"]
[]
[null,"VOLATILITY_TYPE","EUR",null,"VOLATILITY_TYPE","USD",null,"VOLATILITY_TYPE","GBP",null,"VOLATILITY_TYPE","JPY"]
[null,"LOGNORMAL","N/A - Negative Rates",null,"LOGNORMAL",0.30499999999999999,null,"LOGNORMAL",0.48,null,"LOGNORMAL","N/A - Negative Rates"]
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[null,"Payer/Receiver","PAYER","Row","Accrual Start","Accrual End","Pay Date","ti","N","rFixed","ti","P( tE, ti )","PVFixed","Show","Row","Fixing Date","Accrual Start","Accrual End","Pay Date","tj","N","lj","CCLN","CCSLN","CCN","Convexity, CC","lj + CC","s","lj + c + s","tj","P( tE, tj )","PVFloat(Unadj)","PVFloat(Adj)","Show",null,"RiskFreeRate","CreditSpread","LiborRate","FixingYearFraction","LRM Slope, B Parameter"]
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[null,"Notional, N",1000000,{"$f":"D6+1","v":2},{"$f":"IF(N7,F6,\"\")","v":"2019-07-30T15:00:00"},{"$f":"IF(N7,E7+K7*365.25,\"\")","v":"2020-01-29T06:00:00"},{"$f":"IF(N7,F7,\"\")","v":"2020-01-29T06:00:00"},{"$f":"IF(N7,H6+t_i,\"\")","v":1},1000000,0.01,0.5,{"$f":"IF(N7,IF(SetDiscFactToOne,1,VLOOKUP(G7,INDIRECT(DiscountCurve),2,TRUE)),\"\")","v":0.97846807094882426},4892.3403547441212,{"$f":"IF(SUM(K$6:K6)+t_i<=T,TRUE,FALSE)","v":true},{"$f":"O6+1","v":2},"2019-07-30T15:00:00",{"$f":"IF(AH7,R6,\"\")","v":"2019-04-30T07:30:00"},"2019-07-30T15:00:00","2019-07-30T15:00:00",{"$f":"IF(AH7,T6+t_j,\"\")","v":0.5},1000000,{"$f":"IF(AH7,VLOOKUP(P7,INDIRECT(ForecastCurve),2,TRUE),\"\")","v":2.7260800000000002E-2},8.7856991972529164E-6,8.7856991972529164E-6,1.0337749295995929E-5,{"$f":"IF(AH7,IF(ConvexityMethod=\"LOGNORMAL\",W7,IF(ConvexityMethod=\"SHIFTED-LOGNORMAL\",X7,IF(ConvexityMethod=\"NORMAL\",Y7,\"\"))),\"\")","v":8.7856991972529164E-6},2.7269585699197255E-2,0,2.7269585699197255E-2,0.25,0.99087748141487886,6753.0282113386829,6755.2045992119438,{"$f":"IF(SUM(AD$6:AD6)+t_j<=T,TRUE,FALSE)","v":true},null,{"$f":"IF(AH7,((AE6/AE7)-1)/AD7,\"\")","v":2.4623424733818844E-2},{"$f":"IF(AH7,V7-AJ7,\"\")","v":2.6373752661811578E-3},2.7260800000000002E-2,0.25,0.25]
[null,"Fixed Rate, rFixed",0.01,{"$f":"D7+1","v":3},{"$f":"IF(N8,F7,\"\")","v":"2020-01-29T06:00:00"},"2020-07-29T21:00:00","2020-07-29T21:00:00",1.5,1000000,0.01,0.5,{"$f":"IF(N8,IF(SetDiscFactToOne,1,VLOOKUP(G8,INDIRECT(DiscountCurve),2,TRUE)),\"\")","v":0.96898431955210951},4844.9215977605472,{"$f":"IF(SUM(K$6:K7)+t_i<=T,TRUE,FALSE)","v":true},{"$f":"O7+1","v":3},"2019-10-29T22:30:00","2019-07-30T15:00:00","2019-10-29T22:30:00","2019-10-29T22:30:00",0.75,1000000,2.7130700000000001E-2,1.3207644996092449E-5,1.3207644996092449E-5,1.5507124899127173E-5,1.3207644996092449E-5,2.7143907644996093E-2,0,2.7143907644996093E-2,0.25,0.9847071822549528,6678.948787401112,6682.2002031231932,{"$f":"IF(SUM(AD$6:AD7)+t_j<=T,TRUE,FALSE)","v":true},null,2.5064503523966053E-2,2.0661964760339477E-3,2.7130700000000001E-2,0.25,0.25]
[null,"Fixed Frequency",{"$f":"FixedLegFrequencySelected","v":"SEMI-ANNUAL"},4,"2020-07-29T21:00:00","2021-01-28T12:00:00","2021-01-28T12:00:00",2,1000000,0.01,0.5,0.95611535180214735,4780.5767590107371,{"$f":"IF(SUM(K$6:K8)+t_i<=T,TRUE,FALSE)","v":true},4,"2020-01-29T06:00:00","2019-10-29T22:30:00","2020-01-29T06:00:00","2020-01-29T06:00:00",1,1000000,2.6955699999999999E-2,1.7590604293078738E-5,1.7590604293078738E-5,2.0677065059343525E-5,1.7590604293078738E-5,2.6973290604293078E-2,0,2.6973290604293078E-2,0.25,0.97846807094882426,6593.8229450188055,6598.1259061811734,{"$f":"IF(SUM(AD$6:AD8)+t_j<=T,TRUE,FALSE)","v":true},null,2.5505630654165223E-2,1.4500693458347758E-3,2.6955699999999999E-2,0.25,0.25]
[null,"Float Frequency",{"$f":"FloatLegFrequencySelected","v":"QUARTERLY"},5,"2021-01-28T12:00:00","2021-07-30T03:00:00","2021-07-30T03:00:00",2.5,1000000,0.01,0.5,0.94300383315363645,4715.0191657681826,{"$f":"IF(SUM(K$6:K9)+t_i<=T,TRUE,FALSE)","v":true},5,"2020-04-29T13:30:00","2020-01-29T06:00:00","2020-04-29T13:30:00","2020-04-29T13:30:00",1.25,1000000,2.6180699999999998E-2,2.0992962941147886E-5,2.0992962941147886E-5,2.5851306487557901E-5,2.0992962941147886E-5,2.6201692962941146E-2,0,2.6201692962941146E-2,0.25,0.97216194656030341,6362.9700685778334,6368.0722085070674,{"$f":"IF(SUM(AD$6:AD9)+t_j<=T,TRUE,FALSE)","v":true},null,2.5946806129711675E-2,2.3389387028832295E-4,2.6180699999999998E-2,0.25,0.25]
[null,"Libor Spread, s",0,6,"2021-07-30T03:00:00","2022-01-28T18:00:00","2022-01-28T18:00:00",3,1000000,0.01,0.5,0.93301988338560149,4665.0994169280075,{"$f":"IF(SUM(K$6:K10)+t_i<=T,TRUE,FALSE)","v":true},6,"2020-07-29T21:00:00","2020-04-29T13:30:00","2020-07-29T21:00:00","2020-07-29T21:00:00",1.5,1000000,2.6007099999999998E-2,2.515664474165083E-5,2.515664474165083E-5,3.1022905424085007E-5,2.515664474165083E-5,2.6032256644741649E-2,0,2.6032256644741649E-2,0.25,0.96898431955210951,6300.1180242559167,6306.2121228277174,{"$f":"IF(SUM(AD$6:AD10)+t_j<=T,TRUE,FALSE)","v":true},null,1.3117351618910256E-2,1.2889748381089743E-2,2.6007099999999998E-2,0.25,0.25]
[null,"Tenor, T",5,7,"2022-01-28T18:00:00","2022-07-30T09:00:00","2022-07-30T09:00:00",3.5,1000000,0.01,0.5,0.91951942496332706,4597.5971248166352,{"$f":"IF(SUM(K$6:K11)+t_i<=T,TRUE,FALSE)","v":true},7,"2020-10-29T04:30:00","2020-07-29T21:00:00","2020-10-29T04:30:00","2020-10-29T04:30:00",1.75,1000000,2.61966E-2,3.0134381438888524E-5,3.0134381438888524E-5,3.6191686156109015E-5,3.0134381438888524E-5,2.6226734381438889E-2,0,2.6226734381438889E-2,0.25,0.96258107143850646,6304.0878240114953,6311.3395203046402,{"$f":"IF(SUM(AD$6:AD11)+t_j<=T,TRUE,FALSE)","v":true},null,2.6608660002149342E-2,-4.1206000214934202E-4,2.61966E-2,0.25,0.25]
[null,null,null,8,"2022-07-30T09:00:00","2023-01-29","2023-01-29",4,1000000,0.01,0.5,0.90581715568913868,4529.085778445693,{"$f":"IF(SUM(K$6:K12)+t_i<=T,TRUE,FALSE)","v":true},8,"2021-01-28T12:00:00","2020-10-29T04:30:00","2021-01-28T12:00:00","2021-01-28T12:00:00",2,1000000,2.5799300000000001E-2,3.3808027681481861E-5,3.3808027681481861E-5,4.1366008981122415E-5,3.3808027681481861E-5,2.5833108027681483E-2,0,2.5833108027681483E-2,0.25,0.95611535180214735,6166.7766989372849,6174.8577925073896,{"$f":"IF(SUM(AD$6:AD12)+t_j<=T,TRUE,FALSE)","v":true},null,2.7049956364249006E-2,-1.2506563642490053E-3,2.5799300000000001E-2,0.25,0.25]
[null,"Approximate*",false,9,"2023-01-29","2023-07-30T15:00:00","2023-07-30T15:00:00",4.5,1000000,0.01,0.5,0.89541699462997648,4477.084973149882,{"$f":"IF(SUM(K$6:K13)+t_i<=T,TRUE,FALSE)","v":true},9,"2021-04-29T19:30:00","2021-01-28T12:00:00","2021-04-29T19:30:00","2021-04-29T19:30:00",2.25,1000000,2.5400900000000001E-2,3.7317625721809689E-5,3.7317625721809689E-5,4.6541365917120159E-5,3.7317625721809689E-5,2.543821762572181E-2,0,2.543821762572181E-2,0.25,0.94958899257542939,6030.1037603773066,6038.9628620309259,{"$f":"IF(SUM(AD$6:AD13)+t_j<=T,TRUE,FALSE)","v":true},null,2.7491301090242892E-2,-2.0904010902428917E-3,2.5400900000000001E-2,0.25,0.25]
[null,"* Annualizes Schedule and sets DFs to One",null,10,"2023-07-30T15:00:00","2024-01-29T06:00:00","2024-01-29T06:00:00",5,1000000,0.01,0.5,0.88139748909927151,4406.9874454963574,{"$f":"IF(SUM(K$6:K14)+t_i<=T,TRUE,FALSE)","v":true},10,"2021-07-30T03:00:00","2021-04-29T19:30:00","2021-07-30T03:00:00","2021-07-30T03:00:00",2.5,1000000,2.5180400000000002E-2,4.1243751215856717E-5,4.1243751215856717E-5,5.1715461622536124E-5,4.1243751215856717E-5,2.5221643751215859E-2,0,2.5221643751215859E-2,0.25,0.94300383315363645,5936.303430085457,5946.0266839580045,{"$f":"IF(SUM(AD$6:AD14)+t_j<=T,TRUE,FALSE)","v":true},null,2.7932694185433427E-2,-2.7522941854334244E-3,2.5180400000000002E-2,0.25,0.25]
[null,null,null,11,"","","","","","","","","",{"$f":"IF(SUM(K$6:K15)+t_i<=T,TRUE,FALSE)","v":false},11,"2021-10-29T10:30:00","2021-07-30T03:00:00","2021-10-29T10:30:00","2021-10-29T10:30:00",2.75,1000000,2.5137200000000002E-2,4.5763518839829487E-5,4.5763518839829487E-5,5.6887618327644551E-5,4.5763518839829487E-5,2.5182963518839831E-2,0,2.5182963518839831E-2,0.25,0.93636171954051073,5884.3779541084314,5895.0907559067036,{"$f":"IF(SUM(AD$6:AD15)+t_j<=T,TRUE,FALSE)","v":true},null,2.8374135655118593E-2,-3.2369356551185911E-3,2.5137200000000002E-2,0.25,0.25]
[null,"Libor In-Arrears",null,12,"","","","","","","","","",{"$f":"IF(SUM(K$6:K16)+t_i<=T,TRUE,FALSE)","v":false},12,"2022-01-28T18:00:00","2021-10-29T10:30:00","2022-01-28T18:00:00","2022-01-28T18:00:00",3,1000000,2.5245299999999998E-2,5.0968099947302364E-5,5.0968099947302364E-5,6.2057553362027118E-5,5.0968099947302364E-5,2.5296268099947301E-2,0,2.5296268099947301E-2,0.25,0.93301988338560149,5888.5917155086308,5900.4802781759354,{"$f":"IF(SUM(AD$6:AD16)+t_j<=T,TRUE,FALSE)","v":true},null,1.4326966507006489E-2,1.0918333492993509E-2,2.5245299999999998E-2,0.25,0.25]
[null,"FixingInArrears",true,13,"","","","","","","","","",{"$f":"IF(SUM(K$6:K17)+t_i<=T,TRUE,FALSE)","v":false},13,"2022-04-30T01:30:00","2022-01-28T18:00:00","2022-04-30T01:30:00","2022-04-30T01:30:00",3.25,1000000,2.54004E-2,5.6579384489417045E-5,5.6579384489417045E-5,6.722642578611826E-5,5.6579384489417045E-5,2.5456979384489417E-2,0,2.5456979384489417E-2,0.25,0.92629581210206791,5882.0710364293418,5895.1733481553056,{"$f":"IF(SUM(AD$6:AD17)+t_j<=T,TRUE,FALSE)","v":true},null,2.9036388573427274E-2,-3.6359885734272741E-3,2.54004E-2,0.25,0.25]
[null,"FixingLag (Days)",0,14,"","","","","","","","","",{"$f":"IF(SUM(K$6:K18)+t_i<=T,TRUE,FALSE)","v":false},14,"2022-07-30T09:00:00","2022-04-30T01:30:00","2022-07-30T09:00:00","2022-07-30T09:00:00",3.5,1000000,2.5576500000000002E-2,6.2537262416170053E-5,6.2537262416170053E-5,7.2394522250416454E-5,6.2537262416170053E-5,2.5639037262416172E-2,0,2.5639037262416172E-2,0.25,0.91951942496332706,5879.5221431436348,5893.8982000375581,{"$f":"IF(SUM(AD$6:AD18)+t_j<=T,TRUE,FALSE)","v":true},null,2.947795100255135E-2,-3.9014510025513482E-3,2.5576500000000002E-2,0.25,0.25]
[null,"ConvexityAdjustment","LOGNORMAL",15,"","","","","","","","","",{"$f":"IF(SUM(K$6:K19)+t_i<=T,TRUE,FALSE)","v":false},15,"2022-10-29T16:30:00","2022-07-30T09:00:00","2022-10-29T16:30:00","2022-10-29T16:30:00",3.75,1000000,2.5772099999999999E-2,6.8870255600796126E-5,6.8870255600796126E-5,7.7561790879816794E-5,6.8870255600796126E-5,2.5840970255600795E-2,0,2.5840970255600795E-2,0.25,0.91269258441175694,5880.5011386795595,5896.2154815729073,{"$f":"IF(SUM(AD$6:AD19)+t_j<=T,TRUE,FALSE)","v":true},null,2.9919561824730323E-2,-4.1474618247303238E-3,2.5772099999999999E-2,0.25,0.25]
[null,"Volatility",{"$f":"VLOOKUP(ConvexityMethod,INDIRECT($B$21&Currency),2,0)","v":0.30499999999999999},16,"","","","","","","","","",{"$f":"IF(SUM(K$6:K20)+t_i<=T,TRUE,FALSE)","v":false},16,"2023-01-29","2022-10-29T16:30:00","2023-01-29","2023-01-29",4,1000000,2.59764E-2,7.555260862610047E-5,7.555260862610047E-5,8.272837863629659E-5,7.555260862610047E-5,2.6051952608626101E-2,0,2.6051952608626101E-2,0.25,0.90581715568913868,5882.4671907608354,5899.5764030234823,{"$f":"IF(SUM(AD$6:AD20)+t_j<=T,TRUE,FALSE)","v":true},null,3.0361221045267506E-2,-4.3848210452675056E-3,2.59764E-2,0.25,0.25]
[null,"ShiftSize",{"$f":"VLOOKUP(UPPER(B22),INDIRECT($B$21&Currency),2,0)","v":0},17,"","","","","","","","","",{"$f":"IF(SUM(K$6:K21)+t_i<=T,TRUE,FALSE)","v":false},17,"2023-04-30T07:30:00","2023-01-29","2023-04-30T07:30:00","2023-04-30T07:30:00",4.25,1000000,2.6168800000000002E-2,8.2478271554553562E-5,8.2478271554553562E-5,8.7894701844098283E-5,8.2478271554553562E-5,2.6251278271554556E-2,0,2.6251278271554556E-2,0.25,0.89889500600133876,5880.750908261959,5899.2857348629614,{"$f":"IF(SUM(AD$6:AD21)+t_j<=T,TRUE,FALSE)","v":true},null,3.08029286694671E-2,-4.6341286694670976E-3,2.6168800000000002E-2,0.25,0.25]
[null,"Convexity PV Adj",{"$f":"PV_Swap-PV_Swap_Unadjusted","v":221.66417223613826},18,"","","","","","","","","",{"$f":"IF(SUM(K$6:K22)+t_i<=T,TRUE,FALSE)","v":false},18,"2023-07-30T15:00:00","2023-04-30T07:30:00","2023-07-30T15:00:00","2023-07-30T15:00:00",4.5,1000000,2.63428E-2,8.9596749593520014E-5,8.9596749593520014E-5,9.3060956583228271E-5,8.9596749593520014E-5,2.643239674959352E-2,0,2.643239674959352E-2,0.25,0.89541699462997648,5896.9477015346356,5917.0043145970476,{"$f":"IF(SUM(AD$6:AD22)+t_j<=T,TRUE,FALSE)","v":true},null,1.5536945991513562E-2,1.0805854008486437E-2,2.63428E-2,0.25,0.25]
[null,"Convexity ParRate Adj",{"$f":"p-p_Unadjusted","v":4.7300364706223674E-5},19,"","","","","","","","","",{"$f":"IF(SUM(K$6:K23)+t_i<=T,TRUE,FALSE)","v":false},19,"2023-10-29T22:30:00","2023-07-30T15:00:00","2023-10-29T22:30:00","2023-10-29T22:30:00",4.75,1000000,2.6496100000000002E-2,9.6874147388327503E-5,9.6874147388327503E-5,9.8227269796684336E-5,9.6874147388327503E-5,2.6592974147388329E-2,0,2.6592974147388329E-2,0.25,0.88842826676029996,5884.9710497268961,5906.4874824414201,{"$f":"IF(SUM(AD$6:AD23)+t_j<=T,TRUE,FALSE)","v":true},null,3.146558087423923E-2,-4.969480874239228E-3,2.6496100000000002E-2,0.25,0.25]
[null,null,null,20,"","","","","","","","","",{"$f":"IF(SUM(K$6:K24)+t_i<=T,TRUE,FALSE)","v":false},20,"2024-01-29T06:00:00","2023-10-29T22:30:00","2024-01-29T06:00:00","2024-01-29T06:00:00",5,1000000,2.6496100000000002E-2,1.0325586070098272E-4,1.0325586070098272E-4,1.0339712610177298E-4,1.0325586070098272E-4,2.6599355860700984E-2,0,2.6599355860700984E-2,0.25,0.88139748909927151,5838.3990027308027,5861.1513668199595,{"$f":"IF(SUM(AD$6:AD24)+t_j<=T,TRUE,FALSE)","v":true},null,3.1907409530805175E-2,-5.4113095308051737E-3,2.6496100000000002E-2,0.25,0.25]
[null,"Swap Pricing",null,21,"","","","","","","","","",{"$f":"IF(SUM(K$6:K25)+t_i<=T,TRUE,FALSE)","v":false},21,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD25)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Swap PV",{"$f":"PV_Swap","v":76002.974862182658},22,"","","","","","","","","",{"$f":"IF(SUM(K$6:K26)+t_i<=T,TRUE,FALSE)","v":false},22,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD26)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Fixed Leg PV",{"$f":"PV_FixedLeg","v":-46863.100023194558},23,"","","","","","","","","",{"$f":"IF(SUM(K$6:K27)+t_i<=T,TRUE,FALSE)","v":false},23,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD27)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Float Leg PV",{"$f":"PV_FloatLeg","v":122866.07488537721},24,"","","","","","","","","",{"$f":"IF(SUM(K$6:K28)+t_i<=T,TRUE,FALSE)","v":false},24,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD28)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Par Rate",{"$f":"p","v":2.6218085193801841E-2},25,"","","","","","","","","",{"$f":"IF(SUM(K$6:K29)+t_i<=T,TRUE,FALSE)","v":false},25,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD29)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,null,null,26,"","","","","","","","","",{"$f":"IF(SUM(K$6:K30)+t_i<=T,TRUE,FALSE)","v":false},26,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD30)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Yield Curves",null,27,"","","","","","","","","",{"$f":"IF(SUM(K$6:K31)+t_i<=T,TRUE,FALSE)","v":false},27,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD31)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Forecast Curve",{"$f":"Currency&IF(Currency=\"USD\",\"3ML\",\"6ML\")","v":"USD3ML"},28,"","","","","","","","","",{"$f":"IF(SUM(K$6:K32)+t_i<=T,TRUE,FALSE)","v":false},28,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD32)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Discount Curve",{"$f":"Currency&\"DiscFact\"","v":"USDDiscFact"},29,"","","","","","","","","",{"$f":"IF(SUM(K$6:K33)+t_i<=T,TRUE,FALSE)","v":false},29,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD33)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Set DiscFact=1",{"$f":"Approximate","v":false},30,"","","","","","","","","",{"$f":"IF(SUM(K$6:K34)+t_i<=T,TRUE,FALSE)","v":false},30,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD34)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,null,null,31,"","","","","","","","","",{"$f":"IF(SUM(K$6:K35)+t_i<=T,TRUE,FALSE)","v":false},31,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD35)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Swap Conventions",null,32,"","","","","","","","","",{"$f":"IF(SUM(K$6:K36)+t_i<=T,TRUE,FALSE)","v":false},32,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD36)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Pay / Receive Indicator",null,33,"","","","",{"$f":"IF(N38,N,\"\")","v":""},{"$f":"IF(N38,r_fixed,\"\")","v":""},{"$f":"IF(N38,t_i,\"\")","v":""},{"$f":"IF(N38,IF(SetDiscFactToOne,1,VLOOKUP(G38,INDIRECT(DiscountCurve),2,TRUE)),\"\")","v":""},{"$f":"IF(N38,I38*J38*K38*L38,\"\")","v":""},{"$f":"IF(SUM(K$6:K37)+t_i<=T,TRUE,FALSE)","v":false},33,{"$f":"IF(AH38,IF(FixingInArrears,R38,Q38)-$C$19,\"\")","v":""},"",{"$f":"IF(AH38,Q38+AD38*365.25,\"\")","v":""},{"$f":"IF(AH38,R38,\"\")","v":""},"",{"$f":"IF(AH38,N,\"\")","v":""},{"$f":"IF(AH38,VLOOKUP(P38,INDIRECT(ForecastCurve),2,TRUE),\"\")","v":""},{"$f":"IF(AH38,IF(ISNUMBER(LogNormalVol),(V38*(1+AN38*V38*EXP(LogNormalVol*LogNormalVol*T38))/(1+AN38*V38))-V38,0),\"\")","v":""},{"$f":"IF(AH38,((V38+$C$22)*(1+AN38*(V38+$C$22)*(EXP(ShiftedLogNormalVol*ShiftedLogNormalVol*T38)+2*V38*$C$22+$C$22*$C$22))/(1+AN38*(V38+$C$22)))-(V38+$C$22),\"\")","v":""},{"$f":"IF(AH38,V38*(1+(AN38*NormalVol*NormalVol*T38)/(V38*(1+AN38*V38)))-V38,\"\")","v":""},{"$f":"IF(AH38,IF(ConvexityMethod=\"LOGNORMAL\",W38,IF(ConvexityMethod=\"SHIFTED-LOGNORMAL\",X38,IF(ConvexityMethod=\"NORMAL\",Y38,\"\"))),\"\")","v":""},{"$f":"IF(AH38,V38+Z38,\"\")","v":""},{"$f":"IF(AH38,s,\"\")","v":""},{"$f":"IF(AH38,AA38+(AB38*0.0001),\"\")","v":""},{"$f":"IF(AH38,t_j,\"\")","v":""},{"$f":"IF(AH38,IF(SetDiscFactToOne,1,VLOOKUP(S38,INDIRECT(DiscountCurve),2,TRUE)),\"\")","v":""},{"$f":"IF(AH38,U38*(V38+AB38)*AD38*AE38,\"\")","v":""},{"$f":"IF(AH38,U38*AC38*AD38*AE38,\"\")","v":""},{"$f":"IF(SUM(AD$6:AD37)+t_j<=T,TRUE,FALSE)","v":false},null,"",{"$f":"IF(AH38,V38-AJ38,\"\")","v":""},{"$f":"IF(AH38,AJ38+AK38,\"\")","v":""},{"$f":"IF(AH38,(P38-Q38)/365.25,\"\")","v":""},{"$f":"IF(AH38,AM38*(AJ38+(AM38/AD38)*AK38)/AL38,\"\")","v":""}]
[null,"Phi, f",{"$f":"IF(C5=\"PAYER\",-1,1)","v":-1},34,"","","",{"$f":"IF(N39,H38+t_i,\"\")","v":""},"","","","","",{"$f":"IF(SUM(K$6:K38)+t_i<=T,TRUE,FALSE)","v":false},34,"",{"$f":"IF(AH39,R38,\"\")","v":""},"","",{"$f":"IF(AH39,T38+t_j,\"\")","v":""},"","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD38)+t_j<=T,TRUE,FALSE)","v":false},null,{"$f":"IF(AH39,((AE38/AE39)-1)/AD39,\"\")","v":""},"","","",""]
[null,null,null,35,"","","","","","","","","",{"$f":"IF(SUM(K$6:K39)+t_i<=T,TRUE,FALSE)","v":false},35,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD39)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Use Market Standard Conventions",null,36,"","","","","","","","","",{"$f":"IF(SUM(K$6:K40)+t_i<=T,TRUE,FALSE)","v":false},36,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD40)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Override Mkt Freq",{"$f":"Approximate","v":false},37,"","","","","","","","","",{"$f":"IF(SUM(K$6:K41)+t_i<=T,TRUE,FALSE)","v":false},37,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD41)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,null,null,38,"","","","","","","","","",{"$f":"IF(SUM(K$6:K42)+t_i<=T,TRUE,FALSE)","v":false},38,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD42)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Fixed Leg",null,39,"","","","","","","","","",{"$f":"IF(SUM(K$6:K43)+t_i<=T,TRUE,FALSE)","v":false},39,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD43)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Market Freq",{"$f":"INDIRECT(Currency&\".Fixed.Period\")","v":"SEMI-ANNUAL"},40,"","","","","","","","","",{"$f":"IF(SUM(K$6:K44)+t_i<=T,TRUE,FALSE)","v":false},40,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD44)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Selected Freq",{"$f":"IF(OverrideMarketFrequency,\"ANNUAL\",C45)","v":"SEMI-ANNUAL"},41,"","","","","","","","","",{"$f":"IF(SUM(K$6:K45)+t_i<=T,TRUE,FALSE)","v":false},41,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD45)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Accrual Period",{"$f":"IF(C46=\"ANNUAL\",1,IF(C46=\"SEMI-ANNUAL\",0.5,IF(C46=\"QUARTERLY\",0.25,1/12)))","v":0.5},42,"","","","","","","","","",{"$f":"IF(SUM(K$6:K46)+t_i<=T,TRUE,FALSE)","v":false},42,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD46)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,null,null,43,"","","","","","","","","",{"$f":"IF(SUM(K$6:K47)+t_i<=T,TRUE,FALSE)","v":false},43,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD47)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Float Leg",null,44,"","","","","","","","","",{"$f":"IF(SUM(K$6:K48)+t_i<=T,TRUE,FALSE)","v":false},44,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD48)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Market Freq",{"$f":"INDIRECT(Currency&\".Float.Period\")","v":"QUARTERLY"},45,"","","","","","","","","",{"$f":"IF(SUM(K$6:K49)+t_i<=T,TRUE,FALSE)","v":false},45,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD49)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Selected Freq",{"$f":"IF(OverrideMarketFrequency,\"ANNUAL\",C50)","v":"QUARTERLY"},46,"","","","","","","","","",{"$f":"IF(SUM(K$6:K50)+t_i<=T,TRUE,FALSE)","v":false},46,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD50)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Accrual Period",{"$f":"IF(C51=\"ANNUAL\",1,IF(C51=\"SEMI-ANNUAL\",0.5,IF(C51=\"QUARTERLY\",0.25,1/12)))","v":0.25},47,"","","","","","","","","",{"$f":"IF(SUM(K$6:K51)+t_i<=T,TRUE,FALSE)","v":false},47,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD51)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,null,null,48,"","","","","","","","","",{"$f":"IF(SUM(K$6:K52)+t_i<=T,TRUE,FALSE)","v":false},48,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD52)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Swap Pricing & Risk Calculations",null,49,"","","","","","","","","",{"$f":"IF(SUM(K$6:K53)+t_i<=T,TRUE,FALSE)","v":false},49,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD53)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Swap Pricing",null,50,"","","","","","","","","",{"$f":"IF(SUM(K$6:K54)+t_i<=T,TRUE,FALSE)","v":false},50,"","","","","","","","","","","","","","","","","","",{"$f":"IF(SUM(AD$6:AD54)+t_j<=T,TRUE,FALSE)","v":false},null,"","","","",""]
[null,"Fixed Leg PV",{"$f":"Phi*SUM(PVlets_Fixed)","v":-46863.100023194558}]
[null,"Float Leg PV",{"$f":"-Phi*SUM(PVlets_Float)","v":122866.07488537721}]
[null,"Spread PV",{"$f":"-Phi*SUMPRODUCT(U6:U55,AB6:AB55,AD6:AD55,AE6:AE55)/10000","v":0}]
[null,"Total PV",{"$f":"PV_FixedLeg+PV_FloatLeg","v":76002.974862182658}]
[null,"Par Rate, p",{"$f":"ABS(PV_FloatLeg)/Annuity_Fixed","v":2.6218085193801841E-2}]
[]
[null,"Swap Pricing Without Convexity Adjustment"]
[null,"Unadjusted Float PV",{"$f":"-Phi*SUM($AF$6:$AF$55)","v":122644.41071314107}]
[null,"Unadjusted Total PV",{"$f":"PV_FixedLeg+PV_FloatLeg_Unadjusted","v":75781.31068994652}]
[null,"Unadjusted Par Rate",{"$f":"ABS(PV_FloatLeg_Unadjusted)/Annuity_Fixed","v":2.6170784829095618E-2}]
[]
[null,"Annuity Factors"]
[null,"Annuity, AFixed",{"$f":"SUMPRODUCT(K6:K55,L6:L55)","v":4.6863100023194555}]
[null,"Annuity, AFloat",{"$f":"SUMPRODUCT(AD6:AD55,AE6:AE55)","v":4.700327441742493}]
[null,"Annuity, ANFixed",{"$f":"SUMPRODUCT(K6:K55,L6:L55,I6:I55)","v":4686310.0023194561}]
[null,"Annuity, ANFloat",{"$f":"SUMPRODUCT(AD6:AD55,AE6:AE55,U6:U55)","v":4700327.4417424928}]

{"sheet":"Example Convexity","index":5,"n_rows":26,"n_cols":11,"rows_kept":26,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Swap Trade Details",null,null,"USD SWAP 5Y TENOR",null,null,"Volatility, sLN","Volatility, SSLN","Volatility, nN"]
[null,"Payer/Receiver","PAYER",null,null,null,null,0.30499999999999999,0.30499999999999999,9.1249999999999994E-3]
[null,"Currency","USD"]
[null,"Notional, N",1000000,null,"TimeToExpiry","Notional","Natural Libor","Lognormal","Shifted-Lognormal","Normal","Adjusted Rate"]
[null,"Fixed Rate, rFixed",0.01,null,"tj","N","lj","CCLN","CCSLN","CCN","lj + CC"]
[null,"Fixed Frequency","SEMI-ANNUAL",null,0.25,1000000,2.6960099999999997E-2,4.2468329263800619E-6,4.2468329263800619E-6,5.1692606167150212E-6,{"$f":"G7+H7","v":2.6964346832926377E-2}]
[null,"Float Frequency","QUARTERLY",null,0.5,1000000,2.7260800000000002E-2,8.7856991972529164E-6,8.7856991972529164E-6,1.0337749295995929E-5,2.7269585699197255E-2]
[null,"Libor Spread, s",0,null,0.75,1000000,2.7130700000000001E-2,1.3207644996092449E-5,1.3207644996092449E-5,1.5507124899127173E-5,2.7143907644996093E-2]
[null,"Tenor, T",5,null,1,1000000,2.6955699999999999E-2,1.7590604293078738E-5,1.7590604293078738E-5,2.0677065059343525E-5,2.6973290604293078E-2]
[null,null,null,null,1.25,1000000,2.6180699999999998E-2,2.0992962941147886E-5,2.0992962941147886E-5,2.5851306487557901E-5,2.6201692962941146E-2]
[null,null,null,null,1.5,1000000,2.6007099999999998E-2,2.515664474165083E-5,2.515664474165083E-5,3.1022905424085007E-5,2.6032256644741649E-2]
[null,"Libor In-Arrears",null,null,1.75,1000000,2.61966E-2,3.0134381438888524E-5,3.0134381438888524E-5,3.6191686156109015E-5,2.6226734381438889E-2]
[null,"FixingInArrears",true,null,2,1000000,2.5799300000000001E-2,3.3808027681481861E-5,3.3808027681481861E-5,4.1366008981122415E-5,2.5833108027681483E-2]
[null,"FixingLag (Days)",0,null,2.25,1000000,2.5400900000000001E-2,3.7317625721809689E-5,3.7317625721809689E-5,4.6541365917120159E-5,2.543821762572181E-2]
[null,"ConvexityAdjustment","LOGNORMAL",null,2.5,1000000,2.5180400000000002E-2,4.1243751215856717E-5,4.1243751215856717E-5,5.1715461622536124E-5,2.5221643751215859E-2]
[null,"Volatility",0.30499999999999999,null,2.75,1000000,2.5137200000000002E-2,4.5763518839829487E-5,4.5763518839829487E-5,5.6887618327644551E-5,2.5182963518839831E-2]
[null,"ShiftSize",0,null,3,1000000,2.5245299999999998E-2,5.0968099947302364E-5,5.0968099947302364E-5,6.2057553362027118E-5,2.5296268099947301E-2]
[null,"Convexity PV Impact",249.97891161305597,null,3.25,1000000,2.54004E-2,5.6579384489417045E-5,5.6579384489417045E-5,6.722642578611826E-5,2.5456979384489417E-2]
[null,"Convexity Par Rate Impact",5.3342376302320527E-5,null,3.5,1000000,2.5576500000000002E-2,6.2537262416170053E-5,6.2537262416170053E-5,7.2394522250416454E-5,2.5639037262416172E-2]
[null,null,null,null,3.75,1000000,2.5772099999999999E-2,6.8870255600796126E-5,6.8870255600796126E-5,7.7561790879816794E-5,2.5840970255600795E-2]
[null,"Swap Pricing",null,null,4,1000000,2.59764E-2,7.555260862610047E-5,7.555260862610047E-5,8.272837863629659E-5,2.6051952608626101E-2]
[null,"Swap PV",76031.289601559576,null,4.25,1000000,2.6168800000000002E-2,8.2478271554553562E-5,8.2478271554553562E-5,8.7894701844098283E-5,2.6251278271554556E-2]
[null,"Fixed Leg PV",-46863.100023194558,null,4.5,1000000,2.63428E-2,8.9596749593520014E-5,8.9596749593520014E-5,9.3060956583228271E-5,2.643239674959352E-2]
[null,"Float Leg PV",122894.38962475413,null,4.75,1000000,2.6496100000000002E-2,9.6874147388327503E-5,9.6874147388327503E-5,9.8227269796684336E-5,2.6592974147388329E-2]
[null,"Par Rate",2.6224127205397938E-2,null,5,1000000,2.6496100000000002E-2,1.0325586070098272E-4,1.0325586070098272E-4,1.0339712610177298E-4,2.6599355860700984E-2]

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[null,null,null,null,null,null,null,null,"Natural Libor Cashflows - Fixing In-Advance"]
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[]
[]
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[null,null,null,null,null,"N L0 t1"]
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[null,null,null,null,null,null,null,null,null,null,null,null,null,null,"N L3 t4"]
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[]
[null,null,null,"Accrual Period, t1"]
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[null,null,null,null,null,null,null,null,"Unnatural Libor Cashflows - Fixing In-Arrears"]
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[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,"N L3 t3"]
[null,null,null,null,null,"N L1 t1"]
[null,null,null,null,null,null,null,null,"N L2 t2"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,"N L4 t4"]
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[null,null,null,null,null,"Fixing Date =",null,"Natural Payment Date, S"]
[null,null,null,null,"Unnatural Payment Date, T"]
[]
[null,null,null,"Accrual Period, t1"]
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[]
[]
[]
[]
[null,"Forward Libor Rates, L"]
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[]
[]
[null,null,null,null,null,null,null,null,"L3ML(t,T)"]
[]
[]
[]
[null,null,null,null,null,null,"b(T)"]
[null,null,null,null,null,null,null,null,"LOIS(t,T)"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
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[null,null,null,null,null,"Maturity, T"]

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[null,-7,9.86,{"$error":"#N/A"},10,3.0699999999999985,-3.2099999999999991]
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[null,-5,7.5,{"$error":"#N/A"},10,5.0499999999999989,-7.5499999999999989]
[null,-4,7.28,{"$error":"#N/A"},10,6.0399999999999991,-8.759999999999998]
[null,-3,7.54,{"$error":"#N/A"},10,7.0299999999999994,-9.4899999999999984]
[null,-2,8.16,{"$error":"#N/A"},10,8.02,-9.86]
[null,-1,9.02,{"$error":"#N/A"},10,9.01,-9.99]
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[null,2,11.92,{"$error":"#N/A"},10,11.98,-10.06]
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[null,4,13.36,{"$error":"#N/A"},10,13.96,-10.600000000000001]
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[null,6,13.84,{"$error":"#N/A"},10,15.940000000000001,-12.100000000000001]
[null,7,13.57,{"$error":"#N/A"},10,16.93,-13.36]
[null,8,12.879999999999999,{"$error":"#N/A"},10,17.920000000000002,-15.040000000000003]
[null,9,11.71,{"$error":"#N/A"},10,18.910000000000004,-17.200000000000003]
[null,10,10,{"$error":"#N/A"},10,19.900000000000002,-19.900000000000002]
[]
[]
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[null,-0.8,0,0]
[null,-0.70000000000000007,0,0]
[null,-0.60000000000000009,0,0]
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[null,-0.40000000000000013,0,0]
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[null,9.9999999999999867E-2,1,0]
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[null,"Strike, K","Payoff, h(S)","EvaluationPt","Constant","Linear Term","Non-Linear Term"]
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[null,-9,10,{"$error":"#N/A"},10,1,0]
[null,-8,10,{"$error":"#N/A"},10,2,0]
[null,-7,10,{"$error":"#N/A"},10,3,0]
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[null,-4,10,{"$error":"#N/A"},10,6,0]
[null,-3,10,{"$error":"#N/A"},10,7,0]
[null,-2,10,{"$error":"#N/A"},10,8,0]
[null,-1,10,{"$error":"#N/A"},10,9,0]
[null,0,10,10,10,10,0]
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[null,2,12,{"$error":"#N/A"},10,12,0]
[null,3,13,{"$error":"#N/A"},10,13,0]
[null,4,14,{"$error":"#N/A"},10,14,0]
[null,5,15,{"$error":"#N/A"},10,15,0]
[null,6,16,{"$error":"#N/A"},10,16,0]
[null,7,17,{"$error":"#N/A"},10,17,0]
[null,8,18,{"$error":"#N/A"},10,18,0]
[null,9,19,{"$error":"#N/A"},10,19,0]
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[null,"LIBOR IN-ARREARS:  BLOOMBERG VCUB VOL (APPROX 31.5% FLAT VOL)",null,null,null,null,null,null,null,null,null,null,null,null,null,null,"LIBOR IN-ARREARS:  VOL 20%",null,null,null,null,null,null,null,null,null,null,null,null,null,null,"LIBOR IN-ARREARS:  VOL 10%",null,null,null,null,null,null,null,null,null,null,null,null,null,null,"LIBOR IN-ARREARS:  VOL 0%"]