{"text_format":"1","workbook":"xlsx","n_sheets":6,"sheets":["Settings","Discount Factors","Libor Rates","Swaps","Case Study","Cashflow Diagrams"],"not_rendered":{"charts":0,"images":24,"macros":1,"external_links":0,"defined_names":59,"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":"2021-04-04"}]
[]
[]
[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",0.01,5.0000000000000001E-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"]
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[{"$f":"A8+1","v":2},{"$f":"B8+Periodicity","v":"2021-05-24"},{"$f":"C8+0.02%","v":6.8733112772613426E-4},5.8733112772613421E-4,null,{"$f":"F8+Periodicity","v":"2021-05-24"},{"$f":"G8+0.0195%","v":2.9949999999999998E-3},2.895E-3,null,{"$f":"J8+Periodicity","v":"2021-05-24"},{"$f":"K8-0.004%","v":7.4599999999999996E-3},7.3599999999999994E-3,null,{"$f":"N8+Periodicity","v":"2021-05-24"},5.0000000000000001E-3,4.8999999999999998E-3]
[{"$f":"A9+1","v":3},"2021-07-13",{"$f":"C9+0.02%","v":8.8733112772613424E-4},7.8733112772613419E-4,null,"2021-07-13",{"$f":"G9+0.0195%","v":3.1899999999999997E-3},3.0899999999999999E-3,null,"2021-07-13",{"$f":"K9-0.004%","v":7.4199999999999995E-3},7.3199999999999993E-3,null,"2021-07-13",5.0000000000000001E-3,4.8999999999999998E-3]
[4,"2021-09-01",1.0873311277261343E-3,9.8733112772613429E-4,null,"2021-09-01",3.3849999999999996E-3,3.2849999999999997E-3,null,"2021-09-01",7.3799999999999994E-3,7.2799999999999991E-3,null,"2021-09-01",5.0000000000000001E-3,4.8999999999999998E-3]
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[6,"2021-12-10",1.4873311277261345E-3,1.3873311277261345E-3,null,"2021-12-10",3.7749999999999993E-3,3.6749999999999994E-3,null,"2021-12-10",7.2999999999999992E-3,7.1999999999999989E-3,null,"2021-12-10",5.0000000000000001E-3,4.8999999999999998E-3]
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[22,"2024-02-18",4.6873311277261347E-3,4.5873311277261344E-3,null,"2024-02-18",6.8949999999999975E-3,6.7949999999999972E-3,null,"2024-02-18",6.6599999999999975E-3,6.5599999999999973E-3,null,"2024-02-18",5.0000000000000001E-3,4.8999999999999998E-3]
[23,"2024-04-08",4.8873311277261343E-3,4.7873311277261341E-3,null,"2024-04-08",7.0899999999999973E-3,6.9899999999999971E-3,null,"2024-04-08",6.6199999999999974E-3,6.5199999999999972E-3,null,"2024-04-08",5.0000000000000001E-3,4.8999999999999998E-3]
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[28,"2024-12-14",5.8873311277261326E-3,5.7873311277261323E-3,null,"2024-12-14",8.0649999999999975E-3,7.9649999999999981E-3,null,"2024-12-14",6.4199999999999969E-3,6.3199999999999966E-3,null,"2024-12-14",5.0000000000000001E-3,4.8999999999999998E-3]
[29,"2025-02-02",6.0873311277261323E-3,5.987331127726132E-3,null,"2025-02-02",8.2599999999999982E-3,8.1599999999999989E-3,null,"2025-02-02",6.3799999999999968E-3,6.2799999999999965E-3,null,"2025-02-02",5.0000000000000001E-3,4.8999999999999998E-3]
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[31,"2025-05-13",6.4873311277261316E-3,6.3873311277261313E-3,null,"2025-05-13",8.6499999999999997E-3,8.5500000000000003E-3,null,"2025-05-13",6.2999999999999966E-3,6.1999999999999963E-3,null,"2025-05-13",5.0000000000000001E-3,4.8999999999999998E-3]
[32,"2025-07-02",6.6873311277261312E-3,6.587331127726131E-3,null,"2025-07-02",8.8450000000000004E-3,8.745000000000001E-3,null,"2025-07-02",6.2599999999999965E-3,6.1599999999999962E-3,null,"2025-07-02",5.0000000000000001E-3,4.8999999999999998E-3]
[33,"2025-08-21",6.8873311277261309E-3,{"$f":"C40+(BumpSizeLiborRates*0.0001)","v":6.7873311277261306E-3},null,"2025-08-21",9.0400000000000012E-3,{"$f":"G40+(BumpSizeLiborRates*0.0001)","v":8.9400000000000018E-3},null,"2025-08-21",6.2199999999999964E-3,{"$f":"K40+(BumpSizeLiborRates*0.0001)","v":6.1199999999999961E-3},null,"2025-08-21",5.0000000000000001E-3,{"$f":"O40+(BumpSizeLiborRates*0.0001)","v":4.8999999999999998E-3}]
[34,{"$f":"B40+Periodicity","v":"2025-10-10"},7.0873311277261306E-3,6.9873311277261303E-3,null,{"$f":"F40+Periodicity","v":"2025-10-10"},9.2350000000000019E-3,9.1350000000000025E-3,null,{"$f":"J40+Periodicity","v":"2025-10-10"},6.1799999999999963E-3,6.079999999999996E-3,null,{"$f":"N40+Periodicity","v":"2025-10-10"},5.0000000000000001E-3,4.8999999999999998E-3]
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[null,"Accrual Period",{"$f":"IF(C42=\"ANNUAL\",1,IF(C42=\"SEMI-ANNUAL\",0.5,IF(C42=\"QUARTERLY\",0.25,1/12)))","v":1},38,"","","","","","","","","",{"$f":"IF(SUM(K$6:K42)+t_i<=T,TRUE,FALSE)","v":false},38,"","","","","","","","","","","","",{"$f":"IF(SUM(Y$6:Y32)+t_j<=T,TRUE,FALSE)","v":false}]
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[null,"Float Leg PV",{"$f":"-Phi*SUM(PVlets_Float)","v":-18475.21223877064},48,"","","","","","","","","",{"$f":"IF(SUM(K$6:K52)+t_i<=T,TRUE,FALSE)","v":false},48,"","","","","","","","","","","","",{"$f":"IF(SUM(Y$6:Y42)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Spread PV",{"$f":"-Phi*SUMPRODUCT(U6:U55,W6:W55,Y6:Y55,Z6:Z55)/10000","v":0},49,"","","","","","","","","",{"$f":"IF(SUM(K$6:K53)+t_i<=T,TRUE,FALSE)","v":false},49,"","","","","","","","","","","","",{"$f":"IF(SUM(Y$6:Y43)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Total PV",{"$f":"PV_FixedLeg+PV_FloatLeg","v":31872.212942183301},50,"","","","","","","","","",{"$f":"IF(SUM(K$6:K54)+t_i<=T,TRUE,FALSE)","v":false},50,"","","","","","","","","","","","",{"$f":"IF(SUM(Y$6:Y44)+t_j<=T,TRUE,FALSE)","v":false}]
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[null,"Annuity Factors",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"IF(SUM(Y$6:Y47)+t_j<=T,TRUE,FALSE)","v":false}]
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[null,"Annuity, ANFloat",{"$f":"SUMPRODUCT(Y6:Y55,Z6:Z55,U6:U55)","v":5033306.0136598572},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"IF(SUM(Y$6:Y51)+t_j<=T,TRUE,FALSE)","v":false}]
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[null,"Analytical Risk",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"IF(SUM(Y$6:Y53)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Duration, DModFixed",{"$f":"SUMPRODUCT(H6:H55,I6:I55,J6:J55,K6:K55,L6:L55)/SUMPRODUCT(I6:I55,J6:J55,K6:K55,L6:L55)*(1+p)","v":3.0124123995007284},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"IF(SUM(Y$6:Y54)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Duration, DModFloat",{"$f":"SUMPRODUCT(T6:T55,U6:U55,Y6:Y55,X6:X55,Z6:Z55)/SUMPRODUCT(U6:U55,X6:X55,Y6:Y55,Z6:Z55)*(1+p)","v":3.5776417495404544}]
[null,"PV01",{"$f":"Phi*Annuity_Fixed/10000","v":503.47425180953934}]
[null,"DV01",{"$f":"((Phi*Annuity_Fixed)+((PV_Swap-PV_FloatSpread)*DurationFixed)+(PV_FloatSpread*DurationFloat))/10000","v":513.07547675619548}]
[]
[null,"Numerical Risk"]
[null,"Apply Risk Bump",false]
[null,"PV No Bump",31872.520192406428]
[null,"PV With Bump",32384.338245315754]
[null,"Numerical DV01",{"$f":"C73-C72","v":511.81805290932607}]

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[null,"A( Fixed )",{"$f":"SUMPRODUCT(C31:D31,C32:D32,C33:D33)","v":19704000},null,null,"A( Float )",{"$f":"SUMPRODUCT(G31:H31,G32:H32,G33:H33)","v":19704000},null,null,null,null,null,"A( Fixed )",{"$f":"SUMPRODUCT(N31:O31,N32:O32,N33:O33)","v":20000000},null,null,"A( Float )",{"$f":"SUMPRODUCT(R31:S31,R32:S32,R33:S33)","v":20000000}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N36-C36","v":296000},null,null,"+/-",{"$f":"R36-G36","v":296000}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N37/C36","v":1.5022330491270807E-2},null,null,"+/- %",{"$f":"R37/G36","v":1.5022330491270807E-2}]
[]
[]
[]
[]
[null,"Par Rate, p"]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Par Rate Approximation"]
[]
[null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2",null,null,null,null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2"]
[null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000,null,null,null,null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000]
[null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3,null,null,null,null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3]
[null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1,null,null,null,null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1]
[null,"DiscFact, P",0.99,0.98040000000000005,null,"DiscFact, P",0.99,0.98040000000000005,null,null,null,null,"DiscFact, P",1,1,null,"DiscFact, P",1,1]
[]
[null,"A( Fixed )",{"$f":"C36","v":19704000},null,null,"PV( Float )",{"$f":"SUMPRODUCT(G53:H53,G54:H54,G55:H55,G56:H56)","v":78112.56},null,null,null,null,null,"A( Fixed )",{"$f":"N36","v":20000000},null,null,"PV( Float )",{"$f":"SUMPRODUCT(R53:S53,R54:S54,R55:S55,R56:S56)","v":79400}]
[]
[null,"Par Rate, p",{"$f":"G58/C58","v":3.9642996345919607E-3},null,null,null,null,null,null,null,null,null,"Par Rate, p",{"$f":"R58/N58","v":3.9699999999999996E-3}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N60-C60","v":5.7003654080388724E-6}]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Swap PV Approximation"]
[]
[null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2",null,null,null,null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2"]
[null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000,null,null,null,null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000]
[null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3,null,null,null,null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3]
[null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1,null,null,null,null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1]
[null,"DiscFact, P",0.99,0.98040000000000005,null,"DiscFact, P",0.99,0.98040000000000005,null,null,null,null,"DiscFact, P",1,1,null,"DiscFact, P",1,1]
[]
[null,"PV( Fixed )",{"$f":"SUMPRODUCT(C72:D72,C73:D73,C74:D74,C75:D75)","v":295560},null,null,"PV( Float )",{"$f":"SUMPRODUCT(G72:H72,G73:H73,G74:H74,G75:H75)","v":78112.56},null,null,null,null,null,"PV( Fixed )",{"$f":"SUMPRODUCT(N72:O72,N73:O73,N74:O74,N75:O75)","v":300000},null,null,"PV( Float )",{"$f":"SUMPRODUCT(R72:S72,R73:S73,R74:S74,R75:S75)","v":79400}]
[]
[]
[]
[null,"Swap"]
[null,"Swap Type","Receiver",null,null,null,null,null,null,null,null,null,"Swap Type","Receiver"]
[null,"Phi",{"$f":"IF(C82=\"Receiver\",1,-1)","v":1},null,null,null,null,null,null,null,null,null,"Phi",{"$f":"IF(N82=\"Receiver\",1,-1)","v":1}]
[null,"PV( Swap )",{"$f":"C83*(C77-G77)","v":217447.44},null,null,null,null,null,null,null,null,null,"PV( Swap )",{"$f":"N83*(N77-R77)","v":220600}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N84-C84","v":3152.5599999999977}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N85/C84","v":1.4498032260117652E-2}]
[]
[]
[]
[]
[null,"Macaulay's Duration, D"]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Macaulay's Duration Approximation"]
[]
[null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2",null,null,null,null,"Fixed Leg","Cashflow 1","Cashflow 2",null,"Float Leg","Cashflow 1","Cashflow 2"]
[null,"time, t",1,2,null,"time, t",1,2,null,null,null,null,"time, t",1,2,null,"time, t",1,2]
[null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000,null,null,null,null,"notional, N",10000000,10000000,null,"notional, N",10000000,10000000]
[null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3,null,null,null,null,"fixed rate, r",1.4999999999999999E-2,1.4999999999999999E-2,null,"float rate, l",2.8E-3,5.1399999999999996E-3]
[null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1,null,null,null,null,"YearFrac, tau",1,1,null,"YearFrac, tau",1,1]
[null,"DiscFact, P",0.99,0.98040000000000005,null,"DiscFact, P",0.99,0.98040000000000005,null,null,null,null,"DiscFact, P",1,1,null,"DiscFact, P",1,1]
[]
[null,"Numerator",{"$f":"SUMPRODUCT(C96:D96,C97:D97,C98:D98,C99:D99,C100:D100)","v":442620},null,null,"Numerator",{"$f":"SUMPRODUCT(G96:H96,G97:H97,G98:H98,G99:H99,G100:H100)","v":128505.12},null,null,null,null,null,"Numerator",{"$f":"SUMPRODUCT(N96:O96,N97:O97,N98:O98,N99:O99,N100:O100)","v":450000},null,null,"Numerator",{"$f":"SUMPRODUCT(R96:S96,R97:S97,R98:S98,R99:S99,R100:S100)","v":130799.99999999999}]
[null,"Denominator",{"$f":"SUMPRODUCT(C97:D97,C98:D98,C99:D99,C100:D100)","v":295560},null,null,"Denominator",{"$f":"SUMPRODUCT(G97:H97,G98:H98,G99:H99,G100:H100)","v":78112.56},null,null,null,null,null,"Denominator",{"$f":"SUMPRODUCT(N97:O97,N98:O98,N99:O99,N100:O100)","v":300000},null,null,"Denominator",{"$f":"SUMPRODUCT(R97:S97,R98:S98,R99:S99,R100:S100)","v":79400}]
[]
[null,"D( Fixed )",{"$f":"C102/C103","v":1.4975639464068209},null,null,"D ( Float )",{"$f":"G102/G103","v":1.6451274929409561},null,null,null,null,null,"D( Fixed )",{"$f":"N102/N103","v":1.5},null,null,"D ( Float )",{"$f":"R102/R103","v":1.6473551637279595}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N105-C105","v":2.4360535931791105E-3},null,null,"+/-",{"$f":"R105-G105","v":2.2276707870034773E-3}]
[]
[]
[]
[]
[]
[null,"Modified Duration, MD"]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Modified Duration Approximation"]
[]
[null,"Fixed Leg",null,null,null,"Float Leg",null,null,null,null,null,null,"Fixed Leg",null,null,null,"Float Leg"]
[null,"D( Fixed )",{"$f":"C105","v":1.4975639464068209},null,null,"D( Float )",{"$f":"G105","v":1.6451274929409561},null,null,null,null,null,"D( Fixed )",{"$f":"N105","v":1.5},null,null,"D( Float )",{"$f":"R105","v":1.6473551637279595}]
[null,"Par Rate, p",{"$f":"$C$60","v":3.9642996345919607E-3},null,null,"Par Rate, p",{"$f":"$C$60","v":3.9642996345919607E-3},null,null,null,null,null,"Par Rate, p",{"$f":"$N$60","v":3.9699999999999996E-3},null,null,"Par Rate, p",{"$f":"$N$60","v":3.9699999999999996E-3}]
[null,"MD( Fixed )",{"$f":"C117/(1+C118)","v":1.491650596492208},null,null,"MD( Float )",{"$f":"G117/(1+G118)","v":1.6386314668158273},null,null,null,null,null,"MD( Fixed )",{"$f":"N117/(1+N118)","v":1.494068547864976},null,null,"MD( Float )",{"$f":"R117/(1+R118)","v":1.6408410248592682}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N119-C119","v":2.4179513727680124E-3},null,null,"+/-",{"$f":"R119-G119","v":2.2095580434409179E-3}]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Swap PV01 Approximation"]
[null,"Swap PV01"]
[null,"Swap Type","Receiver",null,null,null,null,null,null,null,null,null,"Swap Type","Receiver"]
[null,"Phi",{"$f":"IF(C131=\"Receiver\",1,-1)","v":1},null,null,null,null,null,null,null,null,null,"Phi",{"$f":"IF(N131=\"Receiver\",1,-1)","v":1}]
[null,"A( Fixed )",{"$f":"C36","v":19704000},null,null,null,null,null,null,null,null,null,"A( Fixed )",{"$f":"N36","v":20000000}]
[null,"PV01( Swap )",{"$f":"C132*C133/10000","v":1970.4},null,null,null,null,null,null,null,null,null,"PV01( Swap )",{"$f":"N132*N133/10000","v":2000}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N134-C134","v":29.599999999999909}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N135/C134","v":1.5022330491270761E-2}]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Swap DV01 Approximation"]
[null,"Swap DV01"]
[null,"Swap Type","Receiver",null,null,null,null,null,null,null,null,null,"Swap Type","Receiver"]
[null,"Phi",{"$f":"IF(C144=\"Receiver\",1,-1)","v":1},null,null,null,null,null,null,null,null,null,"Phi",{"$f":"IF(N144=\"Receiver\",1,-1)","v":1}]
[]
[null,"Libor Forecast Rate Risk",null,null,"OIS Discounting Risk ( Swap )",null,null,"OIS Discounting Risk ( Spread )",null,null,null,null,"Libor Forecast Rate Risk",null,null,"OIS Discounting Risk ( Swap )",null,null,"OIS Discounting Risk ( Spread )"]
[null,"PV01( Swap )",{"$f":"C134","v":1970.4},null,"PV( Swap )",{"$f":"C84","v":217447.44},null,"PV( Spread )",0,null,null,null,"PV01( Swap )",{"$f":"N134","v":2000},null,"PV( Swap )",{"$f":"N84","v":220600},null,"PV( Spread )",0]
[null,null,null,null,"MD( Fixed )",{"$f":"C119","v":1.491650596492208},null,"MD( Float )",{"$f":"G119","v":1.6386314668158273},null,null,null,null,null,null,"MD( Fixed )",{"$f":"N119","v":1.494068547864976},null,"MD( Float )",{"$f":"R119","v":1.6408410248592682}]
[null,null,null,null,"OIS Risk",{"$f":"$C$145*F148*F149/10000","v":32.435560358170363},null,"OIS Risk",{"$f":"$C$145*I148*I149/10000","v":0},null,null,null,null,null,null,"OIS Risk",{"$f":"$N$145*Q148*Q149/10000","v":32.959152165901372},null,"OIS Risk",{"$f":"$N$145*T148*T149/10000","v":0}]
[]
[null,"Risk Breakdown",null,null,null,null,null,null,null,null,null,null,"Risk Breakdown"]
[null,"Libor Risk",{"$f":"C145*C148","v":1970.4},"Forecast Risk",null,null,null,null,null,null,null,null,"Libor Risk",{"$f":"N145*N148","v":2000},"Forecast Risk"]
[null,"OIS Risk",{"$f":"F150+I150","v":32.435560358170363},"Discounting Risk",null,null,null,null,null,null,null,null,"OIS Risk",{"$f":"Q150+T150","v":32.959152165901372},"Discounting Risk"]
[null,"DV01( Swap )",{"$f":"C153+C154","v":2002.8355603581704},"Total Risk",null,null,null,null,null,null,null,null,"DV01( Swap )",{"$f":"N153+N154","v":2032.9591521659013},"Total Risk"]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N155-C155","v":30.123591807730918}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N156/C155","v":1.5040471821033508E-2}]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"Hedge Ratio Approximation"]
[]
[null,"DV01( Swap )",{"$f":"C155","v":2002.8355603581704},null,null,null,null,null,null,null,null,null,"DV01( Swap )",{"$f":"N155","v":2032.9591521659013}]
[null,"DV01( Hedge )",5000,null,null,null,null,null,null,null,null,null,"DV01( Hedge )",5000]
[null,"Hedge Ratio",{"$f":"C171/C172","v":0.40056711207163409},null,null,null,null,null,null,null,null,null,"Hedge Ratio",{"$f":"N171/N172","v":0.40659183043318026}]
[]
[null,"Swap Notional",10000000,null,null,null,null,null,null,null,null,null,"Swap Notional",10000000]
[null,"Hedge Qty",{"$f":"C175*C173","v":4005671.1207163408},null,null,null,null,null,null,null,null,null,"Hedge Qty",{"$f":"N175*N173","v":4065918.3043318028}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/-",{"$f":"N176-C176","v":60247.183615461923}]
[null,null,null,null,null,null,null,null,null,null,null,null,"+/- %",{"$f":"N177/C176","v":1.5040471821033529E-2}]

{"sheet":"Cashflow Diagrams","index":5,"n_rows":37,"n_cols":18,"rows_kept":37,"cut":false,"hidden":false,"merged":[[14,8,14,9],[15,5,15,6],[13,11,13,12],[14,14,14,15],[4,5,4,6],[4,8,4,9],[4,11,4,12],[4,14,4,15],[34,8,34,9],[34,14,34,15],[35,5,35,6],[20,2,20,3],[24,5,24,6],[24,8,24,9],[24,11,24,12],[24,14,24,15],[33,11,33,12]]}
[]
[]
[null,null,null,null,null,null,null,null,"Fixed Leg Cashflows"]
[]
[null,null,null,null,null,"N rFixed t1",null,null,"N rFixed t2",null,null,"N rFixed t3",null,null,"N rFixed t4"]
[]
[]
[]
[null,null,null,"t0",null,null,"t1",null,null,"t2",null,null,"t3",null,null,"t4"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"time, t"]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,"N L2 t3"]
[null,null,null,null,null,null,null,null,"N L1 t2",null,null,null,null,null,"N L3 t4"]
[null,null,null,null,null,"N L0 t1"]
[null,null,null,null,null,null,null,null,"Float Leg Cashflows"]
[]
[null,null,"Par Adjustment"]
[]
[null,null,"N( 100 - B )/100"]
[]
[null,null,null,null,null,null,null,null,"Fixed Leg: Bond Coupons"]
[]
[null,null,null,null,null,"N c t1",null,null,"N c t2",null,null,"N c t3",null,null,"N c t4"]
[]
[]
[]
[null,null,null,"t0",null,null,"t1",null,null,"t2",null,null,"t3",null,null,"t4"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"time, t"]
[]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,"N ( L2 + s ) t3"]
[null,null,null,null,null,null,null,null,"N ( L1 + s ) t2",null,null,null,null,null,"N ( L3 + s ) t4"]
[null,null,null,null,null,"N ( L0 + s )t1"]
[null,null,null,null,null,null,null,null,"Float Leg: Funding Coupons + Asset Swap Spread"]