{"text_format":"1","workbook":"xlsx","n_sheets":5,"sheets":["Settings","USD Curve","Swaps","Risk","Jacobian"],"not_rendered":{"charts":1,"images":13,"macros":1,"external_links":0,"defined_names":58,"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":11,"n_cols":4,"rows_kept":11,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,"AsOfDate",{"$f":"TODAY()","v":"2021-04-06"}]
[]
[]
[null,"Swap Market Conventions"]
[null,null,"Convention","USD"]
[null,"Fixed Leg","Frequency","SEMI-ANNUAL"]
[null,null,"Daycount","30/360"]
[null,"Float Leg","Frequency","QUARTERLY"]
[null,null,"Daycount","Act/360"]

{"sheet":"USD Curve","index":1,"n_rows":60,"n_cols":60,"rows_kept":60,"cut":false,"hidden":false,"merged":[]}
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[]
[null,"INSTRUCTIONS",null,null,null,null,null,null,null,null,null,"USD OIS Market Data",null,null,"USD 3ML Market Data",null,null,"Multi-Dimensional Newton-Raphson Algorithm",null,null,null,null,"Tolerance",null,"RMSE",null,"USDOIS Discount Factors",null,null,null,null,"Jacobian, dParRate/dLibor (dp/dL)",null,null,null,null,null,null,null,null,null,null,null,"Inverse Jacobian"]
[null,"1. Enter your initial guess for the USDOIS and USD3ML forward rates in the yellow cells W8:W18",null,null,null,null,null,null,null,null,null,"Tenor","ParRate, p",null,"Tenor","ParRate, p",null,"Xn+1 = Xn - J-1 f( Xn )",null,null,null,null,1E-8,null,{"$f":"SQRT(SUMPRODUCT(Y8:Y17,Y8:Y17))","v":8.7211673713643887E-12},null,"Integrate USDOIS Forward Polynomial",null,null,null,null,"p = PV(Float Leg)/Annuity(Fixed Leg)"]
[null,"2. Enter the solver precission in cell W4",null,null,null,null,null,null,null,null,0,"O/N",1.55E-2,0.25,"3M",1.8871300000000001E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"dpi/dLj = NtjDFj / Ai(Fixed) = DFj / Ai(Fixed), since N=1 and t=1"]
[null,"3. Press the update macro button to globally solve for forward rates",null,null,null,null,null,null,null,null,1,"1Y",1.43591E-2,1,"1Y",1.70896E-2,null,"Iteration: 4",null,null,null,null,"Initial Guess"]
[null,"3. All calculations are performed on this Excel sheet, the macro only copies interation results",null,null,null,null,null,null,null,null,2,"2Y",1.3352299999999999E-2,2,"2Y",1.5920400000000001E-2,null,"Curve","Term","Time, t","Xn+1","Xn","X0","f( Xn )","Epsilon",null,"Time, t","DiscFactor","Integrand",null,null,"dL1YOIS","dL2YOIS","dL3YOIS","dL4YOIS","dL5YOIS","dL1YIRS","dL2YIRS","dL3YIRS","dL4YIRS","dL5YIRS",null,null,"dP1YOIS","dP2YOIS","dP3YOIS","dP4YOIS","dP5YOIS","dP1YIRS","dP2YIRS","dP3YIRS","dP4YIRS","dP5YIRS"]
[null,"4. To see the intermediate results for each iteration, select TRUE in cell AA20",null,null,null,null,null,null,null,null,3,"3Y",1.30753E-2,3,"3Y",1.5602E-2,null,"USDOIS","1Y",1,{"$f":"V8:V17-MMULT(AR8:BA17,X8:X17)","v":1.43591E-2},1.43591E-2,0.02,{"$f":"(SUMPRODUCT($V$8:$V8,$AB$8:$AB8)/SUM($AB$8:$AB8))-$M6","v":0},{"$f":"U8-V8","v":0},null,1,{"$f":"EXP(-AC8)","v":0.98228077410510939},{"$f":"$AS$46*$AA8+$AS$47*$AA8^2+$AS$48*$AA8^3+$AS$49*$AA8^4+$AS$50*$AA8^5","v":1.7878090817897496E-2},null,"dP1YOIS",{"$f":"$AB$8/SUM($AB$8:$AB8)","v":1},0,0,0,0,0,0,0,0,0,null,"dL1YOIS",{"$f":"MINVERSE(AF8:AO17)","v":1},0,0,0,0,0,0,0,0,0]
[null,"5. USDOIS and USD3ML forward rate results are displayed in blue in cells U8:U18",null,null,null,null,null,null,null,null,4,"4Y",1.30355E-2,4,"4Y",1.55999E-2,null,"USDOIS","2Y",2,1.233231033418318E-2,1.2332310331489972E-2,0.02,{"$f":"(SUMPRODUCT($V$8:$V9,$AB$8:$AB9)/SUM($AB$8:$AB9))-$M7","v":-1.3378412960785013E-12},2.6932085034347963E-12,null,2,{"$f":"EXP(-AC9)","v":0.9695787286011891},{"$f":"$AS$46*$AA9+$AS$47*$AA9^2+$AS$48*$AA9^3+$AS$49*$AA9^4+$AS$50*$AA9^5","v":3.0893602231591672E-2},null,"dP2YOIS",{"$f":"$AB$8/SUM($AB$8:$AB9)","v":0.50325383191933348},{"$f":"$AB$9/SUM($AB$8:$AB9)","v":0.49674616808066646},0,0,0,0,0,0,0,0,null,"dL2YOIS",-1.013100581860171,2.0131005818601713,0,0,0,0,0,0,0,0]
[null,"6. USDOIS discount factor results are displayed in blue in cells AB8:AB12",null,null,null,null,null,null,null,null,5,"5Y",1.32192E-2,5,"5Y",1.5736300000000002E-2,null,"USDOIS","3Y",3,1.2510737606168054E-2,1.2510737602308161E-2,0.02,{"$f":"(SUMPRODUCT($V$8:$V10,$AB$8:$AB10)/SUM($AB$8:$AB10))-$M8","v":-2.1679741335489666E-12},3.859893307756046E-12,null,3,{"$f":"EXP(-AC10)","v":0.9576710885397286},{"$f":"$AS$46*$AA10+$AS$47*$AA10^2+$AS$48*$AA10^3+$AS$49*$AA10^4+$AS$50*$AA10^5","v":4.3250891341141656E-2},null,"dP3YOIS",{"$f":"$AB$8/SUM($AB$8:$AB10)","v":0.33760798977694906},{"$f":"$AB$9/SUM($AB$8:$AB10)","v":0.33324232146531929},{"$f":"$AB$10/SUM($AB$8:$AB10)","v":0.32914968875773154},0,0,0,0,0,0,0,null,"dL3YOIS",1.6865017081063214E-16,-2.0381313856749337,3.0381313856749337,0,0,0,0,0,0,0]
[null,"7. For comparison live market data par rates, discount factors and forwards are shown in cells L4:P18",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"USDOIS","4Y",4,1.2913035464723036E-2,1.2913035463721353E-2,0.02,{"$f":"(SUMPRODUCT($V$8:$V11,$AB$8:$AB11)/SUM($AB$8:$AB11))-$M9","v":-1.8819078240195353E-12},1.0016831114567637E-12,null,4,{"$f":"EXP(-AC11)","v":0.945574302549679},{"$f":"$AS$46*$AA11+$AS$47*$AA11^2+$AS$48*$AA11^3+$AS$49*$AA11^4+$AS$50*$AA11^5","v":5.5962808514209698E-2},null,"dP4YOIS",{"$f":"$AB$8/SUM($AB$8:$AB11)","v":0.25480001223467702},{"$f":"$AB$9/SUM($AB$8:$AB11)","v":0.25150514844916433},{"$f":"$AB$10/SUM($AB$8:$AB11)","v":0.24841635050734326},{"$f":"$AB$11/SUM($AB$8:$AB11)","v":0.24527848880881523},0,0,0,0,0,0,null,"dL4YOIS",5.5511151231257852E-17,0,-3.0769983737932272,4.0769983737932272,0,0,0,0,0,0]
[null,null,null,null,null,null,null,null,null,null,null,"USD OIS Discount Factors",null,null,"USD 3ML Forward Rates",null,null,"USDOIS","5Y",5,1.39781783304254E-2,1.3978178334311966E-2,0.02,{"$f":"(SUMPRODUCT($V$8:$V12,$AB$8:$AB12)/SUM($AB$8:$AB12))-$M10","v":-7.5780354213961232E-13},-3.8865664159226654E-12,null,5,{"$f":"EXP(-AC12)","v":0.93307376587858482},{"$f":"$AS$46*$AA12+$AS$47*$AA12^2+$AS$48*$AA12^3+$AS$49*$AA12^4+$AS$50*$AA12^5","v":6.9271018153379785E-2},null,"dP5YOIS",{"$f":"$AB$8/SUM($AB$8:$AB12)","v":0.20514705985760515},{"$f":"$AB$9/SUM($AB$8:$AB12)","v":0.20249426713479049},{"$f":"$AB$10/SUM($AB$8:$AB12)","v":0.20000738414486663},{"$f":"$AB$11/SUM($AB$8:$AB12)","v":0.19748099846675318},{"$f":"$AB$12/SUM($AB$8:$AB12)","v":0.19487029039598447},0,0,0,0,0,null,"dL5YOIS",-2.2935090300213447E-16,5.697241084667845E-16,-5.697241084667845E-16,-4.1316185651899975,5.1316185651899975,0,0,0,0,0]
[null,"ASSUMPTIONS",null,null,null,null,null,null,null,null,null,"Tenor","DiscFact",null,"Tenor","ForwardRate",null,"USD3ML","1Y",1,1.70896E-2,1.70896E-2,0.02,{"$f":"(SUMPRODUCT($V$13:$V13,$AB$8:$AB8)/SUM($AB$8:$AB8))-$P6","v":0},0,null,null,null,null,null,"dP1YIRS",0,0,0,0,0,{"$f":"$AB$8/SUM($AB$8:$AB8)","v":1},0,0,0,0,null,"dL1YIRS",0,0,0,0,0,1,0,0,0,0]
[null,"For simplicity and brevity we assume,",null,null,null,null,null,null,null,null,null,"1Y",0.98566900000000002,null,"1Y",1.6799999999999999E-2,null,"USD3ML","2Y",2,1.4735882799689095E-2,1.4735882796561463E-2,0.02,{"$f":"(SUMPRODUCT($V$13:$V14,$AB$8:$AB9)/SUM($AB$8:$AB9))-$P7","v":-1.5536391617665402E-12},3.1276318340767162E-12,null,null,null,null,null,"dP2YIRS",0,0,0,0,0,{"$f":"$AB$8/SUM($AB$8:$AB9)","v":0.50325383191933348},{"$f":"$AB$9/SUM($AB$8:$AB9)","v":0.49674616808066646},0,0,0,null,"dL2YIRS",0,0,0,0,0,-1.013100581860171,2.0131005818601713,0,0,0]
[null,"1. We assume all swaps have annualized coupons",null,null,null,null,null,null,null,null,null,"2Y",0.97340300000000002,null,"2Y",1.47E-2,null,"USD3ML","3Y",3,1.4953058966801099E-2,1.4953058962364322E-2,0.02,{"$f":"(SUMPRODUCT($V$13:$V15,$AB$8:$AB10)/SUM($AB$8:$AB10))-$P8","v":-2.5026231087466044E-12},4.4367773344156092E-12,null,null,null,null,null,"dP3YIRS",0,0,0,0,0,{"$f":"$AB$8/SUM($AB$8:$AB10)","v":0.33760798977694906},{"$f":"$AB$9/SUM($AB$8:$AB10)","v":0.33324232146531929},{"$f":"$AB$10/SUM($AB$8:$AB10)","v":0.32914968875773154},0,0,null,"dL3YIRS",0,0,0,0,0,1.6865017081063214E-16,-2.0381313856749337,3.0381313856749337,0,0]
[null,"2. There are no holidays and that all year fractions are based on a regular 30/360 daycount basis",null,null,null,null,null,null,null,null,null,"3Y",0.96081000000000005,null,"3Y",1.4999999999999999E-2,null,"USD3ML","4Y",4,1.5593438303415037E-2,1.5593438303362189E-2,0.02,{"$f":"(SUMPRODUCT($V$13:$V16,$AB$8:$AB11)/SUM($AB$8:$AB11))-$P9","v":-1.901746121690806E-12},5.2848350695633428E-14,null,null,null,null,null,"dP4YIRS",0,0,0,0,0,{"$f":"$AB$8/SUM($AB$8:$AB11)","v":0.25480001223467702},{"$f":"$AB$9/SUM($AB$8:$AB11)","v":0.25150514844916433},{"$f":"$AB$10/SUM($AB$8:$AB11)","v":0.24841635050734326},{"$f":"$AB$11/SUM($AB$8:$AB11)","v":0.24527848880881523},0,null,"dL4YIRS",0,0,0,0,0,5.5511151231257852E-17,0,-3.0769983737932272,4.0769983737932272,0]
[null,"3. We assume OIS Swaps are determined by a single fixing in-advance for simplicity. In practise",null,null,null,null,null,null,null,null,null,"4Y",0.94769999999999999,null,"4Y",1.5600000000000001E-2,null,"USD3ML","5Y",5,1.6299852772291925E-2,1.6299852775177748E-2,0.02,{"$f":"(SUMPRODUCT($V$13:$V17,$AB$8:$AB12)/SUM($AB$8:$AB12))-$P10","v":-9.6879101962876746E-13},-2.8858235245898811E-12,null,null,null,null,null,"dP5YIRS",0,0,0,0,0,{"$f":"$AB$8/SUM($AB$8:$AB12)","v":0.20514705985760515},{"$f":"$AB$9/SUM($AB$8:$AB12)","v":0.20249426713479049},{"$f":"$AB$10/SUM($AB$8:$AB12)","v":0.20000738414486663},{"$f":"$AB$11/SUM($AB$8:$AB12)","v":0.19748099846675318},{"$f":"$AB$12/SUM($AB$8:$AB12)","v":0.19487029039598447},null,"dL5YIRS",0,0,0,0,0,-2.2935090300213447E-16,5.697241084667845E-16,-5.697241084667845E-16,-4.1316185651899975,5.1316185651899975]
[null,"hower OIS Swap effective forward rates comprise of averaged or compounded daily fixing rates,",null,null,null,null,null,null,null,null,null,"5Y",0.93433100000000002,null,"5Y",1.6299999999999999E-2]
[null,"which are set In-Arrears.",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"ShowIterations",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Forward Rates Table",null,null,null,null,"Forward Rates Table",null,null,null,null,null,"Discount Factor Table"]
[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,null,false]
[null,"OVERVIEW",null,null,null,null,null,null,null,null,null,null,null,"Iteration Results",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,null,null,null,null,"USDOIS",null,null,null,null,"USD3ML",null,null,null,null,null,"USDOIS"]
[null,"We globally solve for USD discount factors & forward rates using the multi-dimensional",null,null,null,null,null,null,null,null,null,"Curve","Term","X0","X1","X2","X3","X4","X5","X6","X7","X8","X9","X10",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"x","y","Xn+1","Check",null,"x","y","Xn+1","Check",null,null,"x","Integrand","DiscFactor",null,"ZeroRate","BumpedDF*"]
[null,"Newton-Raphson formula,",null,null,null,null,null,null,null,null,null,"USDOIS","1Y",0.02,1.43591E-2,1.43591E-2,1.43591E-2,1.43591E-2,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,0,{"$f":"$AO$46+$AO$47*$AR23+$AO$48*$AR23^2+$AO$49*$AR23^3+$AO$50*$AR23^4","v":2.2992773723248476E-2},null,null,null,0,{"$f":"$AO$54+$AO$55*$AW23+$AO$56*$AW23^2+$AO$57*$AW23^3+$AO$58*$AW23^4","v":2.5952422915628808E-2},null,null,null,null,{"$f":"AR23","v":0},{"$f":"$AS$46*$BC23+$AS$47*$BC23^2+$AS$48*$BC23^3+$AS$49*$BC23^4+$AS$50*$BC23^5","v":0},{"$f":"EXP(-BD23)","v":1},null,0,{"$f":"EXP(-(BG23-0.0001)*BC23)","v":1}]
[null,"Xn+1 = Xn - J-1 . f( Xn )",null,null,null,null,null,null,null,null,null,"USDOIS","2Y",0.02,1.2325161290861229E-2,1.2332315148777489E-2,1.2332310331489972E-2,1.233231033418318E-2,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,0.5,1.7480428379837029E-2,null,null,null,0.5,2.0391292700577962E-2,null,null,null,null,0.5,1.0000489030943478E-2,0.99004934958428215,null,{"$f":"-LN(BE24)/BC24","v":2.0000978061886967E-2},0.99009885328934366]
[null,null,null,null,null,null,null,null,null,null,null,"USDOIS","3Y",0.02,1.2504399644361154E-2,1.2510742929031742E-2,1.2510737602308161E-2,1.2510737606168054E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"AR24+0.5","v":1},1.435909999972031E-2,{"$f":"U8","v":1.43591E-2},{"$f":"AT25-AS25","v":2.7968946603174061E-13},null,{"$f":"AW24+0.5","v":1},1.7089599999667488E-2,{"$f":"U13","v":1.70896E-2},{"$f":"AY25-AX25","v":3.3251179587523438E-13},null,null,1,1.7878090817897496E-2,0.98228077410510939,null,1.7878090817897485E-2,0.98237900709408754]
[null,"where",null,null,null,null,null,null,null,null,null,"USDOIS","4Y",0.02,1.2911210623301441E-2,1.2913036792530825E-2,1.2913035463721353E-2,1.2913035464723036E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,1.5,1.2851675121455186E-2,null,null,null,1.5,1.5387206818401535E-2,null,null,null,null,1.5,2.4627732558483734E-2,0.97567305574306595,null,1.6418488372322456E-2,0.97581941767829816]
[null,"Xn is the Forward Rate of the nth solver iteration",null,null,null,null,null,null,null,null,null,"USDOIS","5Y",0.02,1.3991867133315846E-2,1.3978175463909859E-2,1.3978178334311966E-2,1.39781783304254E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,2,1.2332310331555921E-2,{"$f":"U9","v":1.233231033418318E-2},{"$f":"AT27-AS27","v":2.6272595210485861E-12},null,2,1.4735882796638419E-2,{"$f":"U14","v":1.4735882799689095E-2},{"$f":"AY27-AX27","v":3.0506760312354331E-12},null,null,2,3.0893602231591672E-2,0.9695787286011891,null,1.544680111579586E-2,0.96977266373977677]
[null,"f(Xn) is the target function, which is the Par Rate for the respective swap tenor",null,null,null,null,null,null,null,null,null,"USD3ML","1Y",0.02,1.70896E-2,1.70896E-2,1.70896E-2,1.70896E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,2.5,1.2326432264494196E-2,null,null,null,2.5,1.4699305208590667E-2,null,null,null,null,2.5,3.7044783621357269E-2,0.96363297940824377,null,1.4817913448542924E-2,0.96387391776913611]
[null,"J = f'(Xn) is the Jacobian or first derivative of the target function / Par Rate with respect to Xn",null,null,null,null,null,null,null,null,null,"USD3ML","2Y",0.02,1.4727580593240915E-2,1.4735888390892569E-2,1.4735882796561463E-2,1.4735882799689095E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,3,1.2510737602699116E-2,{"$f":"U10","v":1.2510737606168054E-2},{"$f":"AT29-AS29","v":3.468938677975153E-12},null,3,1.4953058962824992E-2,{"$f":"U15","v":1.4953058966801099E-2},{"$f":"AY29-AX29","v":3.9761076375821602E-12},null,null,3,4.3250891341141656E-2,0.9576710885397286,null,1.4416963780380562E-2,0.9579584329657993]
[null,"J-1 is the inverse Jacobian",null,null,null,null,null,null,null,null,null,"USD3ML","3Y",0.02,1.4945773742832453E-2,1.4953065085211941E-2,1.4953058962364322E-2,1.4953058966801099E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,3.5,1.2713193076557187E-2,null,null,null,3.5,1.5284636602262262E-2,null,null,null,null,3.5,4.9557705857509918E-2,0.9516502407587577,null,1.4159344530717129E-2,0.95198337663840149]
[null,null,null,null,null,null,null,null,null,null,null,"USD3ML","4Y",0.02,1.5593342017812374E-2,1.5593438373475247E-2,1.5593438303362189E-2,1.5593438303415037E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,4,1.2913035464412331E-2,{"$f":"U11","v":1.2913035464723036E-2},{"$f":"AT31-AS31","v":3.1070458705872994E-13},null,4,1.5593438304177601E-2,{"$f":"U16","v":1.5593438303415037E-2},{"$f":"AY31-AX31","v":-7.6256362335769268E-13},null,null,4,5.5962808514209698E-2,0.945574302549679,null,1.3990702128552426E-2,0.94595260792673019]
[null,"For a given forward rate we imply discount factors by integrating over u from t to T,",null,null,null,null,null,null,null,null,null,"USD3ML","5Y",0.02,1.6310016913360273E-2,1.6299850643861219E-2,1.6299852775177748E-2,1.6299852772291925E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,4.5,1.324077159256587E-2,null,null,null,4.5,{"$f":"$AO$54+$AO$55*$AW32+$AO$56*$AW32^2+$AO$57*$AW32^3+$AO$58*$AW32^4","v":1.5890771880200244E-2},null,null,null,null,4.5,6.2491216556149969E-2,0.93942131413160246,null,1.3886937012477766E-2,0.93984414885363876]
[null,"P(t,T) = exp( - ∫ f(u) du )",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,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,5,1.397817833527662E-2,{"$f":"U12","v":1.39781783304254E-2},{"$f":"AT33-AS33","v":-4.8512201200612282E-12},null,5,{"$f":"$AO$54+$AO$55*$AW33+$AO$56*$AW33^2+$AO$57*$AW33^3+$AO$58*$AW33^4","v":1.6299852776313691E-2},{"$f":"U17","v":1.6299852772291925E-2},{"$f":"AY33-AX33","v":-4.0217655594698698E-12},null,null,5,6.9271018153379785E-2,0.93307376587858482,null,1.3854203630675957E-2,0.93354041941518628]
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[null,"where"]
[null,"P(t,T) is the discount factor at time t for payment date T"]
[null,"f(u) is the OIS forward rate at time u"]
[]
[null,"Finally we integrate f(u) by assuming all forward rates fit a well-defined polynomial"]
[]
[]
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[]
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[]
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[null,"Refresh"]
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[null,"Swap Trade Details",null,null,"Fixed Leg",null,null,null,null,null,null,null,null,null,null,"Float Leg"]
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[null,"Fixed Frequency",{"$f":"FixedLegFrequencySelected","v":"ANNUAL"},4,"2024-04-05","2025-04-05","2025-04-05",4,1000000,0.01,1,0.945574302549679,9455.7430254967894,null,4,"2024-04-05","2024-04-05","2025-04-05","2025-04-05",4,1000000,1.5593438304177601E-2,0,1.5593438304177601E-2,1,0.945574302549679,14744.754548824183,null,null,null,{"$f":"IF(SUM(K$6:K8)+t_i<=T,TRUE,FALSE)","v":true},{"$f":"IF(SUM(Y$6:Y8)+t_j<=T,TRUE,FALSE)","v":true}]
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[null,"Use Market Standard Conventions",null,32,"","","","","","","","","",null,32,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K36)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y36)+t_j<=T,TRUE,FALSE)","v":false}]
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[null,"Selected Freq",{"$f":"IF(OverrideMarketFrequency,\"ANNUAL\",C41)","v":"ANNUAL"},37,"","","","","","","","","",null,37,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K41)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y41)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Accrual Period",{"$f":"IF(C42=\"ANNUAL\",1,IF(C42=\"SEMI-ANNUAL\",0.5,IF(C42=\"QUARTERLY\",0.25,1/12)))","v":1},38,"","","","","","","","","",null,38,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K42)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y42)+t_j<=T,TRUE,FALSE)","v":false}]
[null,null,null,39,"","","","","","","","","",null,39,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K43)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y43)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Float Leg",null,40,"","","","","","","","","",null,40,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K44)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y44)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Market Freq",{"$f":"INDIRECT(Currency&\".Float.Period\")","v":"QUARTERLY"},41,"","","","","","","","","",null,41,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K45)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y45)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Selected Freq",{"$f":"IF(OverrideMarketFrequency,\"ANNUAL\",C46)","v":"ANNUAL"},42,"","","","","","","","","",null,42,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K46)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y46)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Accrual Period",{"$f":"IF(C47=\"ANNUAL\",1,IF(C47=\"SEMI-ANNUAL\",0.5,IF(C47=\"QUARTERLY\",0.25,1/12)))","v":1},43,"","","","","","","","","",null,43,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K47)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y47)+t_j<=T,TRUE,FALSE)","v":false}]
[null,null,null,44,"","","","","","","","","",null,44,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K48)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y48)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Swap Pricing & Risk Calculations",null,45,"","","","","","","","","",null,45,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K49)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y49)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Swap Pricing",null,46,"","","","","","","","","",null,46,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K50)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y50)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Fixed Leg PV",{"$f":"Phi*SUM(PVlets_Fixed)","v":-47881.78659674291},47,"","","","","","","","","",null,47,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K51)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y51)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Float Leg PV",{"$f":"-Phi*SUM(PVlets_Float)","v":75348.215839613928},48,"","","","","","","","","",null,48,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K52)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y52)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Spread PV",{"$f":"-Phi*SUMPRODUCT(U6:U55,W6:W55,Y6:Y55,Z6:Z55)/10000","v":0},49,"","","","","","","","","",null,49,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K53)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y53)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Total PV",{"$f":"PV_FixedLeg+PV_FloatLeg","v":27466.429242871018},50,"","","","","","","","","",null,50,"","","","","","","","","","","","",null,null,null,{"$f":"IF(SUM(K$6:K54)+t_i<=T,TRUE,FALSE)","v":false},{"$f":"IF(SUM(Y$6:Y54)+t_j<=T,TRUE,FALSE)","v":false}]
[null,"Par Rate, p",{"$f":"ABS(PV_FloatLeg)/Annuity_Fixed","v":1.5736299999453109E-2}]
[]
[null,"Annuity Factors"]
[null,"Annuity, AFixed",{"$f":"SUMPRODUCT(K6:K55,L6:L55)","v":4.7881786596742915}]
[null,"Annuity, AFloat",{"$f":"SUMPRODUCT(Y6:Y55,Z6:Z55)","v":4.7881786596742915}]
[null,"Annuity, ANFixed",{"$f":"SUMPRODUCT(K6:K55,L6:L55,I6:I55)","v":4788178.6596742906}]
[null,"Annuity, ANFloat",{"$f":"SUMPRODUCT(Y6:Y55,Z6:Z55,U6:U55)","v":4788178.6596742906}]
[]
[null,"Analytical Risk"]
[null,"Duration, DModFixed",{"$f":"SUMPRODUCT(H6:H55,I6:I55,J6:J55,K6:K55,L6:L55)/SUMPRODUCT(I6:I55,J6:J55,K6:K55,L6:L55)*(1+p)","v":3.0212397654527954}]
[null,"Duration, DModFloat",{"$f":"SUMPRODUCT(T6:T55,U6:U55,Y6:Y55,X6:X55,Z6:Z55)/SUMPRODUCT(U6:U55,X6:X55,Y6:Y55,Z6:Z55)*(1+p)","v":3.0108318059492776}]
[null,"PV01",{"$f":"Phi*Annuity_Fixed/10000","v":-478.81786596742904}]
[null,"DV01",{"$f":"((Phi*Annuity_Fixed)+((PV_Swap-PV_FloatSpread)*DurationFixed)+(PV_FloatSpread*DurationFloat))/10000","v":-470.51959914307332}]
[]
[null,"Numerical Risk"]
[null,"Apply Risk Bump",false]
[null,"PV No Bump",16299.190365067956]
[null,"PV With Bump",16011.21747525809]
[null,"Numerical DV01",{"$f":"C73-C72","v":-287.97288980986559}]

{"sheet":"Risk","index":3,"n_rows":26,"n_cols":16,"rows_kept":26,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Curve Jacobian, J = dL/dP",null,null,null,null,null,null,"Shift Size, dP"]
[null,"Change in Libor rate per unit change in market par rates",null,null,null,null,null,null,"Change in market par rates"]
[]
[null,null,"dP1YIRS","dP2YIRS","dP3YIRS","dP4YIRS","dP5YIRS",null,null,"Shift, Bps","Shift, %"]
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[null,"dL2YIRS",{"$f":"'USD Curve'!AW14","v":-1.013100581860171},{"$f":"'USD Curve'!AX14","v":2.0131005818601713},{"$f":"'USD Curve'!AY14","v":0},{"$f":"'USD Curve'!AZ14","v":0},{"$f":"'USD Curve'!BA14","v":0},null,"dP2YIRS",1,{"$f":"J7/10000","v":1E-4}]
[null,"dL3YIRS",{"$f":"'USD Curve'!AW15","v":1.6865017081063214E-16},{"$f":"'USD Curve'!AX15","v":-2.0381313856749337},{"$f":"'USD Curve'!AY15","v":3.0381313856749337},{"$f":"'USD Curve'!AZ15","v":0},{"$f":"'USD Curve'!BA15","v":0},null,"dP3YIRS",1,{"$f":"J8/10000","v":1E-4}]
[null,"dL4YIRS",{"$f":"'USD Curve'!AW16","v":5.5511151231257852E-17},{"$f":"'USD Curve'!AX16","v":0},{"$f":"'USD Curve'!AY16","v":-3.0769983737932272},{"$f":"'USD Curve'!AZ16","v":4.0769983737932272},{"$f":"'USD Curve'!BA16","v":0},null,"dP4YIRS",1,{"$f":"J9/10000","v":1E-4}]
[null,"dL5YIRS",{"$f":"'USD Curve'!AW17","v":-2.2935090300213447E-16},{"$f":"'USD Curve'!AX17","v":5.697241084667845E-16},{"$f":"'USD Curve'!AY17","v":-5.697241084667845E-16},{"$f":"'USD Curve'!AZ17","v":-4.1316185651899975},{"$f":"'USD Curve'!BA17","v":5.1316185651899975},null,"dP5YIRS",1,{"$f":"J10/10000","v":1E-4}]
[]
[]
[null,"Swap Jacobian, dS/dL",null,null,null,null,null,null,"Risk, dS/dP = dS/dL x dL/dP"]
[null,"Change in swap value per unit change in Libor Rate",null,null,null,null,null,null,"Change in swap value per unit change in market par rates"]
[]
[null,null,"dL1Y","dL2Y","dL3Y","dL4Y","dL5Y",null,null,"dP1YIRS","dP2YIRS","dP3YIRS","dP4YIRS","dP5YIRS","Total"]
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[null,"dS2YIRS",{"$f":"-Phi*N*'USD Curve'!$AB$8*$K$6","v":98.228077410510949},{"$f":"-Phi*N*'USD Curve'!$AB$9*$K$7","v":96.957872860118911},0,0,0,null,"dS2YIRS",{"$f":"MMULT($C18:$G18,$C$6:$G$10)","v":0},195.18595027062989,0,0,0,195.18595027062989,"IRS(2Y)"]
[null,"dS3YIRS",{"$f":"-Phi*N*'USD Curve'!$AB$8*$K$6","v":98.228077410510949},{"$f":"-Phi*N*'USD Curve'!$AB$9*$K$7","v":96.957872860118911},{"$f":"-Phi*N*'USD Curve'!$AB$10*$K$8","v":95.767108853972857},0,0,null,"dS3YIRS",{"$f":"MMULT($C19:$G19,$C$6:$G$10)","v":1.6151139266262924E-14},-2.8421709430404007E-14,290.95305912460276,0,0,290.95305912460276,"IRS(3Y)"]
[null,"dS4YIRS",{"$f":"-Phi*N*'USD Curve'!$AB$8*$K$6","v":98.228077410510949},{"$f":"-Phi*N*'USD Curve'!$AB$9*$K$7","v":96.957872860118911},{"$f":"-Phi*N*'USD Curve'!$AB$10*$K$8","v":95.767108853972857},{"$f":"-Phi*N*'USD Curve'!$AB$11*$K$9","v":94.557430254967898},0,null,"dS4YIRS",{"$f":"MMULT($C20:$G20,$C$6:$G$10)","v":2.1400131077185563E-14},-2.8421709430404007E-14,5.6843418860808015E-14,385.51048937957063,0,385.51048937957069,"IRS(4Y)"]
[null,"dS5YIRS",{"$f":"-Phi*N*'USD Curve'!$AB$8*$K$6","v":98.228077410510949},{"$f":"-Phi*N*'USD Curve'!$AB$9*$K$7","v":96.957872860118911},{"$f":"-Phi*N*'USD Curve'!$AB$10*$K$8","v":95.767108853972857},{"$f":"-Phi*N*'USD Curve'!$AB$11*$K$9","v":94.557430254967898},{"$f":"-Phi*N*'USD Curve'!$AB$12*$K$10","v":93.307376587858485},null,"dS5YIRS",{"$f":"MMULT($C21:$G21,$C$6:$G$10)","v":-3.1554436208840472E-30},2.4737752509488187E-14,3.6839569209158207E-15,0,478.8178659674291,478.81786596742916,"IRS(5Y)"]
[null,"dS4Y,5YIRS",0,0,0,0,{"$f":"-Phi*N*'USD Curve'!$AB$12*$K$10","v":93.307376587858485},"*","dS4Y,5YIRS",{"$f":"MMULT($C22:$G22,$C$6:$G$10)","v":-2.1400131077185566E-14},5.3159461939892194E-14,-5.3159461939892194E-14,-385.51048937957063,478.8178659674291,93.307376587858471,"Forward IRS(4Y,5Y)"]
[null,"dS4.5YIRS",{"$f":"-Phi*N*'USD Curve'!$AB$8*$K$6","v":98.228077410510949},{"$f":"-Phi*N*'USD Curve'!$AB$9*$K$7","v":96.957872860118911},{"$f":"-Phi*N*'USD Curve'!$AB$10*$K$8","v":95.767108853972857},{"$f":"-Phi*N*'USD Curve'!$AB$11*$K$9","v":94.557430254967898},{"$f":"-Phi*N*'USD Curve'!$AB$12*$K$10/2","v":46.653688293929243},"**","dS4.5YIRS",{"$f":"MMULT($C23:$G23,$C$6:$G$10)","v":1.070006553859278E-14},-1.8419784604579104E-15,3.0263687890861921E-14,192.75524468978531,239.40893298371455,432.16417767349992,"IRS(4.5Y)"]
[]
[null,"*     Forward Starting Swap: Start 4Y, End 5Y, Equivalent to Long 5Y + Short 4Y"]
[null,"**   4.5Y IRS Carries 50% Risk of 4Y and 50% Risk of 5Y IRS"]

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[null,"Initial Guess, X0",null,"Par Rates, p",null,null,"Discount Factors, P(ti)",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Bloomberg Curve Par Rate Quotes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Bloomberg USD 5Y Par Swap",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"https://slideplayer.com/slide/5302065/"]
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[null,0.02,null,"2Y",1.6080000000000001E-2,null,"2Y",0.97381099999999998]
[null,0.02,null,"3Y",1.5663199999999999E-2,null,"3Y",0.96174499999999996,null,"where X = { L1, L2, L3, L4, L5 } "]
[null,0.02,null,"4Y",1.55438E-2,null,"4Y",0.94934399999999997,null,"and f(X) = { p1, p2, p3, p4, p5 }"]
[null,0.02,null,"5Y",1.6080000000000001E-2,null,"5Y",0.97381099999999998]
[null,0.02,null,"10Y",1.5663199999999999E-2,null,"10Y",0.96174499999999996]
[null,0.02,null,"20Y",1.55438E-2,null,"20Y",0.94934399999999997]
[null,0.02,null,"30Y",1.55978E-2,null,"30Y",0.93669100000000005]
[null,null,null,null,null,null,null,null,null,"Derivative Matrices",null,null,null,null,null,null,"1.   Analytical Risk"]
[null,null,null,null,null,null,null,null,null,"J =  f '( Xn ) = dp/dL",null,null,null,null,null,null,"PV01 = Shift Size . J . Annuity"]
[null,null,null,"Multi-Dimension Newton-Raphson"]
[null,null,null,null,null,null,null,null,null,null,"L1","L2","L3","L4","L5",null,"Tenor","ShiftSize","dP","Annuity","PV01 *"]
[null,null,null,"Iteration, n","Xn+1","Xn","f( Xn )","Convergence Check",null,"f1",{"$f":"$H4/SUM($H$4:$H4)","v":1},0,0,0,0,null,"1Y",1E-4,{"$f":"MMULT(K16:O20,R16:R20)","v":1E-4},{"$f":"1000000*SUM($H$4:H4)","v":985846},{"$f":"S16*T16","v":98.584600000000009}]
[null,null,null,1,{"$f":"F17:F21-MMULT($K$27:$O$31,G17:G21)","v":1.7335699999999999E-2},{"$f":"B4","v":0.02},{"$f":"SUMPRODUCT(F17:F17,$H$4:$H$4)/SUM($H$4:$H$4)-$E$4","v":2.6643000000000014E-3},{"$f":"E17-F17","v":-2.6643000000000014E-3},null,"f2",{"$f":"$H$5/SUM($H$4:$H5)","v":0.4969293095679499},{"$f":"$H$5/SUM($H$4:$H5)","v":0.4969293095679499},0,0,0,null,"2Y",1E-4,9.9385861913589977E-5,{"$f":"1000000*SUM($H$4:H5)","v":1959657},{"$f":"S17*T17","v":194.76220000000001}]
[null,null,null,null,1.4775854048988974E-2,{"$f":"B5","v":0.02},{"$f":"SUMPRODUCT(F17:F18,$H$4:$H$5)/SUM($H$4:$H$5)-$E$5","v":3.9199999999999999E-3},-5.2241459510110264E-3,null,"f3",{"$f":"$H$5/SUM($H$4:$H6)","v":0.33333687044781923},{"$f":"$H$5/SUM($H$4:$H6)","v":0.33333687044781923},{"$f":"$H$6/SUM($H$4:$H6)","v":0.32920666173296242},0,0,null,"3Y",1E-4,9.9588040262860099E-5,{"$f":"1000000*SUM($H$4:H6)","v":2921402},{"$f":"S18*T18","v":290.93670000000003}]
[null,null,null,null,1.4813925984954426E-2,{"$f":"B6","v":0.02},{"$f":"SUMPRODUCT(F17:F19,$H$4:$H$6)/SUM($H$4:$H$6)-$E$6","v":4.3368000000000018E-3},-5.1860740150455747E-3,null,"f4",{"$f":"$H$5/SUM($H$4:$H7)","v":0.25158225313673382},{"$f":"$H$5/SUM($H$4:$H7)","v":0.25158225313673382},{"$f":"$H$6/SUM($H$4:$H7)","v":0.24846502457149086},{"$f":"$H$7/SUM($H$4:$H7)","v":0.24526124938190208},0,null,"4Y",1E-4,9.9689078022686064E-5,{"$f":"1000000*SUM($H$4:H7)","v":3870746},{"$f":"S19*T19","v":385.87110000000001}]
[null,null,null,null,1.5176372177419363E-2,{"$f":"B7","v":0.02},{"$f":"SUMPRODUCT(F17:F20,$H$4:$H$7)/SUM($H$4:$H$7)-$E$7","v":4.4562000000000004E-3},-4.8236278225806378E-3,null,"f5",{"$f":"$H$5/SUM($H$4:$H8)","v":0.201011361823176},{"$f":"$H$5/SUM($H$4:$H8)","v":0.201011361823176},{"$f":"$H$6/SUM($H$4:$H8)","v":0.19852073161694661},{"$f":"$H$7/SUM($H$4:$H8)","v":0.19596095164119237},{"$f":"$H$8/SUM($H$4:$H8)","v":0.201011361823176},null,"5Y",1E-4,9.9751576872766706E-5,{"$f":"1000000*SUM($H$4:H8)","v":4844557},{"$f":"S20*T20","v":483.25220000000007}]
[null,null,null,null,1.821131090653115E-2,{"$f":"B8","v":0.02},{"$f":"SUMPRODUCT(F17:F21,$H$4:$H$8)/SUM($H$4:$H$8)-$E$8","v":3.9199999999999999E-3},-1.7886890934688503E-3,null,null,null,null,null,null,null,null,"* PV01 = PV Change for 1 Basis Point Libor Rate Change"]
[null,null,null,2,{"$f":"F22:F26-MMULT($K$27:$O$31,G22:G26)","v":1.7335699999999999E-2},{"$f":"E17","v":1.7335699999999999E-2},{"$f":"SUMPRODUCT(F22:F22,$H$4:$H$4)/SUM($H$4:$H$4)-$E$4","v":0},0]
[null,null,null,null,1.4808781229417206E-2,1.4775854048988974E-2,{"$f":"SUMPRODUCT(F22:F23,$H$4:$H$5)/SUM($H$4:$H$5)-$E$5","v":-1.6362481036220206E-5},3.2927180428231687E-5]
[null,null,null,null,1.4813925984954429E-2,1.4813925984954426E-2,{"$f":"SUMPRODUCT(F22:F24,$H$4:$H$6)/SUM($H$4:$H$6)-$E$6","v":-1.0975843276618547E-5},0,null,null,null,null,null,null,null,null,"2.   Ultra-Fast Yield Curves"]
[null,null,null,null,1.5176372177419359E-2,1.5176372177419363E-2,{"$f":"SUMPRODUCT(F22:F25,$H$4:$H$7)/SUM($H$4:$H$7)-$E$7","v":-8.283894241574441E-6},0,null,"Inverse J  =  Inverse f '( Xn )",null,null,null,null,null,null,"LNEW = LOLD + Mkt Data Chg . JOLD"]
[null,null,null,null,1.8211310906531133E-2,1.821131090653115E-2,{"$f":"SUMPRODUCT(F22:F26,$H$4:$H$8)/SUM($H$4:$H$8)-$E$8","v":-6.6187373788731407E-6},0,null,null,"L1","L2","L3","L4","L5",null,"Tenor","Original Libor Rate","Change in Mkt Data","New\nLibor Rate","+/-"]
[null,"Converged to Solution",null,3,{"$f":"F27:F31-MMULT($K$27:$O$31,G27:G31)","v":1.7335699999999999E-2},1.7335699999999999E-2,{"$f":"SUMPRODUCT(F27:F27,$H$4:$H$4)/SUM($H$4:$H$4)-$E$4","v":0},0,null,"f1",{"$f":"MINVERSE(K16:O20)","v":1},0,0,0,0,null,"1Y",{"$f":"E27","v":1.7335699999999999E-2},0.01,{"$f":"$R$27:$R$31+MMULT($K$16:$O$20,$S$27:$S$31)","v":2.7335699999999998E-2},{"$f":"T27-R27","v":9.9999999999999985E-3}]
[null,"Converged to Solution",null,null,1.4808781229417206E-2,1.4808781229417206E-2,{"$f":"SUMPRODUCT(F27:F28,$H$4:$H$5)/SUM($H$4:$H$5)-$E$5","v":0},0,null,"f2",-1,2.0123586609722008,0,0,0,null,"2Y",{"$f":"E28","v":1.4808781229417206E-2},{"$f":"S27-0.25%","v":7.4999999999999997E-3},2.3505044146856328E-2,{"$f":"T28-R28","v":8.6962629174391227E-3}]
[null,"Converged to Solution",null,null,1.4813925984954429E-2,1.4813925984954429E-2,{"$f":"SUMPRODUCT(F27:F29,$H$4:$H$6)/SUM($H$4:$H$6)-$E$6","v":0},0,null,"f3",0,-2.0376056023166229,3.0376056023166229,0,0,null,"3Y",{"$f":"E29","v":1.4813925984954429E-2},{"$f":"S28-0.25%","v":4.9999999999999992E-3},2.2293354526456078E-2,{"$f":"T29-R29","v":7.4794285415016488E-3}]
[null,"Converged to Solution",null,null,1.5176372177419359E-2,1.5176372177419359E-2,{"$f":"SUMPRODUCT(F27:F30,$H$4:$H$7)/SUM($H$4:$H$7)-$E$7","v":0},0,null,"f4",0,0,-3.0772849462365595,4.077284946236559,0,null,"4Y",{"$f":"E30","v":1.5176372177419359E-2},{"$f":"S29-0.25%","v":2.4999999999999992E-3},2.143453985362441E-2,{"$f":"T30-R30","v":6.2581676762050505E-3}]
[null,"Converged to Solution",null,null,1.8211310906531133E-2,1.8211310906531133E-2,{"$f":"SUMPRODUCT(F27:F31,$H$4:$H$8)/SUM($H$4:$H$8)-$E$8","v":0},0,null,"f5",0,5.5231854287012312E-16,-5.5231854287012312E-16,-3.9748431677194036,4.9748431677194036,null,"5Y",{"$f":"E31","v":1.8211310906531133E-2},{"$f":"S30-0.25%","v":0},2.3211515775624428E-2,{"$f":"T31-R31","v":5.000204869093295E-3},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Fixed Cashflows"]
[null,null,null,4,{"$f":"F32:F36-MMULT($K$27:$O$31,G32:G36)","v":1.7335699999999999E-2},1.7335699999999999E-2,{"$f":"SUMPRODUCT(F32:F32,$H$4:$H$4)/SUM($H$4:$H$4)-$E$4","v":0},0]
[null,null,null,null,1.4808781229417206E-2,1.4808781229417206E-2,{"$f":"SUMPRODUCT(F32:F33,$H$4:$H$5)/SUM($H$4:$H$5)-$E$5","v":0},0]
[null,null,null,null,1.4813925984954429E-2,1.4813925984954429E-2,{"$f":"SUMPRODUCT(F32:F34,$H$4:$H$6)/SUM($H$4:$H$6)-$E$6","v":0},0]
[null,null,null,null,1.5176372177419359E-2,1.5176372177419359E-2,{"$f":"SUMPRODUCT(F32:F35,$H$4:$H$7)/SUM($H$4:$H$7)-$E$7","v":0},0]
[null,null,null,null,1.8211310906531133E-2,1.8211310906531133E-2,{"$f":"SUMPRODUCT(F32:F36,$H$4:$H$8)/SUM($H$4:$H$8)-$E$8","v":0},0]
[null,null,null,5,{"$f":"F37:F41-MMULT($K$27:$O$31,G37:G41)","v":1.7335699999999999E-2},1.7335699999999999E-2,{"$f":"SUMPRODUCT(F37:F37,$H$4:$H$4)/SUM($H$4:$H$4)-$E$4","v":0},0]
[null,null,null,null,1.4808781229417206E-2,1.4808781229417206E-2,{"$f":"SUMPRODUCT(F37:F38,$H$4:$H$5)/SUM($H$4:$H$5)-$E$5","v":0},0]
[null,null,null,null,1.4813925984954429E-2,1.4813925984954429E-2,{"$f":"SUMPRODUCT(F37:F39,$H$4:$H$6)/SUM($H$4:$H$6)-$E$6","v":0},0]
[null,null,null,null,1.5176372177419359E-2,1.5176372177419359E-2,{"$f":"SUMPRODUCT(F37:F40,$H$4:$H$7)/SUM($H$4:$H$7)-$E$7","v":0},0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Floating Cashflows"]
[null,null,null,null,1.8211310906531133E-2,1.8211310906531133E-2,{"$f":"SUMPRODUCT(F37:F41,$H$4:$H$8)/SUM($H$4:$H$8)-$E$8","v":0},0]