Discount Curve #NAME? #NAME? 2 CHF EUR #NAME? #NAME?
Actual Date 27-Oct-11, Thu 27-Oct-11, Thu Spot Date 28-Jun-00 28-Jun-00
Days to Settlement 2 2 Financial Center London Frankfurt
SpotDate #NAME? #NAME? Cash DCM Act/360 Act/360 #NAME? #NAME? #NAME?
FinancialCenter London Frankfurt Swap DCM 30E/360 30E/360 London London London
SwapFrequency Annual Annual Swap BDA ModFoll ModFoll Annual Annual Annual
SwapBDA ModFoll ModFoll Swap Frequency Annual Annual ModFoll ModFoll ModFoll
Cash Day Count Method Act/360 Act/360 Nb Cash 8 8 Act/360 Act/360 Act/360
Swap Day Count Method 30E/360 30E/360 Nb Swaps 10 10 30E/360 30E/360 30E/360
S/N Cash 2.00 3.50 Nb Futures 6 6 #NAME? #NAME? #NAME?
1 W Cash 2.02 3.50 #NAME? #NAME? #NAME?
1 Mth Cash 2.04 3.50 #NAME? #NAME? #NAME?
2 Mth Cash 2.05 3.47 #NAME? #NAME? #NAME?
3 Mth Cash 2.06 3.45 #NAME? #NAME? #NAME?
6 Mth Cash 2.10 3.48 #NAME? #NAME? #NAME?
9 Mth Cash 2.24 3.61 #NAME? #NAME? #NAME?
12 Mth Cash 2.41 3.76 #NAME? #NAME? #NAME?
2 Yr Swap 2.98 4.26 #NAME? #NAME?
3 Yr Swap 3.22 4.51 #NAME? #NAME?
4 Yr Swap 3.35 4.71 #NAME? #NAME?
5 Yr Swap 3.46 4.87 #NAME? #NAME?
6 Yr Swap 3.57 5.02 #NAME? #NAME?
7 Yr Swap 3.68 5.16 #NAME? #NAME?
8 Yr Swap 3.79 5.28 #NAME? #NAME?
9 Yr Swap 3.89 5.37 #NAME? #NAME?
10 Yr Swap 3.98 5.43 #NAME? #NAME?
11 Yr Swap 4.04 5.49 #NAME? #NAME?
Fut 1 98.03 96.55
Fut 2 97.84 96.45
Fut 3 97.46 96.11
Fut 4 97.12 95.86
Fut 5 96.76 95.55
Fut 6 96.76 95.49
9c7dcf9c-91f6-41f5-ad9c-7376bf1f278f.xls
10/27/2011 2:01 PM
FRA
Actual Date 27-Oct-11
Spot Date #NAME?
Currency #NAME?
From To FRA
2M 5M #NAME?
#NAME? #NAME?
1x4 #NAME? 1x7 #NAME?
2x5 #NAME? 2x8 #NAME?
3x6 #NAME? 3x9 #NAME?
4x7 #NAME? 4x10 #NAME?
5x8 #NAME? 5x11 #NAME?
6x9 #NAME? 6x12 #NAME?
7x10 #NAME? 12x18 #NAME?
8x11 #NAME? 18x24 #NAME?
9x12 #NAME? 12x24 #NAME?
=ImpliedCashRate(Curve,
StartDate1,Maturity1)
CAPs/FLOORs
Actual Date 27-Oct-11
Days to Settlement 2 = CapFloor(Curve,Notional,
StartDate #NAME? "Cap",Strike,
FloatFreq 6 Mths StartDate,Maturity,
Notional 100 FloatFreq,Volatility)
CAPs
Strike
Maturity Volatility 2.0 2.5 3.0 3.5 4.0
2 Yrs 32 #NAME? #NAME? #NAME? #NAME? #NAME?
3 Yrs 28 #NAME? #NAME? #NAME? #NAME? #NAME?
4 Yrs 26 #NAME? #NAME? #NAME? #NAME? #NAME?
5 Yrs 23 #NAME? #NAME? #NAME? #NAME? #NAME?
7 Yrs 19 #NAME? #NAME? #NAME? #NAME? #NAME?
10 Yrs 16 #NAME? #NAME? #NAME? #NAME? #NAME?
FLOORs
Strike
Maturity Volatility 2.0 2.5 3.0 3.5 4.0
2 Yrs 32 #NAME? #NAME? #NAME? #NAME? #NAME?
3 Yrs 28 #NAME? #NAME? #NAME? #NAME? #NAME?
4 Yrs 26 #NAME? #NAME? #NAME? #NAME? #NAME?
5 Yrs 23 #NAME? #NAME? #NAME? #NAME? #NAME?
7 Yrs 19 #NAME? #NAME? #NAME? #NAME? #NAME?
10 Yrs 16 #NAME? #NAME? #NAME? #NAME? #NAME?
Cap Valuation
Cap Valuation
Value #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Sensitivity #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Curve #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Notional 10,000,000 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
OptionType Cap #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Strike 4.0 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
StartDate 2m #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Maturity 5y #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatFreq 6m #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Volatility 28 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
SetAndPaid S #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatReset None
FloatDCM Act/360
FloatBDA Mod Foll {=CapFloor(Curve,Notional,Optio
FinancialCenter London StartDate,Maturity,FloatFreq,V
SetAndPaid,FloatReset,FloatD
FinancialCenter,FloatBDA)}
Page 4
Cap Valuation
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
apFloor(Curve,Notional,OptionType,Strike,
artDate,Maturity,FloatFreq,Volatility,
etAndPaid,FloatReset,FloatDCM,
nancialCenter,FloatBDA)}
Page 5
IRS Prices
IRS
Actual Date 27-Oct-11
Spot Date #NAME?
StartDate Maturity Fix Rate
spot 5 Years #NAME?
SpotDate 2y #NAME?
3m 5y #NAME?
3 Months 2y #NAME?
#NAME? 5 years #NAME? = ImpliedSwapRate(Curve,
#NAME? 2 yrs #NAME? StartDate,Maturity)
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
StartDate Maturity Fix Rate DCM
spot 1y #NAME? 30E/360
spot 1y #NAME? Act/360
Page 6
Swaption Valuation
Swaption Valuation
=Swaption(Curve,Notional,OptionType,Strike,
StartDate,Maturity,Volatility,SwapFrequency,
SwapDCM,FinancialCenter,SwapBDA)
Value #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Sensitivity #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Curve #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Notional 10,000,000 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
OptionType Payers #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Strike 3 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
StartDate 3m
Maturity 5y
Volatility 20
SwapFrequency 12m
SwapDCM 30E/360
FinancialCenter Zurich
SwapBDA ModFoll
Page 7
Swaption Valuation
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
Page 8
Swap Valuation
Swap Valuation
= IRS(Curve,Notional,Coupon,StartDate,Maturity,
FloatFreq,FloatDCM,FloatReset,FloatMargin,
FixedFreq,FixedDCM,FinancialCenter,SwapBDA)
Value #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Sensitivity #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Curve #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Notional -10,000,000 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Coupon 3.71 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
StartDate 1/20/1996 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
Maturity 6/25/2004 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatFreq 6m #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatDCM Act/360 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatReset 2.41258 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FloatMargin 0 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FixedFreq 12m #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FixedDCM 30E/360 #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
SwapBDA ModFoll #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
FinancialCenter Zurich #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
{=IRS(Curve,Notional,Coupon,
StartDate,Maturity,
FloatFreq,FloatDCM,FloatReset,FloatMargin,
FixedFreq,FixedDCM,
FinancialCenter,SwapBDA)}
Page 9