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[]
[]
[]
[]
[null,null," "]
[]
[null,"Parameters"]
[null,"Counterparty Recovery",0.4]
[null,"Interest rate",0.05]
[]
[null,"Approx Calculation"]
[null,"Counterparty 5Y Spread",500]
[null,"EPE",{"$f":"AVERAGE(E26:E150)","v":4.7260288976131168E-3}]
[null,"CVA (as a spread)",{"$f":"EPE*SpreadCntrpty","v":2.3630144488065583}]
[]
[null,"Accurate Calculation"]
[null,"CVA",{"$f":"(1-CntrptyRec)*SUMPRODUCT(D26:D150,E26:E150,F26:F150)","v":8.5471561665145389E-4}]
[null,"5Y Risky Duration",{"$f":"(1-EXP(-(SpreadCntrpty/10000/(1-CntrptyRec)+IRate)*5))/(SpreadCntrpty/10000/(1-CntrptyRec)+IRate)","v":3.6493716072555591}]
[null,"CVA (as a spread)",{"$f":"C20/C21*10000","v":2.3420898407609045}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Hazard Rates"]
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[null,4.0400000000000027,{"$f":"C125*EXP(-(B126-B125)*HazardRate5)","v":0.71414684918202676},2.384461391758852E-3,4.7734715882910336E-3,0.81709492794223648,9.3003041484724199E-6]
[null,4.0800000000000027,0.71177032276260599,2.3765264194207658E-3,4.6160697720324037E-3,0.81546237118729259,8.9457949000461647E-6]
[null,4.1200000000000028,0.70940170490964982,2.3686178529561674E-3,4.4548337417305E-3,0.81383307628292056,8.5874028228817888E-6]
[null,4.1600000000000028,0.7070409693051577,2.3607356044921257E-3,4.272367433497945E-3,0.81220703671193883,8.1918632493403678E-6]
[null,4.2000000000000028,0.70468808971870966,2.3528795864480312E-3,4.0854898921780444E-3,0.81058424597018697,7.7918754332735231E-6]
[null,4.2400000000000029,0.70234304000717507,2.345049711534597E-3,3.8951033841496206E-3,0.80896469756649969,7.389254293645793E-6]
[null,4.2800000000000029,0.70000579411442188,2.3372458927531925E-3,3.7075143330407342E-3,0.80734838502268136,6.9959746123552442E-6]
[null,4.3200000000000029,0.69767632607102725,2.3294680433946224E-3,3.5100192606923493E-3,0.80573530187347953,6.5880767274542625E-6]
[null,4.360000000000003,0.6953546099939889,2.3217160770383494E-3,3.3106563333280634E-3,0.80412544166655953,6.1808330391797788E-6]
[null,4.400000000000003,0.69304062008643763,2.3139899075512727E-3,3.1133419290748617E-3,0.80251879796247838,5.781539471682032E-6]
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[null,"Swap Details",null,null,null,null,"Disc Fact","Fwd Rate","Fixed Leg","Floating Leg","Fwd Swap Rate","d1","d2","DV01","Spd payoff","Swaption","Survival Prob","Def Prob"]
[null,"Swap Rate",3.483E-2,null,null,0,1,null,null,null,null,null,null,null,null,{"$f":"MAX(0, C28)","v":0},1]
[null,"Pay/Rec","PAY",null,null,0.05,{"$f":"G10*EXP(-(F11-F10)*IRate1)","v":0.99850112443771089},{"$f":"-(LN(G11)-LN(G10))/(F11-F10)","v":2.9999999999999777E-2},{"$f":"IF(ABS(MOD(F11,PayFrac))<0.000001,SwapRate*PayFrac,0)","v":0},{"$f":"IF(ABS(MOD(F11,RecFrac))<0.000001,H11*RecFrac,0)","v":0},{"$f":"SwapRate*SUMPRODUCT(G12:$G$112,J12:$J$112)/SUMPRODUCT(G12:$G$112,I12:$I$112)","v":3.4822311226557004E-2},{"$f":"(LN(K11/SwapRate)+0.5*SwapRateVol^2*F11)/(SwapRateVol*SQRT(F11))","v":2.4001491577037324E-2},{"$f":"L11-SwapRateVol*SQRT(F11)","v":-3.1900207860457414E-2},{"$f":"SUM(G12:$G$112)/G11*0.05","v":4.5628363389843178},{"$f":"IF(PayRec=\"PAY\",K11*NORMSDIST(L11)-SwapRate*NORMSDIST(M11),SwapRate*NORMSDIST(-M11)-K11*NORMSDIST(-L11))","v":7.7273785126468625E-4},{"$f":"O11*N11","v":3.5258763482591692E-3},{"$f":"EXP(-F11*CDSPrem/10000/(1-Recovery))","v":0.99584200184510996},{"$f":"Q10-Q11","v":4.1579981548900413E-3}]
[null,"Fixed Freq ","S",{"$f":"IF(PayFreq=\"A\",1,IF(PayFreq=\"S\",1/2,IF(PayFreq=\"Q\",1/4,\"ERROR\")))","v":0.5},null,0.1,0.997004495503373,{"$f":"-(LN(G12)-LN(G11))/(F12-F11)","v":2.9999999999999725E-2},0,0,{"$f":"SwapRate*SUMPRODUCT(G13:$G$112,J13:$J$112)/SUMPRODUCT(G13:$G$112,I13:$I$112)","v":3.4822311226557004E-2},3.6735852828767263E-2,-4.2321088675442223E-2,{"$f":"SUM(G13:$G$112)/G12*0.05","v":4.5196857292512336},1.0942614945939344E-3,{"$f":"O12*N12","v":4.9457180611853311E-3},0.99170129263887596,{"$f":"Q11-Q12","v":4.1407092062339945E-3}]
[null,"Floating Freq","S",{"$f":"IF(RecFreq=\"A\",1,IF(RecFreq=\"S\",1/2,IF(RecFreq=\"Q\",1/4,\"ERROR\")))","v":0.5},null,0.15,0.99551010982957056,{"$f":"-(LN(G13)-LN(G12))/(F13-F12)","v":3.0000000000000821E-2},0,0,{"$f":"SwapRate*SUMPRODUCT(G14:$G$112,J14:$J$112)/SUMPRODUCT(G14:$G$112,I14:$I$112)","v":3.4822311226557004E-2},4.6132128841350171E-2,-5.0692454813835254E-2,{"$f":"SUM(G14:$G$112)/G13*0.05","v":4.4764703450348327},1.3408783516848204E-3,6.0024021776162858E-3,0.98757780049388144,{"$f":"Q12-Q13","v":4.1234921449945228E-3}]
[null,null,null,null,null,0.2,0.99401796405393528,{"$f":"-(LN(G14)-LN(G13))/(F14-F13)","v":2.9999999999999426E-2},0,0,{"$f":"SwapRate*SUMPRODUCT(G15:$G$112,J15:$J$112)/SUMPRODUCT(G15:$G$112,I15:$I$112)","v":3.4822311226557004E-2},5.3927020366639718E-2,-5.7876378508349764E-2,{"$f":"SUM(G15:$G$112)/G14*0.05","v":4.4331900891004823},1.5487045798954109E-3,6.8657017945368617E-3,0.98347145382161749,4.1063466722639497E-3]
[null,"Interest rates",null,null,null,0.25,0.99252805481913842,{"$f":"-(LN(G15)-LN(G14))/(F15-F14)","v":3.0000000000000519E-2},0,0,{"$f":"SwapRate*SUMPRODUCT(G16:$G$112,J16:$J$112)/SUMPRODUCT(G16:$G$112,I16:$I$112)","v":3.4822311226557004E-2},6.0733793345528815E-2,-6.4266206654471192E-2,{"$f":"SUM(G16:$G$112)/G15*0.05","v":4.3898448640675882},1.7317315550684532E-3,7.6020328729610271E-3,0.97938218133124011,4.0892724903773825E-3]
[null,"1Y",0.03,null,null,0.3,0.99104037877288365,3.0000000000000068E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G17:$G$112,J17:$J$112)/SUMPRODUCT(G17:$G$112,I17:$I$112)","v":3.4822311226557004E-2},6.6853000978363109E-2,-7.007763839792841E-2,{"$f":"SUM(G17:$G$112)/G16*0.05","v":4.3464345724093754},1.8971359084135227E-3,8.2457771008878009E-3,0.97530991202833262,4.0722693029074941E-3]
[null,"2Y",3.2500000000000001E-2,null,null,0.35,0.98955493256789917,3.0000000000000832E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G18:$G$112,J18:$J$112)/SUMPRODUCT(G18:$G$112,I18:$I$112)","v":3.4822311226557004E-2},7.2458280219989069E-2,-7.5443714357501329E-2,{"$f":"SUM(G18:$G$112)/G17*0.05","v":4.3029591164526702},2.0491814687742388E-3,8.817544082327983E-3,0.97125457521367287,4.055336814659749E-3]
[null,"3Y",3.5000000000000003E-2,null,null,0.4,0.98807171286193052,2.999999999999927E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G19:$G$112,J19:$J$112)/SUMPRODUCT(G19:$G$112,I19:$I$112)","v":3.4822311226557004E-2},7.7660632542540756E-2,-8.0453250465878215E-2,{"$f":"SUM(G19:$G$112)/G18*0.05","v":4.2594183983776777},2.190646730468343E-3,9.330880988102766E-3,0.9672161004820059,4.0384747316669634E-3]
[null,"4Y",3.7499999999999999E-2,null,null,0.45,0.98659071631773265,2.9999999999999201E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G20:$G$112,J20:$J$112)/SUMPRODUCT(G20:$G$112,I20:$I$112)","v":3.4822311226557004E-2},8.2536096442338766E-2,-8.5169001870145464E-2,{"$f":"SUM(G20:$G$112)/G19*0.05","v":4.215812320217764},2.3234619003504597E-3,9.7952793050540467E-3,0.96319441772082182,4.0216827611840866E-3]
[null,"5Y",0.04,null,null,0.5,0.98511193960306265,3.0000000000000658E-2,1.7415E-2,1.5000000000000329E-2,{"$f":"SwapRate*SUMPRODUCT(G21:$G$112,J21:$J$112)/SUMPRODUCT(G21:$G$112,I21:$I$112)","v":3.5404859202803431E-2},0.1809910062182338,4.2143109215969088E-3,{"$f":"SUM(G21:$G$112)/G20*0.05","v":4.1721407838592359},2.7713891570330385E-3,1.1562625730002808E-2,0.95918945710913817,4.00496061168365E-3]
[null,null,null,null,null,0.55000000000000004,0.98363537939067236,3.0000000000000311E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G22:$G$112,J22:$J$112)/SUMPRODUCT(G22:$G$112,I22:$I$112)","v":3.5404859202803431E-2},0.18099565169979281,-4.4093104775987657E-3,{"$f":"SUM(G22:$G$112)/G21*0.05","v":4.1284036910411155},2.8912799301743751E-3,1.1936370735564989E-2,0.95520114911628839,3.9883079928497711E-3]
[null,"Other parameters",null,null,null,0.6,0.98216103235830066,3.0000000000000623E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G23:$G$112,J23:$J$112)/SUMPRODUCT(G23:$G$112,I23:$I$112)","v":3.5404859202803431E-2},0.18135885862800499,-1.2290308682365858E-2,{"$f":"SUM(G23:$G$112)/G22*0.05","v":4.0846009433549275},3.0058301607352282E-3,1.2277616710103807E-2,0.95122942450071402,3.9717246155743791E-3]
[null,"Volatility",0.25,null,null,0.65,0.9806888951886662,2.9999999999998819E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G24:$G$112,J24:$J$112)/SUMPRODUCT(G24:$G$112,I24:$I$112)","v":3.5404859202803431E-2},0.18199612616162691,-1.9560317545836842E-2,{"$f":"SUM(G24:$G$112)/G23*0.05","v":4.0407324422444715},3.1156888160629274E-3,1.2589664879003738E-2,0.94727421430876291,3.9552101919511085E-3]
[null,"CDS Premium",500,null,null,0.7,0.97921896456945956,3.0000000000000554E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G25:$G$112,J25:$J$112)/SUMPRODUCT(G25:$G$112,I25:$I$112)","v":3.5404859202803431E-2},0.18284603420629553,-2.6318972427223364E-2,{"$f":"SUM(G25:$G$112)/G24*0.05","v":3.9967980890055999},3.221382953858546E-3,1.2875217233937052E-2,0.94333544987349216,3.9387644352707474E-3]
[null,"Recovery ",0.4,null,null,0.75,0.97775123719333634,2.999999999999986E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G26:$G$112,J26:$J$112)/SUMPRODUCT(G26:$G$112,I26:$I$112)","v":3.5404859202803431E-2},0.18386292958020833,-3.2643421365901315E-2,{"$f":"SUM(G26:$G$112)/G25*0.05","v":3.9527977847860023},3.3233475687706425E-3,1.3136520907910542E-2,0.93941306281347581,3.9223870600163524E-3]
[null,null,null,null,null,0.8,0.97628570975790929,2.999999999999993E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G27:$G$112,J27:$J$112)/SUMPRODUCT(G27:$G$112,I27:$I$112)","v":3.5404859202803431E-2},0.18501222849195031,-3.8594569258028649E-2,{"$f":"SUM(G27:$G$112)/G26*0.05","v":3.9087314305849712},3.4219466529430212E-3,1.3375470436143429E-2,0.93550698503161778,3.9060777818580306E-3]
[null,"Results",null,null,null,0.85,0.97482237896574109,2.9999999999999652E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G28:$G$112,J28:$J$112)/SUMPRODUCT(G28:$G$112,I28:$I$112)","v":3.5404859202803431E-2},0.18626730271347308,-4.4221308718849106E-2,{"$f":"SUM(G28:$G$112)/G27*0.05","v":3.8645989272531942},3.517488439002403E-3,1.35936820479942E-2,0.9316171487139695,3.8898363176482764E-3]
[null,"Risk-free MtM",{"$f":"(SUMPRODUCT(G11:G110,I11:I110)-SUMPRODUCT(G11:G110,J11:J110))*IF(PayRec=\"PAY\",-1,1)","v":-3.5137053381956163E-5},null,null,0.9,0.97336124152433678,3.0000000000000068E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G29:$G$112,J29:$J$112)/SUMPRODUCT(G29:$G$112,I29:$I$112)","v":3.5404859202803431E-2},0.18760735874282564,-4.9563465769802806E-2,{"$f":"SUM(G29:$G$112)/G28*0.05","v":3.8204001754925203},3.6102366768070333E-3,1.3792548833643123E-2,0.92774348632855286,3.873662385416643E-3]
[null,"CVA",{"$f":"SUMPRODUCT(G11:G109,P11:P109,R11:R109)*(1-Recovery)","v":2.4240541471368237E-3},null,null,0.95,0.9719022941461366,2.9999999999999027E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G30:$G$112,J30:$J$112)/SUMPRODUCT(G30:$G$112,I30:$I$112)","v":3.5404859202803431E-2},0.18901595879963198,-5.46538998205921E-2,{"$f":"SUM(G30:$G$112)/G29*0.05","v":3.7761350758557373},3.7004191368477657E-3,1.3973282498018659E-2,0.92388593062418745,3.8575557043654118E-3]
[null,"Risky MtM",{"$f":"C28-C29","v":-2.4591912005187799E-3},null,null,1,0.97044553354850827,2.9999999999999027E-2,1.7415E-2,1.4999999999999514E-2,{"$f":"SwapRate*SUMPRODUCT(G31:$G$112,J31:$J$112)/SUMPRODUCT(G31:$G$112,I31:$I$112)","v":3.6134942745517686E-2},0.27212502358087981,2.212502358087981E-2,{"$f":"SUM(G31:$G$112)/G30*0.05","v":3.731803528746354},4.2200705740421812E-3,1.5748474259769264E-2,0.92004441462932329,3.8415159948641531E-3]
[null,null,null,null,null,1.05,{"$f":"G30*EXP(-(F31-F30)*IRate2)","v":0.96886984015410949},3.2500000000000001E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G32:$G$112,J32:$J$112)/SUMPRODUCT(G32:$G$112,I32:$I$112)","v":3.6134942745517686E-2},0.27166620581963025,1.5492436670640264E-2,{"$f":"SUM(G32:$G$112)/G31*0.05","v":3.6878726392973684},4.3058407752051518E-3,1.5879392384050051E-2,0.91621887165087768,3.8255429784456174E-3]
[null,null,null,null,null,1.1000000000000001,0.96729670518219535,3.2500000000000001E-2,0,0,{"$f":"SwapRate*SUMPRODUCT(G33:$G$112,J33:$J$112)/SUMPRODUCT(G33:$G$112,I33:$I$112)","v":3.6134942745517686E-2},0.27137931194751341,9.1770999049755053E-3,{"$f":"SUM(G33:$G$112)/G32*0.05","v":3.6438703041190958},4.3896004534356541E-3,1.5995134739221897E-2,0.91240923527307782,3.8096363777998521E-3]
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