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{"sheet":"11.1","index":0,"n_rows":23,"n_cols":6,"rows_kept":23,"cut":false,"hidden":false,"merged":[[8,4,8,5],[8,1,8,2]]}
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Future exposure",null,null,"Future exposure"]
[null,"Scenario 1",70,null,"Scenario 1",55]
[null,"Scenario 2",50,null,"Scenario 2",50]
[null,"Scenario 3",30,null,"Scenario 3",-30]
[null,"Scenario 4",-10,null,"Scenario 4",-10]
[null,"Scenario 5",-30,null,"Scenario 5",-30]
[null,"EFV",{"$f":"SUM(C10:C14)/5","v":22},null,"Scenario 6",25]
[null,"PFE",{"$f":"SMALL(C10:C14,90%*5)","v":50},null,"Scenario 7",-35]
[null,"EPE",{"$f":"SUMIF(C10:C14,\">0\")/5","v":30},null,"Scenario 8",-30]
[null,"ENE",{"$f":"SUMIF(C10:C14,\"<0\")/5","v":-8},null,"Scenario 9",-20]
[null,null,null,null,"Scenario 10",5]
[null,null,null,null,"EFV",{"$f":"AVERAGE(F10:F19)","v":-2}]
[null,null,null,null,"PFE",{"$f":"SMALL(F10:F19,90%*10)","v":50}]
[null,null,null,null,"EPE",{"$f":"SUMIF(F10:F19,\">0\")/10","v":13.5}]
[null,null,null,null,"ENE",{"$f":"SUMIF(F10:F19,\"<0\")/10","v":-15.5}]

{"sheet":"11.2","index":1,"n_rows":95,"n_cols":13,"rows_kept":95,"cut":false,"hidden":false,"merged":[[8,1,8,2],[13,1,13,2]]}
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters",null,null,null,null,"Probability"]
[null,"Mu (mean)",5,null,null,{"$f":"Mu-Sigma*4","v":-35},{"$f":"NORMDIST(F10,Mu,Sigma,FALSE)","v":1.3383022576488536E-5},{"$f":"EPE","v":6.9779655740130604},{"$f":"ENE","v":-1.9779655740130608},0,{"$f":"Mu","v":5},{"$f":"PFEhigh","v":28.263478740408409},{"$f":"PFElow","v":-18.263478740408409}]
[null,"Standard deviation (sigma)",10,null,null,{"$f":"F10+Sigma/10","v":-34},1.9865547139277272E-5,{"$f":"H10","v":6.9779655740130604},{"$f":"I10","v":-1.9779655740130608},{"$f":"MAX(G10:G95)","v":3.9894228040143274E-2},{"$f":"K10","v":5},{"$f":"L10","v":28.263478740408409},{"$f":"M10","v":-18.263478740408409}]
[null,"Alpha (confidence level)",0.99,null,null,-33,2.9194692579146026E-5]
[null,null,null,null,null,-32,4.2478027055075142E-5]
[null,"Calculations",null,null,null,-31,6.1190193011377187E-5]
[null,"Expected positive exposure (EPE)",{"$f":"Mu*NORMSDIST(Mu/Sigma)+Sigma*NORMDIST(Mu/Sigma,0,1,FALSE)","v":6.9779655740130604},null,null,-30,8.726826950457601E-5]
[null,"Expected negative exposure (ENE)",{"$f":"Mu*NORMSDIST(-Mu/Sigma)-Sigma*NORMDIST(-Mu/Sigma,0,1,FALSE)","v":-1.9779655740130608},null,null,-29,1.2322191684730198E-4]
[null,{"$f":"\"PFE \"&TEXT(Alpha,\"0%\")","v":"PFE 99%"},{"$f":"Mu+NORMSINV(Alpha)*Sigma","v":28.263478740408409},null,null,-28,1.722568939053681E-4]
[null,{"$f":"\"PFE \"&TEXT(1-Alpha,\"0%\")","v":"PFE 1%"},{"$f":"Mu-NORMSINV(Alpha)*Sigma","v":-18.263478740408409},null,null,-27,2.3840882014648405E-4]
[null,null,null,null,null,-26,3.2668190561999186E-4]
[null,null,null,null,null,-25,4.4318484119380076E-4]
[null,null,null,null,null,-24,5.9525324197758534E-4]
[null,null,null,null,null,-23,7.9154515829799694E-4]
[null,null,null,null,null,-22,1.0420934814422591E-3]
[null,null,null,null,null,-21,1.3582969233685612E-3]
[null,null,null,null,null,-20,1.752830049356854E-3]
[null,null,null,null,null,-19,2.2394530294842902E-3]
[null,null,null,null,null,-18,2.8327037741601186E-3]
[null,null,null,null,null,-17,3.5474592846231421E-3]
[null,null,null,null,null,-16,4.3983595980427196E-3]
[null,null,null,null,null,-15,5.3990966513188061E-3]
[null,null,null,null,null,-14,6.5615814774676604E-3]
[null,null,null,null,null,-13,7.8950158300894139E-3]
[null,null,null,null,null,-12,9.4049077376886937E-3]
[null,null,null,null,null,-11,1.1092083467945555E-2]
[null,null,null,null,null,-10,1.2951759566589173E-2]
[null,null,null,null,null,-9,1.4972746563574486E-2]
[null,null,null,null,null,-8,1.7136859204780735E-2]
[null,null,null,null,null,-7,1.9418605498321296E-2]
[null,null,null,null,null,-6,2.1785217703255054E-2]
[null,null,null,null,null,-5,2.4197072451914336E-2]
[null,null,null,null,null,-4,2.6608524989875482E-2]
[null,null,null,null,null,-3,{"$f":"NORMDIST(F42,Mu,Sigma,FALSE)","v":2.8969155276148274E-2}]
[null,null,null,null,null,{"$f":"F42+Sigma/10","v":-2},3.1225393336676129E-2]
[null,null,null,null,null,-1,3.3322460289179963E-2]
[null,null,null,null,null,0,3.5206532676429952E-2]
[null,null,null,null,null,1,3.6827014030332332E-2]
[null,null,null,null,null,2,3.8138781546052408E-2]
[null,null,null,null,null,3,3.9104269397545591E-2]
[null,null,null,null,null,4,3.9695254747701178E-2]
[null,null,null,null,null,5,3.9894228040143274E-2]
[null,null,null,null,null,6,3.9695254747701178E-2]
[null,null,null,null,null,7,3.9104269397545591E-2]
[null,null,null,null,null,8,3.8138781546052408E-2]
[null,null,null,null,null,9,3.6827014030332332E-2]
[null,null,null,null,null,10,3.5206532676429952E-2]
[null,null,null,null,null,11,3.3322460289179963E-2]
[null,null,null,null,null,12,3.1225393336676129E-2]
[null,null,null,null,null,13,2.8969155276148274E-2]
[null,null,null,null,null,14,2.6608524989875482E-2]
[null,null,null,null,null,15,2.4197072451914336E-2]
[null,null,null,null,null,16,2.1785217703255054E-2]
[null,null,null,null,null,17,1.9418605498321296E-2]
[null,null,null,null,null,18,1.7136859204780735E-2]
[null,null,null,null,null,19,1.4972746563574486E-2]
[null,null,null,null,null,20,1.2951759566589173E-2]
[null,null,null,null,null,21,1.1092083467945555E-2]
[null,null,null,null,null,22,9.4049077376886937E-3]
[null,null,null,null,null,23,7.8950158300894139E-3]
[null,null,null,null,null,24,6.5615814774676604E-3]
[null,null,null,null,null,25,5.3990966513188061E-3]
[null,null,null,null,null,26,4.3983595980427196E-3]
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[null,null,null,null,null,28,2.8327037741601186E-3]
[null,null,null,null,null,29,{"$f":"NORMDIST(F74,Mu,Sigma,FALSE)","v":2.2394530294842902E-3}]
[null,null,null,null,null,{"$f":"F74+Sigma/10","v":30},1.752830049356854E-3]
[null,null,null,null,null,31,1.3582969233685612E-3]
[null,null,null,null,null,32,1.0420934814422591E-3]
[null,null,null,null,null,33,7.9154515829799694E-4]
[null,null,null,null,null,34,5.9525324197758534E-4]
[null,null,null,null,null,35,4.4318484119380076E-4]
[null,null,null,null,null,36,3.2668190561999186E-4]
[null,null,null,null,null,37,2.3840882014648405E-4]
[null,null,null,null,null,38,1.722568939053681E-4]
[null,null,null,null,null,39,1.2322191684730198E-4]
[null,null,null,null,null,40,8.726826950457601E-5]
[null,null,null,null,null,41,6.1190193011377187E-5]
[null,null,null,null,null,42,4.2478027055075142E-5]
[null,null,null,null,null,43,2.9194692579146026E-5]
[null,null,null,null,null,44,1.9865547139277272E-5]
[null,null,null,null,null,45,1.3383022576488536E-5]
[null,null,null,null,null,46,8.9261657177132918E-6]
[null,null,null,null,null,47,5.8943067756539858E-6]
[null,null,null,null,null,48,3.8535196742087128E-6]
[null,null,null,null,null,49,2.4942471290053532E-6]
[null,null,null,null,null,50,1.5983741106905478E-6]

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[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters"]
[null,"IR Vol 1",0.01]
[null,"IR Vol 2",0.01]
[null,"FX Vol",0.1]
[null,"Correlation",0.2]
[]
[null,null,"IRS1","IRS2","FX Forward","XCCY Swap"]
[null,0,{"$f":"SQRT(0.5/PI())*SQRT(B16)*(10-B16)*IRVol","v":0},{"$f":"SQRT(0.5/PI())*SQRT(B16)*(10-B16)*IRVol2","v":0},{"$f":"SQRT(0.5/PI())*FXVol*SQRT(B16)","v":0},{"$f":"SQRT(0.5/PI())*SQRT(B16*(10-B16)^2*IRVol^2+B16*(10-B16)^2*IRVol2^2+FXVol^2*B16+2*IRFXCorr*B16*(10-B16)*IRVol*FXVol+2*IRFXCorr*B16*(10-B16)*IRVol2*FXVol+2*IRFXCorr*B16*(10-B16)^2*IRVol*IRVol2)","v":0}]
[null,0.05,8.8760174778600362E-3,8.8760174778600362E-3,8.920620580763856E-3,1.8220921654460469E-2]
[null,0.1,1.2489505983999795E-2,1.2489505983999795E-2,1.2615662610100803E-2,2.5682217220465143E-2]
[null,0.2,{"$f":"SQRT(0.5/PI())*SQRT(B19)*(10-B19)*IRVol","v":1.748441633829716E-2},{"$f":"SQRT(0.5/PI())*SQRT(B19)*(10-B19)*IRVol2","v":1.748441633829716E-2},{"$f":"SQRT(0.5/PI())*FXVol*SQRT(B19)","v":1.7841241161527712E-2},3.6077089575103936E-2]
[null,0.3,{"$f":"SQRT(0.5/PI())*SQRT(B20)*(10-B20)*IRVol","v":2.1195439553486333E-2},{"$f":"SQRT(0.5/PI())*SQRT(B20)*(10-B20)*IRVol2","v":2.1195439553486333E-2},{"$f":"SQRT(0.5/PI())*FXVol*SQRT(B20)","v":2.1850968611841583E-2},4.3888147781272355E-2]
[null,0.4,2.4222072211393539E-2,2.4222072211393539E-2,2.5231325220201606E-2,5.0335323927232209E-2]
[null,{"$f":"B21+0.2","v":0.60000000000000009},2.9047819992143863E-2,2.9047819992143863E-2,3.0901936161855173E-2,6.0811995468759178E-2]
[null,0.8,3.2827883737210989E-2,3.2827883737210989E-2,3.5682482323055424E-2,6.9258585974978318E-2]
[null,1,3.5904805236128941E-2,3.5904805236128941E-2,3.9894228040143274E-2,7.6363846909955013E-2]
[null,1.2,3.8457704756841189E-2,3.8457704756841189E-2,4.3701937223683165E-2,8.2486292247485299E-2]
[null,1.4,4.0594998986953075E-2,4.0594998986953075E-2,4.7203487194131491E-2,8.7842125872211227E-2]
[null,1.5999999999999999,4.2388626369938696E-2,4.2388626369938696E-2,5.0462650440403212E-2,9.2574416481374669E-2]
[null,1.7999999999999998,4.3889453257358178E-2,4.3889453257358178E-2,5.3523723484583147E-2,9.6784153666986228E-2]
[null,1.9999999999999998,4.5135166683820505E-2,4.5135166683820505E-2,5.6418958354775631E-2,0.1005461186978254]
[null,2.1999999999999997,4.6154708127084935E-2,4.6154708127084935E-2,5.9172702727031977E-2,0.10391777905776567]
[null,2.4,4.6970942966019856E-2,4.6970942966019856E-2,6.1803872323710346E-2,0.10694463204520104]
[null,2.6,4.7602357271097094E-2,4.7602357271097094E-2,6.4327509825806886E-2,0.1096635947208377]
[null,2.8000000000000003,4.8064184482496719E-2,4.8064184482496719E-2,6.6755811781245469E-2,0.11210525108433196]
[null,3.0000000000000004,4.8369180925986972E-2,4.8369180925986972E-2,6.9098829894267105E-2,0.11429539679699605]
[null,3.2000000000000006,4.8528175959355373E-2,4.8528175959355373E-2,7.1364964646110862E-2,0.1162561340185779]
[null,3.4000000000000008,4.8550472388723537E-2,4.8550472388723537E-2,7.3561321801096299E-2,0.11800666798750757]
[null,3.600000000000001,4.8444144422787078E-2,4.8444144422787078E-2,7.5693975660604818E-2,0.11956389995158279]
[null,3.8000000000000012,4.8216263695271266E-2,4.8216263695271266E-2,7.7768167250437545E-2,0.12094287745975252]
[null,4.0000000000000009,4.7873073648171921E-2,4.7873073648171921E-2,7.9788456080286549E-2,0.12215714250217262]
[null,{"$f":"B39+0.2","v":4.2000000000000011},4.7420126106504298E-2,4.7420126106504298E-2,8.1758838114662613E-2,0.12321900504683]
[null,4.4000000000000012,4.6862389682550416E-2,4.6862389682550416E-2,8.3682838718840066E-2,0.12413976113434785]
[null,4.6000000000000014,4.6204336859838685E-2,4.6204336859838685E-2,8.5563586777479078E-2,0.12492986912074792]
[null,4.8000000000000016,4.5450014712630493E-2,4.5450014712630493E-2,8.7403874447366345E-2,0.12559909387323595]
[null,5.0000000000000018,4.4603102903819275E-2,4.4603102903819275E-2,8.9206205807638592E-2,0.12615662610100803]
[null,5.200000000000002,4.3666961678085404E-2,4.3666961678085404E-2,9.0972836829344636E-2,0.12661118215112926]
[null,5.4000000000000021,4.2644671903360118E-2,4.2644671903360118E-2,9.2705808485565533E-2,0.12697108826923181]
[null,5.6000000000000023,4.1539068730835689E-2,4.1539068730835689E-2,9.4406974388262996E-2,0.12724435235339054]
[null,5.8000000000000025,{"$f":"SQRT(0.5/PI())*SQRT(B48)*(10-B48)*IRVol","v":4.0352770087836581E-2},{"$f":"SQRT(0.5/PI())*SQRT(B48)*(10-B48)*IRVol2","v":4.0352770087836581E-2},{"$f":"SQRT(0.5/PI())*FXVol*SQRT(B48)","v":9.6078024018658587E-2},{"$f":"SQRT(0.5/PI())*SQRT(B48*(10-B48)^2*IRVol^2+B48*(10-B48)^2*IRVol2^2+FXVol^2*B48+2*IRFXCorr*B48*(10-B48)*IRVol*FXVol+2*IRFXCorr*B48*(10-B48)*IRVol2*FXVol+2*IRFXCorr*B48*(10-B48)^2*IRVol*IRVol2)","v":0.12743872550890137}]
[null,6.0000000000000027,3.908820095223358E-2,3.908820095223358E-2,9.7720502380584023E-2,0.1275617551686844]
[null,6.2000000000000028,3.774761415656782E-2,3.774761415656782E-2,9.9335826727810148E-2,0.12762083112848405]
[null,6.400000000000003,3.633310831709028E-2,3.633310831709028E-2,0.10092530088080644,0.12762322552304703]
[null,6.6000000000000032,3.4846643365092182E-2,3.4846643365092182E-2,0.10249012754438888,0.12757612751453234]
[null,6.8000000000000034,3.3290054066304607E-2,3.3290054066304607E-2,0.10403141895720201,0.12748667326023752]
[null,7.0000000000000036,3.1665061842335612E-2,3.1665061842335612E-2,0.10555020614111885,0.12736197156108245]
[null,7.2000000000000037,2.9973285151366519E-2,2.9973285151366519E-2,0.10704744696916631,0.12720912545662305]
[null,7.4000000000000039,2.8216248640152281E-2,2.8216248640152281E-2,0.10852403323135509,0.12703524992082182]
[null,7.6000000000000041,2.6395391243152263E-2,2.6395391243152263E-2,0.10998079684646796,0.12684748572159713]
[null,7.8000000000000043,2.451207337539037E-2,2.451207337539037E-2,0.11141851534268372,0.12665300943411742]
[null,8.0000000000000036,2.2567583341910221E-2,2.2567583341910221E-2,0.1128379167095513,0.12645903954195464]
[null,8.2000000000000028,2.0563143067307253E-2,2.0563143067307253E-2,0.11423968370726272,0.12627283852159274]
[null,8.4000000000000021,1.8499913232899522E-2,1.8499913232899522E-2,0.11562445770562219,0.12610171078515475]
[null,8.6000000000000014,1.6378997895955E-2,1.6378997895955E-2,0.11699284211396441,0.12595299635477442]
[null,8.8000000000000007,1.4201448654487667E-2,1.4201448654487667E-2,0.11834540545406398,0.12583406016120455]
[null,9,1.1968268412042982E-2,1.1968268412042982E-2,0.11968268412042982,0.12575227690030397]
[null,9.1999999999999993,9.680414789279855E-3,9.680414789279855E-3,0.12100518486599809,0.12571501144478123]
[null,9.3999999999999986,7.3388032227535331E-3,7.3388032227535331E-3,0.12231338704589192,0.12572959489495825]
[null,9.5999999999999979,4.9443097858968528E-3,4.9443097858968528E-3,0.12360774464742068,0.12580329646007554]
[null,9.7999999999999972,2.4977737626139147E-3,2.4977737626139147E-3,0.12488868813069398,0.12594329148795472]
[null,9.9999999999999964,4.4819837122037135E-17,4.4819837122037135E-17,0.126156626101008,0.126156626101008]

{"sheet":"11.4","index":3,"n_rows":41,"n_cols":10,"rows_kept":41,"cut":false,"hidden":false,"merged":[[8,1,8,2],[8,4,8,5]]}
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters",null,null,"Credit curve"]
[null,"Initial spread",0.02,null,1,0.02]
[null,"Recovery rate",0.4,null,2,2.5000000000000001E-2]
[null,"Interest rate",0.05,null,3,0.03]
[null,"Spread volatility",0.5,null,4,3.5000000000000003E-2,null,null,null,{"$f":"NORMDIST(NORMSINV(99%),0,1,FALSE)/1%","v":2.665214220345808}]
[null,"Confidence level",0.99,null,5,0.04]
[]
[]
[]
[null,null,"Spread","Def Prob","Duration","dSpread","EPE","PFE"]
[null,0,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B19,0)","v":1.4999998733401299E-2},null,null,null,0,0]
[null,0.05,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B20,0)","v":1.5250000389143162E-2},{"$f":"EXP(-B19*C19/(1-Rec))-EXP(-B20*C20/(1-Rec))","v":1.2700261990011841E-3},{"$f":"(1-EXP(-(C20/(1-Rec)+IRate)*(5-B20)))/(C20/(1-Rec)+IRate)","v":4.1310489407670818},{"$f":"CDSSpread*SpreadVol*SQRT(B20)","v":2.2360679774997899E-3},{"$f":"D20*(1-Rec)+(1-D20)*F20*E20/SQRT(2*PI())","v":4.442487499902819E-3},{"$f":"IF(D20>(1-ConfLevel1),(1-Rec),F20*E20*NORMSINV(ConfLevel1))","v":2.1489187756397427E-2}]
[null,0.1,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B21,0)","v":1.5499998329074257E-2},1.309972922513003E-3,4.0926391474288488,{"$f":"CDSSpread*SpreadVol*SQRT(B21)","v":3.1622776601683794E-3},5.9423556527362104E-3,3.0107736900403834E-2]
[null,0.25,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B22,0)","v":1.6249999651336118E-2},4.1679636219452698E-3,3.9774918180152072,5.0000000000000001E-3,1.040165804613959E-2,4.6265148174272581E-2]
[null,{"$f":"B22+0.25","v":0.5},{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B23,0)","v":1.7499998893721835E-2},7.7295479116910037E-3,3.7857155014929194,7.0710678118654762E-3,1.5234488798693782E-2,6.227412494788459E-2]
[null,0.75,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B24,0)","v":1.8749998260838251E-2},8.687462271194879E-3,3.5938576308980941,8.6602540378443865E-3,1.7521176753020229E-2,7.2404599992481153E-2]
[null,1,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B25,0)","v":1.9999999552965164E-2},9.6189258710166481E-3,3.401624277902263,0.01,1.9211339186035334E-2,7.9133614071836403E-2]
[null,1.25,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B26,0)","v":2.1249999913769503E-2},1.0521283494422606E-2,3.2087162823513542,1.1180339887498949E-2,2.0474061105473222E-2,0.6]
[null,1.5,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B27,0)","v":2.2500000212208493E-2},1.1392037557659163E-2,3.0148280460988031,1.2247448713915889E-2,2.1397937396932579E-2,0.6]
[null,1.75,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B28,0)","v":2.3750000385916785E-2},1.2228842871477963E-2,2.8196464351845343,1.3228756555322954E-2,2.2036044944218496E-2,0.6]
[null,2,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B29,0)","v":2.500000037252903E-2},1.3029523792232545E-2,2.6228495624876245,1.4142135623730952E-2,2.2422749438242282E-2,0.6]
[null,2.25,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B30,0)","v":2.6250000608602667E-2},1.3792083940139643E-2,2.4241055189554062,1.4999999999999999E-2,2.2581352766783365E-2,0.6]
[null,2.5,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B31,0)","v":2.7499999801096103E-2},1.4514704954590507E-2,2.2230710516480943,1.5811388300841899E-2,2.2528043962676422E-2,0.6]
[null,2.75,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B32,0)","v":2.8749999484196969E-2},1.5195776282490248E-2,2.0193901293415619,1.6583123951776999E-2,2.2274152816767784E-2,0.6]
[null,3,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B33,0)","v":2.9999999329447746E-2},1.5833868998819112E-2,1.8126924711785395,1.7320508075688773E-2,2.1827487257674444E-2,0.6]
[null,3.25,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B34,0)","v":3.1249998962656327E-2},1.6427761372280303E-2,1.6025919434396392,1.8027756377319945E-2,2.1193208281619996E-2,0.6]
[null,3.5,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B35,0)","v":3.2499999689337394E-2},1.6976444395497059E-2,1.3886848583739719,1.8708286933869708E-2,2.0374400960796131E-2,0.6]
[null,3.75,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B36,0)","v":3.3749999975303313E-2},1.7479094075949719E-2,1.1705481675255573,1.9364916731037084E-2,1.9372443289954733E-2,0.6]
[null,4,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B37,0)","v":3.5000000149011612E-2},1.7935113916969114E-2,0.94773750362950782,0.02,1.8187296905554661E-2,0.6]
[null,4.25,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B38,0)","v":3.6250001037842587E-2},1.8344106946456606E-2,0.7197850932214811,2.0615528128088305E-2,1.6817675335072883E-2,0.6]
[null,4.5,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B39,0)","v":3.7499999876932366E-2},1.870585591792373E-2,0.48619750533972428,2.1213203435596423E-2,1.5261159703968116E-2,0.6]
[null,4.75,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B40,0)","v":3.8749999522614022E-2},1.9020393082859632E-2,0.24645321838683998,2.179449471770337E-2,1.3514326031103606E-2,0.6]
[null,5,{"$f":"cubic_spline($E$10:$E$14,$F$10:$F$14,B41,0)","v":3.9999999105930328E-2},1.9287893690506541E-2,0,2.2360679774997897E-2,1.1572736214303924E-2,0.6]

{"sheet":"11.5","index":4,"n_rows":19,"n_cols":8,"rows_kept":19,"cut":false,"hidden":false,"merged":[[9,2,9,3],[9,6,9,7],[9,4,9,5]]}
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,"Future value",null,"Positive exposure",null,"Negative exposure"]
[null,null,"Trade 1","Trade 2","No netting","Netting","No netting","Netting"]
[null,"Scenario 1",50,15,{"$f":"MAX(C12,0)+MAX(D12,0)","v":65},{"$f":"MAX(C12+D12,0)","v":65},{"$f":"MIN(C12,0)+MIN(D12,0)","v":0},{"$f":"MIN(C12+D12,0)","v":0}]
[null,"Scenario 2",30,5,{"$f":"MAX(C13,0)+MAX(D13,0)","v":35},{"$f":"MAX(C13+D13,0)","v":35},{"$f":"MIN(C13,0)+MIN(D13,0)","v":0},{"$f":"MIN(C13+D13,0)","v":0}]
[null,"Scenario 3",10,-5,{"$f":"MAX(C14,0)+MAX(D14,0)","v":10},5,{"$f":"MIN(C14,0)+MIN(D14,0)","v":-5},0]
[null,"Scenario 4",-10,-15,0,0,{"$f":"MIN(C15,0)+MIN(D15,0)","v":-25},-25]
[null,"Scenario 5",-30,-25,0,0,{"$f":"MIN(C16,0)+MIN(D16,0)","v":-55},-55]
[null,"EFV",{"$f":"AVERAGE(C12:C16)","v":10},{"$f":"AVERAGE(D12:D16)","v":-5}]
[null,"EPE",{"$f":"SUMIF(C12:C16,\">0\")/5","v":18},{"$f":"SUMIF(D12:D16,\">0\")/5","v":4},{"$f":"SUMIF(E12:E16,\">0\")/5","v":22},{"$f":"SUMIF(F12:F16,\">0\")/5","v":21}]
[null,"ENE",{"$f":"SUMIF(C12:C16,\"<0\")/5","v":-8},{"$f":"SUMIF(D12:D16,\"<0\")/5","v":-9},null,null,{"$f":"SUMIF(G12:G16,\"<0\")/5","v":-17},{"$f":"SUMIF(H12:H16,\"<0\")/5","v":-16}]

{"sheet":"11.6","index":5,"n_rows":17,"n_cols":4,"rows_kept":17,"cut":false,"hidden":false,"merged":[[9,6,9,7]]}
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Portfolio value",-20]
[null,"Variation margin",-15]
[null,"Initial margin received",3,true]
[null,"Initial margin posted ",3,true]
[]
[null,"Positive exposure",{"$f":"MAX(PortfolioValue-VariationMargin-InitialMarginReceived+InitialMarginPosted*IF(PostedIMSeg=FALSE,1,0),0)","v":0}]
[null,"Negative exposure",{"$f":"MIN(PortfolioValue-VariationMargin-InitialMarginReceived*IF(RecIMSeg=FALSE,1,0)+InitialMarginPosted,0)","v":-2}]
[null,"Funding",{"$f":"PortfolioValue-VariationMargin+InitialMarginPosted-InitialMarginReceived*IF(RecIMSeg=FALSE,1,0)","v":-2}]