End of year jump calculation
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ABCDEFGHIJKLMNOPQRSTUVWXYZAAABACADAEAFAGAHAIAJAKALAMANAOAPAQARASATAUAV
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Deposits
Curve configuration
Fwd Curve
Curve configuration
Fwd Curve
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RateTime Unit
Tenor Number
Fixing DaysCalendar
Day Convention
Day Counter
Compounding
Simple
Fwd Curve Period Time Unit
DaysCompoundingSimple
Fwd Curve Period Time Unit
Days#NAME?0,0004055552012-12-110
Curve configuration
Fwd Curve
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0,000400Days10TARGETFollowingActual360Day CounterActual365Fixed
Fwd Curve Period Number
1Day CounterActual365Fixed
Fwd Curve Period Number
10,0004055552012-12-121CompoundingSimple
Fwd Curve Period Time Unit
DaysStart DateEnd DateFwd RateYear Fraction
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0,000400Days11TARGETFollowingActual360InterpolatorLogCubicFwdCurveCalendarTARGETInterpolatorBackwardFlatFwdCurveCalendarTARGET0,0004055552012-12-132Day CounterActual365Fixed
Fwd Curve Period Number
12012/12/242013/01/07#NAME?0,0383562
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0,000400Days12TARGETFollowingActual360
Bootstrap Trait
DiscountFwdDayCounterActual360Bootstrap TraitFwdRateFwdDayCounterActual3600,0004055552012-12-143InterpolatorBackwardFlatFwdCurveCalendarTARGET2012/12/242013/01/07#NAME?0,00547945
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As Of Date2012/12/11FwdCompoundingSimpleAs Of Date2012/12/11FwdCompoundingSimple0,0007604112012-12-204As Of Date2012/12/11FwdDayCounterActual360
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0,0006894312012-12-275FwdCompoundingSimple
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OIS02013-01-036J = (F-F_1)*t12/t_j#NAME?
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RateTime Unit
Tenor Number
Fixing Days
Overnight Index
0,0006728162013-01-147
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0,00070Weeks12Eonia0,0004663812013-02-138
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0,00069Weeks22Eonia0,0001622212013-03-139
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0,00078Weeks32Eonia-0,00007097242013-04-1010B = 1.0/(1.0+J*t_j)
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0,00074Months12Eonia-0,0001318062013-05-0811Discount jump value for:2012/12/31#NAME?
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0,00002Months152Eonia-0,0001419452013-06-1212
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0,00008Months182Eonia-0,00008273622014-03-1313
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0,00021Months212Eonia0,0003819512014-06-1314
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0,00036Years22Eonia0,0009798562014-09-1515
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0,00127Years32Eonia0,001436282014-12-1516
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0,00274Years42Eonia0,003144582015-12-1417
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0,00456Years52Eonia0,007270042016-12-1318
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0,00647Years62Eonia0,01208012017-12-1319
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0,00827Years72Eonia0,01642612018-12-1320
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0,00996Years82Eonia0,01966452019-12-1321
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0,01147Years92Eonia0,02254412020-12-1422
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0,0128Years102Eonia0,02463452021-12-1323
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0,01404Years112Eonia0,02601632022-12-1324
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0,01516Years122Eonia0,02796152023-12-1325
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0,01764Years152Eonia0,02920262024-12-1326
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0,01939Years202Eonia0,02953182027-12-1327
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0,02003Years252Eonia0,02619122032-12-1328
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0,02038Years302Eonia0,02360722037-12-1429
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0,02299452042-12-1530
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OIS forwards
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RateStart DateEnd DateOvernight Index
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0,000462013/01/162013/02/13Eonia
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0,000162013/02/132013/03/13Eonia
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-0,000072013/03/132013/04/10Eonia
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-0,000132013/04/102013/05/08Eonia
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-0,000142013/05/082013/06/12Eonia
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Construct eonia discount curve
Data