Vanilla swap pricing
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Discounting curve
Forecasting curve
Swap info
Results
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#NAME?
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Deposits
Synthetic deposits
Notional:1000000Swap type:PayerStart date:2012/12/13
Length in years:
3Calendar:TARGET
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RateTime UnitTenor NumberFixing DaysCalendar
Day Convention
Day Counter
Curve configuration
RateTime Unit
Tenor Number
Fixing DaysCalendar
Day Convention
Day Counter
Curve configuration
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0,000400Days10TARGETFollowingActual360Day CounterActual365Fixed0,001865Weeks22TARGETFollowingActual360Day CounterActual365Fixed
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0,000400Days11TARGETFollowingActual360InterpolatorLogCubic0,001969Weeks32TARGETFollowingActual360InterpolatorLogCubicFixed LegFloating LegIndex
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0,000400Days12TARGETFollowingActual360Bootstrap TraitDiscount0,001951Months12TARGETFollowingActual360
Bootstrap Trait
Discount
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0,001874Months22TARGETFollowingActual360Day Counter:Actual360Day Counter:Actual360
Settlement days:
2
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0,001790Months32TARGETFollowingActual360
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OISRate:0,0025Spread:0Calendar:TARGET
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RateTime UnitTenor NumberFixing Days
Overnight Index
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0,00070Weeks12EoniaFuturesScheduleScheduleConvention:Following
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0,00069Weeks22EoniaRate
Future start date
Future months
Calendar
Day Convention
Day CounterFrequency:QuarterlyFrequency:Quarterly
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0,00078Weeks32Eonia0,177599,82252012/12/193TARGETModifiedFollowingActual360End of Month:FALSE
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0,00074Months12Eonia0,127499,87262013/03/203TARGETModifiedFollowingActual360Day Convention:ModifiedFollowing
Day Convention:
ModifiedFollowing
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0,00002Months152Eonia0,122299,87782013/06/193TARGETModifiedFollowingActual360Day counter:Actual360
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0,00008Months182Eonia0,126999,87312013/09/183TARGETModifiedFollowingActual360
TerminationDateConvention:
ModifiedFollowing
TerminationDateConvention:
ModifiedFollowing
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0,00021Months212Eonia0,156599,84352013/12/183TARGETModifiedFollowingActual360
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0,00036Years22Eonia0,196199,80392014/03/193TARGETModifiedFollowingActual360
DateGenerationRule:
Backward
DateGenerationRule:
Backward
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0,00127Years32Eonia0,255699,74442014/06/183TARGETModifiedFollowingActual360
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0,00274Years42Eonia0,310199,68992014/09/173TARGETModifiedFollowingActual360EndOfMonth:FALSEEndOfMonth:FALSE
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0,00456Years52Eonia
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0,00647Years62Eonia
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0,00827Years72EoniaSwaps
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0,00996Years82EoniaRateTime Unit
Tenor Number
Calendar
Fixed Leg Frequency
Fixed Leg Convention
Fixed Leg Day Counter
Floating Leg Index
Use exogenous discount curve
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0,01147Years92Eonia0,002850Years3TARGETAnnualUnadjustedThirty360Euribor3MTRUEAs Of Date2012/12/11
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0,0128Years102Eonia0,004370Years4TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,01404Years112Eonia0,006230Years5TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,01516Years122Eonia0,008170Years6TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,01764Years152Eonia0,010000Years7TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,01939Years202Eonia0,011710Years8TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,02003Years252Eonia0,013240Years9TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,02038Years302Eonia0,014590Years10TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,016920Years12TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,019330Years15TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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OIS forwards0,020990Years20TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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RateStart DateEnd Date
Overnight Index
0,021560Years25TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,000462013/01/162013/02/13Eonia0,021860Years30TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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0,000162013/02/132013/03/13Eonia0,022308Years35TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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-0,000072013/03/132013/04/10Eonia0,022800Years40TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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-0,000132013/04/102013/05/08Eonia0,023670Years50TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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-0,000142013/05/082013/06/12Eonia0,024126Years60TARGETAnnualUnadjustedThirty360Euribor3MTRUE
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JumpJump
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0,1022012/12/310,9999943332013/12/310,9999851743040
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0,0852013/12/310,999995222
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