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{"sheet":"summary","index":0,"n_rows":40,"n_cols":14,"rows_kept":40,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: SUMMARY OF THE RESULTS",null,null,null,null,null,null,null,"BOND SCHEDULES"]
[]
[null,"Model Parameters",null,null,null,"Model Output Summary",null,null,null,"Bond option parameters"]
[null,{"$f":"J5","v":"Parameter"},{"$f":"L5","v":"Value"},{"$f":"M5","v":"Description"},null,{"$f":"J5","v":"Parameter"},null,{"$f":"L5","v":"Value"},null,"Parameter",null,"Value","Description"]
[null,"Interest rate model",{"$f":"B35","v":"Hull-White, extended Vasicek"},null,null,"Bond actual value",null,{"$f":"tree!I44","v":-99.051478492542074},null,{"$f":"config!B64","v":"option"},null,{"$f":"B39","v":"call"},"Option type (put or call)"]
[null,"Valuation date","2019-01-01",null,null,"Bond bullet value",null,{"$f":"tree!I45","v":-99.999999999999986}]
[null,"credit rating","BB-","Bond transaction-specific credit rating",null,"Bond option value",null,{"$f":"H6-H7","v":0.94852150745791164},null,"Bond redemption premium / discount"]
[null,"maturity term",5,"Bond maturity term",null,null,null,null,null,"Year","Period","Value","Description"]
[null,{"$f":"config!B14","v":"coupon-rate"},{"$f":"cf!C21","v":4.3581073580533126E-2},"Calibrated coupon rate",null,null,null,null,null,{"$f":"C12","v":0.25},{"$f":"INT(J10/$C$12)","v":1},0,{"$f":"\"Bond redemption premium in period t=\" & K10","v":"Bond redemption premium in period t=1"}]
[null,{"$f":"config!B15","v":"coupon-frequency"},2,"Coupon payment frequency",null,"Annuity adjustment factor (AAF)",null,{"$f":"tree!K37","v":4.4495062780966697},null,2.5,{"$f":"INT(J11/$C$12)","v":10},0,{"$f":"\"Bond redemption premium in period t=\" & K11","v":"Bond redemption premium in period t=10"}]
[null,{"$f":"config!B9","v":"dt"},0.25,"Length of the tree step (in years)",null,"Bond option premium / discount",null,{"$f":"H8/H11","v":0.21317455200077912},null,{"$f":"C9","v":5},{"$f":"INT(J12/$C$12)","v":20},0,"Bond redemption premium at maturity"]
[null,"drift parameter (ϑ)",{"$f":"params!H12","v":"N/A"},"Calibrated from the term structure"]
[null,"mean-reversion parameter (α)",{"$f":"params!H13+0.000001","v":9.9999999999999995E-7},"Default value is set to zero",null,null,null,null,null,{"$f":"config!B18","v":"redemption-premium-schedule"}]
[null,"volatility (σ)",{"$f":"params!H11","v":7.5887712706070093E-3},"Estimated using historical data sample",null,null,null,null,null,{"$f":"_xll.AC.data.map(K10:K12, L10:L12)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:944..4617911987091833777"},null,null,"Redemption premium if option is exercised"]
[null,{"$f":"config!B8","v":"principal-amount"},100,"Bond principal amount"]
[null,"number of periods",{"$f":"INT(C9/C12)","v":20},"Number of tree steps"]
[]
[]
[null,"Model Validation Summary",null,null,null,null,null,null,null,"Bond amortization schedule"]
[null,null,null,null,null,null,null,null,null,"Year","Period","Value","Description"]
[null,null,"Zero-price bond","Terminal distribution parameters",null,"Implied model parameters",null,null,null,{"$f":"C12","v":0.25},{"$f":"INT(J22/$C$12)","v":1},0,{"$f":"\"% of bond amortization in period t=\" & K22","v":"% of bond amortization in period t=1"}]
[null,{"$f":"_xll.AC.data._get(_xll.AC.finance.srm.validate.get(tree!I29, config!B42), \"\", 0)","v":"Model type"},"Bullet price","Terminal mean","Terminal stdev","Implied mean","Implied stdev",null,null,1.75,{"$f":"INT(J23/$C$12)","v":7},0,{"$f":"\"% of bond amortization in period t=\" & K23","v":"% of bond amortization in period t=7"}]
[null,"Numeric model",99.999999999999986,6.4700512719910355E-2,1.6877196759970018E-2,6.8081025439820711E-3,7.5477118449864319E-3,null,null,3.5,{"$f":"INT(J24/$C$12)","v":14},0,"% of bond amortization in period t=14"]
[null,"Theoretic model",99.581425027784277,6.4697468557078364E-2,1.6969008426774724E-2,6.8074937114156724E-3,7.5887712706070084E-3,null,null,{"$f":"C9","v":5},{"$f":"INT(J25/$C$12)","v":20},{"$f":"1-SUM(L22:L24)","v":1},"% of bond amortization at maturity"]
[null,"Difference ",{"$f":"C24-C25","v":0.41857497221570839},{"$f":"D24-D25","v":3.0441628319916036E-6},{"$f":"E24-E25","v":-9.1811666804705871E-5},{"$f":"F24-F25","v":6.0883256639866767E-7},-4.1059425620576517E-5]
[]
[null,null,{"$f":"IF(config!M42, IF(L6=B39, \"\", \"adjusted put discount\"), \"\")","v":""},{"$f":"IF(config!M42, IF(L6=B39, \"\", \"term premium\"), \"\")","v":""},{"$f":"IF(config!M42, \"AAF\", \"\")","v":"AAF"},null,null,null,null,{"$f":"config!B20","v":"amortization-schedule"}]
[null,{"$f":"IF(config!M42, IF(L6=B39, \"Adjusted call premium\", \"Compare term premium vs put discount\"), \"\")","v":"Adjusted call premium"},{"$f":"IF(config!M42, H8/tree!K38/100, \"\")","v":3.3787570241917021E-3},{"$f":"IF(config!M42, IF(L6=B39, \"\", cf!C21-params!G24), \"\")","v":""},{"$f":"IF(config!M42, tree!K38, \"\")","v":2.8073090212363696},null,null,null,null,{"$f":"_xll.AC.data.map(K22:K25, L22:L25)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:984..1286073431040083501"},null,null,"Bond amortization schedule"]
[]
[]
[null,"Markov process models",null,null,null,null,null,null,null,"Interest deferral schedule"]
[null,{"$f":"config!G38","v":"Vasicek"},null,null,null,null,null,null,null,"Parameter","Value",null,"Description"]
[null,{"$f":"config!G39","v":"Cox-Ingersoll-Ross (CIR)"},null,null,null,null,null,null,null,"interest deferral period",null,0,"The latest coupon payments deferral period"]
[null,{"$f":"config!G40","v":"Hull-White, extended Vasicek"},null,null,null,null,null,null,null,"is compounded",null,1,"1 if deferred interest is compounded (0 otherwise)"]
[null,{"$f":"config!G41","v":"Hull-White, extended CIR"}]
[]
[null,"Interest rate options",null,null,null,null,null,null,null,"Controls"]
[null,{"$f":"config!G44","v":"call"},null,null,null,null,null,null,null,"Ctrl+Shft+C","Ctrl+Shft+D                          ",null," Ctrl+Shft+S"," Ctrl+Shft+V"]
[null,{"$f":"config!G45","v":"put"}]

{"sheet":"params","index":1,"n_rows":501,"n_cols":19,"rows_kept":501,"cut":false,"hidden":false,"merged":[[19,4,19,6],[19,7,19,10]]}
[]
[null,"TAB: OPTION PARAMETERS ESTIMATION"]
[]
[null,"Yield series","Volatility series",null,"Parameter",null,"Value",null,"Description"]
[null,{"$f":"IF(ylds!C6=\"\", \"\", ylds!C6/100)","v":3.066E-2},{"$f":"_xll.AC.data._get(I47, \"\", 0)","v":4.1998736694471754E-3},null,"Model",null,{"$f":"summary!C6","v":"Hull-White, extended Vasicek"}]
[null,{"$f":"IF(ylds!C7=\"\", \"\", ylds!C7/100)","v":3.0379999999999997E-2},4.1499435599299719E-3,null,{"$f":"config!B43","v":"tenor-term-structure"},null,{"$f":"MAX(10, summary!C9)","v":10},null,"Tenor for ϑ calibration"]
[null,{"$f":"IF(ylds!C8=\"\", \"\", ylds!C8/100)","v":3.0130000000000001E-2},4.198371466011909E-3,null,{"$f":"config!B44","v":"sample-size"},null,250,null,"Sample size in number of business days"]
[null,{"$f":"IF(ylds!C9=\"\", \"\", ylds!C9/100)","v":2.9919999999999999E-2},4.2764680858647054E-3,null,{"$f":"config!B45","v":"sample-size-min"},null,30]
[null,{"$f":"IF(ylds!C10=\"\", \"\", ylds!C10/100)","v":2.9649999999999999E-2},4.2137611918205455E-3]
[null,{"$f":"IF(ylds!C11=\"\", \"\", ylds!C11/100)","v":2.9580000000000002E-2},4.4493887722095813E-3,null,"Parameter",null,"Estimated","Override","Notation"]
[null,{"$f":"IF(ylds!C12=\"\", \"\", ylds!C12/100)","v":2.9300000000000003E-2},4.3925623361903351E-3,null,{"$f":"config!B31","v":"volatility"},null,{"$f":"_xll.AC.data._get($I$46, E11, )","v":7.5887712706070093E-3},{"$f":"G11","v":7.5887712706070093E-3},"σ"]
[null,{"$f":"IF(ylds!C13=\"\", \"\", ylds!C13/100)","v":2.8919999999999998E-2},4.3329219845822057E-3,null,{"$f":"config!B33","v":"drift"},null,{"$f":"_xll.AC.data._get($I$46, E12, )","v":"N/A"},{"$f":"G12","v":"N/A"},"ϑ"]
[null,{"$f":"IF(ylds!C14=\"\", \"\", ylds!C14/100)","v":2.8809999999999999E-2},4.2756532798101984E-3,null,{"$f":"config!B35","v":"mean-reversion"},null,{"$f":"_xll.AC.data._get($I$46, E13, )","v":0},{"$f":"G13","v":0},"α"]
[null,{"$f":"IF(ylds!C15=\"\", \"\", ylds!C15/100)","v":2.8530000000000003E-2},4.2205220401133068E-3,null,{"$f":"config!B34","v":"drift-function"},null,{"$f":"_xll.AC.data._get($I$52, E14, )","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:30:094..1200399959172200018"},null,null,{"$f":"_xll.AC.data.size(G14, 1)","v":13},null,"Final (post-overriding)"]
[null,{"$f":"IF(ylds!C16=\"\", \"\", ylds!C16/100)","v":2.8290000000000003E-2},4.363504229357381E-3]
[null,{"$f":"IF(ylds!C17=\"\", \"\", ylds!C17/100)","v":2.8479999999999998E-2},4.6231137396401068E-3]
[null,{"$f":"IF(ylds!C18=\"\", \"\", ylds!C18/100)","v":2.8340000000000001E-2},4.8137457033113366E-3,null,"Yield term-structure (Bloomberg)",null,null,"Estimated yield term structure (using final parameters)"]
[null,{"$f":"IF(ylds!C19=\"\", \"\", ylds!C19/100)","v":2.8629999999999999E-2},4.7766184300535039E-3]
[null,{"$f":"IF(ylds!C20=\"\", \"\", ylds!C20/100)","v":2.8210000000000002E-2},4.7388417833003306E-3,null,{"$f":"config!B37","v":"srm-functions-estimate"},null,null,{"$f":"_xll.AC.finance.srm.params.get(I51, E19, )","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:30:094..7994704202743506432"},null,{"$f":"_xll.AC.data.size(H19, 1)","v":13},null,{"$f":"_xll.AC.data.size(H19, 2)","v":3}]
[null,{"$f":"IF(ylds!C21=\"\", \"\", ylds!C21/100)","v":2.8370000000000003E-2},4.7528682698784862E-3,null,"Actual",null,null,"Estimated"]
[null,{"$f":"IF(ylds!C22=\"\", \"\", ylds!C22/100)","v":2.828E-2},4.7010963778176202E-3,null,"Index","Tenor","Yield","Period","Yield","Drift","Drift Cum","Difference"]
[null,{"$f":"IF(ylds!C23=\"\", \"\", ylds!C23/100)","v":2.802E-2},4.7295698365943739E-3,null,1,{"$f":"OFFSET(ylds!$B$5, 0, E22)","v":0.25},{"$f":"IF(OFFSET(ylds!$B$6, 0, E22)=\"\", \"\", OFFSET(ylds!$B$6, 0, E22)/100)","v":3.066E-2},{"$f":"_xll.AC.data._get(H19, \"\", 0)","v":0.25},3.066E-2,4.7991207831325268E-6,{"$f":"J22","v":4.7991207831325268E-6},{"$f":"IF(OR(G22=\"\", J22=\"\"), \"\", G22-J22)","v":3.0655200879216866E-2}]
[null,{"$f":"IF(ylds!C24=\"\", \"\", ylds!C24/100)","v":2.775E-2},4.8745417094097198E-3,null,{"$f":"E22+1","v":2},{"$f":"OFFSET(ylds!$B$5, 0, E23)","v":0.5},{"$f":"IF(OFFSET(ylds!$B$6, 0, E23)=\"\", \"\", OFFSET(ylds!$B$6, 0, E23)/100)","v":3.066E-2},0.5,3.0659999999999948E-2,2.3995603915662632E-5,{"$f":"IF(H23=\"\", \"\", K22+J23*(H23-H22))","v":1.0798021762048185E-5},3.0636004396084337E-2]
[null,{"$f":"IF(ylds!C25=\"\", \"\", ylds!C25/100)","v":2.7740000000000001E-2},4.8260117664014179E-3,null,{"$f":"E23+1","v":3},{"$f":"OFFSET(ylds!$B$5, 0, E24)","v":1},{"$f":"IF(OFFSET(ylds!$B$6, 0, E24)=\"\", \"\", OFFSET(ylds!$B$6, 0, E24)/100)","v":3.1800000000000002E-2},1,3.1800000000000023E-2,9.1583929662650762E-3,{"$f":"IF(H24=\"\", \"\", K23+J24*(H24-H23))","v":4.5899945048945862E-3},2.2641607033734926E-2]
[null,{"$f":"IF(ylds!C26=\"\", \"\", ylds!C26/100)","v":2.7820000000000001E-2},4.7939346712207575E-3,null,4,{"$f":"OFFSET(ylds!$B$5, 0, E25)","v":2},{"$f":"IF(OFFSET(ylds!$B$6, 0, E25)=\"\", \"\", OFFSET(ylds!$B$6, 0, E25)/100)","v":3.3939999999999998E-2},2,3.3939999999999942E-2,1.801585053313225E-3,6.3915795582078112E-3,3.2138414946686775E-2]
[null,{"$f":"IF(ylds!C27=\"\", \"\", ylds!C27/100)","v":2.8079999999999997E-2},4.8559779157230339E-3,null,5,{"$f":"OFFSET(ylds!$B$5, 0, E26)","v":3},{"$f":"IF(OFFSET(ylds!$B$6, 0, E26)=\"\", \"\", OFFSET(ylds!$B$6, 0, E26)/100)","v":3.8019999999999998E-2},3,3.8020000000000019E-2,1.8628772744277128E-2,2.5020352302484939E-2,1.939122725572287E-2]
[null,{"$f":"IF(ylds!C28=\"\", \"\", ylds!C28/100)","v":2.793E-2},4.9216307074084545E-3,null,6,{"$f":"OFFSET(ylds!$B$5, 0, E27)","v":4},{"$f":"IF(OFFSET(ylds!$B$6, 0, E27)=\"\", \"\", OFFSET(ylds!$B$6, 0, E27)/100)","v":4.181E-2},4,4.181E-2,-4.2832360478915477E-3,2.0737116254593391E-2,4.6093236047891548E-2]
[null,{"$f":"IF(ylds!C29=\"\", \"\", ylds!C29/100)","v":2.7370000000000002E-2},5.2107634305868953E-3,null,7,{"$f":"OFFSET(ylds!$B$5, 0, E28)","v":5},{"$f":"IF(OFFSET(ylds!$B$6, 0, E28)=\"\", \"\", OFFSET(ylds!$B$6, 0, E28)/100)","v":4.4940000000000001E-2},5,4.4940000000000015E-2,1.3303951643072326E-2,3.4041067897665714E-2,3.1636048356927675E-2]
[null,{"$f":"IF(ylds!C30=\"\", \"\", ylds!C30/100)","v":2.743E-2},5.1640510528577939E-3,null,8,{"$f":"OFFSET(ylds!$B$5, 0, E29)","v":7},{"$f":"IF(OFFSET(ylds!$B$6, 0, E29)=\"\", \"\", OFFSET(ylds!$B$6, 0, E29)/100)","v":4.7880000000000006E-2},7,4.7879999999999992E-2,-8.4212602263554967E-3,1.719854744495472E-2,5.6301260226355503E-2]
[null,{"$f":"IF(ylds!C31=\"\", \"\", ylds!C31/100)","v":2.7719999999999998E-2},5.4302231992609763E-3,null,9,{"$f":"OFFSET(ylds!$B$5, 0, E30)","v":8},{"$f":"IF(OFFSET(ylds!$B$6, 0, E30)=\"\", \"\", OFFSET(ylds!$B$6, 0, E30)/100)","v":5.3019999999999998E-2},8,5.3019999999999984E-2,8.553430944066287E-2,0.10273285688561759,-3.2514309440662872E-2," "]
[null,{"$f":"IF(ylds!C32=\"\", \"\", ylds!C32/100)","v":2.7559999999999998E-2},5.4466083832009462E-3,null,10,{"$f":"OFFSET(ylds!$B$5, 0, E31)","v":9},{"$f":"IF(OFFSET(ylds!$B$6, 0, E31)=\"\", \"\", OFFSET(ylds!$B$6, 0, E31)/100)","v":5.4980000000000001E-2},9,5.4979999999999994E-2,-0.12129287825030149,-1.8560021364683904E-2,0.1762728782503015]
[null,{"$f":"IF(ylds!C33=\"\", \"\", ylds!C33/100)","v":2.8130000000000002E-2},5.6124424795513722E-3,null,11,{"$f":"OFFSET(ylds!$B$5, 0, E32)","v":10},{"$f":"IF(OFFSET(ylds!$B$6, 0, E32)=\"\", \"\", OFFSET(ylds!$B$6, 0, E32)/100)","v":5.6680000000000001E-2},10,5.6679999999999994E-2,0.12496948833945815,0.10640946697477424,-6.8289488339458138E-2]
[null,{"$f":"IF(ylds!C34=\"\", \"\", ylds!C34/100)","v":2.818E-2},5.5774254675347587E-3,null,12,{"$f":"OFFSET(ylds!$B$5, 0, E33)","v":15},{"$f":"IF(OFFSET(ylds!$B$6, 0, E33)=\"\", \"\", OFFSET(ylds!$B$6, 0, E33)/100)","v":5.8430000000000003E-2},15,5.8430000000000003E-2,-2.8230681156084386E-2,-3.4743938805647689E-2,8.6660681156084385E-2]
[null,{"$f":"IF(ylds!C35=\"\", \"\", ylds!C35/100)","v":2.811E-2},5.532247657123149E-3,null,13,{"$f":"OFFSET(ylds!$B$5, 0, E34)","v":20},{"$f":"IF(OFFSET(ylds!$B$6, 0, E34)=\"\", \"\", OFFSET(ylds!$B$6, 0, E34)/100)","v":6.5780000000000005E-2},20,6.5780000000000005E-2,4.0318364638012104E-2,0.16684788438441284,2.5461635361987901E-2]
[null,{"$f":"IF(ylds!C36=\"\", \"\", ylds!C36/100)","v":2.76E-2},5.8136294492784572E-3,null,14,{"$f":"OFFSET(ylds!$B$5, 0, E35)","v":25},{"$f":"IF(OFFSET(ylds!$B$6, 0, E35)=\"\", \"\", OFFSET(ylds!$B$6, 0, E35)/100)","v":""},null,null,null,"",""]
[null,{"$f":"IF(ylds!C37=\"\", \"\", ylds!C37/100)","v":2.7440000000000003E-2},5.7833747551363909E-3,null,15,{"$f":"OFFSET(ylds!$B$5, 0, E36)","v":30},{"$f":"IF(OFFSET(ylds!$B$6, 0, E36)=\"\", \"\", OFFSET(ylds!$B$6, 0, E36)/100)","v":""},null,null,null,"",""]
[null,{"$f":"IF(ylds!C38=\"\", \"\", ylds!C38/100)","v":2.7069999999999997E-2},5.7890313047357445E-3]
[null,{"$f":"IF(ylds!C39=\"\", \"\", ylds!C39/100)","v":2.665E-2},5.7600076724696279E-3]
[null,{"$f":"IF(ylds!C40=\"\", \"\", ylds!C40/100)","v":2.6600000000000002E-2},5.9955289167395575E-3,null,"A. Parameter calculator parameters"]
[null,{"$f":"IF(ylds!C41=\"\", \"\", ylds!C41/100)","v":2.598E-2},6.0402522726434472E-3,null,"Historical sample",null,{"$f":"COUNT(B5:B5000)","v":308},null,{"$f":"_xll.AC.data.list_x(OFFSET(B5, 0, 0, G40, 1), 1, 1)","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:29:960..258342020851790235"},null,null,null,null,{"$f":"_xll.AC.data.size(I40, 1)","v":308}]
[null,{"$f":"IF(ylds!C42=\"\", \"\", ylds!C42/100)","v":2.6040000000000001E-2},6.0291835579776498E-3,null,"Term structure",null,null,null,{"$f":"_xll.AC.data.map(F22:F36, G22:G36)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:985..5454571165358206357"},null,null,null,null,{"$f":"_xll.AC.data.size(I41, 1)","v":15}]
[null,{"$f":"IF(ylds!C43=\"\", \"\", ylds!C43/100)","v":2.6030000000000001E-2},5.9863977369291142E-3,null,"Calculator parameters",null,null,null,{"$f":"_xll.AC.data.map(E6:E8, G6:G8)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:944..1199109336555155142"},null,null,null,null,{"$f":"_xll.AC.data.size(I42, 1)","v":3}]
[null,{"$f":"IF(ylds!C44=\"\", \"\", ylds!C44/100)","v":2.6019999999999998E-2},6.0182445750961823E-3]
[null,{"$f":"IF(ylds!C45=\"\", \"\", ylds!C45/100)","v":2.5990000000000003E-2},5.9862703913204311E-3,null,"B. Parameter calculator"]
[null,{"$f":"IF(ylds!C46=\"\", \"\", ylds!C46/100)","v":2.545E-2},5.9440304976517378E-3,null,"SRM parameter calculator",null,null,null,{"$f":"_xll.AC.finance.srm.params.estimate(G5, I40, I41, I42)","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.calculator.parameter.CalculatorParameterHullWhiteVasicek@Thu, 7 Feb 2019 12:39:22:689..1129292016293992913"},null,null,null,null,null,null,null,null,null," "]
[null,{"$f":"IF(ylds!C47=\"\", \"\", ylds!C47/100)","v":2.4750000000000001E-2},5.9275187538463531E-3,null,"SRM parameters",null,{"$f":"config!B30","v":"srm-params"},null,{"$f":"_xll.AC.finance.srm.params.get(I45, G46, )","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:30:077..8753561202850718627"},null,null,null,null,{"$f":"_xll.AC.data.size(I46, 1)","v":5}]
[null,{"$f":"IF(ylds!C48=\"\", \"\", ylds!C48/100)","v":2.5350000000000001E-2},6.099148652285372E-3,null,{"$f":"config!B32","v":"volatility-function"},null,null,null,{"$f":"_xll.AC.data._get($I$46, E47, )","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:30:077..7367844475793828079"},null,null,null,null,{"$f":"_xll.AC.data.size(I47, 1)","v":278},"Estimated (prior to overriding)"]
[null,{"$f":"IF(ylds!C49=\"\", \"\", ylds!C49/100)","v":2.5150000000000002E-2},6.1801221838684315E-3,null,"number of eliminated observations (in volatility estimation)",null,null,null,null,null,null,null,null,{"$f":"G40-G8-N47","v":0}]
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[null,{"$f":"IF(ylds!C51=\"\", \"\", ylds!C51/100)","v":2.46E-2},6.1152524352125768E-3,null,"C. Override manually model parameters"]
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[null,{"$f":"IF(ylds!C53=\"\", \"\", ylds!C53/100)","v":2.4910000000000002E-2},6.0593888325296439E-3,null,"SRM parameters",null,{"$f":"G46","v":"srm-params"},null,{"$f":"_xll.AC.finance.srm.params.get(I51, G52, )","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:30:094..84125959001893201"},null,null,null,null,{"$f":"_xll.AC.data.size(I52, 1)","v":5}]
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{"sheet":"ylds","index":2,"n_rows":313,"n_cols":17,"rows_kept":313,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: MARKET YIELD RATES",null,null,{"$f":"summary!C8 & \" SERIES\"","v":"BB- SERIES"}]
[]
[null,null,"3m Index","6m Index","1Y Index","2Y Index","3Y Index","4Y Index","5Y Index","7Y Index","8Y Index","9Y Index","10Y Index","15Y Index","20Y Index","25Y Index","30Y Index"]
[null,"Date",0.25,0.5,1,2,3,4,5,7,8,9,10,15,20,25,30]
[null,"2018-03-26",3.0659999999999998,3.0659999999999998,3.18,3.3940000000000001,3.802,4.181,4.4939999999999998,4.7880000000000003,5.3019999999999996,5.4980000000000002,5.6680000000000001,5.843,6.5780000000000003]
[null,"2018-03-23",3.0379999999999998]
[null,"2018-03-22",3.0129999999999999]
[null,"2018-03-21",2.992]
[null,"2018-03-20",2.9649999999999999]
[null,"2018-03-19",2.9580000000000002]
[null,"2018-03-16",2.93]
[null,"2018-03-15",2.8919999999999999]
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[null,"2018-03-13",2.8530000000000002]
[null,"2018-03-12",2.8290000000000002]
[null,"2018-03-09",2.8479999999999999]
[null,"2018-03-08",2.8340000000000001]
[null,"2018-03-07",2.863]
[null,"2018-03-06",2.8210000000000002]
[null,"2018-03-05",2.8370000000000002]
[null,"2018-03-02",2.8279999999999998]
[null,"2018-03-01",2.802]
[null,"2018-02-28",2.7749999999999999]
[null,"2018-02-27",2.774]
[null,"2018-02-26",2.782]
[null,"2018-02-23",2.8079999999999998]
[null,"2018-02-22",2.7930000000000001]
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[null,"2018-02-20",2.7429999999999999]
[null,"2018-02-16",2.7719999999999998]
[null,"2018-02-15",2.7559999999999998]
[null,"2018-02-14",2.8130000000000002]
[null,"2018-02-13",2.8180000000000001]
[null,"2018-02-12",2.8109999999999999]
[null,"2018-02-09",2.76]
[null,"2018-02-08",2.7440000000000002]
[null,"2018-02-07",2.7069999999999999]
[null,"2018-02-06",2.665]
[null,"2018-02-05",2.66]
[null,"2018-02-02",2.5979999999999999]
[null,"2018-02-01",2.6040000000000001]
[null,"2018-01-31",2.6030000000000002]
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[null,"2018-01-26",2.5449999999999999]
[null,"2018-01-25",2.4750000000000001]
[null,"2018-01-24",2.5350000000000001]
[null,"2018-01-23",2.5150000000000001]
[null,"2018-01-22",2.496]
[null,"2018-01-19",2.46]
[null,"2018-01-18",2.456]
[null,"2018-01-17",2.4910000000000001]
[null,"2018-01-16",2.4289999999999998]
[null,"2018-01-12",2.4319999999999999]
[null,"2018-01-11",2.4119999999999999]
[null,"2018-01-10",2.456]
[null,"2018-01-09",2.4060000000000001]
[null,"2018-01-08",2.319]
[null,"2018-01-05",2.323]
[null,"2018-01-04",2.4060000000000001]
[null,"2018-01-03",2.3639999999999999]
[null,"2018-01-02",2.4350000000000001]
[null,"2017-12-29",2.4140000000000001]
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[null,"2017-12-27",2.496]
[null,"2017-12-26",2.516]
[null,"2017-12-22",2.4750000000000001]
[null,"2017-12-21",2.4950000000000001]
[null,"2017-12-20",2.4009999999999998]
[null,"2017-12-19",2.452]
[null,"2017-12-18",2.4830000000000001]
[null,"2017-12-15",2.472]
[null,"2017-12-14",2.42]
[null,"2017-12-13",2.3980000000000001]
[null,"2017-12-12",2.391]
[null,"2017-12-11",2.4180000000000001]
[null,"2017-12-08",2.33]
[null,"2017-12-07",2.3940000000000001]
[null,"2017-12-06",2.3660000000000001]
[null,"2017-12-05",2.363]
[null,"2017-12-04",2.379]
[null,"2017-12-01",2.3530000000000002]
[null,"2017-11-30",2.3730000000000002]
[null,"2017-11-29",2.3889999999999998]
[null,"2017-11-28",2.306]
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[null,"2017-11-24",2.359]
[null,"2017-11-22",2.335]
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[null,"2017-11-20",2.2970000000000002]
[null,"2017-11-17",2.35]
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[null,"2017-11-13",2.23]
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[null,"2017-11-07",2.0459999999999998]
[null,"2017-11-06",1.974]
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[null,"2017-11-02",2.0030000000000001]
[null,"2017-11-01",1.9650000000000001]
[null,"2017-10-31",1.9650000000000001]
[null,"2017-10-30",1.9990000000000001]
[null,"2017-10-27",2.0390000000000001]
[null,"2017-10-26",1.9870000000000001]
[null,"2017-10-25",2.032]
[null,"2017-10-24",1.944]
[null,"2017-10-23",1.8979999999999999]
[null,"2017-10-20",1.91]
[null,"2017-10-19",1.9470000000000001]
[null,"2017-10-18",2.0190000000000001]
[null,"2017-10-17",1.9890000000000001]
[null,"2017-10-16",1.9710000000000001]
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[null,"2017-10-11",1.9790000000000001]
[null,"2017-10-10",1.9670000000000001]
[null,"2017-10-06",1.994]
[null,"2017-10-05",2.012]
[null,"2017-10-04",1.9850000000000001]
[null,"2017-10-03",2.016]
[null,"2017-10-02",2.0129999999999999]
[null,"2017-09-29",2.036]
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[null,"2017-09-27",1.998]
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[null,"2017-09-25",2.069]
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[null,"2017-09-19",2.056]
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[null,"2017-09-14",1.9790000000000001]
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[null,"2017-09-11",2.089]
[null,"2017-09-08",2.1019999999999999]
[null,"2017-09-07",2.052]
[null,"2017-09-06",2.0840000000000001]
[null,"2017-09-05",2.0699999999999998]
[null,"2017-09-01",2.0329999999999999]
[null,"2017-08-31",2.0760000000000001]
[null,"2017-08-30",2.1150000000000002]
[null,"2017-08-29",2.149]
[null,"2017-08-28",2.1840000000000002]
[null,"2017-08-25",2.1240000000000001]
[null,"2017-08-24",2.1419999999999999]
[null,"2017-08-23",2.1629999999999998]
[null,"2017-08-22",2.2130000000000001]
[null,"2017-08-21",2.2429999999999999]
[null,"2017-08-18",2.2799999999999998]
[null,"2017-08-17",2.16]
[null,"2017-08-16",2.1480000000000001]
[null,"2017-08-15",2.1509999999999998]
[null,"2017-08-14",2.1840000000000002]
[null,"2017-08-11",2.2869999999999999]
[null,"2017-08-10",2.262]
[null,"2017-08-09",2.081]
[null,"2017-08-08",2.024]
[null,"2017-08-07",1.9730000000000001]
[null,"2017-08-04",1.978]
[null,"2017-08-03",1.9730000000000001]
[null,"2017-08-02",1.9730000000000001]
[null,"2017-08-01",1.9359999999999999]
[null,"2017-07-31",1.976]
[null,"2017-07-28",2.0590000000000002]
[null,"2017-07-27",2.0590000000000002]
[null,"2017-07-26",2.0720000000000001]
[null,"2017-07-25",2.08]
[null,"2017-07-24",2.0790000000000002]
[null,"2017-07-21",2.0649999999999999]
[null,"2017-07-20",2.069]
[null,"2017-07-19",2.0219999999999998]
[null,"2017-07-18",2.0680000000000001]
[null,"2017-07-17",2.0329999999999999]
[null,"2017-07-14",2.073]
[null,"2017-07-13",2.0680000000000001]
[null,"2017-07-12",2.093]
[null,"2017-07-11",2.1480000000000001]
[null,"2017-07-10",2.109]
[null,"2017-07-07",2.181]
[null,"2017-07-06",2.12]
[null,"2017-07-05",2.0499999999999998]
[null,"2017-07-03",2.1269999999999998]
[null,"2017-06-30",2.0790000000000002]
[null,"2017-06-29",2.0920000000000001]
[null,"2017-06-28",2.0649999999999999]
[null,"2017-06-27",2.0609999999999999]
[null,"2017-06-26",1.9390000000000001]
[null,"2017-06-23",1.895]
[null,"2017-06-22",1.893]
[null,"2017-06-21",1.86]
[null,"2017-06-20",1.8440000000000001]
[null,"2017-06-19",1.8180000000000001]
[null,"2017-06-16",1.891]
[null,"2017-06-15",2.0550000000000002]
[null,"2017-06-14",2.0249999999999999]
[null,"2017-06-13",1.952]
[null,"2017-06-12",1.9419999999999999]
[null,"2017-06-09",1.9490000000000001]
[null,"2017-06-08",2.0979999999999999]
[null,"2017-06-07",2.0310000000000001]
[null,"2017-06-06",1.958]
[null,"2017-06-05",1.9990000000000001]
[null,"2017-06-02",2.081]
[null,"2017-06-01",2.1659999999999999]
[null,"2017-05-31",2.1869999999999998]
[null,"2017-05-30",2.1030000000000002]
[null,"2017-05-26",2.1150000000000002]
[null,"2017-05-25",2.1800000000000002]
[null,"2017-05-24",2.19]
[null,"2017-05-23",2.0920000000000001]
[null,"2017-05-22",2.101]
[null,"2017-05-19",2.113]
[null,"2017-05-18",2.165]
[null,"2017-05-17",2.1859999999999999]
[null,"2017-05-16",2.1960000000000002]
[null,"2017-05-15",2.2029999999999998]
[null,"2017-05-12",2.2050000000000001]
[null,"2017-05-11",2.25]
[null,"2017-05-10",2.2509999999999999]
[null,"2017-05-09",2.1349999999999998]
[null,"2017-05-08",2.2330000000000001]
[null,"2017-05-05",2.1850000000000001]
[null,"2017-05-04",2.21]
[null,"2017-05-03",2.2360000000000002]
[null,"2017-05-02",2.2559999999999998]
[null,"2017-05-01",2.2370000000000001]
[null,"2017-04-28",2.258]
[null,"2017-04-27",2.2349999999999999]
[null,"2017-04-26",2.2469999999999999]
[null,"2017-04-25",2.3290000000000002]
[null,"2017-04-24",2.2610000000000001]
[null,"2017-04-21",2.3260000000000001]
[null,"2017-04-20",2.3199999999999998]
[null,"2017-04-19",2.29]
[null,"2017-04-18",2.371]
[null,"2017-04-17",2.3809999999999998]
[null,"2017-04-13",2.3580000000000001]
[null,"2017-04-12",2.42]
[null,"2017-04-11",2.3849999999999998]
[null,"2017-04-10",2.4169999999999998]
[null,"2017-04-07",2.431]
[null,"2017-04-06",2.452]
[null,"2017-04-05",2.464]
[null,"2017-04-04",2.508]
[null,"2017-04-03",2.4700000000000002]
[null,"2017-03-31",2.512]
[null,"2017-03-30",2.4700000000000002]
[null,"2017-03-29",2.5350000000000001]
[null,"2017-03-28",2.5289999999999999]
[null,"2017-03-27",2.5270000000000001]
[null,"2017-03-24",2.4980000000000002]
[null,"2017-03-23",2.5089999999999999]
[null,"2017-03-22",2.504]
[null,"2017-03-21",2.4769999999999999]
[null,"2017-03-20",2.4940000000000002]
[null,"2017-03-17",2.5459999999999998]
[null,"2017-03-16",2.536]
[null,"2017-03-15",2.5670000000000002]
[null,"2017-03-14",2.621]
[null,"2017-03-13",2.5750000000000002]
[null,"2017-03-10",2.504]
[null,"2017-03-09",2.4260000000000002]
[null,"2017-03-08",2.3119999999999998]
[null,"2017-03-07",2.2839999999999998]
[null,"2017-03-06",2.274]
[null,"2017-03-03",2.2959999999999998]
[null,"2017-03-02",2.2610000000000001]
[null,"2017-03-01",2.1459999999999999]
[null,"2017-02-28",2.2160000000000002]
[null,"2017-02-27",2.2429999999999999]
[null,"2017-02-24",2.2320000000000002]
[null,"2017-02-23",2.0950000000000002]
[null,"2017-02-22",2.145]
[null,"2017-02-21",2.2269999999999999]
[null,"2017-02-17",2.12]
[null,"2017-02-16",2.0819999999999999]
[null,"2017-02-15",2.0880000000000001]
[null,"2017-02-14",2.0840000000000001]
[null,"2017-02-13",2.0409999999999999]
[null,"2017-02-10",2.1240000000000001]
[null,"2017-02-09",2.1349999999999998]
[null,"2017-02-08",2.1280000000000001]
[null,"2017-02-07",2.1459999999999999]
[null,"2017-02-06",2.0840000000000001]
[null,"2017-02-03",2.0270000000000001]
[null,"2017-02-02",2.1469999999999998]
[null,"2017-02-01",2.2559999999999998]
[null,"2017-01-31",2.266]
[null,"2017-01-30",2.165]
[null,"2017-01-27",2.1749999999999998]
[null,"2017-01-26",2.1240000000000001]
[null,"2017-01-25",2.1459999999999999]
[null,"2017-01-24",2.1469999999999998]
[null,"2017-01-23",2.1579999999999999]
[null,"2017-01-20",2.1709999999999998]
[null,"2017-01-19",2.1680000000000001]
[null,"2017-01-18",2.1840000000000002]
[null,"2017-01-17",2.2290000000000001]
[null,"2017-01-13",2.226]
[null,"2017-01-12",2.2109999999999999]
[null,"2017-01-11",2.2080000000000002]
[null,"2017-01-10",2.2639999999999998]
[null,"2017-01-09",2.3740000000000001]
[null,"2017-01-06",2.319]
[null,"2017-01-05",2.3370000000000002]
[null,"2017-01-04",2.3359999999999999]
[null,"2017-01-03",2.37]

{"sheet":"sample","index":3,"n_rows":50,"n_cols":20,"rows_kept":50,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: OPTION CALCULATION FOR A SAMPLE OF BONDS/NOTES"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null," "]
[null,"Assumptions:",null,null,null,null,null,null,null,null,"Parameters",null,null,null,null,null,null,null,null," "]
[null,1,"The same interest rate tree (same volatility and other parameters) is used for each option calulation",null,null,null,null,null,null,null,"maturity term",null,{"$f":"summary!C9","v":5},"Bond sample parameters",null,null,{"$f":"_xll.AC.data.listmap(K12:M12, OFFSET(K13, 0, 0, D10, 3), 0)","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:29:981..4187034038671082771"},null,{"$f":"_xll.AC.data.size(Q5, 1)","v":10}," "]
[null,2,"The coupon rate and coupon frequency of the Covered Transaction are used for each option calculation",null,null,null,null,null,null,null,"annuity adjustment",null,{"$f":"summary!H11","v":4.4495062780966697},"Bond sample prices",null,null,{"$f":"_xll.AC.finance.srm.get(tree!I28, config!B23, )","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:30:659..4638517000317937004"},null,{"$f":"_xll.AC.data.size(Q6, 1)","v":10}," "]
[null,3,"Effectively terms of each bond in the sample are adjusted to the terms of Covered Transaction but assumed ",null,null,null,null,null,null,null,"Valuation Date",null,{"$f":"summary!C7","v":"2019-01-01"}]
[null,null,"to have bond-specific prepayment penalty structure",null,null,null,null,null,null,null,{"$f":"config!B64","v":"option"},null,{"$f":"config!G44","v":"call"}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,"Covered Transaction premium",null,null,null,{"$f":"summary!H12","v":0.21317455200077912}]
[null,"Bloomberg Data",null,{"$f":"COUNTA(D13:D1000)","v":10},null,null,null,null,"Derived Data",null,null,null,null,null,null,null,null,null,"Input for IRB template"]
[null,"#","Ticker","Issuer Name","Maturity Date","Make-Whole Termination Date","Redemption Premium, in %",null,"Remaining Tenor",null,"Make-Whole Remaining Duration",null,{"$f":"G11","v":"Redemption Premium, in %"},"Bond Bullet Price","Bond Price","Option Price","Annuity Adjustment Factor","Option Premium / Discount","Negative of Option Price"]
[null,null,null,null,null,null,"%",null,"tenor, years","MWC years",{"$f":"config!B16","v":"make-whole-duration"},"penalty slope",{"$f":"config!B17","v":"redemption-premium-post-make-whole"},"% of par","% of par","% of par","years","bps","%"]
[null,1,"EK775769 Corp","CDW LLC/CDW FINANCE","2023-09-01","2018-03-01",3.7499999999999999E-2,null,{"$f":"IF($C13=\"\", \"\", (E13-$M$7)/365.25)","v":4.6652977412731005},{"$f":"IF($C13=\"\", \"\", IF(F13<=$M$7, 0, (F13-$M$7)/365.25))","v":0},{"$f":"IF(C13=\"\", \"\", IF(OR(F13=\"\", F13<=$M$7), 0, ($M$5/I13)*(F13-$M$7)/365.25))","v":0},{"$f":"IF(C13=\"\", \"\", IF(I13=J13, 0, G13/(I13-J13)))","v":8.0380721830985921E-3},{"$f":"IF(C13=\"\", \"\",L13*($M$5-K13))","v":4.0190360915492961E-2},{"$f":"_xll.AC.data._get(Q6, \"\", 0)","v":-99.817673915407255},-99.656133761601595,{"$f":"IF(C13=\"\", \"\", O13-N13)","v":0.16154015380566022},{"$f":"IF(C13=\"\", \"\", $M$6)","v":4.4495062780966697},{"$f":"IF(C13=\"\", \"\", P13/Q13)","v":3.6305186173321007E-2},{"$f":"IF(P13=\"\", \"\", -P13)","v":-0.16154015380566022}]
[null,{"$f":"IF(C14=\"\", \"\", B13+1)","v":2},"EK623646 Corp","CDW LLC/CDW FINANCE","2024-12-01","2024-06-01",0,null,{"$f":"IF(C14=\"\", \"\", (E14-$M$7)/365.25)","v":5.9164955509924706},5.415468856947296,4.5765849143914856,0,0,-99.817673915407255,-99.761946915499664,5.5726999907591335E-2,4.4495062780966697,1.2524310884089647E-2,{"$f":"IF(P14=\"\", \"\", -P14)","v":-5.5726999907591335E-2}]
[null,{"$f":"IF(C15=\"\", \"\", B14+1)","v":3},"JK984281 Corp","PTC INC","2024-05-15","2019-05-15",4.4999999999999998E-2,null,5.3689253935660508,0.36687200547570159,0.34166241713411521,8.9963054187192117E-3,4.1907827638959713E-2,-99.817673915407255,-99.676300493423113,0.1413734219841416,4.4495062780966697,3.1772833466956203E-2,-0.1413734219841416]
[null,4,"LW445537 Corp","NUANCE COMMUNICATIONS","2024-07-01","2019-07-01",4.4999999999999998E-2,null,5.4976043805612598,0.49555099247091033,0.45069721115537842,8.9963054187192117E-3,4.0926917330677291E-2,-99.817673915407255,-99.671339604105981,0.14633431130127406,4.4495062780966697,3.2887763755189113E-2,-0.14633431130127406]
[null,5,"EK884818 Corp","MICRON TECHNOLOGY INC","2024-01-15","2018-05-01",3.9379999999999998E-2,null,5.0376454483230662,0,0,7.8171440217391312E-3,3.9085720108695654E-2,-99.817673915407255,-99.64821217049635,0.1694617449109046,4.4495062780966697,3.8085516531374333E-2,-0.1694617449109046]
[null,6,"EK281889 Corp","COMMSCOPE INC","2021-06-15","2017-06-15",2.5000000000000001E-2,null,2.4531143052703626,0,0,1.0191127232142858E-2,5.0955636160714288E-2,-99.817673915407255,-99.706767784071758,0.11090613133549709,4.4495062780966697,2.4925491594752516E-2,-0.11090613133549709]
[null,7,"EK281901 Corp","COMMSCOPE INC","2024-06-15","2019-06-15",2.75E-2,null,5.4537987679671458,0.45174537987679669,0.41415662650602408,5.4977422003284074E-3,2.5211784638554217E-2,-99.817673915407255,-99.521608169715265,0.2960657456919904,4.4495062780966697,6.6539010664939682E-2,-0.2960657456919904]
[null,8,"EK477772 Corp","AMSTED INDUSTRIES","2024-09-15","2019-09-15",2.6880000000000001E-2,null,5.7056810403832987,0.70362765229294999,0.61660268714011524,5.3737931034482768E-3,2.355547024952016E-2,-99.817673915407255,-99.51807419085759,0.29959972454966532,4.4495062780966697,6.733325133722988E-2,-0.29959972454966532]
[null,9,"EK614026 Corp","MOOG INC","2022-12-01","2017-12-01",0,null,3.915126625598905,0,0,0,0,-99.817673915407255,-98.974491940159112,0.84318197524814309,4.4495062780966697,0.18950012036140432,-0.84318197524814309]
[null,10,"EK106995 Corp","AMSTED INDUSTRIES","2022-03-15","2018-03-15",0.02,null,3.2005475701574264,0,0,6.2489307100085543E-3,3.1244653550042772E-2,-99.817673915407255,-99.576517386567829,0.24115652883942573,4.4495062780966697,5.4198491645365957E-2,-0.24115652883942573]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"","","","","",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"",null,"",null,"",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"",null,"",null,"",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"",null,"",null,"",null,null,"","","",""]
[null,"",null,null,null,null,null,null,"",null,"",null,"",null,null,"",{"$f":"IF(C37=\"\", \"\", tree!$K$37)","v":""},"",""]
[null,"",null,null,null,null,null,null,"",null,"",null,"",null,null,"",{"$f":"IF(C38=\"\", \"\", tree!$K$37)","v":""},"",""]
[null,"",null,null,null,null,null,null,null,null,"",null,"",null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,"",null,"",null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,"",null,"",null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,"",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,""]

{"sheet":"tree","index":4,"n_rows":53,"n_cols":16,"rows_kept":53,"cut":false,"hidden":false,"merged":[[3,1,3,5],[3,7,3,10]]}
[]
[null,"TAB: INTEREST RATE TREE PARAMETERS"]
[]
[null,"Interest rate process",null,null,null,null,null,"Interest rate calculator"]
[]
[null,"Process parameters",null,null,null,null,null,"Calculator parameters"]
[null,"State parameter","Value",null,null,"Description",null,"Calculator option parameter","Value",null,"Description"]
[null,{"$f":"config!B51","v":"maturity"},{"$f":"summary!C9","v":5},null,null,{"$f":"summary!D9","v":"Bond maturity term"},null,{"$f":"config!B64","v":"option"},{"$f":"summary!L6","v":"call"},null,{"$f":"config!C64","v":"Evaluated option (put or call)"}]
[null,{"$f":"config!B9","v":"dt"},{"$f":"summary!C12","v":0.25},null,null,{"$f":"summary!D12","v":"Length of the tree step (in years)"},null,{"$f":"config!B65","v":"adjust-to-par"},1,null,{"$f":"config!C65","v":"Set to 1 if coupon rate is adjusted so that the bullet price equals to par"}]
[null,{"$f":"config!B52","v":"state-initial"},{"$f":"params!G22","v":3.066E-2},null,null,"Interest rate process initial state (MYCA 3-months rate)"]
[null,{"$f":"config!B54","v":"tree-states"},{"$f":"_xll.AC.data.map(B12:B17, C12:C17)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:960..4263840712535875705"},null," ","Parameters applied to construct the tree states"]
[null,"dx-down",{"$f":"VLOOKUP(summary!$C$6, config!$G$38:$J$41, 3, FALSE)","v":3},null,null,"Normalized downward change in state over dt period (xmin = E xT - ΣT x dxdown)"]
[null,"dx-up",{"$f":"VLOOKUP(summary!$C$6, config!$G$38:$J$41, 4, FALSE)","v":3},null,null,"Normalized upward change in state over dt period (xmax = E xT + ΣT x dxup)"]
[null,"X-min",{"$f":"IF(I17, 0.01%, -10%)","v":-0.1},null,null,"Lower boundary on minimum state value"]
[null,"X-max",0.2,null,null,"Upper boundary on maximum state value"]
[null,"X-count",20,null,null,"Number of process discrete states {xt}",null,"Is constant drift",{"$f":"OR(summary!C6=summary!B33, summary!C6=summary!B34)","v":false},null,"True if this is a Vasicek or CIR and false otherwise"]
[null,"iter-count",10,null,null,"Number of iterations used to construct σ(T, x) - uniform set of states in period T",null,"Is CIR model",{"$f":"OR(summary!C6=summary!B34, summary!C6=summary!B36)","v":false},null,"True if this id CIR or Hull-White (extended CIR) model"]
[]
[null,"Process parameter","Value",null,null,"Description",null,"Calculator option executed methods",null,null,{"$f":"K7","v":"Description"},null,null,null,null," "]
[null,{"$f":"config!B29","v":"srm-name"},{"$f":"summary!C6","v":"Hull-White, extended Vasicek"},null,null,"Estimated short-rate model",null,{"$f":"config!G49","v":"value-option"},null,null,{"$f":"config!J49","v":"Estimate the bond bullet prices and prices in the presence of the option "}]
[null,{"$f":"config!B34","v":"drift-function"},{"$f":"params!G14","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:30:094..1200399959172200018"},null," ","Drift function parameter, ϑ(t)"]
[null,{"$f":"config!B31","v":"volatility"},{"$f":"summary!C15","v":7.5887712706070093E-3},null,null,"Standard deviation parameter, σ",null,{"$f":"cf!F24","v":"Bond calculator parameters"},null,null,{"$f":"cf!B24","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:39:22:689..6453240946910574710"},null,null,{"$f":"_xll.AC.data.size(K22, 1)","v":13}]
[null,{"$f":"config!B35","v":"mean-reversion"},{"$f":"summary!C14","v":9.9999999999999995E-7},null,null,"Diffusion mean reversion parameter, α"]
[null,"gamma",{"$f":"SQRT(C23*C23 + 2*C22*C22)","v":1.0732143299228754E-2},null,null,"Diffusion heteroscedasticity parameter, γ",null,"Sample bond parameters",null,null,{"$f":"sample!Q5","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:29:981..4187034038671082771"},null,null,{"$f":"_xll.AC.data.size(K24, 1)","v":10},null," "]
[null,null,null,null,null,null,null,{"$f":"H8","v":"option"},null,null,{"$f":"sample!M8","v":"call"}]
[]
[null,"SRM tree object",{"$f":"_xll.AC.finance.srm.tree(\"\", _xll.AC.data.map(B8:B11, C8:C11), _xll.AC.data.map(B20:B24, C20:C24), _xll.AC.data.map(B36:B39, C36:C39))","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.ShortRateModel@Thu, 7 Feb 2019 12:39:22:720..5110244698924568862"},null,null,null," ","SRM calculator object",{"$f":"_xll.AC.finance.srm.calc(\"\", C27, C28, K22, _xll.AC.data.map(H8:H9, I8:I9), _xll.AC.data.list_x(H20, 0, 1))","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.calculator.CalculatorSRM@Thu, 7 Feb 2019 12:39:22:720..2603566558598886960"},null,null,null,null,null,null," "]
[null,"SRM parameter calculator",{"$f":"params!I51","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.calculator.parameter.CalculatorParameterHullWhiteVasicek@Thu, 7 Feb 2019 12:39:22:689..2858042582443769890"},null,null,null," ","SRM sample calculator object",{"$f":"_xll.AC.finance.srm.samplecalc(I27, K24, _xll.AC.data.map(H25:H25, K25:K25), _xll.AC.data.list_x(H20:H20, 0, 1))","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.calculator.CalculatorSampleSRM@Thu, 7 Feb 2019 12:39:22:739..6019136525918125904"},null,null,null,null,null,null," "]
[null,null,null,null,null,null,null,"SRM calculator validator",{"$f":"_xll.AC.finance.srm.validate.run(C20, params!I51, I27)","v":"jeconkr.finance.HW.Derivatives2003.lib.ch23_srm.calculator.validate.ValidatorHullWhiteVasicek@Thu, 7 Feb 2019 12:39:22:720..7545678515393836339"},null,null,null,null,null,null," "]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null," "]
[]
[null,"Parameter",null,"Value",null,"Description",null,"Parameter",null,null,{"$f":"C19","v":"Value"},{"$f":"F19","v":"Description"}]
[null,"Avg standrad deviation",{"$f":"IF(I17, summary!C15*SQRT(C10), summary!C15)","v":7.5887712706070093E-3},{"$f":"IF(I17, summary!C15*SQRT(I42), summary!C15)","v":7.5887712706070093E-3},null,"Average standard deviation over the process mean path",null,"Annuity adjustment factor"]
[null,null,null,null,null,null,null,"First period duration",null,null,{"$f":"summary!C9 - INT(summary!C9*summary!C11)/summary!C11","v":0}]
[null,"Transition probability structure",null,null,null,null,null,"Remaining period duration",null,null,{"$f":"summary!C9-K34","v":5}]
[null,{"$f":"config!B46","v":"Q-adjustment"},1,null,null,"Set to 1 if the tree probabilities are adjusted to match drift and volatility values",null,"First period discount factor",null,null,{"$f":"1/(1+summary!C10/summary!C11)^(K34*summary!C11)","v":1}]
[null,{"$f":"config!B48","v":"Q-lambda"},1,null,null,{"$f":"config!C48","v":"Adjust negative values in transition probabilities"}," ","Annuity adjustment factor",null,null,{"$f":"K36 * (K34/summary!C11 + (1 - 1/(1+summary!C10/summary!C11)^(K35*summary!C11))/summary!C10)","v":4.4495062780966697},"Deterministic annuity-adjustment factor"]
[null,{"$f":"config!B47","v":"Q-rho"},1,null,null,{"$f":"config!C47","v":"Parameter applied in the transition probability adjustment"},null,{"$f":"config!G62","v":"annuity-adjustment-factor"},null,null,{"$f":"_xll.AC.finance.srm.get($I$27, H38, )","v":2.8073090212363696},{"$f":"config!J62","v":"Tree-based annuity adjustment based on constant function"}]
[null,"Use tree structure",0,null,null,"Set to 1 if the above tree structure is used (otherwise, normal approximation is applied)",null,{"$f":"config!G63","v":"annuity-adjustment-factor-constant"},null,null,{"$f":"_xll.AC.finance.srm.get($I$27, H39, )","v":4.6450485430225061},{"$f":"config!J63","v":"Tree-based annuity adjustment based on option non-exercised indicator function"}]
[null,null,null,null,null,null,null,"Process Summary"]
[null,"Movement direction","ai","pi",null,"Restrictions on the mapping coefficients",null,{"$f":"_xll.AC.finance.srm.get(tree!I27, config!B60)","v":"process-state-count"},21,null,null,{"$f":"F16","v":"Number of process discrete states {xt}"}]
[null,"up",{"$f":"SQRT(3)","v":1.7320508075688772},{"$f":"1/6","v":0.16666666666666666},null,"Σ ai2 x pi = 1",null,"mean-terminal",6.4700512719910355E-2,null,null,"Process mean at maturity"]
[null,"zero",0,{"$f":"1-D42-D44","v":0.66666666666666674},null,"Σ pi = 1",null,"stdev-terminal",1.6877196759970018E-2,null,null,"Process standard deviation at maturity"]
[null,"down",{"$f":"-C42","v":-1.7320508075688772},{"$f":"D42","v":0.16666666666666666},null,null,null,"Bond price (dirty/full)",-99.051478492542074,null,null,"Bond price that takes into account the presence of the option"]
[null,null,null,null,null,null,null,"Bond price bullet (dirty/full)",-99.999999999999986,null,null,"Bullet bond price"]
[null,"Q tree structure",null,null,null,{"$f":"_xll.AC.data.map( C42:C44, D42:D44)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:960..6673660391685186079"}]
[]
[]
[]
[]
[]
[]
[null,null,null,null," "]

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[]
[null,"TAB: BOND INTEREST AND PRINCIPAL PAYMENTS CASH FLOWS"]
[]
[null,"Bond cash flows inputs",null,null,null,null,null,null,null,"Bond cash flows output"]
[]
[null,"Parameter","Value",null,null,"Description",null,null,null,"period","time","principal outstanding","principal paid","interest accrued","interest paid","Total amount paid","Redemption value","Coupon base","Principal base"]
[null,{"$f":"config!B10","v":"period-start"},0,null,null,null,null,null,null,0,{"$f":"IF(J7=\"\", \"\", J7*$C$14)","v":0},{"$f":"_xll.AC.data._get(B26, \"\", 0)","v":100},0,0,0,0,100,0,0]
[null,{"$f":"summary!B9","v":"maturity term"},{"$f":"summary!C9","v":5},null,null,"Bond maturity in years",null,null," ",{"$f":"IF(J7=\"\", \"\", IF(J7+1>$C$10, \"\", J7+1))","v":1},0.25,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B11","v":"period-maturity"},{"$f":"INT(C8/C14)","v":20},null,null,"Bond maturity estimated in the numebr of periods",null,null," ",2,0.5,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"config!B12","v":"period-end"},{"$f":"C9","v":20},null,null,"Cash flow values are set to 0 after bond maturity",null,null," ",3,0.75,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B8","v":"principal-amount"},{"$f":"summary!C16","v":100},null,null,{"$f":"summary!D16","v":"Bond principal amount"},null,null," ",4,1,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"config!B14","v":"coupon-rate"},{"$f":"_xll.AC.math.F1.map(C8, , params!I41, 0)","v":4.4940000000000001E-2},null,null,"Coupon rate (based on yield term structure rate with matching maturity)",null,null," ",5,1.25,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B15","v":"coupon-frequency"},{"$f":"summary!C11","v":2},null,null,{"$f":"summary!D11","v":"Coupon payment frequency"},null,null," ",6,1.5,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"config!B9","v":"dt"},{"$f":"summary!C12","v":0.25},null,null,{"$f":"summary!D12","v":"Length of the tree step (in years)"},null,null," ",7,1.75,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B21","v":"interest-deferral-period"},{"$f":"summary!L34","v":0},null,null,"Period of first interest payment (if different from regular period)",null,null," ",8,2,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"config!B22","v":"is-interest-compound"},{"$f":"summary!L35","v":1},null,null,"Indicator of compounded interest",null,null," ",9,2.25,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B20","v":"amortization-schedule"},{"$f":"summary!J29","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:984..1286073431040083501"},null," ",{"$f":"summary!M29","v":"Bond amortization schedule"},null,null," ",10,2.5,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"config!B18","v":"redemption-premium-schedule"},{"$f":"summary!J15","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:29:944..4617911987091833777"},null," ","Bond redemption penalty schedule",null,null," ",11,2.75,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!B17","v":"redemption-premium-post-make-whole"},0,null,null,"Bond redemption penalty on the make-wholetermination date",null,null," ",12,3,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,null,null,null,null,null,null,null," ",13,3.25,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"config!G61","v":"coupon-par"},{"$f":"_xll.AC.finance.srm.get(tree!I27, B21, )","v":4.3581073580533126E-2},null,null,{"$f":"config!J61","v":"Calibrated coupon rate such that bond bullet value is adjusted to par"},null,null," ",14,3.5,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,"Difference between MYCA an dpar rates",{"$f":"C21-C12","v":-1.3589264194668743E-3},null,null,null,null,null," ",15,3.75,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,null,null,null," ",null,null,null," ",16,4,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"_xll.AC.data.map(B7:B19, C7:C19)","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:39:22:689..6453240946910574710"},{"$f":"_xll.AC.data.size(B24, 1)","v":13},null,null,"Bond calculator parameters",null,null," ",17,4.25,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,{"$f":"_xll.AC.finance.srm.get(tree!I27, config!B24, )","v":"java.util.LinkedHashMap@Thu, 7 Feb 2019 12:29:30:565..2889352392129758039"},{"$f":"_xll.AC.data.size(B25, 1)","v":21},null,null,"Bond cash flows",null,null," ",18,4.5,100,0,2.1790536790266564,2.1790536790266564,2.1790536790266564,102.17905367902665,50,0]
[null,{"$f":"_xll.AC.finance.cf.get(B25, \"\", )","v":"java.util.ArrayList@Thu, 7 Feb 2019 12:29:30:659..2919906023843306217"},{"$f":"_xll.AC.data.size(B26, 1)","v":21},{"$f":"_xll.AC.data.size(B26, 2)","v":8},null,"Bond cash flows converted into an array",null,null," ",19,4.75,100,0,1.0895268395133282,0,0,101.08952683951333,0,0]
[null,null,null,null,null,null,null,null," ",20,5,100,100,2.1790536790266564,2.1790536790266564,102.17905367902665,102.17905367902665,50,100]
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[null,null,null,null,null,null,null,null," ","",""]
[null,null,null,null,null,null,null,null," ","",""]
[null,null,null,null,null,null,null,null," ","",""]
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[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",{"$f":"IF(J39=\"\", \"\", J39*$C$14)","v":""}]
[null,null,null,null,null,null,null,null,null,{"$f":"IF(J39=\"\", \"\", IF(J39+1>$C$10, \"\", J39+1))","v":""},""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
[null,null,null,null,null,null,null,null,null,"",""]
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{"sheet":"charts","index":6,"n_rows":101,"n_cols":21,"rows_kept":101,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: CHARTS"]
[]
[null,"State distribution at maturity",null,null,null,"Option exercise action switch state",null,null,null,null,null,null,null,"Charts"]
[]
[null,"number of periods",null,{"$f":"cf!C9+1","v":21},null,"Mean:",{"$f":"SUMPRODUCT(C10:C198, D10:D198)","v":6.4700512719910355E-2},null,{"$f":"summary!B12","v":"dt"},{"$f":"summary!C12","v":0.25}]
[null,"number of observations",null,{"$f":"tree!C16","v":20},null,"StDev:",{"$f":"SQRT(SUMPRODUCT(C10:C198, C10:C198, D10:D198) - G6*G6)","v":1.6877196759970018E-2}]
[]
[null,"#","state","prob",null,"period (years)","period (index)","action switch state",{"$f":"validate!M10","v":"mean - numeric"},"coupon rate","min state","max state"]
[null,1,{"$f":"_xll.AC.stats.markov.getCalc(tree!I27, config!B59, charts!N43)","v":2.9718027807762171E-3},1.6647970305794438E-4,null,null,{"$f":"_xll.AC.stats.markov.ctrl.getCalc(tree!I27, config!B58)","v":""},"",{"$f":"validate!M11","v":3.066E-2},{"$f":"summary!C10","v":4.3581073580533126E-2},{"$f":"_xll.AC.stats.markov.getCalc(tree!I27, config!B55)","v":3.066E-2},3.066E-2]
[null,{"$f":"IF(B10>=$D$7, \"\", B10+1)","v":2},8.5094422246209736E-3,5.1177546723408368E-4,null,{"$f":"IF(G11=\"\", \"\", G11*$J$6)","v":0.25},1,3.066E-2,{"$f":"IF(G11=\"\", \"\", validate!M12)","v":3.0665961537250135E-2},{"$f":"IF(I11=\"\", \"\", $J$10)","v":4.3581073580533126E-2},9.9999999999999995E-7,4.1735278887689513E-2]
[null,{"$f":"IF(B11>=$D$7, \"\", B11+1)","v":3},1.404708166846573E-2,1.5175019367023074E-3,null,0.5,2,2.5122360556155243E-2,{"$f":"IF(G12=\"\", \"\", validate!M13)","v":3.067192307301728E-2},{"$f":"IF(I12=\"\", \"\", $J$10)","v":4.3581073580533126E-2},9.9999999999999995E-7,5.2810557775379026E-2]
[null,4,1.9584721112310487E-2,3.7986589498251906E-3,null,0.75,3,3.066E-2,{"$f":"IF(G13=\"\", \"\", validate!M14)","v":3.2959949212743943E-2},4.3581073580533126E-2,9.9999999999999995E-7,6.9423476106913309E-2]
[null,5,2.5122360556155243E-2,8.5453493317053097E-3,null,1,4,3.066E-2,{"$f":"IF(G14=\"\", \"\", validate!M15)","v":3.5247978474223354E-2},4.3581073580533126E-2,9.9999999999999995E-7,8.60363944384476E-2]
[null,6,3.066E-2,1.7344550474356204E-2,null,1.25,5,3.066E-2,{"$f":"IF(G15=\"\", \"\", validate!M16)","v":3.5697316305448895E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10264931276998189]
[null,7,3.6197639443844756E-2,3.1670958530291386E-2,null,1.5,6,3.066E-2,{"$f":"IF(G16=\"\", \"\", validate!M17)","v":3.6146859799612921E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,8,4.1735278887689513E-2,5.1984190305883048E-2,null,1.75,7,3.066E-2,{"$f":"IF(G17=\"\", \"\", validate!M18)","v":3.6596854452667478E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,9,4.7272918331534269E-2,7.6708040154088927E-2,null,2,8,3.066E-2,{"$f":"IF(G18=\"\", \"\", validate!M19)","v":3.7047575612469776E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,10,5.2810557775379026E-2,0.10176233795140771,null,2.25,9,3.066E-2,{"$f":"IF(G19=\"\", \"\", validate!M20)","v":4.1707123868998379E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,11,5.8348197219223782E-2,0.12136386825910336,null,2.5,10,3.6197639443844756E-2,{"$f":"IF(G20=\"\", \"\", validate!M21)","v":4.6366662404181441E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,12,6.3885836663068546E-2,0.13011201544711365,null,2.75,11,4.1735278887689513E-2,{"$f":"IF(G21=\"\", \"\", validate!M22)","v":5.1026190845579057E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
[null,13,6.9423476106913309E-2,0.12538347921314158,null,3,12,4.7272918331534269E-2,{"$f":"IF(G22=\"\", \"\", validate!M23)","v":5.5685643342524384E-2},4.3581073580533126E-2,9.9999999999999995E-7,0.10818695221382665]
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{"sheet":"validate","index":11,"n_rows":57,"n_cols":24,"rows_kept":57,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: MODEL VALIDATION"]
[]
[null,"Cash Flows Test",null,null,null,null,null,null,null,null,"Interest Rate Process Distribution Test",null,null,null,null,null,null,null,null,"Bond Bullet Price Test"]
[]
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[null,20,5,100,100,2.1790536790266564,2.1790536790266564,102.17905367902665,102.17905367902665,50,20,6.4697468557078364E-2,6.4700512719910355E-2,3.0441628319916036E-6,20,1.6969008426774724E-2,1.6877196759970018E-2,-9.1811666804705871E-5,null,20,6.1949938949145633E-2,100,100,0]
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{"sheet":"config","index":12,"n_rows":65,"n_cols":13,"rows_kept":65,"cut":false,"hidden":false,"merged":[]}
[]
[null,"TAB: CONFIGURATION FILE","Calculation enabled",null,true,null,"Test connection",null,{"$f":"_xll.AC.test.connection()","v":"host: CA2013466W3; user: Konstantin.Rybakov; key: null"}]
[]
[null,"Output keys",null,null,null,null,"Output array sizes"]
[]
[null,"Key","Description",null,null,null,"Array formula cell address","number of rows","number of cols","Description"]
[null,"Bond parameters",null,null,null,null,{"$f":"addressFla(params!C5)","v":"'params'!$C$5"},{"$f":"params!N47-1","v":277},1,"Sample volatility moving-average series"]
[null,"principal-amount","Bond principal amount",null,null,null,{"$f":"addressFla(params!H22)","v":"'params'!$H$22"},{"$f":"params!J19","v":13},{"$f":"params!L19","v":3},"Data = [period, drift, drift cumulative, yield]"]
[null,"dt","Tree time increment value (in years)",null,null,null,{"$f":"addressFla(sample!N13)","v":"'sample'!$N$13"},{"$f":"sample!D10","v":10},2,"Sample bond prices"]
[null,"period-start","First period of the bond cash flows",null,null,null,{"$f":"addressFla(cf!L7)","v":"'cf'!$L$7"},{"$f":"M40","v":21},{"$f":"cf!D26","v":8},"Bond cash flows"]
[null,"period-maturity","Maturity period of the cash flows",null,null,null,{"$f":"addressFla(value!E7)","v":"'value'!$E$7"},{"$f":"M41","v":20},{"$f":"M40","v":21},"Bond value in the presence of the option"]
[null,"period-end","Last period of the cash flows",null,null,null,{"$f":"addressFla(value!D7)","v":"'value'!$D$7"},{"$f":"H11","v":20},1,"Bond collection of states"]
[null,"tenor-remaining","Sample bond remaning tenor",null,null,null,{"$f":"addressFla(bullet!E7)","v":"'bullet'!$E$7"},{"$f":"H11","v":20},{"$f":"I11","v":21},"Bond bullet value"]
[null,"coupon-rate","Sample bond coupon rate",null,null,null,{"$f":"addressFla(action!E7)","v":"'action'!$E$7"},{"$f":"H11","v":20},{"$f":"I11","v":21},"Option exercise action value"]
[null,"coupon-frequency","Sample bond coupon frequency",null,null,null,{"$f":"addressFla(D!E7)","v":"'D'!$E$7"},{"$f":"H11","v":20},{"$f":"I11","v":21},"Tree state distribution"]
[null,"make-whole-duration","Sample bond remaining duration of make-whole provision",null,null,null,{"$f":"addressFla(charts!C10)","v":"'charts'!$C$10"},{"$f":"H15","v":20},2,"Terminal state distribution"]
[null,"redemption-premium-post-make-whole","Sample bond redemption premium after make-whole provision termination",null,null,null,{"$f":"addressFla(charts!G10)","v":"'charts'!$G$10"},{"$f":"M40","v":21},2,"State at which action switches from non-exercise to exercise"]
[null,"redemption-premium-schedule","Customized redemption premium schedule",null,null,null,{"$f":"addressFla(charts!K10)","v":"'charts'!$K$10"},{"$f":"M40","v":21},2,"Tree bounds"]
[null,"amortization-rate-annual","Annual rate of principal amortization",null,null,null,{"$f":"addressFla(validate!D11)","v":"'validate'!$D$11"},{"$f":"H10","v":21},{"$f":"I10","v":8},"Test model cash flows"]
[null,"amortization-schedule","Customized principal amortization schedule",null,null,null,{"$f":"addressFla(validate!K10)","v":"'validate'!$K$10"},{"$f":"validate!N8","v":22},{"$f":"validate!M8","v":4},"Test model against numeric interest rate mean path"]
[null,"interest-deferral-period","Last interest deferral period",null,null,null,{"$f":"addressFla(validate!O10)","v":"'validate'!$O$10"},{"$f":"validate!R8","v":22},{"$f":"validate!Q8","v":4},"Test model against numeric interest rate stdev path"]
[null,"is-interest-compound","Indicator of whether edefrred interest is compounded or not",null,null,null,{"$f":"addressFla(validate!T10)","v":"'validate'!$T$10"},{"$f":"validate!W8","v":22},{"$f":"validate!V8","v":5},"Test theoretical against numerical bond bullet prices"]
[null,"sample-prices","Sample bullet and actual prices estimated by calculator"]
[null,"bond-cash-flows","Bond cash flows",null,null,null,"Graph configuration"]
[null,"sample-bond-cash-flows","Sample bond cash flows",null,null,null,"Parameter","Value",null,"Description"]
[null,"sample-bond-index","Index of the sample bond",null,null,null,"line","yes",null,"Set to yes/no to set line visible or non-visible"]
[null,null,null,null,null,null,"line-size",1.5,null,"Set line size"]
[null,"Process parameters",null,null,null,null,"marker","no",null,"Set to yes/no to set markers visible or non-visible"]
[null,"srm-name","Name of the shrt-rate model (Vasicek, CIR, etc.)",null,null,null,"marker-size",2,null,"Set markers size (larger or equal than 2)"]
[null,"srm-params","Parameters of the estimated model",null,null,null,"exclude-series",null,null,"List of series names that are not modified"]
[null,"volatility","Short-rate volatility parameter",null,null,null,"exclude-charts",null,null,"List of charts that are not modified"]
[null,"volatility-function","Short-rate volatility function",null,null,null,"reference-chart",1,null,"Chart index used for series colors mar]tching"]
[null,"drift","Short-rate drift parameter",null,null,null,"match-colors","yes",null,"Set yes if colors of each series is matched to the series color in the reference chart"]
[null,"drift-function","Short-rate drift term structure"]
[null,"mean-reversion","Short-rate mean-reversion parameter",null,null,null,"Implemented models and default parameters"]
[null,"term-structure","Yield term structure"]
[null,"srm-functions-estimate","Array with the data = [period, drift, drift cumulative, yield]",null,null,null,"Model",null,"dx-down","dx-up"]
[null,"srm-validate-objects","Validation objects used for option calculation testing",null,null,null,"Vasicek",null,3,3,{"$f":"summary!B9","v":"maturity term"},null,{"$f":"summary!C9","v":5}]
[null,"validate-mean-path","Mean of terminal state distribution",null,null,null,"Cox-Ingersoll-Ross (CIR)",null,2,4,{"$f":"summary!B12","v":"dt"},null,{"$f":"summary!C12","v":0.25}]
[null,"validate-stdev-path","Standard deviation of terminal state distribution",null,null,null,"Hull-White, extended Vasicek",null,3,3,"nT",null,{"$f":"summary!C17+1","v":21}]
[null,"validate-price-bond-bullet","Bullet bond value",null,null,null,"Hull-White, extended CIR",null,2,4,{"$f":"tree!B16","v":"X-count"},null,{"$f":"tree!C16","v":20}]
[null,"srm-validation-summary","Validation summary: (bullet prices and terminal and implied distribution parameters)",null,null,null,null,null,null,null,"Display adjusted (correct) call (put) option",null,true]
[null,"tenor-term-structure","Maximum tenor used in the term structure",null,null,null,"Interest rate options"]
[null,"sample-size","Sample size used in volatility estimation",null,null,null,"call"]
[null,"sample-size-min","Minimum sample size used in volatility function estimation",null,null,null,"put"]
[null,"Q-adjustment","Type of the Q adjustment (0 - no adjustment, 1 - contraction mapping, 2 - optimization)"]
[null,"Q-rho","Parameter applied in the transition probability adjustment",null,null,null,"Interest rate calculator methods"]
[null,"Q-lambda","Adjust negative values in transition probabilities",null,null,null,"par-value",null,null,"Estimate the value y0 such that the bond bullet value is equal to par"]
[null,null,null,null,null,null,"value-option",null,null,"Estimate the bond bullet prices and prices in the presence of the option "]
[null,"Tree parameters",null,null,null,null,"bond-yields",null,null,"Estimate the bond bullet yields and yields in the presence of the option "]
[null,"maturity","Maturity of the diffusion process"]
[null,"state-initial","Initial state of the diffusion process",null,null,null,"Bond calculator parameters"]
[null,"state-value","State values (as  a tree)",null,null,null,"bond-price",null,null,"The full (dirty) price of the bond"]
[null,"tree-states","State values (as a list)",null,null,null,"bond-price-bullet",null,null,"The full (dirty) bullet price of the bond (option-adjusted)"]
[null,"stats-tree-bounds","The bounds of the tree (minimum and amximum state path)",null,null,null,"bond-ytm",null,null,"The bond yield to maturity (based on bond clean price)"]
[null,"Q","Transition probabilities (as array for period t)",null,null,null,"bond-ytm-bullet",null,null,"The bond bullet yield to maturity"]
[null,"P","State probabilities (as a tree)",null,null,null,"mode-action",null,null,"Optimal mode action estimated for the tree"]
[null,"action-switch-node","State at which the action switches from non-exercise to exercise",null,null,null,"objective",null,null,"Objective function defined on tree states"]
[null,"stats-distribution","State distribution at maturity date",null,null,null,"discount",null,null,"Discount function defined on tree states"]
[null,"summary-table","Summary of the key Markov process output data",null,null,null,"yield-par",null,null,"Initial short-rate value estimated so that bond value equals par"]
[null,"tree-params","Parameters used to construct and estimate the tree",null,null,null,"coupon-par",null,null,"Calibrated coupon rate such that bond bullet value is adjusted to par"]
[null,null,null,null,null,null,"annuity-adjustment-factor",null,null,"Tree-based annuity adjustment based on constant function"]
[null,"Option parameters",null,null,null,null,"annuity-adjustment-factor-constant",null,null,"Tree-based annuity adjustment based on option non-exercised indicator function"]
[null,"option","Evaluated option (put or call)"]
[null,"adjust-to-par","Set to 1 if coupon rate is adjusted so that the bullet price equals to par"]

{"sheet":"guide","index":13,"n_rows":2,"n_cols":11,"rows_kept":2,"cut":false,"hidden":false,"merged":[[1,1,41,8],[1,10,41,18]]}
[]
[null,"Package: SRM\n\nInterest rate process modelling\n\nThe objective of the model is to analyze fixed income securities, specifically bonds. The template allows to set generic parameters for the interest rate tree but generally assumes specific inputs for the calculated bond prices and related interest rate options.\n\nModelling bond prices\n\nThe bond prices are modelled as follows:\n\n1. The bond terminal value. The terminal value is generally assumed to be equal to the sum of the outstanding principal value and the accrued interest. The outstanding principal value  depends on the (i) time period; (ii) applied amortization schedule; (iii) and exercised options. The accrued interest depends on the (i) time period; (ii) interest payment schedule; and (iii) outstanding balances used as a base for interest calculations.\n\n2. The bond coupon payments. The bond coupon payments depend on time period and interest payment terms. Fixed interest payments are assumed (will be extended to variable interest rate).\n\n3. Redemption price. The redemption price models the penalty that is applied in the case of bond option exercise. Generally, both call (early prepayment) and put (pay-on-demand) options nvolve a penalty that determines the bond redemption price.\n\n4. Amortization schedule. The schedule determines the timing of bond principal repayments. Based on the amortization schedule, the outstanding principal balances are calculated. \n\nNotes:\n\nA. Steady state. The mean reversion process is assumed to converge to current yield rate: ϑ = α x y0;\nB. Par value. If the bond at t=0 is priced at par, the initial value y0 must be calibrated to generate par value (y0 = coupon will not produce par value because the underlying yield rate process is modelled for zero-coupon bonds and has an increasing / decreasing term structure);",null,null,null,null,null,null,null,null,"Package: SRM\n\nShort cut key combinations: \nCtrl+Shft+C - calculate all; Ctrl+Shift+R - refresh addin; Ctrl+Shft+S - set the data ranges; \nCtrl+Shft+D - disable calculations; Ctrl+Shft+G - update graphs, Ctrl+Shft+H - highlight the graph used as a reference\n\nMarkov tree objects and output\n \nIMarkovTreeR1 tree = Markov.tree(int T, double x0, Map states, Object Q);\n\nConstruct Markov tree object using the following paarmeters:\nT          - number of periods\nx0        - initial state,\nstates - Map: X-min - minimum state value, X-max - maximum state value; X-count - number of states; and X-type which is set either to uniform or log-uniform to describe how the states are generated within the range;\nQ         - object that describes transition probabilities (typically in the form of a function: (t, x) => {xi => pi} that mapps given period and state (t, x) into a mapping {xi => pi} between next period states and probabilities;\n\nObject[][] out = Markov.get(IMarkovTreeR1 tree, String key, Map<String, Object> params);\n\nReturn the value of a given field (referred to bya given key) of the Markov tree using the given set of parameters (if necessary). Keys include:\nstate-values - an array[][] that describes tree structure (contains a state value in a given cell if the cell belong to the tree or zero otherwise);\nQ - returns an array of transition probabilities Q(xt, xt+1) for a given period t;\nP - return an array of tree state probabilites"]