{"text_format":"3","workbook":"xlsx","n_sheets":3,"sheets":["swap","liste","liste_ql"],"not_rendered":{"external_links":3,"defined_names":59,"comments":1},"read":"whole","date_system":"1900"}

{"sheet":"swap","index":0,"n_rows":105,"n_cols":9,"rows_kept":105,"merged":[[40,1,40,2]]}
[]
[null,"Interest rate swap"]
[]
[null,"DATES",null,null,"FIXED LEG DAY COUNTER",null,null,"FIXED LEG COUPON"]
[null,"Valuation Date",{"$f":"[3]!tudei()","v":"2012-02-16"},null,"Tenor","3m",null,"PaymentBDC","Following"]
[null,"Set valuation date",{"$f":"_xll.qlSettingsSetEvaluationDate(C5)","v":true},null,"Convention","Modified Following",null,"Nominals",1]
[null,"Current Eval. Date",{"$f":"_xll.qlSettingsEvaluationDate()","v":"2012-02-14"},null,"TermDateConv","Modified Following",null,"ScheduleID",{"$f":"F12","v":"obj_00025#0079"}]
[null,"Calendar","TARGET",null,"GenRule","Backward",null,"Coupons",{"v":0,"d":"0.00%"}]
[null,"Swap effective date (Ta)",{"$f":"_xll.qlCalendarAdvance(C8,ReferenceDate,\"2d\")","v":"2012-02-16"},null,"EndOfMonth",null,null,"DayCounter","30/360 (Bond Basis)"]
[null,"Swap termination date (Tb)",{"$f":"_xll.qlCalendarAdvance(C8,C9,\"12m\",\"Unadjusted\")","v":"2013-02-16"},null,"FirstDate",null,null,"FixedRateLeg",{"$f":"_xll.qlFixedRateLeg(,I5,I6,I7,I8,I9)","v":"obj_00029#0079"}]
[null,"Tenor (yrs)",{"$f":"YEARFRAC(EffectiveDate,TerminationDate)","v":1},null,"NextToLastDate"]
[{"$nulls":4},"Schedule",{"$f":"_xll.qlSchedule(,C9,C10,F5,C8,F6,F7,F8,F9,F10,F11)","v":"obj_00025#0079"}]
[]
[]
[null,"VOLATILITY",null,null,"FLOATING LEG DAY COUNTER",null,null,"FLOATING LEG COUPON"]
[null,"Volatility",{"v":0,"d":"0.00%"},null,"Tenor","3m",null,"PaymentBDC","Following"]
[null,"Calendar","TARGET",null,"Convention","Modified Following",null,"Nominals",{"$f":"I6","v":1}]
[null,"DayCounter",null,null,"TermDateConv","Modified Following",null,"FixingDays"]
[null,"ConstantOptionletVolatility",{"$f":"_xll.qlConstantOptionletVolatility(,0,C17,\"f\",C16,C18)","v":"obj_0001a#0025"},null,"GenRule","Backward",null,"IsInArrears"]
[{"$nulls":4},"EndOfMonth",null,null,"DayCounter","30/360 (Bond Basis)"]
[null,"DISCOUNT CURVE",null,null,"FirstDate",null,null,"Floor",{"v":0.01,"d":"1.00%"}]
[null,"curve",{"$f":"_xll.qlDiscountCurve(,B43:B105,C43:C105)","v":"obj_0000c#0025"},null,"NextToLastDate",null,null,"Gearings",1]
[{"$nulls":4},"Schedule",{"$f":"_xll.qlSchedule(,C9,C10,F16,C8,F17,F18,F19,F20,F21,F22)","v":"obj_00024#0079"},null,"Spreads",{"v":0,"d":"0.00%"}]
[{"$nulls":7},"Cap",{"v":0.01,"d":"1.00%"}]
[{"$nulls":7},"IborLeg",{"$f":"_xll.qlIborLeg(,I16,I17,F23,I18,I19,I20,I21,I22,C37,I23,I24)","v":"obj_0002d#0081"}]
[{"$nulls":7},"Coupon Pricer",{"$f":"_xll.qlIborCouponPricer(,C19,\"IborByBlack\")","v":"obj_0001b#0025"}]
[{"$nulls":7},"Set coupon pricer",{"$f":"_xll.qlLegSetCouponPricers(I25,I26)","v":true}]
[]
[]
[null,"TASSO FLOATING LEG",null,null,"SWAP CONTRACT & PRICING"]
[null,"Tenor",{"$f":"F16","v":"3m"},null,"Swap",{"$f":"_xll.qlSwap(,F33:G33,F34:G34)","v":"obj_0002f#0067"}]
[null,"Fixing days",0,null,"SetPricingEngine",{"$f":"_xll.qlInstrumentSetPricingEngine(F31,F35)","v":true}]
[null,"Currency","EUR",null,"LegIDs",{"$f":"I10","v":"obj_00029#0079"},{"$f":"I25","v":"obj_0002d#0081"}]
[null,"Convention","Following",null,"Payer",true,false]
[null,"EndOfMonth",null,null,"DiscountingSwapEngine",{"$f":"_xll.qlDiscountingSwapEngine(,C22)","v":"obj_00019#0043"}]
[null,"FixedLegDayCounter","Actual/Actual (ISDA)",null,"SWAP PRICE",{"$f":"_xll.qlInstrumentNPV(F31,F32)","v":{"v":0.009962113998656468,"d":"0.996%"}}]
[null,"IborIndex",{"$f":"_xll.qlIborIndex(,,C31,C32,C33,C8,C34,C35,C36,C22)","v":"obj_00012#0042"}]
[{"$nulls":6},{"$f":"_xll.ohRangeRetrieveError(I25)","v":""}]
[]
[]
[null,"DISCOUNT CURVE",null,null,"I would expect that by setting Floor = Cap (I21 and I24 cells) the swap price (F36 cell) equals them,"]
[null,"date","df",null,"as the rate implicit in the curve gets bounded between Floor and Cap. But this doesn't happen."]
[null,"2012-02-14",{"v":1,"d":"1.000"}]
[null,"2012-02-15",{"v":0.9999958333506934,"d":"1.000"}]
[null,"2012-02-22",{"v":0.9999373646179327,"d":"1.000"}]
[null,"2012-02-29",{"v":0.9998497436582429,"d":"1.000"}]
[null,"2012-03-07",{"v":0.9997315976935632,"d":"1.000"}]
[null,"2012-03-14",{"v":0.999581492765116,"d":"1.000"}]
[null,"2012-04-14",{"v":0.9989312019691201,"d":"0.999"}]
[null,"2012-05-14",{"v":0.9976454459329319,"d":"0.998"}]
[null,"2012-06-14",{"v":0.9964924216712986,"d":"0.996"}]
[null,"2012-07-14",{"v":0.9951547395437441,"d":"0.995"}]
[null,"2012-08-14",{"v":0.9934923628104608,"d":"0.993"}]
[null,"2012-09-14",{"v":0.9920217715335208,"d":"0.992"}]
[null,"2012-10-14",{"v":0.9904357434550926,"d":"0.990"}]
[null,"2012-11-14",{"v":0.9887706941918841,"d":"0.989"}]
[null,"2012-12-14",{"v":0.9870730572662998,"d":"0.987"}]
[null,"2013-01-14",{"v":0.9852548569776225,"d":"0.985"}]
[null,"2013-02-14",{"v":0.9834379668268386,"d":"0.983"}]
[null,"2014-02-14",{"v":0.9769952244483374,"d":"0.977"}]
[null,"2015-02-14",{"v":0.9639469531027522,"d":"0.964"}]
[null,"2016-02-14",{"v":0.9460404673027166,"d":"0.946"}]
[null,"2017-02-14",{"v":0.9237456634153077,"d":"0.924"}]
[null,"2018-02-14",{"v":0.8985215472081473,"d":"0.899"}]
[null,"2019-02-14",{"v":0.8718306996866567,"d":"0.872"}]
[null,"2020-02-14",{"v":0.8447331070616408,"d":"0.845"}]
[null,"2021-02-14",{"v":0.8178840229288902,"d":"0.818"}]
[null,"2022-02-14",{"v":0.7908982801609675,"d":"0.791"}]
[null,"2023-02-14",{"v":0.7643099517180078,"d":"0.764"}]
[null,"2024-02-14",{"v":0.7386128726667689,"d":"0.739"}]
[null,"2025-02-14",{"v":0.7140652231185508,"d":"0.714"}]
[null,"2026-02-14",{"v":0.6903990311764728,"d":"0.690"}]
[null,"2027-02-14",{"v":0.667517205456003,"d":"0.668"}]
[null,"2028-02-14",{"v":0.6488289886447769,"d":"0.649"}]
[null,"2029-02-14",{"v":0.6306334117898444,"d":"0.631"}]
[null,"2030-02-14",{"v":0.6129957449417401,"d":"0.613"}]
[null,"2031-02-14",{"v":0.5958513714809331,"d":"0.596"}]
[null,"2032-02-14",{"v":0.5791864948906821,"d":"0.579"}]
[null,"2033-02-14",{"v":0.565971399340426,"d":"0.566"}]
[null,"2034-02-14",{"v":0.5531089616121115,"d":"0.553"}]
[null,"2035-02-14",{"v":0.5405388395458739,"d":"0.541"}]
[null,"2036-02-14",{"v":0.5282543898872927,"d":"0.528"}]
[null,"2037-02-14",{"v":0.5162166068441021,"d":"0.516"}]
[null,"2038-02-14",{"v":0.5056002488642444,"d":"0.506"}]
[null,"2039-02-14",{"v":0.49520824917631906,"d":"0.495"}]
[null,"2040-02-14",{"v":0.48502984443372155,"d":"0.485"}]
[null,"2041-02-14",{"v":0.4750336149784327,"d":"0.475"}]
[null,"2042-02-14",{"v":0.4652698753645794,"d":"0.465"}]
[null,"2043-02-14",{"v":0.45480893389054994,"d":"0.455"}]
[null,"2044-02-14",{"v":0.44457592553947406,"d":"0.445"}]
[null,"2045-02-14",{"v":0.43454606217410224,"d":"0.435"}]
[null,"2046-02-14",{"v":0.4247689598530981,"d":"0.425"}]
[null,"2047-02-14",{"v":0.41521183819264146,"d":"0.415"}]
[null,"2048-02-14",{"v":0.40586974772105594,"d":"0.406"}]
[null,"2049-02-14",{"v":0.3967131157940339,"d":"0.397"}]
[null,"2050-02-14",{"v":0.3877872387401794,"d":"0.388"}]
[null,"2051-02-14",{"v":0.3790621901389488,"d":"0.379"}]
[null,"2052-02-14",{"v":0.370533451435231,"d":"0.371"}]
[null,"2053-02-14",{"v":0.3617795923940819,"d":"0.362"}]
[null,"2054-02-14",{"v":0.35325350950542594,"d":"0.353"}]
[null,"2055-02-14",{"v":0.3449283613597808,"d":"0.345"}]
[null,"2056-02-14",{"v":0.33679941251515305,"d":"0.337"}]
[null,"2057-02-14",{"v":0.32884055188800354,"d":"0.329"}]
[null,"2058-02-14",{"v":0.32109074548241057,"d":"0.321"}]
[null,"2059-02-14",{"v":0.3135235792620969,"d":"0.314"}]

{"sheet":"liste","index":1,"n_rows":97,"n_cols":6,"rows_kept":97,"hidden":true}
[]
[null,"call",null,null,"accrual method"]
[null,"put",null,null,"actual/365 (fixed)"]
[{"$nulls":4},"actual/360"]
[null,"down in",null,null,"actual/365 (actual)"]
[null,"down out",null,null,"30/360"]
[null,"up in",null,null,"30E/360"]
[null,"up out"]
[]
[null,"down","in",null,"stat"]
[null,"up","out",null,"price"]
[{"$nulls":4},"delta"]
[null,"Switch 72",null,null,"gamma"]
[null,"annual",null,null,"theta"]
[null,"semi-annual",null,null,"vega"]
[null,"quarterly",null,null,"rho of rate"]
[null,"monthly",null,null,"rho of holding cost"]
[null,"daily"]
[null,"continuous"]
[]
[]
[null,"volatility",null,null,"rates & div"]
[null,"constant",null,null,"constant"]
[null,"surface",null,null,"curve"]
[]
[]
[null,"Switch 41"]
[null,"level 1 (low)",null,null,"min"]
[null,"level 2",null,null,"max"]
[null,"level 3"]
[null,"level 4 (high)"]
[]
[]
[null,"valute"]
[null,"EUR"]
[null,"USD"]
[null,"GBP"]
[null,"CHF"]
[null,"JPY"]
[]
[null,"MktSide"]
[null,"BID"]
[null,"ASK"]
[null,"MID"]
[]
[null,"Selezione per valute e mkt side"]
[{"$nulls":3},"bid","ask","mid"]
[null,"EUR",1,{"$f":"\"disc\"&$B48&D$47","v":"discEURbid"},"discEURask","discEURmid"]
[null,"USD",2,"discUSDbid","discUSDask","discUSDmid"]
[null,"GBP",3,"discGBPbid","discGBPask","discGBPmid"]
[null,"CHF",4,"discCHFbid","discCHFask","discCHFmid"]
[null,"SEK",5,"discSEKbid","discSEKask","discSEKmid"]
[null,"JPY",6,"discJPYbid","discJPYask","discJPYmid"]
[null,"HKD",7,"discHKDbid","discHKDask","discHKDmid"]
[null,"KRW",8,"discKRWbid","discKRWask","discKRWmid"]
[null,"CZK",9,"discCZKbid","discCZKask","discCZKmid"]
[null,"PLN",10,"discPLNbid","discPLNask","discPLNmid"]
[null,"HUF",11,"discHUFbid","discHUFask","discHUFmid"]
[]
[]
[]
[null,"Switch 37"]
[null,"linear"]
[null,"cubic spline"]
[null,"exponential"]
[null,"linear spot rates"]
[null,"Switch 43"]
[null,"annual compounding"]
[null,"semi-annual compounding"]
[null,"quarterly compounding"]
[null,"monthly compounding"]
[null,"daily compounding"]
[null,"continuous compounding"]
[null,"simple interest rate basis"]
[null,"discount rate basis"]
[null,"Switch 331"]
[null,"actual/365 (fixed)"]
[null,"actual/360"]
[null,"actual/365 (actual)"]
[null,"30/360 (ISDA)"]
[null,"30E/360 (30/360 ISMA)"]
[null,"30E+/360"]
[null,"actual/actual (ISMA-99)"]
[null,"actual/actual (ISDA)"]
[null,"30/360 (old)"]
[null,"30E/360 (old)"]
[null,"30/360 (SIA)"]
[null,"30/360 (BMA)"]
[null,"30/360 (German)"]
[null,"Switch 282"]
[null,"fair value (at value date)"]
[null,"duration"]
[null,"modified duration"]
[null,"convexity"]
[null,"basis point value"]
[null,"yield value change per 1bp increase in price"]
[null,"yield to maturity"]

{"sheet":"liste_ql","index":2,"n_rows":2,"n_cols":2,"rows_kept":2,"hidden":true}
[]
[null,"1D"]