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{"sheet":"Dislcaimer","index":0,"n_rows":31,"n_cols":11,"rows_kept":31,"cut":false,"hidden":false,"merged":[]}
["Interest Rate Derivatives Explained II (Illustrations)"]
["Novel Methods in Computational Finance"]
[]
[]
["This sheet does only serve for illustration purposes! It illustrates pricing using SABR Approximation Formulas",null,null,null,null,null,null,null,null,null,"The code comes with BSD License"]
[null,null,null,null,null,null,null,null,null,null,"'Copyright 2017 Dr. Joerg Kienitz"]
["This illustration and any accompanying material are being provided solely for information and general illustrative"]
["purposes. The author will not be responsible for the consequences of reliance upon any information contained in or",null,null,null,null,null,null,null,null,null,"'Redistribution and use in source and binary forms, with or without modification,"]
["derived from the presentation or for any omission of information therefrom and hereby excludes all liability for loss",null,null,null,null,null,null,null,null,null,"'are permitted provided that the following conditions are met:"]
["or damage (including, without limitation, direct, indirect, foreseeable, or consequential loss or damage and"]
["including loss or profit and even if advised of the possibility of such damages or if such damages were foreseeable)",null,null,null,null,null,null,null,null,null,"'1. Redistributions of source code must retain the above copyright notice,"]
["that may be incurred or su\u000bered by any person in connection with the presentation, including (without limitation)",null,null,null,null,null,null,null,null,null,"'this list of conditions and the following disclaimer."]
["for the consequences of reliance upon any results derived therefrom or any error or omission whether negligent or"]
["not. No representation or warranty is made or given by the author that the presentation or any content thereof will",null,null,null,null,null,null,null,null,null,"'2. Redistributions in binary form must reproduce the above copyright notice,"]
["be error free, updated, complete or that inaccuracies, errors or defects will be corrected.",null,null,null,null,null,null,null,null,null,"'this list of conditions and the following disclaimer in the documentation"]
["The views are solely that of the author.",null,null,null,null,null,null,null,null,null,"'and/or other materials provided with the distribution."]
["The presentation may not be reproduced in whole or part or delivered to any other person without prior permission"]
["of the author. It is accompanying material for the book Interest Rate Derivatives Explained II!",null,null,null,null,null,null,null,null,null,"'3. Neither the name of the copyright holder nor the names of its contributors"]
[null,null,null,null,null,null,null,null,null,null,"'may be used to endorse or promote products derived from this software without"]
["For comments, hints, bugs or suggestions, please,",null,null,null,null,null,null,null,null,null,"'specific prior written permission."]
["Contact:"]
["joerg.kienitz@gmx.de",null,null,null,null,null,null,null,null,null,"'THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS"]
[null,null,null,null,null,null,null,null,null,null,"'\"AS IS\" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO,"]
[null,null,null,null,null,null,null,null,null,null,"'THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE"]
[null,null,null,null,null,null,null,null,null,null,"'ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE"]
[null,null,null,null,null,null,null,null,null,null,"'FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES"]
[null,null,null,null,null,null,null,null,null,null,"'(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;"]
[null,null,null,null,null,null,null,null,null,null,"'LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON"]
[null,null,null,null,null,null,null,null,null,null,"'ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,"]
[null,null,null,null,null,null,null,null,null,null,"'OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF"]
[null,null,null,null,null,null,null,null,null,null,"'THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE."]

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["SABR Smile Designer"]
[]
["Market","EUR"]
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{"sheet":"SABR Smile Designer Moni","index":2,"n_rows":53,"n_cols":64,"rows_kept":53,"cut":false,"hidden":false,"merged":[[0,0,0,10]]}
["SABR Smile Designer"]
[]
["Market","EUR",null,null,null,null,null,null,null,null,null,null,null,"rhotilde","rho * nu",null,"rho ","rhotilde / nu"]
["SwapRate",3.2000000000000001E-2,null,"StrikeStep",3.0000000000000001E-3,null,"ATM Vol",{"$f":"SwaptionInterpolation(B6,B5,'Swaption Vol Curve'!A5:A19,'Swaption Vol Curve'!C3:P3,'Swaption Vol Curve'!C5:P19)/100","v":0.125},null,{"$f":"B4^(1-C10)*H4","v":6.2797160787739517E-2},null,null,null,"gamma","sqrt(1-rho^2)*nu",null,"nu","sqrt(gamma^2+rohtilde^2)"]
["SwapMaturity",10,null,"StrikeMin",0]
["Option Maturity",5,null,"StrikeMax",0.45,null,"Suggested a",{"$f":"H4*B4^(1-C10)","v":6.2797160787739517E-2},null,"Error",{"$f":"SUM(B50:BL50)","v":2.9037809065918296E-2}]
["SABR",null,null,null,null,null,null,null,null,null,null,null,null,null,7.1400000000000005E-2,0.8,0.6,0.309]
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["SABR Vol",{"$f":"SABR_Vol($B$10,$C$10,$D$10,$E$10,$B$4,B46,$B$6)","v":0.17814595827671947},{"$f":"SABR_Vol($B$10,$C$10,$D$10,$E$10,$B$4,C46,$B$6)","v":0.15427618653472872},0.13704360767396104,{"$f":"SABR_Vol($B$10,$C$10,$D$10,$E$10,$B$4,E46,$B$6)","v":0.12475474166474},0.11714265230132304,0.11456904956695847,0.11690994116134759,0.12273834646565356,0.13020071666666666,0.13806455645946888,0.14575029678078461,0.15303663270065102,0.15986213595771814,0.16623113672389866,0.17217290421879539,0.17772432129902305,0.18292266080995431,0.18780273617182219,0.19239595987996155,0.19673022575072613,0.20083012940272102,0.20471730783749614,0.20841080036063009,0.21192738929080376,0.21528190504605532,0.21848749218593588,0.22155583823549269,0.22449736914907592,0.22732141579479503,0.23003635568603745,0.23264973376003317,0.23516836549892817,0.23759842519510085,0.23994552171644917,0.24221476374061704,0.24441081609923793,0.24653794859897499,0.24860007845832716,0.25060080731071982,0.25254345356874003,0.25443108081586102,0.2562665227857624,0.25805240540135327,0.25979116627273091,0.26148507199250659,0.26313623351644938,0.26474661987498305,0.26631807042570227,0.2678523058271628,0.26935093788909298,0.27081547843287673,0.27224734727811134,0.27364787945570107,0.2750183317348473,0.27635988854009896,0.27767366732503601,0.27896072346087247,0.28022205469119743,0.28145860519788651,0.28267126931789693,0.28386089494605937,0.28502828665493063,0.28617420855929238]
["Market Vol",0.20970548673171771,0.17870637985910265,0.1578595445313459,0.14371335557756851,0.13536235549456427,0.1327452213730087,0.13529669063759187,0.14133703031943934,0.14899512004539273,0.15706084526482558,0.16495488275609874,0.17244812829239622,0.17947273353966137,0.18602947721534288,0.19214621139106638,0.19785967077338285,0.20320765117094178,0.20822580281083369,0.21294648898940413,0.21739856177864036,0.22160752901294911,0.22559586981439406,0.22938338743236117,0.23298755026037082,0.23642380138290806,0.23970583089030023,0.24284581151840681,0.24585460080647412,0.24874191382886005,0.25151647059057369,0.2541861218526677,0.25675795670251134,0.2592383947160174,0.26163326512312746,0.26394787500288175,0.26618706820399246,0.26835527640786266,0.27045656351784209,0.27249466436457509,0.27447301855657702,0.27639480017191337,0.27826294387657691,0.28008016796351304,0.28184899473022451,0.28357176854948069,0.28525067193479364,0.28688773985805943,0.2884848725396002,0.29004384689961921,0.29156632683371814,0.29305387245278813,0.29450794840867822,0.29592993141096108,0.29732111702631936,0.29868272584042005,0.30001590905197223,0.30132175356007768,0.30260128659847491,0.30385547996384882,0.30508525387977525,0.3062914805330636,0.30747498731496342,0.3086365597961373]
["SABR Vol 2",{"$f":"SABR_Vol($B$11,$C$11,$D$11,$E$11,$B$4,B46,$B$6)","v":0.27854119356640877},{"$f":"SABR_Vol($B$11,$C$11,$D$11,$E$11,$B$4,C46,$B$6)","v":0.23290503221458062},0.19748561798363209,0.16851258859885909,0.14410902752892005,0.12338814876380994,0.10630789126435004,9.4012480629607653E-2,8.8765340580166704E-2,9.0778050851225131E-2,9.6750116825154567E-2,0.10391922851232316,0.11113077471345997,0.1179999424162799,0.12442125613258161,0.13038757846633622,0.13592558917589068,0.14107192638272714,0.14586414985978458,0.1503374112964371,0.15452340883052337,0.15845026480131266,0.16214276183767248,0.16562269726270745,0.16890925415503585,0.17201934805631058,0.17496793521985257,0.17776828009169227,0.18043218461851329,0.18297018372237206,0.18539171160557241,0.18770524326715551,0.18991841510857607,0.19203812795648001,0.19407063531190138,0.19602161917628039,0.1978962554121094,0.19969927026635076,0.20143498941057592,0.20310738062536512,0.20472009106955344,0.20627647992115622,0.20777964704972057,0.20923245827516779,0.21063756768135311,0.21199743738069826,0.21331435506628482,0.2145904496380053,0.21582770514739588,0.21702797327091219,0.21819298449170718,0.21932435814520321,0.22042361146248335,0.22149216772780544,0.22253136365106746,0.2235424560431705,0.2245266278710249,0.22548499375925846,0.22641860499762098,0.22732845410575175,0.2282154790010297,0.22908056680963013,0.22992455735654133]
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{"sheet":"SABR Smile Designer Mix","index":3,"n_rows":52,"n_cols":64,"rows_kept":52,"cut":false,"hidden":false,"merged":[[0,0,0,10]]}
["SABR Smile Designer Tail Matched"]
[]
["Market","EUR"]
["SwapRate",2E-3,null,null,"Implied Vol",{"$f":"F10/2500","v":0.14080000000000001}]
["SwapMaturity",10,null,null,"Normal Vol"]
["Option Maturity",10]
["SABR"]
[null,null,null,null,null,null,null,null,null,null,"Mode:","Automatic"]
[null,"a","b","r","n",null,null,null,null,null,null,null,"s0"]
[null,1.2999999999999999E-3,null,-0.36,0.5,352,55,185,384,635]
["CurrentValues from Curve",{"$f":"F4/B4^(C11-1)","v":8.5914437862510788E-3},{"$f":"G10/100","v":0.55000000000000004},{"$f":"-1+H10/100","v":0.85000000000000009},{"$f":"I10/1000","v":0.38400000000000001},{"$f":"J10/1000","v":0.63500000000000001}]
["Normal SABR Params",{"$f":"B4*F4","v":2.8160000000000001E-4},null,{"$f":"-1+H12/1000","v":-0.79},{"$f":"E11/(1-C11)","v":0.85333333333333339},1147,43,210,204]
[]
[]
[null,null,null,null,null,null,null,null,"Free Toggle",null,null,null,null,"Normal Toggle",null,null,null,"Mix (controls the mixing)",null,null,null,1E-3,null,-1.5,3]
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[null,null,null,null,null,null,null,null,"implied vol","beta","rho","nu",null,null,"rho",null,null,null,null,null,null,"Zero SABR","Normal SABR"]
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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,0.1,0]
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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,{"$f":"V22*V19*EXP(V25)/(V22*V19*EXP(V25)+ABS(V21/(1-V19)*W20))","v":7.1713147410358558E-2},{"$f":"1-V24","v":0.9282868525896415}]
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[]
[null,5.7000000000000002E-2]
[]
[]
[]
[]
[]
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[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"x"]
[]
[]
[]
[]
[]
[]
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[null,null,null,null,null,null,{"$f":"COUNT(B46:BL46)","v":63}]
[]
["Start",-0.02,null,"End",0.05,null,62]
["Strikes",{"$f":"$B$45","v":-0.02},{"$f":"B46+($E$45-$B$45)/$G$45","v":-1.8870967741935484E-2},{"$f":"C46+($E$45-$B$45)/$G$45","v":-1.7741935483870968E-2},-1.6612903225806452E-2,-1.5483870967741935E-2,-1.4354838709677419E-2,-1.3225806451612903E-2,-1.2096774193548387E-2,-1.0967741935483871E-2,-9.8387096774193543E-3,-8.7096774193548381E-3,-7.5806451612903218E-3,-6.4516129032258056E-3,-5.3225806451612893E-3,-4.1935483870967731E-3,-3.0645161290322569E-3,-1.9354838709677406E-3,-8.064516129032244E-4,3.2258064516129184E-4,1.4516129032258081E-3,2.5806451612903243E-3,3.7096774193548405E-3,4.8387096774193568E-3,5.967741935483873E-3,7.0967741935483893E-3,8.2258064516129055E-3,9.3548387096774217E-3,1.0483870967741938E-2,1.1612903225806454E-2,1.274193548387097E-2,1.3870967741935487E-2,1.5000000000000003E-2,1.6129032258064519E-2,1.7258064516129035E-2,1.8387096774193552E-2,1.9516129032258068E-2,2.0645161290322584E-2,2.17741935483871E-2,2.2903225806451617E-2,2.4032258064516133E-2,2.5161290322580649E-2,2.6290322580645165E-2,2.7419354838709682E-2,2.8548387096774198E-2,2.9677419354838714E-2,3.080645161290323E-2,3.1935483870967743E-2,3.3064516129032259E-2,3.4193548387096775E-2,3.5322580645161292E-2,3.6451612903225808E-2,3.7580645161290324E-2,3.870967741935484E-2,3.9838709677419357E-2,4.0967741935483873E-2,4.2096774193548389E-2,4.3225806451612905E-2,4.4354838709677422E-2,4.5483870967741938E-2,4.6612903225806454E-2,4.774193548387097E-2,4.8870967741935487E-2,0.05]
["SABR Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$10,0,$D$10,$E$10)","v":5.0069963193084934E-3},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$10,0,$D$10,$E$10)","v":4.8448029350438146E-3},{"$f":"VOLSABR_H_N($B$4,D46,$B$6,0,$B$10,0,$D$10,$E$10)","v":4.6810094024169789E-3},4.5155164764808155E-3,4.3482147289447505E-3,4.1789833181264018E-3,4.0076887092852596E-3,3.8341834596091503E-3,3.6583053095008353E-3,3.4798770737486081E-3,3.2987083331167122E-3,3.1146009733025765E-3,2.9273628510729454E-3,2.7368388306016219E-3,2.5429800114845449E-3,2.3460005010779842E-3,2.1467455108124928E-3,1.9475975265017846E-3,1.7547884158785403E-3,1.5839776896346186E-3,1.4683288176773261E-3,1.4454320923466509E-3,1.5105492455404245E-3,1.6265446384509427E-3,1.7657648147445478E-3,1.9148004929320363E-3,2.0676114986406726E-3,2.2214061042813015E-3,2.3748478680723798E-3,2.5272870689329644E-3,2.6784149380089423E-3,2.8280989128344636E-3,2.976299935767254E-3,3.1230290854959422E-3,3.2683240320422061E-3,3.4122359195362132E-3,3.5548219346230679E-3,3.6961410675351723E-3,3.8362517084958416E-3,3.9752103179729013E-3,4.1130707326335241E-3,4.2498838495300837E-3,4.3856975346253562E-3,4.5205566624663901E-3,4.6545032300742868E-3,4.7875765101192966E-3,4.9198132219808012E-3,5.0512477076964154E-3,5.181912105063218E-3,5.3118365134560462E-3,5.4410491500015345E-3,5.5695764950419663E-3,5.6974434266198375E-3,5.8246733441965461E-3,5.9512882820947632E-3,6.0773090133032252E-3,6.2027551443461781E-3,6.3276452019392655E-3,6.4519967121304377E-3,6.5758262725973344E-3,6.699149618725574E-3,6.8219816840402363E-3,6.9443366555272104E-3]
[]
[]
["SABR Normal Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$12,0,$D$12,$E$12)","v":4.5115072034311952E-3},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$12,0,$D$12,$E$12)","v":4.332142875251673E-3},4.1511651632476828E-3,3.9684540293595388E-3,3.783872522889148E-3,3.5972631389796792E-3,3.4084430856696586E-3,3.2171980268029536E-3,3.0232736479873308E-3,2.8263640317976631E-3,2.6260952142226645E-3,2.4220012038683146E-3,2.2134877094708147E-3,1.9997747837901115E-3,1.7798009718533942E-3,1.5520513590168148E-3,1.3142185519179196E-3,1.0624393978766176E-3,7.8919176329016974E-4,4.7514805305120855E-4,2.2275915767167522E-4,4.0540080970722042E-4,5.8367287034615585E-4,7.5254913092506022E-4,9.1471171659982474E-4,1.0718354185061975E-3,1.2249876923118347E-3,1.3748932997547541E-3,1.5220710216546955E-3,1.6669079371456144E-3,1.8097025020352934E-3,1.9506910070374438E-3,2.0900646266822959E-3,2.2279808534908063E-3,2.364571428741732E-3,2.499948002606537E-3,2.6342062739819964E-3,2.7674290833573974E-3,2.8996887668326192E-3,3.0310489773523711E-3,3.1615661143643433E-3,3.2912904607876763E-3,3.4202670977951516E-3,3.5485366486767336E-3,3.6761358895079765E-3,3.8030982548766098E-3,3.9294542600799435E-3,4.0552318561559442E-3,4.1804567305409835E-3,4.305152563140395E-3,4.4293412458753642E-3,4.5530430717700332E-3,4.6762768987593751E-3,4.7990602921549929E-3,4.9214096492323197E-3,5.0433403084462498E-3,5.1648666457780193E-3,5.2860021598495656E-3,5.4067595474301131E-3,5.5271507707394764E-3,5.6471871174500719E-3,5.7668792545167774E-3,5.8862372764161433E-3]
["SABR Free Normal Vol",{"$f":"VOLSABR_H_N_F($B$4,B46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":1.4287548502008357E-3},1.3599033933116011E-3,{"$f":"VOLSABR_H_N_F($B$4,D46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":1.2908634465977249E-3},{"$f":"VOLSABR_H_N_F($B$4,E46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":1.221625851709911E-3},1.1521806522394003E-3,1.0825170211558369E-3,1.0126231986033005E-3,9.4248645922020969E-4,8.7209314758376108E-4,8.014288605373448E-4,7.304789418097643E-4,6.5922965214940674E-4,5.8767086397825644E-4,5.1580244228848859E-4,4.436505098239853E-4,3.713147078779098E-4,2.9914101233452197E-4,2.2874765286025607E-4,1.9617222030052849E-4,1.8748115962893843E-4,4.133150753607711E-4,6.1551336240614897E-4,7.9860784984235275E-4,9.7035373906878759E-4,1.1343277463540535E-3,1.2925147916034133E-3,1.4461546369128322E-3,1.5960853806517811E-3,1.7429064812301916E-3,1.8870652094681445E-3,2.0289064163446884E-3,2.1687030493647767E-3,2.306675825237324E-3,2.4430064389738804E-3,2.5778467375842133E-3,2.7113252751115339E-3,2.8435521118296897E-3,2.9746224025994873E-3,3.1046191296120033E-3,3.2336152174834666E-3,3.3616751939841883E-3,3.4888565108615512E-3,3.615210606520682E-3,3.7407837699895623E-3,3.8656178500119233E-3,3.9897508420966591E-3,4.1132173783878503E-3,4.2360491394401543E-3,4.3582752026821029E-3,4.4799223391404595E-3,4.6010152675819366E-3,4.7215768733462572E-3,4.8416283977284012E-3,4.9611896026490274E-3,5.0802789144631325E-3,5.1989135500682005E-3,5.3171096279308648E-3,5.4348822661889696E-3,5.5522456696243698E-3,5.6692132070434347E-3,5.7857974803164425E-3,5.9020103861707023E-3,6.0178631716400243E-3]
["Mixed SABR",{"$f":"$F$11*B50+(1-$F$11)*B51","v":3.3863025945021141E-3},{"$f":"$F$11*C50+(1-$F$11)*C51","v":3.2472754643435471E-3},3.1071550366704483E-3,2.9658617445174245E-3,2.82330499010199E-3,2.6793808059739767E-3,2.5339688268904378E-3,2.3869283046352523E-3,2.238092765340028E-3,2.0872626942876468E-3,1.934195274791956E-3,1.7785895874909132E-3,1.620064560866031E-3,1.4581248791420193E-3,1.2921060532126599E-3,1.1210824813511144E-3,9.4371524996997953E-4,7.5814191094564568E-4,5.7273963009895062E-4,3.7014963695207996E-4,2.9231206762819523E-4,4.8209189144232938E-4,6.6212413786226765E-4,8.320478128975206E-4,9.9487156746011821E-4,1.1523833896866812E-3,1.3057136270911989E-3,1.455628409282169E-3,1.6026759643997515E-3,1.7472653415433379E-3,1.8897119307582225E-3,2.0302654024869204E-3,2.1691277141548809E-3,2.3064651921921283E-3,2.4424169164692375E-3,2.5771007070708608E-3,2.7106175047964046E-3,2.8430546448807601E-3,2.9744883492470947E-3,3.1049856550002209E-3,3.2346059284255866E-3,3.3634020690646409E-3,3.4914214784799702E-3,3.6187068479559162E-3,3.7452968050919171E-3,3.8712264492119278E-3,3.9965277982623292E-3,4.1212301645546807E-3,4.2453604728724921E-3,4.368943531380419E-3,4.4920022637982629E-3,4.6145579093453551E-3,4.7366301958830697E-3,4.8582374904853152E-3,4.9793969310415664E-3,5.1001245416382622E-3,5.2204353342638083E-3,5.3403433986634477E-3,5.4598619820310171E-3,5.5790035599904211E-3,5.6977798998962973E-3,5.8162021175704598E-3,5.9342807281728607E-3]

{"sheet":"SABR Smile Designer Mix All","index":4,"n_rows":69,"n_cols":64,"rows_kept":69,"cut":false,"hidden":false,"merged":[[0,0,0,10]]}
["SABR Smile Designer Free"]
[]
["Market","EUR"]
["SwapRate",1E-3,null,null,"Implied Vol",0.6]
["SwapMaturity",10,null,null,"Normal Vol"]
["Option Maturity",10]
["SABR"]
[null,null,null,null,null,null,null,null,null,null,"Mode:","Automatic"]
[null,"a","b","r","n",null,null,null,null,null,null,null,"s0"]
[null,1.2999999999999999E-3,null,-0.36,0.5,235,73,95,420,576]
["CurrentValues from Curve",{"$f":"F10/10000","v":2.35E-2},{"$f":"G10/200","v":0.36499999999999999},{"$f":"-1+H10/100","v":-5.0000000000000044E-2},{"$f":"I10/1000","v":0.42},{"$f":"J10/1000","v":0.57599999999999996}]
["Normal SABR Params",{"$f":"F12/10000","v":5.7999999999999996E-3},null,{"$f":"-1+H12/1000","v":-0.63700000000000001},{"$f":"I12/1000","v":0.61399999999999999},58,43,363,614]
[]
[]
[null,null,null,null,null,null,null,null,"Free Toggle (Controls the Free SABR)",null,null,null,null,"Normal Toggle (controls the normal SABR)",null,null,null,"Mix","Moves Smile in between"]
[]
[null,null,null,null,null,null,null,null,"alpha","beta","rho","nu",null,"alpha","rho","nu"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,5.7000000000000002E-2]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,"Scale",null,null,null,null,null,null,null,null,"x"]
[null,null,null,null,null,null,null,null,"low",{"$f":"MIN(B50:BL52)","v":1.4251919959657631E-3}]
[null,null,null,null,null,null,null,null,"high ",{"$f":"MAX(B50:BL52)","v":1.1411564669723148E-2}]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,{"$f":"COUNT(B46:BL46)","v":63}]
[]
["Start",-0.02,null,"End",0.05,null,62]
["Strikes",{"$f":"$B$45","v":-0.02},{"$f":"B46+($E$45-$B$45)/$G$45","v":-1.8870967741935484E-2},{"$f":"C46+($E$45-$B$45)/$G$45","v":-1.7741935483870968E-2},-1.6612903225806452E-2,-1.5483870967741935E-2,-1.4354838709677419E-2,-1.3225806451612903E-2,-1.2096774193548387E-2,-1.0967741935483871E-2,-9.8387096774193543E-3,-8.7096774193548381E-3,-7.5806451612903218E-3,-6.4516129032258056E-3,-5.3225806451612893E-3,-4.1935483870967731E-3,-3.0645161290322569E-3,-1.9354838709677406E-3,-8.064516129032244E-4,3.2258064516129184E-4,1.4516129032258081E-3,2.5806451612903243E-3,3.7096774193548405E-3,4.8387096774193568E-3,5.967741935483873E-3,7.0967741935483893E-3,8.2258064516129055E-3,9.3548387096774217E-3,1.0483870967741938E-2,1.1612903225806454E-2,1.274193548387097E-2,1.3870967741935487E-2,1.5000000000000003E-2,1.6129032258064519E-2,1.7258064516129035E-2,1.8387096774193552E-2,1.9516129032258068E-2,2.0645161290322584E-2,2.17741935483871E-2,2.2903225806451617E-2,2.4032258064516133E-2,2.5161290322580649E-2,2.6290322580645165E-2,2.7419354838709682E-2,2.8548387096774198E-2,2.9677419354838714E-2,3.080645161290323E-2,3.1935483870967743E-2,3.3064516129032259E-2,3.4193548387096775E-2,3.5322580645161292E-2,3.6451612903225808E-2,3.7580645161290324E-2,3.870967741935484E-2,3.9838709677419357E-2,4.0967741935483873E-2,4.2096774193548389E-2,4.3225806451612905E-2,4.4354838709677422E-2,4.5483870967741938E-2,4.6612903225806454E-2,4.774193548387097E-2,4.8870967741935487E-2,0.05]
["SABR Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$10,0,$D$10,$E$10)","v":4.8634185371952158E-3},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$10,0,$D$10,$E$10)","v":4.6998127219009473E-3},{"$f":"VOLSABR_H_N($B$4,D46,$B$6,0,$B$10,0,$D$10,$E$10)","v":4.5345193487355854E-3},4.3674302138867489E-3,4.1984258445833238E-3,4.0273742209369599E-3,3.8541295444930574E-3,3.6785312758571766E-3,3.500403896642963E-3,3.3195583184706125E-3,3.1357968235011051E-3,2.9489254646509456E-3,2.75878237338004E-3,2.5653009050131234E-3,2.3686522137328758E-3,2.1695783704595208E-3,1.9702079333537635E-3,1.7761328629517929E-3,1.6015060191678799E-3,1.4773497526452185E-3,1.4430077600417852E-3,1.4998355215913653E-3,1.6117464080543252E-3,1.7491924287244302E-3,1.8975018538619725E-3,2.0500621794533498E-3,2.2038302304111363E-3,2.3573540703443218E-3,2.5099279933096116E-3,2.6612148141380108E-3,2.8110670549449006E-3,2.9594376790577927E-3,3.1063334918761207E-3,3.2517899306877063E-3,3.3958570548710894E-3,3.5385916200436577E-3,3.6800525581191677E-3,3.8202984106152022E-3,3.9593859028374499E-3,4.0973691927550324E-3,4.234299521224825E-3,4.3702251004684098E-3,4.5051911421666885E-3,4.6392399649576128E-3,4.7724111444046704E-3,4.9047416827945091E-3,5.0362661849973978E-3,5.1670170321673169E-3,5.2970245485425881E-3,5.4263171587958887E-3,5.5549215347465404E-3,5.6828627310966662E-3,5.8101643103587834E-3,5.9368484574426382E-3,6.0629360845259953E-3,6.1884469269099006E-3,6.3133996305756012E-3,6.437811832150836E-3,6.5617002319574838E-3,6.6850806607682478E-3,6.8079681408581795E-3,6.9303769418832236E-3,7.0523206320708713E-3]
[]
[]
["SABR Normal Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$12,0,$D$12,$E$12)","v":1.1411564669723148E-2},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$12,0,$D$12,$E$12)","v":1.1160026724997524E-2},1.0906646598969906E-2,1.0651388606068436E-2,1.0394223705903033E-2,1.0135132498425289E-2,9.8741092955959373E-3,9.611167673864357E-3,9.3463480755895233E-3,9.0797282617233847E-3,8.8114377528401115E-3,8.5416778719003914E-3,8.2707496715273034E-3,7.9990929452567264E-3,7.7273407138554193E-3,7.4563949629666525E-3,7.1875305925034466E-3,6.9225343597031285E-3,6.6638812484127678E-3,6.414936423706794E-3,6.1801374702491222E-3,5.9650510851564954E-3,5.776124809485709E-3,5.619942157667571E-3,5.5019736220772338E-3,5.4252249234220586E-3,5.3894868541112719E-3,5.3916255431076263E-3,5.4266642560010436E-3,5.4890073866081766E-3,5.5733277519114102E-3,5.6750116279728532E-3,5.79027753296438E-3,5.9161210038261546E-3,6.0501930739764506E-3,6.190669658166747E-3,6.336135744879884E-3,6.4854910356037321E-3,6.6378762225917549E-3,6.7926165904508033E-3,6.949179278055182E-3,7.1071409809190765E-3,7.2661635118861792E-3,7.4259752389381969E-3,7.5863569135210676E-3,7.7471307856969906E-3,7.9081521898877807E-3,8.0693029974468495E-3,8.2304864882469363E-3,8.3916233077101499E-3,8.5526482594945781E-3,8.7135077457002989E-3,8.8741577120192098E-3,9.0345619891017553E-3,9.1946909467055162E-3,9.3545203961995799E-3,9.5140306913744158E-3,9.6732059884440391E-3,9.8320336344980691E-3,9.9905036601070293E-3,1.0148608356775127E-2,1.0306341923822048E-2,1.0463700172318378E-2]
["SABR Free Normal Vol",{"$f":"VOLSABR_H_N_F($B$4,B46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":6.0444023854636878E-3},5.8223292354441228E-3,{"$f":"VOLSABR_H_N_F($B$4,D46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":5.5973644137319407E-3},{"$f":"VOLSABR_H_N_F($B$4,E46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":5.3692570527356341E-3},5.13771575300057E-3,4.9023986611651093E-3,4.6629001912891791E-3,4.4187328985905534E-3,4.1693021723880385E-3,3.9138699807909159E-3,3.6515013644185944E-3,3.3809827060280418E-3,3.1006918095958205E-3,2.8083817529526317E-3,2.5008033953565533E-3,2.1730228824842087E-3,1.8173092606373429E-3,1.4251919959657631E-3,1.7555142175892579E-3,2.2583225009759275E-3,2.5887094377674801E-3,2.8734523331681223E-3,3.1378024101364824E-3,3.390572529665284E-3,3.6355790272254297E-3,3.8747347779017494E-3,4.1091243660685188E-3,4.339433661372365E-3,4.5661387771055578E-3,4.7895958581820504E-3,5.0100867711160455E-3,5.227843906788719E-3,5.443064517713465E-3,5.6559195285648149E-3,5.8665592760287098E-3,6.0751174552340394E-3,6.2817139659722141E-3,6.4864570509272695E-3,6.6894449571554427E-3,6.8907672628059427E-3,7.0905059598280274E-3,7.2887363529424943E-3,7.4855278164065011E-3,7.6809444381636689E-3,7.8750455731135295E-3,8.0678863218943096E-3,8.2595179478327056E-3,8.4499882420205411E-3,8.6393418444885677E-3,8.8276205279455323E-3,9.0148634493929201E-3,9.2011073740189287E-3,9.3863868750552332E-3,9.5707345126982684E-3,9.7541809947262713E-3,9.9367553210533126E-3,1.0118484914142281E-2,1.0299395736929055E-2,1.0479512399686508E-2,1.0658858257066809E-2,1.0837455496399131E-2,1.1015325218184244E-2,1.1192487509608504E-2]
["Mixed SABR",{"$f":"$F$11*B50+(1-$F$11)*B51","v":9.1358878611971367E-3},{"$f":"$F$11*C50+(1-$F$11)*C51","v":8.8968429894268827E-3},8.6555109524290089E-3,8.4117648274553286E-3,8.1654643338723888E-3,7.9164533514269712E-3,7.6645566353698725E-3,7.409575329148264E-3,7.1512806126320938E-3,6.8894043506080183E-3,6.6236247241493879E-3,6.3535431215705155E-3,6.0786451380683542E-3,5.7982313997197903E-3,5.5112888908118995E-3,5.216245200842096E-3,4.9105567477922187E-3,4.5916611974784853E-3,4.5827336273435992E-3,4.6525321204689066E-3,4.6573719844769058E-3,4.6542132143134254E-3,4.6574761121616366E-3,4.6746894353946015E-3,4.7106223138600693E-3,4.7678171017214478E-3,4.8466131591811444E-3,4.9454961852518752E-3,5.061801452949358E-3,5.1924568985554989E-3,5.3345135760541756E-3,5.4854125141907805E-3,5.643059214497992E-3,5.805795578315346E-3,5.972332343646608E-3,6.1416755241232787E-3,6.3130609106230324E-3,6.4859006261009117E-3,6.6597413660467583E-3,6.8342324755293823E-3,7.0091017911268682E-3,7.1841374186570051E-3,7.3591739770027956E-3,7.534082179409797E-3,7.7087609051882718E-3,7.8831311330446532E-3,8.0571312712564291E-3,8.2307135411460956E-3,8.4038411592933879E-3,8.5764861290899518E-3,8.7486275000114751E-3,8.9202499881073979E-3,9.0913428771464827E-3,9.2618991391066764E-3,9.4319147270663165E-3,9.6013880043375639E-3,9.770319281827991E-3,9.9387104418016854E-3,1.0106564630937967E-2,1.0273886009217977E-2,1.0440679543975704E-2,1.060695084063162E-2,1.0772706003329392E-2]
[]
[]
[null,4.0000000000000001E-3]
[]
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["SR + x%",{"$f":"VOLSABR_H_N_F($C$61+$B$55,B46,$C$63,0,$C$68,$D$68,$E$68,$F$68)","v":4.3074176011404577E-3},{"$f":"VOLSABR_H_N_F($C$61+$B$55,C46,$C$63,0,$C$68,$D$68,$E$68,$F$68)","v":4.1881730045457196E-3},4.0687632764615216E-3,3.949210829627312E-3,3.8295453878434802E-3,3.7098064361114672E-3,3.5900466883147454E-3,3.4703371059951671E-3,3.350774354365686E-3,3.2314922270252101E-3,3.1126798142694671E-3,2.9946117388595941E-3,2.87770142254764E-3,2.7626020898563874E-3,2.6504182582358818E-3,2.5432162812491603E-3,2.4455698016253736E-3,2.3718892386515944E-3,2.4360891901276968E-3,2.3823074535513481E-3,2.3029467702674615E-3,2.2140664921848643E-3,2.1207842815448318E-3,2.0267063777723187E-3,1.9358991557783282E-3,1.8543628835030431E-3,1.7919778692468214E-3,1.7645805827699336E-3,1.7921841650113592E-3,1.8863743049126285E-3,2.0373993926257137E-3,2.2235502157764036E-3,2.4270452935354664E-3,2.6376523680293343E-3,2.850197360368188E-3,3.062170551464077E-3,3.2723857862753478E-3,3.4803140808446604E-3,3.6857571165999467E-3,3.8886843736820674E-3,4.0891498049090216E-3,4.2872482081758329E-3,4.4830920097651064E-3,4.6767988359179271E-3,4.8684849204742872E-3,5.0582617252930414E-3,5.2462343480363929E-3,5.432500926057798E-3,5.6171525896601517E-3,5.8002737094672678E-3,5.9819422911423998E-3,6.1622304331444841E-3,6.341204799612323E-3,6.5189270818510761E-3,6.6954544345066841E-3,6.8708398799301618E-3,7.0451326785499341E-3,7.2183786655249851E-3,7.3906205552866019E-3,7.5618982162412576E-3,7.7322489181710537E-3,7.9017075549028312E-3,8.0703068447222255E-3]
[null,"Market","EUR"]
[null,"SwapRate",0.01,null,null,"Implied Vol",0.6]
[null,"SwapMaturity",10,null,null,"Normal Vol"]
[null,"Option Maturity",10]
[null,"SABR"]
[]
[]
[null,null,"a","b","r","n",205]
[null,"CurrentValues from Curve",0.01,0.4,0.5,0.45]
[null,null,null,null,null,null,58]

{"sheet":"SABR Smile Designer Normal","index":5,"n_rows":52,"n_cols":64,"rows_kept":52,"cut":false,"hidden":false,"merged":[[0,0,0,10]]}
["SABR Smile Designer Free"]
[]
["Market","EUR"]
["SwapRate",1E-3,null,null,"Implied Vol",0.6]
["SwapMaturity",10,null,null,"Normal Vol"]
["Option Maturity",10]
["SABR"]
[null,null,null,null,null,null,null,null,null,null,"Mode:","Automatic"]
[null,"a","b","r","n",null,null,null,null,null,null,null,"s0"]
[null,1.2999999999999999E-3,null,-0.36,0.5,3500,80,166,35,511]
["CurrentValues from Curve",{"$f":"F10/10000","v":0.35},{"$f":"G10/200","v":0.4},{"$f":"-1+H10/100","v":0.65999999999999992},{"$f":"I10/1000","v":3.5000000000000003E-2},{"$f":"J10/1000","v":0.51100000000000001}]
["Normal SABR Params",{"$f":"F12/10000","v":2.35E-2},null,{"$f":"-1+H12/1000","v":0.41500000000000004},{"$f":"I12/1000","v":0.52},235,43,1415,520]
[null,2.9399999999999999E-2,null,0.05,0.50800000000000001]
[]
[null,null,null,null,null,null,null,null,"Free Toggle",null,null,null,null,"Normal Toggle"]
[]
[null,null,null,null,null,null,null,null,"alpha","beta","rho","nu",null,"alpha","rho","nu"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,5.7000000000000002E-2]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,null,null,"Scale"]
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[null,null,null,null,null,null,null,null,"high ",{"$f":"MAX(B51:BL51)","v":7.606441013414833E-2},null,null,null,null,{"$f":"MAX(B50:BQ50)","v":3.5724145122098504E-2}]
[]
[]
[]
[]
[]
[null,null,null,null,null,null,{"$f":"COUNT(B46:BL46)","v":63}]
[]
["Start",-0.1,null,"End",0.05,null,62]
["Strikes",{"$f":"$B$45","v":-0.1},{"$f":"B46+($E$45-$B$45)/$G$45","v":-9.7580645161290322E-2},{"$f":"C46+($E$45-$B$45)/$G$45","v":-9.5161290322580638E-2},-9.2741935483870955E-2,-9.0322580645161271E-2,-8.7903225806451588E-2,-8.5483870967741904E-2,-8.306451612903222E-2,-8.0645161290322537E-2,-7.8225806451612853E-2,-7.580645161290317E-2,-7.3387096774193486E-2,-7.0967741935483802E-2,-6.8548387096774119E-2,-6.6129032258064435E-2,-6.3709677419354752E-2,-6.1290322580645075E-2,-5.8870967741935398E-2,-5.6451612903225722E-2,-5.4032258064516045E-2,-5.1612903225806368E-2,-4.9193548387096692E-2,-4.6774193548387015E-2,-4.4354838709677338E-2,-4.1935483870967662E-2,-3.9516129032257985E-2,-3.7096774193548308E-2,-3.4677419354838632E-2,-3.2258064516128955E-2,-2.9838709677419278E-2,-2.7419354838709602E-2,-2.4999999999999925E-2,-2.2580645161290248E-2,-2.0161290322580572E-2,-1.7741935483870895E-2,-1.5322580645161217E-2,-1.2903225806451538E-2,-1.048387096774186E-2,-8.0645161290321815E-3,-5.6451612903225031E-3,-3.2258064516128252E-3,-8.064516129031472E-4,1.6129032258065308E-3,4.0322580645162087E-3,6.4516129032258871E-3,8.8709677419355655E-3,1.1290322580645244E-2,1.3709677419354922E-2,1.6129032258064599E-2,1.8548387096774276E-2,2.0967741935483952E-2,2.3387096774193629E-2,2.5806451612903306E-2,2.8225806451612982E-2,3.0645161290322659E-2,3.3064516129032336E-2,3.5483870967742012E-2,3.7903225806451689E-2,4.0322580645161366E-2,4.2741935483871042E-2,4.5161290322580719E-2,4.7580645161290396E-2,5.0000000000000072E-2]
["SABR Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$10,0,$D$10,$E$10)","v":1.4545216415791269E-2},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$10,0,$D$10,$E$10)","v":1.428138057054102E-2},{"$f":"VOLSABR_H_N($B$4,D46,$B$6,0,$B$10,0,$D$10,$E$10)","v":1.4016448547355436E-2},1.3750384966094931E-2,1.3483152368032405E-2,1.321471103675635E-2,1.2945018798525857E-2,1.2674030799106777E-2,1.2401699253596181E-2,1.2127973165111335E-2,1.1852798007453128E-2,1.1576115365918918E-2,1.1297862529292315E-2,1.1017972024621655E-2,1.0736371084641526E-2,1.0452981035496585E-2,1.0167716589667039E-2,9.8804850255009551E-3,9.5911852303023227E-3,9.2997065781963272E-3,9.0059276065721696E-3,8.7097144452050849E-3,8.4109189393696236E-3,8.1093763912308946E-3,7.8049028209132548E-3,7.4972916175667856E-3,7.1863094081154382E-3,6.871690912290688E-3,6.5531324699287102E-3,6.2302838100929828E-3,5.9027374669767168E-3,5.5700150158490011E-3,5.2315489834144809E-3,4.8866588765289912E-3,4.5345193487355741E-3,4.1741184864254053E-3,3.8042061714100564E-3,3.4232429098560546E-3,3.0294056151476223E-3,2.6209187374730226E-3,2.1981088112182374E-3,1.7761328629517801E-3,1.466270640202339E-3,1.5278140065393474E-3,1.811927237662904E-3,2.1378981865448742E-3,2.4664566518395317E-3,2.7897499442719742E-3,3.1063334918761368E-3,3.4163279261439756E-3,3.7202442668426731E-3,4.0186537502382063E-3,4.312091343697852E-3,4.601031537729631E-3,4.8858874515578608E-3,5.1670170321673299E-3,5.444730748022826E-3,5.7192988828657114E-3,5.9909578784791469E-3,6.259915661936585E-3,6.526356056726447E-3,6.7904424184375709E-3,7.0523206320708826E-3]
[]
[]
["SABR Normal Vol",{"$f":"VOLSABR_H_N($B$4,B46,$B$6,0,$B$12,0,$D$12,$E$12)","v":3.2511597022404845E-2},{"$f":"VOLSABR_H_N($B$4,C46,$B$6,0,$B$12,0,$D$12,$E$12)","v":3.2187362017303454E-2},3.1864929701652833E-2,3.1544516573384855E-2,3.1226361605053789E-2,3.0910728747133451E-2,3.0597909711640243E-2,3.0288227060639585E-2,2.9982037622969384E-2,2.9679736259534309E-2,2.9381759992039149E-2,2.9088592501047842E-2,2.8800768985496755E-2,2.8518881355631985E-2,2.824358370278212E-2,2.7975597950046577E-2,2.7715719535202844E-2,2.746482290814338E-2,2.7223866537482207E-2,2.6993897013174218E-2,2.6776051704759208E-2,2.6571559292647453E-2,2.6381737343120232E-2,2.6207985965320955E-2,2.6051776500204724E-2,2.5914634188961057E-2,2.5798113903887268E-2,2.5703768353642655E-2,2.5633108742505156E-2,2.5587558683351188E-2,2.5568403193245472E-2,2.5576735717354603E-2,2.5613407128639458E-2,2.5678981281441964E-2,2.5773701711793197E-2,2.5897473329825876E-2,2.6049861470241929E-2,2.6230108688985704E-2,2.6437167606312935E-2,2.6669746326811801E-2,2.6926361850842934E-2,2.7205396576394383E-2,2.7505153414881297E-2,2.7823905993788818E-2,2.8159941614721764E-2,2.85115958222E-2,2.8877278438330538E-2,2.9255491644856687E-2,2.9644841137750223E-2,3.0044041580683675E-2,3.0451917604664088E-2,3.0867401505736903E-2,3.128952863504058E-2,3.1717431295462215E-2,3.2150331782692616E-2,3.2587535050236177E-2,3.3028421344365629E-2,3.3472439047314576E-2,3.3919097883350978E-2,3.4367962579507576E-2,3.4818647026963044E-2,3.5270808956813338E-2,3.5724145122098504E-2]
["SABR Free Normal Vol",{"$f":"VOLSABR_H_N_F($B$4,B46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":7.305021154257331E-2},7.2241031524932553E-2,{"$f":"VOLSABR_H_N_F($B$4,D46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":7.1419396251287598E-2},{"$f":"VOLSABR_H_N_F($B$4,E46,$B$6,0,$B$11,$C$11,$D$11,$E$11)","v":7.0584807186215626E-2},6.9736732810689969E-2,6.8874605537300154E-2,6.7997818248436523E-2,6.7105720400011684E-2,6.6197613622695481E-2,6.5272746739797036E-2,6.4330310105167807E-2,6.3369429145137435E-2,6.2389156964555992E-2,6.1388465847158798E-2,6.0366237443176402E-2,5.9321251389994244E-2,5.8252172051894438E-2,5.7157532988455793E-2,5.6035718662543164E-2,5.4884942770633605E-2,5.3703222409968027E-2,5.2488347074231619E-2,5.123784117135978E-2,4.9948918353948255E-2,4.8618425401439742E-2,4.7242772630113686E-2,4.581784673726097E-2,4.4338900467132361E-2,4.280041130083307E-2,4.119589818760741E-2,3.9517680640765246E-2,3.7756557550560968E-2,3.5901372728634862E-2,3.3938419217016964E-2,3.185061443554104E-2,2.9616359398251198E-2,2.7208014801614062E-2,2.4590171187361544E-2,2.1719335739390368E-2,1.8555441334704718E-2,1.5167499334477119E-2,1.3463021111336636E-2,3.5185218482166658E-2,4.0405300032861524E-2,4.4233817475942204E-2,4.7391590444340173E-2,5.0133106207310631E-2,5.2584002517408343E-2,5.4817306403672328E-2,5.6879913511036717E-2,5.8804053723708755E-2,6.0613000163047145E-2,6.2324204107476119E-2,6.3951146599836223E-2,6.5504495776901608E-2,6.6992863802571662E-2,6.8423320686980052E-2,6.9801754089619431E-2,7.1133128010996388E-2,7.242167305747492E-2,7.3671029168609375E-2,7.4884354555483409E-2,7.606441013414833E-2]
["Mixed SABR",{"$f":"$F$11*B50+(1-$F$11)*B51","v":5.2334979522767222E-2},{"$f":"$F$11*C50+(1-$F$11)*C51","v":5.1773606406534084E-2},5.1207063844424236E-2,5.0635218683059105E-2,5.0057933124609884E-2,4.9475064497524972E-2,4.8886464986133624E-2,4.8291981303592545E-2,4.7691454286835439E-2,4.7084718384382787E-2,4.6471600997359065E-2,4.5851921620007653E-2,4.5225490707256719E-2,4.4592108171988595E-2,4.3951561381834925E-2,4.330362248218099E-2,4.2648044815865031E-2,4.1984558137416146E-2,4.1312862226637014E-2,4.0632618388571858E-2,3.9943438179606321E-2,3.9244868517842112E-2,3.8536372115129371E-2,3.7817301903359704E-2,3.7086867812908646E-2,3.6344093886684692E-2,3.5587763259407011E-2,3.4816347957139122E-2,3.4027919693527503E-2,3.322003670093248E-2,3.2389599865082642E-2,3.1532668593792515E-2,3.0644222307037207E-2,2.9717846431938137E-2,2.8745312033705894E-2,2.7716008617285858E-2,2.6616198449282903E-2,2.5428179250691491E-2,2.41301478233878E-2,2.2701851185671439E-2,2.117627808034005E-2,2.0485374973981146E-2,3.1260705232783834E-2,3.3976207678895372E-2,3.6020066910858559E-2,3.7743913192426544E-2,3.9271378217361805E-2,4.0663133461534447E-2,4.1954176652786133E-2,4.3166782954626309E-2,4.4316112166876927E-2,4.5412999249161617E-2,4.6465484941061563E-2,4.7479718079301111E-2,4.8460517975860817E-2,4.9411740810128224E-2,5.0336527122904082E-2,5.1237474103001647E-2,5.211675861576958E-2,5.2976227003233609E-2,5.3817461894228105E-2,5.4641832754563004E-2,5.545053471299087E-2]

{"sheet":"Swaption Vol Curve","index":6,"n_rows":82,"n_cols":16,"rows_kept":82,"cut":false,"hidden":false,"merged":[[0,0,0,10]]}
["EUR Swaption Volatility Curve"]
[]
["years",null,1,{"$f":"1+C3","v":2},3,4,5,6,7,8,9,10,15,20,25,30]
[null,"months",{"$f":"C3*12","v":12},24,36,48,60,72,84,96,108,120,180,240,300,360]
[0.25,{"$f":"A5*12","v":3},8.5,10.5,11.5,12,12.3,12.2,12.2,12.1,12,11.9,11.6,11.3,11.2,11.1]
[0.5,6,10.3,11.5,12.2,12.6,12.8,12.8,12.8,12.7,12.6,12.4,12,11.7,11.5,11.5]
[0.75,9,11.3,12.1,12.7,12.9,13,13,12.9,12.8,12.7,12.6,12.2,11.9,11.7,11.6]
[1,12,12.3,12.7,13,13.2,13.2,13.2,13.1,13,12.9,12.8,12.3,12,11.9,11.8]
[1.5,18,12.8,13.2,13.4,13.4,13.4,13.3,13.2,13.1,13,12.9,12.4,12.1,12,11.8]
[2,24,13,13.3,13.4,13.5,13.5,13.4,13.2,13.1,13,12.9,12.4,12.1,12,11.8]
[3,36,13.4,13.5,13.5,13.5,13.4,13.3,13.2,13.1,12.9,12.8,12.4,12.1,11.9,11.8]
[4,48,13.6,13.6,13.5,13.4,13.3,13.1,13,12.9,12.8,12.7,12.3,12,11.8,11.7]
[5,60,13.6,13.4,13.3,13.2,13.1,12.9,12.8,12.7,12.6,12.5,12.1,11.8,11.6,11.5]
[7,84,13.1,13,12.8,12.6,12.5,12.4,12.3,12.2,12.1,12,11.6,11.2,11.1,11]
[10,120,12.4,12.1,11.9,11.8,11.7,11.6,11.6,11.5,11.4,11.4,11.1,10.7,10.5,10.4]
[15,180,11.2,11.1,10.9,10.9,10.9,10.9,10.9,10.8,10.8,10.7,10.4,10.1,9.9,9.6999999999999993]
[20,240,10.9,10.7,10.6,10.6,10.6,10.6,10.6,10.6,10.6,10.6,10.1,9.6999999999999993,9.5,9.4]
[25,300,10.4,10.5,10.4,10.4,10.4,10.4,10.4,10.4,10.4,10.3,9.8000000000000007,9.5,9.4,9.3000000000000007]
[30,360,10.3,10.3,10.1,10.1,10.1,10.1,10.1,10.1,10.1,10.1,9.6999999999999993,9.6,9.5,9.4]
[]
["a"]
["years",null,2,5,10,20,30]
[null,"months",{"$f":"C22*12","v":24},{"$f":"D22*12","v":60},{"$f":"E22*12","v":120},{"$f":"F22*12","v":240},{"$f":"G22*12","v":360}]
[0.5,{"$f":"A24*12","v":6},2.164014702636927E-2,2.5316499978199559E-2,2.4676826991530433E-2,2.3821650778872782E-2,2.3407614097840156E-2]
[1,{"$f":"A25*12","v":12},2.5943990900051138E-2,2.7079130478274309E-2,2.6516208738517868E-2,2.5158601985314343E-2,2.4671591237513672E-2]
[5,{"$f":"A26*12","v":60},2.71596157975071E-2,2.6779352385100652E-2,6.5299999999999997E-2,2.4131932050635106E-2,2.3358473412970173E-2]
[20,12,2.0445953348729045E-2,2.0888022117521155E-2,1.9828977759344561E-2,1.7542873764716832E-2,1.633097770989226E-2]
[30,{"$f":"A28*12","v":360},1.9374016712119035E-2,1.9420028340309984E-2,1.7483906689852634E-2,1.5957674672749549E-2,1.5293759406986074E-2]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["b"]
["years",null,2,5,10,20,30]
[null,"months",{"$f":"C40*12","v":24},{"$f":"D40*12","v":60},{"$f":"E40*12","v":120},{"$f":"F40*12","v":240},{"$f":"G40*12","v":360}]
[0.5,{"$f":"A42*12","v":6},0.5,0.5,0.5,0.5,0.5]
[1,{"$f":"A43*12","v":12},0.5,0.5,0.5,0.5,0.5]
[5,{"$f":"A44*12","v":60},0.5,0.5,0.75,0.5,0.5]
[20,{"$f":"A45*12","v":240},0.5,0.5,0.5,0.5,0.5]
[30,{"$f":"A46*12","v":360},0.5,0.5,0.5,0.5,0.5]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["r"]
["years",null,2,5,10,20,30]
[null,"months",{"$f":"C58*12","v":24},{"$f":"D58*12","v":60},{"$f":"E58*12","v":120},{"$f":"F58*12","v":240},{"$f":"G58*12","v":360}]
[0.5,{"$f":"A60*12","v":6},-0.14703359127944682,-5.9824396010586416E-2,-3.281961476828054E-2,-0.11280733434265783,-9.6192894287707414E-2]
[1,{"$f":"A61*12","v":12},3.981133523861783E-2,-6.9271371549255389E-2,-6.0570200315311212E-2,-0.11415084483955369,-0.14349961082588047]
[5,{"$f":"A62*12","v":60},1.4795563603922857E-2,-0.1003271903102399,0.69399999999999995,-0.16751720871416928,-0.14102064868197903]
[20,{"$f":"A63*12","v":240},-0.21963347007409217,-8.059008368984738E-2,-0.14769003440486247,-0.12955460543028119,-9.8747673889543391E-2]
[30,{"$f":"A64*12","v":360},-7.6162517979958877E-2,-0.18844358312812085,-0.11232245109008791,-9.0284985444350693E-2,-8.0996467549127843E-2]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["n"]
["years",null,2,5,10,20,30]
[null,"months",{"$f":"C76*12","v":24},{"$f":"D76*12","v":60},{"$f":"E76*12","v":120},{"$f":"F76*12","v":240},{"$f":"G76*12","v":360}]
[0.5,{"$f":"A78*12","v":6},6.541235291517189E-2,0.2184809514352469,0.39512231307574297,0.27859516907652826,0.31227017397958934]
[1,{"$f":"A79*12","v":12},0.27728581196955138,0.26921419916712785,0.37062428651309143,0.35002436692584582,0.36588816117451117]
[5,{"$f":"A80*12","v":60},0.26708444335128922,0.28767824915894963,0.71699999999999997,0.31508929633122462,0.34419568794059452]
[20,{"$f":"A81*12","v":240},0.28342449186950724,0.20782616230690501,0.27844315503998451,0.30171884383642783,0.33227901874091631]
[30,{"$f":"A82*12","v":360},0.19348088017995654,0.17487362155374084,0.26819161424288268,0.29127608617957895,0.30986920371592247]