{"text_format":"1","workbook":"xlsx","n_sheets":4,"sheets":["Dislcaimer","ParametricVol","Libor Vola","Libor Corr"],"not_rendered":{"charts":10,"images":0,"macros":1,"external_links":10,"defined_names":109,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"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 PDE (No-Arbitrage SABR, Free SABR)",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."]

{"sheet":"ParametricVol","index":1,"n_rows":33,"n_cols":82,"rows_kept":33,"cut":false,"hidden":false,"merged":[]}
[]
[]
[]
[null,"a0i",0.16]
[null,"a1i",0.25]
[null,"gi",0.15]
[]
[null,0.25]
["T-t",0,{"$f":"B9+$B$8","v":0.25},{"$f":"C9+$B$8","v":0.5},0.75,1,1.25,1.5,1.75,2,2.25,2.5,2.75,3,3.25,3.5,3.75,4,4.25,4.5,4.75,5,5.25,5.5,5.75,6,6.25,6.5,6.75,7,7.25,7.5,7.75,8,8.25,8.5,8.75,9,9.25,9.5,9.75,10,10.25,10.5,10.75,11,11.25,11.5,11.75,12,12.25,12.5,{"$f":"AZ9+$B$8","v":12.75},13,13.25,13.5,13.75,14,14.25,14.5,14.75,15,15.25,15.5,15.75,16,16.25,16.5,16.75,17,17.25,17.5,17.75,{"$f":"BU9+$B$8","v":18},18.25,18.5,18.75,19,19.25,19.5,19.75,20]
[null,{"$f":"detvol($C$4,$C$5,$C$6,B9)","v":0.16},{"$f":"detvol($C$4,$C$5,$C$6,C9)","v":0.21431075794288285},0.26440689360363756,{"$f":"detvol($C$4,$C$5,$C$6,E9)","v":0.31052507812020919},{"$f":"detvol($C$4,$C$5,$C$6,F9)","v":0.35289027033427373},{"$f":"detvol($C$4,$C$5,$C$6,G9)","v":0.39171625834023915},{"$f":"detvol($C$4,$C$5,$C$6,H9)","v":0.42720617703626673},{"$f":"detvol($C$4,$C$5,$C$6,I9)","v":0.45955300271022087},{"$f":"detvol($C$4,$C$5,$C$6,J9)","v":0.48894002564993377},{"$f":"detvol($C$4,$C$5,$C$6,K9)","v":0.5155413017254481},{"$f":"detvol($C$4,$C$5,$C$6,L9)","v":0.53952208385091316},{"$f":"detvol($C$4,$C$5,$C$6,M9)","v":0.56103923419548185},{"$f":"detvol($C$4,$C$5,$C$6,N9)","v":0.58024161797581375},{"$f":"detvol($C$4,$C$5,$C$6,O9)","v":0.59727047962758506},{"$f":"detvol($C$4,$C$5,$C$6,P9)","v":0.61225980211965358},{"$f":"detvol($C$4,$C$5,$C$6,Q9)","v":0.62533665014218798},{"$f":"detvol($C$4,$C$5,$C$6,R9)","v":0.63662149786907074},{"$f":"detvol($C$4,$C$5,$C$6,S9)","v":0.64622854196518176},{"$f":"detvol($C$4,$C$5,$C$6,T9)","v":0.65426600048070072},{"$f":"detvol($C$4,$C$5,$C$6,U9)","v":0.66083639824728357},{"$f":"detvol($C$4,$C$5,$C$6,V9)","v":0.66603683936483071},{"$f":"detvol($C$4,$C$5,$C$6,W9)","v":0.66995926734251054},{"$f":"detvol($C$4,$C$5,$C$6,X9)","v":0.67269071343369713},{"$f":"detvol($C$4,$C$5,$C$6,Y9)","v":0.6743135336814845},{"$f":"detvol($C$4,$C$5,$C$6,Z9)","v":0.67490563516939461},{"$f":"detvol($C$4,$C$5,$C$6,AA9)","v":0.67454069195078625},{"$f":"detvol($C$4,$C$5,$C$6,AB9)","v":0.67328835111023511},{"$f":"detvol($C$4,$C$5,$C$6,AC9)","v":0.67121442939077336},{"$f":"detvol($C$4,$C$5,$C$6,AD9)","v":0.66838110080230673},{"$f":"detvol($C$4,$C$5,$C$6,AE9)","v":0.66484707560873313},{"$f":"detvol($C$4,$C$5,$C$6,AF9)","v":0.66066777107424168},{"$f":"detvol($C$4,$C$5,$C$6,AG9)","v":0.65589547433294593},{"$f":"detvol($C$4,$C$5,$C$6,AH9)","v":0.65057949773035662},{"$f":"detvol($C$4,$C$5,$C$6,AI9)","v":0.64476632697022385},{"$f":"detvol($C$4,$C$5,$C$6,AJ9)","v":0.63849976238591577},{"$f":"detvol($C$4,$C$5,$C$6,AK9)","v":0.63182105364175911},{"$f":"detvol($C$4,$C$5,$C$6,AL9)","v":0.62476902815659863},{"$f":"detvol($C$4,$C$5,$C$6,AM9)","v":0.61738021352921202},{"$f":"detvol($C$4,$C$5,$C$6,AN9)","v":0.60968895423314728},{"$f":"detvol($C$4,$C$5,$C$6,AO9)","v":0.60172752283696873},{"$f":"detvol($C$4,$C$5,$C$6,AP9)","v":0.5935262259948233},{"$f":"detvol($C$4,$C$5,$C$6,AQ9)","v":0.58511350544162832},{"$f":"detvol($C$4,$C$5,$C$6,AR9)","v":0.57651603421701014},{"$f":"detvol($C$4,$C$5,$C$6,AS9)","v":0.56775880833240377},{"$f":"detvol($C$4,$C$5,$C$6,AT9)","v":0.55886523408639455},{"$f":"detvol($C$4,$C$5,$C$6,AU9)","v":0.54985721122446196},{"$f":"detvol($C$4,$C$5,$C$6,AV9)","v":0.54075521213074673},{"$f":"detvol($C$4,$C$5,$C$6,AW9)","v":0.53157835723127023},{"$f":"detvol($C$4,$C$5,$C$6,AX9)","v":0.5223444867802135},{"$f":"detvol($C$4,$C$5,$C$6,AY9)","v":0.51307022919335488},0.50377106608558997,{"$f":"detvol($C$4,$C$5,$C$6,BA9)","v":0.49446139416258239},{"$f":"detvol($C$4,$C$5,$C$6,BB9)","v":0.48515458411001133},{"$f":"detvol($C$4,$C$5,$C$6,BC9)","v":0.47586303661758872},{"$f":"detvol($C$4,$C$5,$C$6,BD9)","v":0.46659823566897984},{"$f":"detvol($C$4,$C$5,$C$6,BE9)","v":0.45737079922299806},{"$f":"detvol($C$4,$C$5,$C$6,BF9)","v":0.44819052740591375},{"$f":"detvol($C$4,$C$5,$C$6,BG9)","v":0.43906644832943365},{"$f":"detvol($C$4,$C$5,$C$6,BH9)","v":0.43000686164384089},{"$f":"detvol($C$4,$C$5,$C$6,BI9)","v":0.42101937993095029},{"$f":"detvol($C$4,$C$5,$C$6,BJ9)","v":0.41211096803688951},{"$f":"detvol($C$4,$C$5,$C$6,BK9)","v":0.40328798044028669},{"$f":"detvol($C$4,$C$5,$C$6,BL9)","v":0.39455619674719761},{"$f":"detvol($C$4,$C$5,$C$6,BM9)","v":0.385920855400045},{"$f":"detvol($C$4,$C$5,$C$6,BN9)","v":0.37738668568395606},{"$f":"detvol($C$4,$C$5,$C$6,BO9)","v":0.36895793811016259},{"$f":"detvol($C$4,$C$5,$C$6,BP9)","v":0.3606384132525749},{"$f":"detvol($C$4,$C$5,$C$6,BQ9)","v":0.35243148911023342},{"$f":"detvol($C$4,$C$5,$C$6,BR9)","v":0.34434014706508548},{"$f":"detvol($C$4,$C$5,$C$6,BS9)","v":0.33636699650142288},{"$f":"detvol($C$4,$C$5,$C$6,BT9)","v":0.32851429815033034},{"$f":"detvol($C$4,$C$5,$C$6,BU9)","v":0.32078398621964965},{"$f":"detvol($C$4,$C$5,$C$6,BV9)","v":0.313177689367234},{"$f":"detvol($C$4,$C$5,$C$6,BW9)","v":0.30569675057266232},{"$f":"detvol($C$4,$C$5,$C$6,BX9)","v":0.29834224596008735},{"$f":"detvol($C$4,$C$5,$C$6,BY9)","v":0.29111500262250528},{"$f":"detvol($C$4,$C$5,$C$6,BZ9)","v":0.28401561549545684},{"$f":"detvol($C$4,$C$5,$C$6,CA9)","v":0.27704446332598598},{"$f":"detvol($C$4,$C$5,$C$6,CB9)","v":0.2702017237805962},{"$f":"detvol($C$4,$C$5,$C$6,CC9)","v":0.26348738773395425},{"$f":"detvol($C$4,$C$5,$C$6,CD9)","v":0.25690127277817798}]
[]
[]
[null,"a0i",0.2]
[null,"a1i",0.2]
[null,"gi",0.3]
[]
[null,0.25]
[null,0,{"$f":"B18+$B$8","v":0.25},{"$f":"C18+$B$8","v":0.5},0.75,1,1.25,1.5,1.75,2,2.25,2.5,2.75,3,3.25,3.5,3.75,4,4.25,4.5,4.75,5,5.25,5.5,5.75,6,6.25,6.5,6.75,7,7.25,7.5,7.75,8,8.25,8.5,8.75,9,9.25,9.5,9.75,10,10.25,10.5,10.75,11,11.25,11.5,11.75,12,12.25,12.5,12.75,13,13.25,13.5,13.75,14,14.25,14.5,14.75,15,15.25,15.5,15.75,16,16.25,{"$f":"BO18+$B$8","v":16.5},16.75,17,17.25,17.5,17.75,18,18.25,18.5,18.75,19,19.25,19.5,19.75,20]
[null,{"$f":"detvol($C$13,$C$14,$C$15,B18)","v":0.2},{"$f":"detvol($C$13,$C$14,$C$15,C18)","v":0.23193587158213821},0.25821239292751735,0.27948067656578196,0.29632728827268717,0.3092801754559375,0.31881407581088667,0.32535545040174835,0.3292869816564159,0.330951673394907,0.3306565869187103,0.32867624434871195,0.32525572779247935,0.32061350052868343,0.31494397420003983,0.30841984399043226,0.30119421191220214,0.29340251663247774,0.28516428671048072,0.27658473268959344,0.2677561921781158,0.25875944085144081,0.24966488120698038,0.2405336198934129,0.2314184435102212,0.22236470192514629,0.2134111073797704,0.20459045694113687,0.19593028520477107,0.18745345355676021,0.17917868175516938,0.17112102708986265,0.16329231592094254,0.15570153197602418,0.14835516540219104,0.14125752621679036,0.13441102547949957,0.12781642721383055,0.12147307383716076,0.1153790876123698,0.10953155040930068,0.10392666385878029,9.8559891794192431E-2,9.3426086704120073E-2,8.8519601762976047E-2,8.3834389863581785E-2,7.9364090945169885E-2,7.5102108791223587E-2,7.1041678362960686E-2,6.717592463522111E-2,6.3497913811224591E-2,6.0000697710367631E-2,5.6677352048252298E-2,5.3521009259850573E-2,5.0524886454531195E-2,4.7682309035089333E-2,4.498673046143311E-2,4.2431748592759777E-2,4.0011118999487609E-2,3.7718765597531408E-2,3.5548788922375382E-2,3.3495472328502411E-2,3.1553286370793597E-2,2.9716891598259666E-2,2.7981139966668105E-2,{"$f":"detvol($C$13,$C$14,$C$15,BO18)","v":2.634107505506687E-2},2.4791931251682418E-2,2.332913205700015E-2,2.1948287635856299E-2,2.0645191735928846E-2,1.9415818076971125E-2,1.8256316303361612E-2,1.7163007581928149E-2,1.6132379917440633E-2,1.5161083249556909E-2,1.4245924387262136E-2,1.3383861829885088E-2,1.2572000517529713E-2,1.1807586548161797E-2,1.1088001893577721E-2,1.0410759141998707E-2]
[]
[]
[null,"gamma1",0.1908]
[null,"gamma2",0.97460000000000002]
[null,"gamma3",8.0799999999999997E-2]
[null,"gamma4",1.34E-2]
[]
[null,"T",10]
[null,"tstep",0.25]
[]
["N","N","N","Y",null,0,{"$f":"$C$28+F30","v":0.25},{"$f":"$C$28+G30","v":0.5},0.75,1,1.25,1.5,1.75,2,2.25,2.5,2.75,3,{"$f":"$C$28+R30","v":3.25},{"$f":"$C$28+S30","v":3.5},3.75,4,4.25,4.5,4.75,5,5.25,5.5,5.75,6,6.25,6.5,6.75,7,7.25,7.5,7.75,8,{"$f":"$C$28+AL30","v":8.25},8.5,8.75,9,9.25,9.5,9.75,10]
[{"$f":"IF(A30=\"Y\",A32-0.1,A32)","v":0.1908},{"$f":"IF(B30=\"Y\",B32-0.5,B32)","v":0.97460000000000002},{"$f":"IF(C30=\"Y\",C32-0.05,C32)","v":8.0799999999999997E-2},{"$f":"IF(D30=\"Y\",D32-0.05,D32)","v":-3.6600000000000001E-2},"Base -",{"$f":"liborvol($A31,$B31,$C31,$D31,$C$27,F$30)","v":4.4199999999999996E-2},{"$f":"liborvol($A31,$B31,$C31,$D31,$C$27,G$30)","v":8.9499757122512694E-2},0.11691982396440033,0.13207457345484452,0.13898633079747191,0.14051137422712676,0.1386561430043308,0.13481121607040372,0.12992383805235194,0.1246246288378591,0.11932022410687639,0.11426065606784166,0.1095880668879867,0.10537167733305594,0.10163267712403108,9.8361760532695033E-2,9.5531324129085674E-2,9.3103815227659398E-2,9.1037325409904446E-2,8.9289230197974911E-2,8.7818458325469681E-2,8.6586813084778544E-2,8.5559649596675683E-2,8.4706124765687868E-2,8.3999173056076043E-2,8.3415314976846386E-2,8.2934371757841741E-2,8.2539135742071085E-2,8.2215028987386099E-2,8.1949770588778392E-2,8.1733064913251843E-2,8.1556317258727085E-2,8.1412379654536501E-2,8.1295327063470035E-2,8.1200262723517963E-2,8.1123150491634807E-2,8.106067161380176E-2,8.1010103197018873E-2,8.0969215694935148E-2,8.0936186866688756E-2,8.090952987814666E-2]
[0.1908,0.97460000000000002,8.0799999999999997E-2,1.34E-2,"Base",{"$f":"liborvol($A32,$B32,$C32,$D32,$C$27,F$30)","v":9.4199999999999992E-2},0.12868785226896626,0.14763395998855028,0.15614714315195463,0.15785349383167163,0.15529873782968415,0.15024591524077527,0.14389483801295394,0.13704323487153339,0.13020454083656793,0.12369354655316117,0.11768829959046424,0.11227452329783988,0.10747721952097847,0.10328292087593469,9.9655158715983808E-2,9.65450403504651E-2,9.3898327382357802E-2,9.166003376817114E-2,8.9777285285819852E-2,8.820097730985324E-2,8.6886616891885496E-2,8.5794624399039218E-2,8.4890289063928689E-2,8.4143514016916873E-2,8.3528443922985599E-2,8.3023037915944176E-2,8.2608628898870856E-2,8.226949507620003E-2,8.1992459034192319E-2,8.1766522490462526E-2,8.1582540033109135E-2,8.1432932066086261E-2,8.1311435260656054E-2,8.1212887714797233E-2,8.1133045478824301E-2,8.1068426927790871E-2,8.1016181516668784E-2,8.0973979650310585E-2,8.0939920673419263E-2,8.0912456293614932E-2]
[{"$f":"IF(A30=\"Y\",A32+0.1,A32)","v":0.1908},{"$f":"IF(B30=\"Y\",B32+0.5,B32)","v":0.97460000000000002},{"$f":"IF(C30=\"Y\",C32+0.05,C32)","v":8.0799999999999997E-2},{"$f":"IF(D30=\"Y\",D32+0.05,D32)","v":6.3399999999999998E-2},"Base +",0.14419999999999999,0.16787594741541981,0.17834809601270021,0.18021971284906474,0.17672065686587135,0.17008610143224157,0.16183568747721974,0.15297845995550419,0.14416263169071483,0.13578445283527676,0.12806686899944594,0.12111594311308682,0.11496097970769306,0.10958276170890099,0.10493316462783828,0.10094855689927258,9.7558756571844513E-2,9.4692839537056206E-2,9.2282742126437833E-2,9.0265340373664793E-2,8.8583496294236813E-2,8.7186420698992462E-2,8.602959920140274E-2,8.5074453362169511E-2,8.428785497775769E-2,8.3641572869124811E-2,8.3111704074046597E-2,8.2678122055670641E-2,8.2323961165013976E-2,8.2035147479606232E-2,8.1799980067673222E-2,8.1608762807491186E-2,8.1453484477636021E-2,8.1327543457842072E-2,8.1225512706076503E-2,8.1142940466013808E-2,8.1076182241779968E-2,8.1022259836318708E-2,8.0978743605686007E-2,8.0943654480149771E-2,8.0915382709083217E-2]

{"sheet":"Libor Vola","index":2,"n_rows":17,"n_cols":43,"rows_kept":17,"cut":false,"hidden":false,"merged":[]}
[null,"Tenor",0.5]
[null,"t"]
[null,"gamma1",0.5]
[null,"gamma2",0.3]
[null,"gamma3",0.2]
[null,"gamma4",0.2]
[]
[null,null,null,0.5,{"$f":"D8+$C$1","v":1},{"$f":"E8+$C$1","v":1.5},2,2.5,3,3.5,4,4.5,{"$f":"L8+$C$1","v":5},5.5,6,6.5,7,7.5,8,{"$f":"S8+$C$1","v":8.5},9,9.5,10,10.5,11,11.5,12,12.5,13,13.5,14,14.5,15,15.5,16,16.5,17,17.5,{"$f":"AL8+$C$1","v":18},18.5,19,19.5,20]
[null,"Base",null,{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,D$8,$C$2)","v":0.58731858939127601},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,E8,$C$2)","v":0.71857275447720248},0.80574674404068469,0.85857396331283187,0.8849315014744713,0.89116842155901854,0.88237861076675295,0.86262726620684471,0.83513863858243431,{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,M8,$C$2)","v":0.80245143240076056},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,N8,$C$2)","v":0.76654723043122475},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,O8,$C$2)","v":0.72895644230907697},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,P8,$C$2)","v":0.69084554697347189},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,Q8,$C$2)","v":0.65308878453603303},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,R8,$C$2)","v":0.61632693701936414},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,S8,$C$2)","v":0.58101540381553252},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,T8,$C$2)","v":0.54746341370513163},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,U8,$C$2)","v":0.51586590987682401},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,V8,$C$2)","v":0.48632938833045036},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,W8,$C$2)","v":0.45889275551289255},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,X8,$C$2)","v":0.43354409142536904},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,Y8,$C$2)","v":0.4102340541870681},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,Z8,$C$2)","v":0.38888653644950433},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AA8,$C$2)","v":0.36940707917321391},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AB8,$C$2)","v":0.35168946077125873},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AC8,$C$2)","v":0.33562080668688943},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AD8,$C$2)","v":0.32108550374447992},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AE8,$C$2)","v":0.30796815310743947},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AF8,$C$2)","v":0.29615575372457509},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AG8,$C$2)","v":0.28553927334446577},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AH8,$C$2)","v":0.27601473534782095},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AI8,$C$2)","v":0.26748392580196428},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AJ8,$C$2)","v":0.25985480545049039},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AK8,$C$2)","v":0.25304169511998609},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AL8,$C$2)","v":0.24696528967267339},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AM8,$C$2)","v":0.24155254467203657},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AN8,$C$2)","v":0.23673647095084943},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AO8,$C$2)","v":0.23245586493747136},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6,AP8,$C$2)","v":0.22865499662297803},0.22528327220199687]
[null,{"$f":"\"gamma1\"&C10","v":"gamma1-0,1"},-0.1,{"$f":"liborvol($C$3+$C10,$C$4,$C$5,$C$6,D$8,$C$2)","v":0.54428319057002317},0.64449093240903077,0.71010252129741869,0.74881163609402657,0.76683986328921772,0.76919752363683891,0.75990039857784852,0.74214958144196386,0.71848052129178319,0.69088635232654561,{"$f":"liborvol($C$3+$C10,$C$4,$C$5,$C$6,N$8,$C$2)","v":0.66091978068980994},0.62977710937612508,0.59836740044223813,0.56736928475894577,0.53727751859796591,0.50844104118400257,0.48109399760415145,0.4553809484110492,0.43137728349935384,0.4091056871450286,{"$f":"liborvol($C$3+$C10,$C$4,$C$5,$C$6,X$8,$C$2)","v":0.38854935821497683},0.36966257004570408,0.35237905461472618,0.33661861223646289,0.32229227845124736,0.30930632180734374,0.29756529798116371,0.28697434555877072,0.27744087548287927,0.26887577853710232,{"$f":"liborvol($C$3+$C10,$C$4,$C$5,$C$6,AH$8,$C$2)","v":0.2611942523554785},0.2543163305235322,0.24816718071755442,0.24267722595860947,0.23778213247410598,0.23342269897533377,0.22954467505041859,0.22609853056827595,0.22303919326470595,0.22032576784866414]
[null,{"$f":"\"gamma1+\"&C11","v":"gamma1+0,1"},0.1,0.63035398821252886,0.7926545765453743,0.9013909667839507,0.96833629053163706,1.0030231396597249,1.0131393194811984,1.0048568229556571,0.98310495097172557,0.95179675587308554,0.9140165124749754,0.87217468017263944,0.82813577524202897,0.78332369350470576,0.7388082843131204,0.69537635544076237,0.65358976644706257,0.61383282980611176,0.57635087134259877,0.54128149316154694,0.5086798238807565,0.4785388246357612,0.45080553832843212,0.42539401828428247,0.402195546109965,0.38108664309127011,0.36193529156643511,0.34460570950779618,0.32896196065610828,0.31487063196627085,0.30220276815182923,0.2908352183401634,0.28065152108039632,0.27154243018342639,0.26340616428136265,0.25614844687124083,0.24968239036873938,0.24392826685128027,0.23881319930666678,0.23427079998125011,0.2302407765553296]
[null,{"$f":"\"gamma2\"&C12","v":"gamma2-0,05"},-0.05,{"$f":"liborvol($C$3,$C$4+$C12,$C$5,$C$6,D$8,$C$2)","v":0.59712360616306792},0.74516054814998345,0.85292481485142368,0.92783679165516009,0.9761290713525359,1.0030231396597249,1.0128809383730915,1.0093347705771731,0.99539854502795688,0.97356295152251326,{"$f":"liborvol($C$3,$C$4+$C12,$C$5,$C$6,N$8,$C$2)","v":0.94587680762400206},0.9140165124749754,0.8793452794544695,0.84296359076664706,0.80575211903746746,0.76840818959377333,0.7314767087869023,0.69537635544076237,0.66042172159278434,0.62684199284427378,{"$f":"liborvol($C$3,$C$4+$C12,$C$5,$C$6,X$8,$C$2)","v":0.5947966758366704},0.56438880887823317,0.53567603004747522,0.5086798238807565,0.48339322187097788,0.45978719247253746,0.43781592226607896,0.41742116064069323,0.39853577515584837,0.38108664309127016,{"$f":"liborvol($C$3,$C$4+$C12,$C$5,$C$6,AH$8,$C$2)","v":0.36499698609591297},0.3501882388876203,0.33658152927000162,0.32409883500829351,0.31266387306978427,0.30220276815182923,0.29264454008851626,0.28392144347027015,0.27596918747765664,0.26872705939067176]
[null,{"$f":"\"gamma2+\"&C13","v":"gamma2+0,05"},0.05,0.57775565934614337,0.69328166280309944,0.76197759614847438,0.79590236454969143,0.80444992853383723,0.7948941734889643,0.77282751563088914,0.7425133206715343,0.70716850406882403,0.6691896473162019,0.63033348272587086,0.59186057040954221,0.55464933410173811,0.51928627004767103,0.48613704028529325,0.45540226302591552,0.42716108131848718,0.40140499627508891,0.37806396782947688,0.35702639379605622,0.33815426009885097,0.3212944976987499,0.30628737371221859,0.29297257628696188,0.28119351746369931,0.27080026937181279,0.26165146167400138,0.25361539811065531,0.24657059397523284,0.24040589167369666,0.23502027598637684,0.23032248247516005,0.2262304702155867,0.22267081251015397,0.21957804550773682,0.21689400394866595,0.21456716495794759,0.21255201442301874,0.2108084456175654,0.20930119604865607]
[null,{"$f":"\"gamma3\"&C14","v":"gamma3-0,05"},-0.05,{"$f":"liborvol($C$3,$C$4,$C$5+$C14,$C$6,D$8,$C$2)","v":0.53731858939127608},0.66857275447720255,0.75574674404068465,0.80857396331283182,0.83493150147447137,0.84116842155901861,0.8323786107667529,0.81262726620684478,0.78513863858243438,0.75245143240076051,{"$f":"liborvol($C$3,$C$4,$C$5+$C14,$C$6,N$8,$C$2)","v":0.7165472304312247},0.67895644230907704,0.64084554697347196,0.6030887845360331,0.5663269370193641,0.53101540381553258,0.49746341370513164,0.46586590987682402,0.43632938833045037,0.40889275551289256,{"$f":"liborvol($C$3,$C$4,$C$5+$C14,$C$6,X$8,$C$2)","v":0.38354409142536905},0.36023405418706811,0.33888653644950434,0.31940707917321393,0.30168946077125874,0.28562080668688944,0.27108550374447993,0.25796815310743948,0.24615575372457507,0.23553927334446578,{"$f":"liborvol($C$3,$C$4,$C$5+$C14,$C$6,AH$8,$C$2)","v":0.22601473534782096},0.21748392580196427,0.20985480545049043,0.20304169511998607,0.1969652896726734,0.19155254467203658,0.18673647095084944,0.18245586493747137,0.17865499662297804,0.17528327220199688]
[null,{"$f":"\"gamma3+\"&C15","v":"gamma3+0,05"},0.05,0.63731858939127606,0.76857275447720252,0.85574674404068463,0.9085739633128318,0.93493150147447135,0.94116842155901859,0.93237861076675288,0.91262726620684476,0.88513863858243436,0.85245143240076049,0.81654723043122468,0.77895644230907701,0.74084554697347194,0.70308878453603307,0.66632693701936407,0.63101540381553256,0.59746341370513156,0.56586590987682395,0.53632938833045041,0.50889275551289248,0.48354409142536903,0.46023405418706809,0.43888653644950432,0.4194070791732139,0.40168946077125872,0.38562080668688942,0.37108550374447991,0.35796815310743946,0.34615575372457508,0.33553927334446576,0.32601473534782094,0.31748392580196427,0.30985480545049038,0.30304169511998608,0.29696528967267338,0.29155254467203656,0.28673647095084942,0.28245586493747132,0.27865499662297799,0.27528327220199683]
[null,{"$f":"\"gamma4\"&C16","v":"gamma4-0,1"},-0.1,{"$f":"liborvol($C$3,$C$4,$C$5,$C$6+$C16,D$8,$C$2)","v":0.50124779174877021},0.64449093240903077,0.74198392887850739,0.80369279970342922,0.83769484620036982,0.85051145558495866,0.8473848358556374,0.83250784501562447,0.80921461251784521,0.78013841638591752,0.74734223956914925,0.7124265534869183,0.67661813981482055,0.64084314171073486,0.60578701456317774,0.57194360848659132,0.53965524710501633,0.50914535860284904,0.4805449562429665,0.45391404867610613,0.42925887873866503,0.40654573744694411,0.38571197281169756,0.36667470692848469,0.34933768618565786,0.33359661554230902,0.31934326628053061,0.30646859542539168,0.2948650724665271,0.28442837369064156,0.27505857515476662,0.26666095109706228,0.25914646455758522,0.25243202046343449,0.24644053783275527,0.24110088657777531,0.23634772522650183,0.23212126839172423,0.2283670067071692,0.22503539698433023]
[null,{"$f":"\"gamma4+\"&C17","v":"gamma4+0,1"},0.1,{"$f":"liborvol($C$3,$C$4,$C$5,$C$6+$C$17,D$8,$C$2)","v":0.67338938703378182},{"$f":"liborvol($C$3,$C$4,$C$5,$C$6+$C$17,E$8,$C$2)","v":0.7926545765453743},0.86950955920286199,0.91345512692223452,0.93216815674857278,0.93182538753307853,0.9173723856778685,0.89274668739806495,0.86106266464702352,0.82476444841560348,0.78575222129330013,0.74548633113123564,0.70507295413212323,0.6653344273613313,0.62686685947555054,0.59008719914447383,0.55527158030524693,0.52258646115079899,0.49211382041793422,0.46387146234967891,0.43782930411207305,0.41392237092719208,0.3920611000873111,0.37213945141794319,0.35404123535685966,0.3376449978314699,0.32282774120842928,0.30946771078948726,0.29744643498262308,0.28665017299828999,0.27697089554087528,0.26830690050686629,0.26056314634339561,0.25365136977653763,0.24749004151259155,0.24200420276629783,0.23712521667519706,0.23279046148321847,0.22894298653878686,0.22553114741966351]

{"sheet":"Libor Corr","index":3,"n_rows":110,"n_cols":22,"rows_kept":110,"cut":false,"hidden":false,"merged":[]}
[null,"Tenor",0.5]
[null,"beta",0.4]
[]
[]
[null,null,0.5,{"$f":"C5+0.5","v":1},{"$f":"D5+0.5","v":1.5},2,2.5,3,3.5,4,4.5,5,5.5,6,6.5,7,7.5,8,8.5,9,9.5,10]
[null,0.5,{"$f":"liborcorr1($C$2,C$5,$B6)","v":1},{"$f":"liborcorr1($C$2,D$5,$B6)","v":0.81873075307798182},0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2,4.9787068367863944E-2,4.0762203978366211E-2,{"$f":"liborcorr1($C$2,T$5,$B6)","v":3.3373269960326066E-2},2.7323722447292559E-2,2.2370771856165591E-2]
[null,{"$f":"B6+$C$1","v":1},{"$f":"liborcorr1($C$2,C$5,$B7)","v":0.81873075307798182},1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2,4.9787068367863944E-2,4.0762203978366211E-2,3.3373269960326066E-2,2.7323722447292559E-2]
[null,{"$f":"B7+$C$1","v":1.5},{"$f":"liborcorr1($C$2,C$5,$B8)","v":0.67032004603563933},0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2,4.9787068367863944E-2,4.0762203978366211E-2,3.3373269960326066E-2]
[null,2,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2,4.9787068367863944E-2,4.0762203978366211E-2]
[null,2.5,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2,4.9787068367863944E-2]
[null,3,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2,6.0810062625217952E-2]
[null,3.5,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2,7.4273578214333877E-2]
[null,4,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387,9.071795328941247E-2]
[null,4.5,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127,0.11080315836233387]
[null,5,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653,0.1353352832366127]
[null,5.5,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538,0.16529888822158653]
[null,6,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643,0.20189651799465538]
[null,6.5,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203,0.24659696394160643]
[null,7,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233,0.30119421191220203]
[null,7.5,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156,0.36787944117144233]
[null,8,4.9787068367863944E-2,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933,0.54881163609402639,0.44932896411722156]
[null,8.5,4.0762203978366211E-2,4.9787068367863944E-2,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,{"$f":"liborcorr1($C$2,S$5,$B22)","v":1},0.81873075307798182,0.67032004603563933,0.54881163609402639]
[null,9,3.3373269960326066E-2,4.0762203978366211E-2,4.9787068367863944E-2,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182,0.67032004603563933]
[null,9.5,{"$f":"liborcorr1($C$2,C$5,$B24)","v":2.7323722447292559E-2},3.3373269960326066E-2,4.0762203978366211E-2,4.9787068367863944E-2,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1,0.81873075307798182]
[null,10,2.2370771856165591E-2,2.7323722447292559E-2,3.3373269960326066E-2,4.0762203978366211E-2,4.9787068367863944E-2,6.0810062625217952E-2,7.4273578214333877E-2,9.071795328941247E-2,0.11080315836233387,0.1353352832366127,0.16529888822158653,0.20189651799465538,0.24659696394160643,0.30119421191220203,0.36787944117144233,0.44932896411722156,0.54881163609402639,0.67032004603563933,0.81873075307798182,1]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Tenor",0.5,null,"Tmax",10,null,1,2,3,4,5,6,7,8,9]
[null,"beta1",0.2,null,null,null,null,0.2,0.2,0.2,0.2,0.2,0.2,0.2,0.2,0.2]
[null,"beta2",1,null,null,null,null,1,1,3,1,1,1.5,2.2000000000000002,0.5,1]
[null,"beta3",0.06,null,null,null,null,0.1,0.1,0.01,0.1,0.1,0.1,6.0000000000000001E-3,0.8,0.06]
[null,"beta4",-7,null,null,null,null,-3.7,0,-5.6,10,-1.7,-3.4,0.95,3,-7]
[null,"beta5",2,null,null,null,null,-0.3,0,1,4.5,3.7,8.3000000000000007,3.6,-0.2,2]
[]
[null,null,1,{"$f":"C59+1","v":2},{"$f":"D59+1","v":3},4,5,6,7,8,9,10,11,12,13,14,{"$f":"P59+1","v":15},16,17,18,19,20]
[null,null,0.5,{"$f":"C60+$C$52","v":1},1.5,2,2.5,3,3.5,4,4.5,5,5.5,6,6.5,7,7.5,8,8.5,9,9.5,10]
[1,0.5,{"$f":"liborcorr2($C$53,$C$54,$C$55,$C$56,$C$57,C$59,$A61,$F$52/$C$52)","v":1},0.98057690273599596,0.94026387865950378,0.89091073709372548,0.83895308621843068,0.78825119247211062,0.74116629069705098,0.69882820075069574,0.66138812341099706,0.62839943289570466,{"$f":"liborcorr2($C$53,$C$54,$C$55,$C$56,$C$57,M$59,$A61,$F$52/$C$52)","v":0.59917948767063711},0.57304303834995429,0.54940725837470694,0.52781594615759531,0.50792654336594145,0.48948585840872483,0.47230631091783393,0.45624669692326703,0.44119795761376435,0.42707317221086255]
[{"$f":"A61+1","v":2},{"$f":"B61+$C$1","v":1},0.98057690273599596,1,0.97712225581467382,0.93105412423716705,0.87342314840985391,0.81272461525529827,0.7547338059321701,0.70266903045912299,0.65759485352678693,0.61916987709029214,0.58640450032072178,0.55817831389430028,0.53349551821685059,0.51156576823518807,0.49179855216196638,0.47376636118501225,0.45716355017335242,0.44177118534036208,0.42743025615721669,0.41402249455059154]
[{"$f":"A62+1","v":3},{"$f":"B62+$C$1","v":1.5},0.94026387865950378,0.97712225581467382,1,0.97055611512369011,0.91606595001828695,0.84939499384487915,0.78108814656318049,0.71799405562771956,0.66326198793950131,0.61734858976697049,0.57927363032258128,0.54756939169615426,0.52080322299368753,0.49778589827025094,0.47760906124672875,0.45961048161817741,0.44331941616758985,0.42840473000587215,0.41463316523800969,0.40183843624989957]
[4,2,0.89091073709372548,0.93105412423716705,0.97055611512369011,1,0.96011461901527018,0.89487432621461882,0.81942012503767558,0.74547639982928016,0.67967906958867041,0.62431420064926346,0.57899882810686942,0.54217552777041456,0.51203906751018957,0.48697322860524112,0.46569080425050796,0.4472306215218031,0.43090155802926927,0.41621713078424838,0.4028380589799645,0.39052751553808307]
[5,2.5,0.83895308621843068,0.87342314840985391,0.91606595001828695,0.96011461901527018,1,0.9461676843427983,0.8692702349020679,0.78630720277505983,0.70877643255764244,0.64210474761934233,0.58739042146167153,0.54345435097498596,0.50830248437609304,0.47991783352816986,0.45658943020633086,0.43699005812272917,0.42014259420314254,0.4053502565251737,0.39212536333315767,0.38012949571336146]
[6,3,0.78825119247211062,0.81272461525529827,0.84939499384487915,0.89487432621461882,0.9461676843427983,1,0.92972779344636769,0.84148297159185759,0.75259514427291163,0.67307109944835108,0.60665395797168353,0.55325564055342347,0.51103627420576203,0.47768798756801878,0.45106440584437663,0.42941031818481717,0.41138906543368642,0.39602633051447056,0.38263135897832939,0.37072259520228501]
[7,3.5,0.74116629069705098,0.7547338059321701,0.78108814656318049,0.81942012503767558,0.8692702349020679,0.92972779344636769,1,0.9121057480815381,0.81346186119911024,0.72000642119167524,0.63950442351629855,0.57392588451816684,0.52211921395879124,0.48170821055921748,0.45015174735764002,0.42521960407136455,0.40513758606904737,0.38857418155958856,0.37456680870165032,0.36243644975178385]
[8,4,0.69882820075069574,0.70266903045912299,0.71799405562771956,0.74547639982928016,0.78630720277505983,0.84148297159185759,0.9121057480815381,1,0.89448017609477659,0.78654898530161843,0.68950053717981619,0.6085828499881919,0.54408629199567249,0.4939309995148311,0.45529424362197957,0.42544905131556743,0.40210440757025256,0.38347853744125726,0.36825129564124764,0.355475678824279]
[9,4.5,0.66138812341099706,0.65759485352678693,0.66326198793950131,0.67967906958867041,0.70877643255764244,0.75259514427291163,0.81346186119911024,0.89448017609477659,1,0.8776521373381756,0.76148353675653857,0.6615014298368852,0.58045092967969403,0.51709441653957833,0.46853998584886813,0.43158114595585756,0.40333357938030223,0.38145717592921619,0.36416726367373753,0.35015715396301911]
[10,5,0.62839943289570466,0.61916987709029214,0.61734858976697049,0.62431420064926346,0.64210474761934233,0.67307109944835108,0.72000642119167524,0.78654898530161843,0.8776521373381756,1,0.86203806110763925,0.73856180947351158,0.63610415143626631,0.55505559832726203,0.49280776432826423,0.44575299346654945,0.41034792911877388,0.38357029269481063,0.36303761446061716,0.3469641027407826]
[11,5.5,{"$f":"liborcorr2($C$53,$C$54,$C$55,$C$56,$C$57,C$59,$A71,$F$52/$C$52)","v":0.59917948767063711},0.58640450032072178,0.57927363032258128,0.57899882810686942,0.58739042146167153,0.60665395797168353,0.63950442351629855,0.68950053717981619,0.76148353675653857,0.86203806110763925,{"$f":"liborcorr2($C$53,$C$54,$C$55,$C$56,$C$57,M$59,$A71,$F$52/$C$52)","v":1},0.84778118819789128,0.71781172217283318,0.61322077584239898,0.53223836409664327,0.4710310050703877,0.42535655523781102,0.39137293453490535,0.36593516345984201,0.34662322423382774]
[12,6,0.57304303834995429,0.55817831389430028,0.54756939169615426,0.54217552777041456,0.54345435097498596,0.55325564055342347,0.57392588451816684,0.6085828499881919,0.6615014298368852,0.73856180947351158,0.84778118819789128,1,0.8348700908232114,0.69912339572471149,0.59267442346285426,0.51179125952232929,0.45154555623278247,0.4071307998696011,0.37443901972785532,0.35021576706193563]
[13,6.5,0.54940725837470694,0.53349551821685059,0.52080322299368753,0.51203906751018957,0.50830248437609304,0.51103627420576203,0.52211921395879124,0.54408629199567249,0.58045092967969403,0.63610415143626631,0.71781172217283318,0.8348700908232114,1,0.82322101556014848,0.68232928102848001,0.57425510188937812,0.49349121822307662,0.43412951307946707,0.39086040688464702,0.35933904228581559]
[14,7,0.52781594615759531,0.51156576823518807,0.49778589827025094,0.48697322860524112,0.47991783352816986,0.47768798756801878,0.48170821055921748,0.4939309995148311,0.51709441653957833,0.55505559832726203,0.61322077584239898,0.69912339572471149,0.82322101556014848,1,0.81272407229364318,0.66724686902297614,0.55774972633641096,0.47711955733817107,0.41856989208588152,0.37634200982713972]
[15,7.5,0.50792654336594145,0.49179855216196638,0.47760906124672875,0.46569080425050796,0.45658943020633086,0.45106440584437663,0.45015174735764002,0.45529424362197957,0.46853998584886813,0.49280776432826423,0.53223836409664327,0.59267442346285426,0.68232928102848001,0.81272407229364318,1,0.80326567541404303,0.65369882001405366,0.54295643603173305,0.46247163143837294,0.40466896425319954]
[16,8,0.48948585840872483,0.47376636118501225,0.45961048161817741,0.4472306215218031,0.43699005812272917,0.42941031818481717,0.42521960407136455,0.42544905131556743,0.43158114595585756,0.44575299346654945,0.4710310050703877,0.51179125952232929,0.57425510188937812,0.66724686902297614,0.80326567541404303,1,0.79473812267076238,0.64152114145986572,0.52969030134038975,0.44936066766323218]
[17,8.5,0.47230631091783393,0.45716355017335242,0.44331941616758985,0.43090155802926927,0.42014259420314254,0.41138906543368642,0.40513758606904737,0.40210440757025256,0.40333357938030223,0.41034792911877388,0.42535655523781102,0.45154555623278247,0.49349121822307662,0.55774972633641096,0.65369882001405366,0.79473812267076238,1,0.78704298010970419,0.63056562147575745,0.51778472513396157]
[18,9,0.45624669692326703,0.44177118534036208,0.42840473000587215,0.41621713078424838,0.4053502565251737,0.39602633051447056,0.38857418155958856,0.38347853744125726,0.38145717592921619,0.38357029269481063,0.39137293453490535,0.4071307998696011,0.43412951307946707,0.47711955733817107,0.54295643603173305,0.64152114145986572,0.78704298010970419,1,0.78009173759324879,0.62069973090552422]
[19,9.5,0.44119795761376435,0.42743025615721669,0.41463316523800969,0.4028380589799645,0.39212536333315767,0.38263135897832939,0.37456680870165032,0.36825129564124764,0.36416726367373753,0.36303761446061716,0.36593516345984201,0.37443901972785532,0.39086040688464702,0.41856989208588152,0.46247163143837294,0.52969030134038975,0.63056562147575745,0.78009173759324879,1,0.77380536825053126]
[20,10,0.42707317221086255,0.41402249455059154,0.40183843624989957,0.39052751553808307,0.38012949571336146,0.37072259520228501,0.36243644975178385,0.355475678824279,0.35015715396301911,0.3469641027407826,0.34662322423382774,0.35021576706193563,0.35933904228581559,0.37634200982713972,0.40466896425319954,0.44936066766323218,0.51778472513396157,0.62069973090552422,0.77380536825053126,1]
[]
[]
[]
[null,"Tenor",0.5,null,"Tmax",10]
[null,"beta1",0.3,null,{"$f":"3*C85-C86","v":0.39999999999999991},">0?",0.2,0,1,0.3,0.3,0.3,0.3]
[null,"beta2",0.5,null,{"$f":"-LN(C87)","v":0.82098055206983023},{"$f":"C85+C86","v":0.8},0.5,0.5,0.5,0,1,0.5,0.5]
[null,"beta3",0.44,null,null,null,0.3,0.3,0.3,0.3,0.3,0.05,0.44]
[]
[null,null,1,{"$f":"C89+1","v":2},{"$f":"D89+1","v":3},4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20]
[null,null,0.5,{"$f":"C90+$C$84","v":1},1.5,2,2.5,3,3.5,4,4.5,5,5.5,6,6.5,7,7.5,8,8.5,9,9.5,10]
[1,0.5,{"$f":"liborcorr3($C$85,$C$86,$C$87,C$89,$A91,$F$84/$C$84)","v":1},0.92793977112330017,0.86308878048515081,0.80481615372004967,0.75254602659357128,0.70575547498799973,0.66397218902648436,0.62677202463716986,0.59377654497009369,0.56465064677764631,{"$f":"liborcorr3($C$85,$C$86,$C$87,M$89,$A91,$F$84/$C$84)","v":0.53910035321167082},0.51687084450724508,0.49774479176126812,0.48154105657778884,0.46811382094781429,0.45735221771538348,0.44918054291741494,0.44355914801472296,0.44048613377103307,0.44]
[{"$f":"A91+1","v":2},{"$f":"B91+$C$1","v":1},0.92793977112330017,1,0.93011293118771565,0.86731507665179008,0.81098585275916202,0.76056172711905712,0.71553371208858219,0.67544472620075613,0.63988694465731166,0.60849924138300371,0.5809648104198325,0.55700904368131199,0.53639773533871971,0.5189356804858879,0.50446573744883016,0.49286842955523319,0.48406217396379919,0.47800424318248658,0.47469259048764639,0.47416870544018841]
[{"$f":"A92+1","v":3},{"$f":"B92+$C$1","v":1.5},0.86308878048515081,0.93011293118771565,1,0.93248362383723093,0.87192191997972412,0.81770901319246392,0.76929767138585559,0.72619646878604427,0.68796693734835257,0.65422081661199505,0.62461749636999941,0.59886173496161865,0.57670172873928549,0.55792760543951214,0.54237041603609171,0.52990170658724278,0.5204337642587894,0.51392065108921225,0.51036016656760563,0.50979691770836322]
[4,2,0.80481615372004967,0.86731507665179008,0.93248362383723093,1,0.9350533325096998,0.87691514605644016,0.82499858627022904,0.77877664574708394,0.73777910921086609,0.70158960424402284,0.66984285879430006,0.64222225426036283,0.61845775517871326,0.59832429350727223,0.58164068748382103,0.56826918247278457,0.5581157148016932,0.55113102037588102,0.54731273935668734,0.54670870852456976]
[5,2.5,0.75254602659357128,0.81098585275916202,0.87192191997972412,0.9350533325096998,1,0.93782366798563699,0.88230110260761085,0.83286869173208933,0.78902356000449059,0.75032041473072331,0.71636861289658194,0.68682954429628829,0.66141441742019313,0.63988253151438879,0.62204012034552836,0.60773986115587642,0.59688115682524834,0.58941132148755149,0.58532783139512501,0.58468184596187034]
[6,3,0.70575547498799973,0.76056172711905712,0.81770901319246392,0.87691514605644016,0.93782366798563699,1,0.94079637007105632,0.8880866629448777,0.84133466336933471,0.80006555639861987,0.76386279996033679,0.73236533448930541,0.70526522202287056,0.68230580370060434,0.66328046687243025,0.64803212149811529,0.63645350101613107,0.62848842656483106,0.62413420707579048,0.6234453937569262]
[7,3.5,0.66397218902648436,0.71553371208858219,0.76929767138585559,0.82499858627022904,0.88230110260761085,0.94079637007105632,1,0.94397330941849023,0.89427924058188124,0.85041309878586446,0.81193212926899772,0.77845255125079982,0.74964704845704644,0.72524281067227248,0.70502022326290881,0.68881231062697534,0.67650505599640132,0.66803874521471918,0.66341051786652938,0.66267835802750674]
[8,4,0.62677202463716986,0.67544472620075613,0.72619646878604427,0.77877664574708394,0.83286869173208933,0.8880866629448777,0.94397330941849023,1,0.94735648948885876,0.90088680506204022,0.86012191358372947,0.82465525612196056,0.7941400895316062,0.76828741176913051,0.74686457363632219,0.72969468919762137,0.71665697456334265,0.70768817142324369,0.70278524959059052,0.70200963461110166]
[9,4.5,0.59377654497009369,0.63988694465731166,0.68796693734835257,0.73777910921086609,0.78902356000449059,0.84133466336933471,0.89427924058188124,0.94735648948885876,1,0.95094804865706783,0.90791789904537801,0.87048040022072259,0.83826954092020867,0.81098025958913944,0.7883669789809421,0.77024298381206457,0.75648077837099226,0.74701358915593974,0.74183821759618129,0.74101950258436222]
[10,5,0.56465064677764631,0.60849924138300371,0.65422081661199505,0.70158960424402284,0.75032041473072331,0.80006555639861987,0.85041309878586446,0.90088680506204022,0.95094804865706783,1,0.95475026246443528,0.9153816567056613,0.88150929181043691,0.85281237049112046,0.82903264809710342,0.80997377816780258,0.79550168848792224,0.78554616123443854,0.78010383284744933,0.77924288674952591]
[11,5.5,{"$f":"liborcorr3($C$85,$C$86,$C$87,C$89,$A101,$F$84/$C$84)","v":0.53910035321167082},0.5809648104198325,0.62461749636999941,0.66984285879430006,0.71636861289658194,0.76386279996033679,0.81193212926899772,0.86012191358372947,0.90791789904537801,0.95475026246443528,{"$f":"liborcorr3($C$85,$C$86,$C$87,M$89,$A101,$F$84/$C$84)","v":1},0.95876554602126607,0.92328782349329108,0.89323083115977464,0.86832408504101899,0.84836193296985285,0.83320394846977575,0.82277658579193147,0.81707632196279012,0.81617457191173381]
[12,6,0.51687084450724508,0.55700904368131199,0.59886173496161865,0.64222225426036283,0.68682954429628829,0.73236533448930541,0.77845255125079982,0.82465525612196056,0.87048040022072259,0.9153816567056613,0.95876554602126607,1,0.96299645656312727,0.93164677732376733,0.90566884536520353,0.8848481638607355,0.8690382668916794,0.85816244566393896,0.85221702568843338,0.85127649329779997]
[13,6.5,0.49774479176126812,0.53639773533871971,0.57670172873928549,0.61845775517871326,0.66141441742019313,0.70526522202287056,0.74964704845704644,0.7941400895316062,0.83826954092020867,0.88150929181043691,0.92328782349329108,0.96299645656312727,1,0.96744569616461007,0.94046955125616738,0.91884882631728682,0.90243142741482296,0.89113769818703781,0.88496382295106402,0.88398715020816521]
[14,7,0.48154105657778884,0.5189356804858879,0.55792760543951214,0.59832429350727223,0.63988253151438879,0.68230580370060434,0.72524281067227248,0.76828741176913051,0.81098025958913944,0.85281237049112046,0.89323083115977464,0.93164677732376733,0.96744569616461007,1,0.97211611461461012,0.94976785773094752,0.93279801749335078,0.92112425712358692,0.91474263254202148,0.91373309500749023]
[15,7.5,0.46811382094781429,0.50446573744883016,0.54237041603609171,0.58164068748382103,0.62204012034552836,0.66328046687243025,0.70502022326290881,0.74686457363632219,0.7883669789809421,0.82903264809710342,0.86832408504101899,0.90566884536520353,0.94046955125616738,0.97211611461461012,1,0.97701071245740789,0.95955411444151739,0.9475455074507857,0.94098083427478818,0.93994233947015116]
[16,8,0.45735221771538348,0.49286842955523319,0.52990170658724278,0.56826918247278457,0.60773986115587642,0.64803212149811529,0.68881231062697534,0.72969468919762137,0.77024298381206457,0.80997377816780258,0.84836193296985285,0.8848481638607355,0.91884882631728682,0.94976785773094752,0.97701071245740789,1,0.98213264420409152,0.96984147191947323,0.96312233046862272,0.96205939964156451]
[17,8.5,0.44918054291741494,0.48406217396379919,0.5204337642587894,0.5581157148016932,0.59688115682524834,0.63645350101613107,0.67650505599640132,0.71665697456334265,0.75648077837099226,0.79550168848792224,0.83320394846977575,0.8690382668916794,0.90243142741482296,0.93279801749335078,0.95955411444151739,0.98213264420409152,1,0.98748522171913056,0.98064384291912576,0.97956157482292627]
[18,9,0.44355914801472296,0.47800424318248658,0.51392065108921225,0.55113102037588102,0.58941132148755149,0.62848842656483106,0.66803874521471918,0.70768817142324369,0.74701358915593974,0.78554616123443854,0.82277658579193147,0.85816244566393896,0.89113769818703781,0.92112425712358692,0.9475455074507857,0.96984147191947323,0.98748522171913056,1,0.99307191778719028,0.99197593369305326]
[19,9.5,0.44048613377103307,0.47469259048764639,0.51036016656760563,0.54731273935668734,0.58532783139512501,0.62413420707579048,0.66341051786652938,0.70278524959059052,0.74183821759618129,0.78010383284744933,0.81707632196279012,0.85221702568843338,0.88496382295106402,0.91474263254202148,0.94098083427478818,0.96312233046862272,0.98064384291912576,0.99307191778719028,1,0.99889636986555908]
[20,10,0.44,0.47416870544018841,0.50979691770836322,0.54670870852456976,0.58468184596187034,0.6234453937569262,0.66267835802750674,0.70200963461110166,0.74101950258436222,0.77924288674952591,0.81617457191173381,0.85127649329779997,0.88398715020816521,0.91373309500749023,0.93994233947015116,0.96205939964156451,0.97956157482292627,0.99197593369305326,0.99889636986555908,1]