USD-SOFR USD-SOFR Normal Cap Floor Volatilities Normal Flat Bilinear false Actual/365 (Fixed) US settlement Following 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y -0.0075, -0.005, -0.0025, -0.0015, 0, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.025, 0.03, 0.035, 0.04, 0.045, 0.05, 0.06, 0.07, 0.1 false USD-SOFR 3M Yield/USD/USD-SOFR 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y 0 OptionletVolatilities BackwardFlat Hagan2002NormalZeroBeta 0.0 Normal 0.0 alpha 0.0050 Implied beta 0.0 Fixed nu 0.30 Calibrated rho 0.0 Calibrated 10 0.005 0.05 false 0.0000000000010000 0.0000000000010000 true 5 2 2 10 TermVolatilities USD-SOFR USD-SOFR normal swaption volatilities Smile Normal Hagan2002NormalZeroBeta 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 alpha 0.0050 Implied beta 0.0 Fixed nu 0.30 Calibrated rho 0.0 Calibrated 10 0.005 0.05 Flat Normal 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 Actual/365 (Fixed) JoinHolidays(US settlement, UK settlement) Following 1M, 3M, 6M, 9M, 1Y, 18M, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 15Y, 20Y, 25Y, 30Y 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 15Y, 20Y, 25Y, 30Y USD-CMS-SOFR-1Y USD-CMS-SOFR-30Y 1M, 3M, 6M, 9M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 15Y, 20Y, 25Y, 30Y 1Y, 2Y, 5Y, 10Y, 15Y, 20Y, 30Y -0.04, -0.03, -0.02, -0.015, -0.01, -0.0075, -0.005, -0.0025, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.03, 0.04 SOFR USD-FedFunds USD discount curve bootstrapped from FED FUNDS swap rates USD USD-FedFunds Deposit MM/RATE/USD/0D/1D USD-ON-DEPOSIT LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/USD/2D/1D/2W IR_SWAP/RATE/USD/2D/1D/1M IR_SWAP/RATE/USD/2D/1D/2M IR_SWAP/RATE/USD/2D/1D/3M IR_SWAP/RATE/USD/2D/1D/4M IR_SWAP/RATE/USD/2D/1D/5M IR_SWAP/RATE/USD/2D/1D/6M IR_SWAP/RATE/USD/2D/1D/7M IR_SWAP/RATE/USD/2D/1D/8M IR_SWAP/RATE/USD/2D/1D/9M IR_SWAP/RATE/USD/2D/1D/10M IR_SWAP/RATE/USD/2D/1D/11M IR_SWAP/RATE/USD/2D/1D/1Y IR_SWAP/RATE/USD/2D/1D/2Y IR_SWAP/RATE/USD/2D/1D/3Y IR_SWAP/RATE/USD/2D/1D/4Y IR_SWAP/RATE/USD/2D/1D/5Y IR_SWAP/RATE/USD/2D/1D/6Y IR_SWAP/RATE/USD/2D/1D/7Y IR_SWAP/RATE/USD/2D/1D/8Y IR_SWAP/RATE/USD/2D/1D/9Y IR_SWAP/RATE/USD/2D/1D/10Y IR_SWAP/RATE/USD/2D/1D/12Y IR_SWAP/RATE/USD/2D/1D/15Y IR_SWAP/RATE/USD/2D/1D/20Y IR_SWAP/RATE/USD/2D/1D/25Y IR_SWAP/RATE/USD/2D/1D/30Y IR_SWAP/RATE/USD/2D/1D/40Y IR_SWAP/RATE/USD/2D/1D/50Y USD-FedFunds-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365F 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-SOFR USD USD-SOFR Deposit MM/RATE/USD/SOFR/0D/1D USD-ON-SOFR-DEPOSIT LastRelevantPillarDate 0 1 USD-SOFR Future OI_FUTURE/PRICE/USD/2024-05/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-06/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-07/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-08/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-09/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-10/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-11/XCME:SRA/3M OI_FUTURE/PRICE/USD/2024-12/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-03/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-06/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-09/XCME:SRA/3M USD-SOFR-3M-FUTURES LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/USD/SOFR/0D/1D/2Y IR_SWAP/RATE/USD/SOFR/0D/1D/3Y IR_SWAP/RATE/USD/SOFR/0D/1D/4Y IR_SWAP/RATE/USD/SOFR/0D/1D/5Y IR_SWAP/RATE/USD/SOFR/0D/1D/6Y IR_SWAP/RATE/USD/SOFR/0D/1D/7Y IR_SWAP/RATE/USD/SOFR/0D/1D/8Y IR_SWAP/RATE/USD/SOFR/0D/1D/9Y IR_SWAP/RATE/USD/SOFR/0D/1D/10Y IR_SWAP/RATE/USD/SOFR/0D/1D/12Y IR_SWAP/RATE/USD/SOFR/0D/1D/15Y IR_SWAP/RATE/USD/SOFR/0D/1D/20Y IR_SWAP/RATE/USD/SOFR/0D/1D/25Y IR_SWAP/RATE/USD/SOFR/0D/1D/30Y IR_SWAP/RATE/USD/SOFR/0D/1D/40Y IR_SWAP/RATE/USD/SOFR/0D/1D/50Y USD-SOFR-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 false true 1M, 3M, 6M, 9M, 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 15Y, 20Y, 25Y, 30Y 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 15Y, 20Y, 25Y, 30Y -0.02,-0.01,0.0,0.01,0.02,0.03,0.04,0.05,0.06,0.07,0.08,0.09,0.10 -0.02,-0.015,-0.01,-0.005,0.0,0.005,0.01,0.015,0.02,0.03 true false 1M,3M,6M,9M,12M,15M,18M,21M,24M,27M,30M,33M,36M,39M,42M,45M,48M,51M,54M,57M,60M,63M,66M,69M,72M,75M,78M,81M,84M,87M,90M,93M,96M,99M,102M,105M,108M,111M,114M,117M,120M,123M,126M,129M,132M,135M,138M,141M,144M,147M,150M,153M,156M,159M,162M,165M,168M,171M,174M,177M,180M,183M,186M,189M,192M,195M,198M,201M,204M,207M,210M,213M,216M,219M,222M,225M,228M,231M,234M,237M,240M,243M,246M,249M,252M,255M,258M,261M,264M,267M,270M,273M,276M,279M,282M,285M,288M,291M,294M,297M,300M,303M,306M,309M,312M,315M,318M,321M,324M,327M,330M,333M,336M,339M,342M,345M,348M,351M,354M,357M,360M -0.02,-0.01,0.0,0.01,0.02,0.03,0.04,0.05,0.06,0.07,0.08,0.09,0.10