EURGBP Euro United Kingdom Pound volatility surface Smile 1D,1W,1M,2M,3M,6M,9M,1Y,2Y,3Y,5Y,7Y,10Y FX/EUR/GBP VannaVolga VannaVolga1 25 Yield/EUR/EUR-EONIA Yield/GBP/GBP-SONIA TARGET,UK EUR EUR normal swaption volatilities ATM Normal Flat Actual/365 (Fixed) TARGET Following 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 EUR-CMS-1Y EUR-CMS-30Y GBP GBP normal swaption volatilities ATM Normal Flat Actual/365 (Fixed) TARGET Following 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 GBP-CMS-1Y GBP-CMS-30Y EUR-EONIA EUR discount curve bootstrapped from OIS swap rates EUR EUR-EONIA Deposit MM/RATE/EUR/0D/1D EUR-ON-DEPOSIT OIS IR_SWAP/RATE/EUR/2D/1D/1W IR_SWAP/RATE/EUR/2D/1D/2W IR_SWAP/RATE/EUR/2D/1D/3W IR_SWAP/RATE/EUR/2D/1D/1M IR_SWAP/RATE/EUR/2D/1D/2M IR_SWAP/RATE/EUR/2D/1D/3M IR_SWAP/RATE/EUR/2D/1D/4M IR_SWAP/RATE/EUR/2D/1D/5M IR_SWAP/RATE/EUR/2D/1D/6M IR_SWAP/RATE/EUR/2D/1D/7M IR_SWAP/RATE/EUR/2D/1D/8M IR_SWAP/RATE/EUR/2D/1D/9M IR_SWAP/RATE/EUR/2D/1D/10M IR_SWAP/RATE/EUR/2D/1D/11M IR_SWAP/RATE/EUR/2D/1D/1Y IR_SWAP/RATE/EUR/2D/1D/15M IR_SWAP/RATE/EUR/2D/1D/18M IR_SWAP/RATE/EUR/2D/1D/21M IR_SWAP/RATE/EUR/2D/1D/2Y IR_SWAP/RATE/EUR/2D/1D/3Y IR_SWAP/RATE/EUR/2D/1D/4Y IR_SWAP/RATE/EUR/2D/1D/5Y IR_SWAP/RATE/EUR/2D/1D/6Y IR_SWAP/RATE/EUR/2D/1D/7Y IR_SWAP/RATE/EUR/2D/1D/8Y IR_SWAP/RATE/EUR/2D/1D/9Y IR_SWAP/RATE/EUR/2D/1D/10Y IR_SWAP/RATE/EUR/2D/1D/11Y IR_SWAP/RATE/EUR/2D/1D/12Y IR_SWAP/RATE/EUR/2D/1D/15Y IR_SWAP/RATE/EUR/2D/1D/20Y IR_SWAP/RATE/EUR/2D/1D/25Y IR_SWAP/RATE/EUR/2D/1D/30Y EUR-OIS Discount LogLinear A365 0.000000000001 GBP-SONIA GBP discount curve bootstrapped from OIS swap rates GBP GBP-SONIA Deposit MM/RATE/GBP/0D/1D GBP-ON-DEPOSIT OIS IR_SWAP/RATE/GBP/2D/1D/1W IR_SWAP/RATE/GBP/2D/1D/2W IR_SWAP/RATE/GBP/2D/1D/1M IR_SWAP/RATE/GBP/2D/1D/2M IR_SWAP/RATE/GBP/2D/1D/3M IR_SWAP/RATE/GBP/2D/1D/4M IR_SWAP/RATE/GBP/2D/1D/5M IR_SWAP/RATE/GBP/2D/1D/6M IR_SWAP/RATE/GBP/2D/1D/7M IR_SWAP/RATE/GBP/2D/1D/8M IR_SWAP/RATE/GBP/2D/1D/9M IR_SWAP/RATE/GBP/2D/1D/10M IR_SWAP/RATE/GBP/2D/1D/11M IR_SWAP/RATE/GBP/2D/1D/1Y IR_SWAP/RATE/GBP/2D/1D/15M IR_SWAP/RATE/GBP/2D/1D/18M IR_SWAP/RATE/GBP/2D/1D/21M IR_SWAP/RATE/GBP/2D/1D/2Y IR_SWAP/RATE/GBP/2D/1D/3Y IR_SWAP/RATE/GBP/2D/1D/4Y IR_SWAP/RATE/GBP/2D/1D/5Y IR_SWAP/RATE/GBP/2D/1D/6Y IR_SWAP/RATE/GBP/2D/1D/7Y IR_SWAP/RATE/GBP/2D/1D/8Y IR_SWAP/RATE/GBP/2D/1D/9Y IR_SWAP/RATE/GBP/2D/1D/10Y IR_SWAP/RATE/GBP/2D/1D/12Y IR_SWAP/RATE/GBP/2D/1D/15Y IR_SWAP/RATE/GBP/2D/1D/20Y IR_SWAP/RATE/GBP/2D/1D/25Y IR_SWAP/RATE/GBP/2D/1D/30Y IR_SWAP/RATE/GBP/2D/1D/40Y IR_SWAP/RATE/GBP/2D/1D/50Y IR_SWAP/RATE/GBP/2D/1D/60Y GBP-OIS Discount LogLinear A365 0.000000000001 GBP-IN-EUR GBP collateralised in EUR discount curve GBP FX Forward FXFWD/RATE/GBP/EUR/1W FXFWD/RATE/GBP/EUR/2W FXFWD/RATE/GBP/EUR/3W FXFWD/RATE/GBP/EUR/1M FXFWD/RATE/GBP/EUR/2M FXFWD/RATE/GBP/EUR/3M FXFWD/RATE/GBP/EUR/4M FXFWD/RATE/GBP/EUR/5M FXFWD/RATE/GBP/EUR/6M FXFWD/RATE/GBP/EUR/7M FXFWD/RATE/GBP/EUR/8M FXFWD/RATE/GBP/EUR/9M FXFWD/RATE/GBP/EUR/10M FXFWD/RATE/GBP/EUR/11M FXFWD/RATE/GBP/EUR/1Y FXFWD/RATE/GBP/EUR/15M FXFWD/RATE/GBP/EUR/18M GBP-EUR-FX EUR-EONIA FX/RATE/GBP/EUR Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/6Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/8Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/9Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/12Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/30Y EUR-GBP-XCCY-BASIS EUR-EONIA FX/RATE/GBP/EUR GBP-LIBOR-3M EUR-EURIBOR-3M Discount LogLinear A365 0.000000000001 GBP-LIBOR-3M GBP LIBOR 3M Index Curve GBP GBP-SONIA Deposit MM/RATE/GBP/2D/3M GBP-DEPOSIT FRA FRA/RATE/GBP/1M/3M FRA/RATE/GBP/2M/3M FRA/RATE/GBP/3M/3M FRA/RATE/GBP/4M/3M FRA/RATE/GBP/5M/3M FRA/RATE/GBP/6M/3M FRA/RATE/GBP/7M/3M FRA/RATE/GBP/8M/3M FRA/RATE/GBP/9M/3M GBP-3M-FRA GBP-LIBOR-3M Tenor Basis Swap BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/2Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/3Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/4Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/5Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/6Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/7Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/8Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/9Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/10Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/11Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/12Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/15Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/20Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/25Y BASIS_SWAP/BASIS_SPREAD/3M/6M/GBP/30Y GBP-LIBOR-3M-6M-BASIS GBP-LIBOR-6M GBP-LIBOR-3M GBP-LIBOR-6M GBP LIBOR 6M Index Curve GBP GBP-SONIA Deposit MM/RATE/GBP/2D/6M GBP-DEPOSIT FRA FRA/RATE/GBP/1M/6M FRA/RATE/GBP/2M/6M FRA/RATE/GBP/3M/6M FRA/RATE/GBP/4M/6M FRA/RATE/GBP/5M/6M FRA/RATE/GBP/6M/6M FRA/RATE/GBP/8M/6M FRA/RATE/GBP/12M/6M GBP-6M-FRA GBP-LIBOR-6M Swap IR_SWAP/RATE/GBP/0D/6M/2Y IR_SWAP/RATE/GBP/0D/6M/3Y IR_SWAP/RATE/GBP/0D/6M/4Y IR_SWAP/RATE/GBP/0D/6M/5Y IR_SWAP/RATE/GBP/0D/6M/6Y IR_SWAP/RATE/GBP/0D/6M/7Y IR_SWAP/RATE/GBP/0D/6M/8Y IR_SWAP/RATE/GBP/0D/6M/9Y IR_SWAP/RATE/GBP/0D/6M/10Y IR_SWAP/RATE/GBP/0D/6M/12Y IR_SWAP/RATE/GBP/0D/6M/15Y IR_SWAP/RATE/GBP/0D/6M/20Y IR_SWAP/RATE/GBP/0D/6M/25Y IR_SWAP/RATE/GBP/0D/6M/30Y IR_SWAP/RATE/GBP/0D/6M/40Y IR_SWAP/RATE/GBP/0D/6M/50Y GBP-LIBOR-6M-SWAP GBP-LIBOR-6M EUR-EURIBOR-3M EUR EURIBOR 3M Index Curve EUR EUR-EONIA Deposit MM/RATE/EUR/2D/3M EUR-DEPOSIT FRA FRA/RATE/EUR/1M/3M FRA/RATE/EUR/2M/3M FRA/RATE/EUR/3M/3M FRA/RATE/EUR/4M/3M FRA/RATE/EUR/5M/3M FRA/RATE/EUR/6M/3M FRA/RATE/EUR/7M/3M FRA/RATE/EUR/8M/3M FRA/RATE/EUR/9M/3M FRA/RATE/EUR/12M/3M FRA/RATE/EUR/15M/3M FRA/RATE/EUR/18M/3M EUR-3M-FRA EUR-EURIBOR-3M Tenor Basis Two Swaps BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/2Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/3Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/4Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/5Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/6Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/7Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/8Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/9Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/10Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/12Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/15Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/20Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/25Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/30Y EURIBOR-3M-6M-BASIS EUR-EURIBOR-6M EUR-EURIBOR-3M EUR-EURIBOR-6M EUR EURIBOR 6M Index Curve EUR EUR-EONIA Deposit MM/RATE/EUR/2D/6M EUR-DEPOSIT FRA FRA/RATE/EUR/1M/6M FRA/RATE/EUR/2M/6M FRA/RATE/EUR/3M/6M FRA/RATE/EUR/4M/6M FRA/RATE/EUR/5M/6M FRA/RATE/EUR/6M/6M FRA/RATE/EUR/9M/6M FRA/RATE/EUR/12M/6M EUR-6M-FRA EUR-EURIBOR-6M Swap IR_SWAP/RATE/EUR/2D/6M/2Y IR_SWAP/RATE/EUR/2D/6M/3Y IR_SWAP/RATE/EUR/2D/6M/4Y IR_SWAP/RATE/EUR/2D/6M/5Y IR_SWAP/RATE/EUR/2D/6M/6Y IR_SWAP/RATE/EUR/2D/6M/7Y IR_SWAP/RATE/EUR/2D/6M/8Y IR_SWAP/RATE/EUR/2D/6M/9Y IR_SWAP/RATE/EUR/2D/6M/10Y IR_SWAP/RATE/EUR/2D/6M/12Y IR_SWAP/RATE/EUR/2D/6M/15Y IR_SWAP/RATE/EUR/2D/6M/20Y IR_SWAP/RATE/EUR/2D/6M/25Y IR_SWAP/RATE/EUR/2D/6M/30Y IR_SWAP/RATE/EUR/2D/6M/40Y IR_SWAP/RATE/EUR/2D/6M/50Y EUR-EURIBOR-6M-SWAP EUR-EURIBOR-6M EUHICPXT_ZC_Swaps Estimation Curve for EUHICPXT Yield/EUR/EUR-EONIA ZC ZC_INFLATIONSWAP/RATE/EUHICPXT/1Y ZC_INFLATIONSWAP/RATE/EUHICPXT/2Y ZC_INFLATIONSWAP/RATE/EUHICPXT/3Y ZC_INFLATIONSWAP/RATE/EUHICPXT/4Y ZC_INFLATIONSWAP/RATE/EUHICPXT/5Y ZC_INFLATIONSWAP/RATE/EUHICPXT/6Y ZC_INFLATIONSWAP/RATE/EUHICPXT/7Y ZC_INFLATIONSWAP/RATE/EUHICPXT/8Y ZC_INFLATIONSWAP/RATE/EUHICPXT/9Y ZC_INFLATIONSWAP/RATE/EUHICPXT/10Y ZC_INFLATIONSWAP/RATE/EUHICPXT/12Y ZC_INFLATIONSWAP/RATE/EUHICPXT/15Y ZC_INFLATIONSWAP/RATE/EUHICPXT/20Y ZC_INFLATIONSWAP/RATE/EUHICPXT/25Y ZC_INFLATIONSWAP/RATE/EUHICPXT/30Y EUHICPXT_INFLATIONSWAP true TARGET A365 3M Monthly 0.01 0.000000000001 UKRPI_ZC_Swaps Estimation Curve for UKRPI Yield/GBP/GBP-SONIA ZC ZC_INFLATIONSWAP/RATE/UKRPI/1Y ZC_INFLATIONSWAP/RATE/UKRPI/2Y ZC_INFLATIONSWAP/RATE/UKRPI/3Y ZC_INFLATIONSWAP/RATE/UKRPI/4Y ZC_INFLATIONSWAP/RATE/UKRPI/5Y ZC_INFLATIONSWAP/RATE/UKRPI/6Y ZC_INFLATIONSWAP/RATE/UKRPI/7Y ZC_INFLATIONSWAP/RATE/UKRPI/8Y ZC_INFLATIONSWAP/RATE/UKRPI/9Y ZC_INFLATIONSWAP/RATE/UKRPI/10Y ZC_INFLATIONSWAP/RATE/UKRPI/12Y ZC_INFLATIONSWAP/RATE/UKRPI/15Y ZC_INFLATIONSWAP/RATE/UKRPI/20Y ZC_INFLATIONSWAP/RATE/UKRPI/25Y ZC_INFLATIONSWAP/RATE/UKRPI/30Y UKRPI_INFLATIONSWAP true UK A365 2M Monthly 0.01 0.000000000001 EUHICPXT_YY_Swaps Estimation Curve for EUHICPXT YoY Yield/EUR/EUR-EONIA YY YY_INFLATIONSWAP/RATE/EUHICPXT/1Y YY_INFLATIONSWAP/RATE/EUHICPXT/2Y YY_INFLATIONSWAP/RATE/EUHICPXT/3Y YY_INFLATIONSWAP/RATE/EUHICPXT/4Y YY_INFLATIONSWAP/RATE/EUHICPXT/5Y YY_INFLATIONSWAP/RATE/EUHICPXT/6Y YY_INFLATIONSWAP/RATE/EUHICPXT/7Y YY_INFLATIONSWAP/RATE/EUHICPXT/8Y YY_INFLATIONSWAP/RATE/EUHICPXT/9Y YY_INFLATIONSWAP/RATE/EUHICPXT/10Y YY_INFLATIONSWAP/RATE/EUHICPXT/12Y YY_INFLATIONSWAP/RATE/EUHICPXT/15Y YY_INFLATIONSWAP/RATE/EUHICPXT/20Y YY_INFLATIONSWAP/RATE/EUHICPXT/25Y YY_INFLATIONSWAP/RATE/EUHICPXT/30Y EUHICPXT_INFLATIONSWAP true TARGET A365 3M Monthly 0.01 0.000000000001 UKRPI_YY_Swaps Estimation Curve for UKRPI YoY Yield/GBP/GBP-SONIA YY YY_INFLATIONSWAP/RATE/UKRPI/1Y YY_INFLATIONSWAP/RATE/UKRPI/2Y YY_INFLATIONSWAP/RATE/UKRPI/3Y YY_INFLATIONSWAP/RATE/UKRPI/4Y YY_INFLATIONSWAP/RATE/UKRPI/5Y YY_INFLATIONSWAP/RATE/UKRPI/6Y YY_INFLATIONSWAP/RATE/UKRPI/7Y YY_INFLATIONSWAP/RATE/UKRPI/8Y YY_INFLATIONSWAP/RATE/UKRPI/9Y YY_INFLATIONSWAP/RATE/UKRPI/10Y YY_INFLATIONSWAP/RATE/UKRPI/12Y YY_INFLATIONSWAP/RATE/UKRPI/15Y YY_INFLATIONSWAP/RATE/UKRPI/20Y YY_INFLATIONSWAP/RATE/UKRPI/25Y YY_INFLATIONSWAP/RATE/UKRPI/30Y UKRPI_INFLATIONSWAP true UK A365 2M Monthly 0.01 0.000000000001 EUHICPXT_ZC_CF EUHICPXT cap floor premium surface ZC Price Lognormal Y ACT TARGET MF 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y -0.03,-0.02,-0.01,0.00,0.01,0.02,0.03,0.04 -0.03,-0.02,-0.01,0.00,0.01,0.02,0.03,0.04 EUHICPXT Inflation/EUHICPXT/EUHICPXT_ZC_Swaps false 3M Yield/EUR/EUR-EONIA UKRPI_ZC_CF UKRPI cap floor premium surface ZC Price Lognormal Y Actual/365 (Fixed) GBP Following 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,25Y,30Y -0.03,-0.02,-0.01,0.00,0.01,0.02,0.03,0.04 -0.03,-0.02,-0.01,0.00,0.01,0.02,0.03,0.04 UKRPI Inflation/UKRPI/UKRPI_ZC_Swaps false 2M Yield/GBP/GBP-SONIA CPTY CPTY EUR SpreadCDS Yield/EUR/EUR-EONIA A365 RECOVERY_RATE/RATE/CPTY/SUBLT2/EUR CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/6M CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/1Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/2Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/3Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/4Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/5Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/7Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/10Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/20Y CDS/CREDIT_SPREAD/CPTY/SUBLT2/EUR/30Y CDS-STANDARD-CONVENTIONS