EURUSD ATM 1M,3M,6M,1Y,2Y,3Y,10Y FX/EUR/USD Yield/USD/USD1D Yield/EUR/EUR1D EURGBP ATM 1M,3M,6M,1Y,2Y,5Y,10Y FX/EUR/GBP EURCHF ATM 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,10Y FX/EUR/CHF EURJPY ATM 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,10Y FX/EUR/JPY GBPUSD ATM 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,10Y FX/GBP/USD EUR_SW_N EUR normal swaption volatilities ATM Normal Flat Actual/365 (Fixed) TARGET Following 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y 1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y EUR-CMS-1Y EUR-CMS-30Y USD_SW_N USD normal swaption volatilities ATM Lognormal Flat Actual/365 (Fixed) TARGET Following 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y 1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y USD-CMS-1Y USD-CMS-30Y GBP_SW_N GBP normal swaption volatilities ATM Lognormal Flat Actual/365 (Fixed) TARGET Following 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y 1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y GBP-CMS-1Y GBP-CMS-30Y CHF_SW_N CHF normal swaption volatilities ATM Normal Flat Actual/365 (Fixed) TARGET Following 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y 1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y CHF-CMS-1Y CHF-CMS-30Y JPY_SW_N JPY normal swaption volatilities ATM Normal Flat Actual/365 (Fixed) TARGET Following 1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y 1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y JPY-CMS-1Y JPY-CMS-30Y EUR_CF_N EUR normal cap floor volatilities Normal Linear BicubicSpline FALSE Actual/365 (Fixed) TARGET Following 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y -0.01,0,0.01,0.02,0.03,0.04,0.05,0.06,0.07,0.08,0.09,0.1 EUR-EURIBOR-6M Yield/EUR/EUR1D GBP_CF_N GBP normal cap floor volatilities Normal Linear FALSE Actual/365 (Fixed) UK Following 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 0.005,0.015,0.02,0.025,0.03,0.035,0.04,0.045,0.05,0.055,0.06,0.065,0.07,0.075,0.08,0.085,0.09,0.095,0.1 GBP-LIBOR-6M Yield/GBP/GBP1D USD_CF_N USD normal cap floor volatilities Normal Linear FALSE Actual/365 (Fixed) UK Following 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 0.005,0.015,0.02,0.025,0.03,0.035,0.04,0.045,0.05,0.055,0.06,0.065,0.07,0.075,0.08,0.085,0.09,0.095,0.1 USD-LIBOR-3M Yield/USD/USD1D BANK_SR_USD BANK SR CDS USD USD SpreadCDS Yield/USD/USD3M A365 RECOVERY_RATE/RATE/BANK/SR/USD CDS/CREDIT_SPREAD/BANK/SR/USD/1Y CDS/CREDIT_SPREAD/BANK/SR/USD/2Y CDS/CREDIT_SPREAD/BANK/SR/USD/3Y CDS/CREDIT_SPREAD/BANK/SR/USD/4Y CDS/CREDIT_SPREAD/BANK/SR/USD/5Y CDS/CREDIT_SPREAD/BANK/SR/USD/7Y CDS/CREDIT_SPREAD/BANK/SR/USD/10Y CDS-STANDARD-CONVENTIONS CPTY_A_SR_USD CPTY_A SR HR USD USD HazardRate A365 RECOVERY_RATE/RATE/CPTY_A/SR/USD HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y HAZARD_RATE/RATE/CPTY_A/SR/USD/1Y HAZARD_RATE/RATE/CPTY_A/SR/USD/2Y HAZARD_RATE/RATE/CPTY_A/SR/USD/3Y HAZARD_RATE/RATE/CPTY_A/SR/USD/4Y HAZARD_RATE/RATE/CPTY_A/SR/USD/5Y HAZARD_RATE/RATE/CPTY_A/SR/USD/7Y HAZARD_RATE/RATE/CPTY_A/SR/USD/10Y HAZARD_RATE/RATE/CPTY_A/SR/USD/15Y HAZARD_RATE/RATE/CPTY_A/SR/USD/20Y HAZARD_RATE/RATE/CPTY_A/SR/USD/30Y CDS-STANDARD-CONVENTIONS CPTY_C_SR_EUR CPTY_C SR HR EUR EUR HazardRate A360 RECOVERY_RATE/RATE/CPTY_C/SR/EUR HAZARD_RATE/RATE/CPTY_C/SR/EUR/1Y CDS-STANDARD-CONVENTIONS CPTY_D_SR_EUR CPTY_D SR HR EUR EUR HazardRate A360 RECOVERY_RATE/RATE/CPTY_D/SR/EUR HAZARD_RATE/RATE/CPTY_D/SR/EUR/1Y CDS-STANDARD-CONVENTIONS BOND_YIELD_EUR_OVER_OIS Default curve derived as bond yield curve over Eonia EUR Benchmark A365 Yield/EUR/EUR1D Yield/EUR/BOND_YIELD_EUR 1Y,2Y,3Y,4Y,5Y,7Y,10Y 0 TARGET CPTY_1_SR_EUR CPTY_1 SR HR EUR EUR HazardRate A360 RECOVERY_RATE/RATE/CPTY_1/SR/EUR HAZARD_RATE/RATE/CPTY_1/SR/EUR/1Y CDS-STANDARD-CONVENTIONS CPTY_2_SR_EUR CPTY_2 SR HR EUR EUR HazardRate A360 RECOVERY_RATE/RATE/CPTY_2/SR/EUR HAZARD_RATE/RATE/CPTY_2/SR/EUR/1Y CDS-STANDARD-CONVENTIONS CPTY_3_SR_EUR CPTY_3 SR HR EUR EUR HazardRate A360 RECOVERY_RATE/RATE/CPTY_3/SR/EUR HAZARD_RATE/RATE/CPTY_3/SR/EUR/1Y CDS-STANDARD-CONVENTIONS USD1M USD USD1D FRA FRA/RATE/USD/0M/1M FRA/RATE/USD/1M/1M FRA/RATE/USD/2M/1M FRA/RATE/USD/3M/1M FRA/RATE/USD/4M/1M FRA/RATE/USD/5M/1M FRA/RATE/USD/6M/1M FRA/RATE/USD/7M/1M FRA/RATE/USD/8M/1M FRA/RATE/USD/9M/1M FRA/RATE/USD/10M/1M FRA/RATE/USD/11M/1M USD-1M-FRA-CONVENTIONS USD1M Tenor Basis Swap BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/18M BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/2Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/3Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/4Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/5Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/6Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/7Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/8Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/9Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/10Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/11Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/12Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/15Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/20Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/25Y BASIS_SWAP/BASIS_SPREAD/1M/3M/USD/30Y USD-LIBOR-1M-3M-BASIS-CONVENTIONS USD3M USD1M CAD3M CAD CAD1D FRA FRA/RATE/CAD/0M/3M FRA/RATE/CAD/1M/3M FRA/RATE/CAD/2M/3M FRA/RATE/CAD/3M/3M FRA/RATE/CAD/4M/3M FRA/RATE/CAD/5M/3M FRA/RATE/CAD/6M/3M FRA/RATE/CAD/7M/3M FRA/RATE/CAD/8M/3M FRA/RATE/CAD/9M/3M FRA/RATE/CAD/10M/3M FRA/RATE/CAD/11M/3M CAD-FRA-3M CAD3M Swap IR_SWAP/RATE/CAD/2D/3M/2Y IR_SWAP/RATE/CAD/2D/3M/3Y IR_SWAP/RATE/CAD/2D/3M/4Y IR_SWAP/RATE/CAD/2D/3M/5Y IR_SWAP/RATE/CAD/2D/3M/6Y IR_SWAP/RATE/CAD/2D/3M/7Y IR_SWAP/RATE/CAD/2D/3M/8Y IR_SWAP/RATE/CAD/2D/3M/9Y IR_SWAP/RATE/CAD/2D/3M/10Y IR_SWAP/RATE/CAD/2D/3M/12Y IR_SWAP/RATE/CAD/2D/3M/15Y IR_SWAP/RATE/CAD/2D/3M/20Y IR_SWAP/RATE/CAD/2D/3M/25Y IR_SWAP/RATE/CAD/2D/3M/30Y IR_SWAP/RATE/CAD/2D/3M/40Y CAD-3M-SWAP-CONVENTIONS CAD3M CAD1D CAD discount curve bootstrapped from CORRA swap rates CAD CAD1D Deposit MM/RATE/CAD/0D/1D CAD-CORRA-CONVENTIONS OIS IR_SWAP/RATE/CAD/2D/1D/1W IR_SWAP/RATE/CAD/2D/1D/2W IR_SWAP/RATE/CAD/2D/1D/3W IR_SWAP/RATE/CAD/2D/1D/1M IR_SWAP/RATE/CAD/2D/1D/2M IR_SWAP/RATE/CAD/2D/1D/3M IR_SWAP/RATE/CAD/2D/1D/4M IR_SWAP/RATE/CAD/2D/1D/5M IR_SWAP/RATE/CAD/2D/1D/6M IR_SWAP/RATE/CAD/2D/1D/7M IR_SWAP/RATE/CAD/2D/1D/8M IR_SWAP/RATE/CAD/2D/1D/9M IR_SWAP/RATE/CAD/2D/1D/10M IR_SWAP/RATE/CAD/2D/1D/11M IR_SWAP/RATE/CAD/2D/1D/12M IR_SWAP/RATE/CAD/2D/1D/13M IR_SWAP/RATE/CAD/2D/1D/14M IR_SWAP/RATE/CAD/2D/1D/15M IR_SWAP/RATE/CAD/2D/1D/16M IR_SWAP/RATE/CAD/2D/1D/17M IR_SWAP/RATE/CAD/2D/1D/18M IR_SWAP/RATE/CAD/2D/1D/19M IR_SWAP/RATE/CAD/2D/1D/20M IR_SWAP/RATE/CAD/2D/1D/21M IR_SWAP/RATE/CAD/2D/1D/22M IR_SWAP/RATE/CAD/2D/1D/23M IR_SWAP/RATE/CAD/2D/1D/2Y IR_SWAP/RATE/CAD/2D/1D/27M IR_SWAP/RATE/CAD/2D/1D/30M IR_SWAP/RATE/CAD/2D/1D/33M IR_SWAP/RATE/CAD/2D/1D/3Y IR_SWAP/RATE/CAD/2D/1D/4Y IR_SWAP/RATE/CAD/2D/1D/5Y IR_SWAP/RATE/CAD/2D/1D/6Y IR_SWAP/RATE/CAD/2D/1D/7Y IR_SWAP/RATE/CAD/2D/1D/8Y IR_SWAP/RATE/CAD/2D/1D/9Y IR_SWAP/RATE/CAD/2D/1D/10Y IR_SWAP/RATE/CAD/2D/1D/15Y IR_SWAP/RATE/CAD/2D/1D/20Y IR_SWAP/RATE/CAD/2D/1D/30Y CAD-OIS-CONVENTIONS Discount LogLinear A365 0.000000000001 SEK-IN-USD SEK FX Fwd discount curve SEK FX Forward FXFWD/RATE/USD/SEK/1W FXFWD/RATE/USD/SEK/2W FXFWD/RATE/USD/SEK/3W FXFWD/RATE/USD/SEK/1M FXFWD/RATE/USD/SEK/2M FXFWD/RATE/USD/SEK/3M FXFWD/RATE/USD/SEK/4M FXFWD/RATE/USD/SEK/5M FXFWD/RATE/USD/SEK/6M FXFWD/RATE/USD/SEK/7M FXFWD/RATE/USD/SEK/8M FXFWD/RATE/USD/SEK/9M FXFWD/RATE/USD/SEK/10M FXFWD/RATE/USD/SEK/11M FXFWD/RATE/USD/SEK/12M FXFWD/RATE/USD/SEK/18M FXFWD/RATE/USD/SEK/2Y USD-SEK-FX-CONVENTIONS USD1D FX/RATE/USD/SEK Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/SEK/3M/30Y USD-SEK-XCCY-BASIS-CONVENTIONS USD3M FX/RATE/USD/SEK SEK3M USD3M Discount LogLinear A365 0.000000000001 CAD-IN-USD CAD collateralised in USD discount curve CAD FX Forward FXFWD/RATE/USD/CAD/1W FXFWD/RATE/USD/CAD/2W FXFWD/RATE/USD/CAD/3W FXFWD/RATE/USD/CAD/1M FXFWD/RATE/USD/CAD/2M FXFWD/RATE/USD/CAD/3M FXFWD/RATE/USD/CAD/4M FXFWD/RATE/USD/CAD/5M FXFWD/RATE/USD/CAD/6M FXFWD/RATE/USD/CAD/7M FXFWD/RATE/USD/CAD/8M FXFWD/RATE/USD/CAD/9M FXFWD/RATE/USD/CAD/10M FXFWD/RATE/USD/CAD/11M FXFWD/RATE/USD/CAD/12M FXFWD/RATE/USD/CAD/15M FXFWD/RATE/USD/CAD/18M USD-CAD-FX-CONVENTIONS USD1D FX/RATE/USD/CAD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/25Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CAD/3M/30Y USD-CAD-XCCY-BASIS-CONVENTIONS USD1D FX/RATE/USD/CAD CAD3M USD3M Discount LogLinear A365 0.000000000001 RUB3M RUB Deposit MM/RATE/RUB/2D/3M MM/RATE/RUB/2D/6M RUB-MOSPRIME-CONVENTIONS RUB3M Swap IR_SWAP/RATE/CHF/2D/6M/1Y IR_SWAP/RATE/CHF/2D/6M/2Y IR_SWAP/RATE/CHF/2D/6M/3Y IR_SWAP/RATE/CHF/2D/6M/4Y IR_SWAP/RATE/CHF/2D/6M/5Y IR_SWAP/RATE/CHF/2D/6M/6Y IR_SWAP/RATE/CHF/2D/6M/7Y IR_SWAP/RATE/CHF/2D/6M/8Y IR_SWAP/RATE/CHF/2D/6M/9Y IR_SWAP/RATE/CHF/2D/6M/10Y IR_SWAP/RATE/CHF/2D/6M/15Y IR_SWAP/RATE/CHF/2D/6M/20Y RUB-3M-SWAP RUB3M CHF6M CHF CHF1D Deposit MM/RATE/CHF/2D/1W MM/RATE/CHF/2D/2W MM/RATE/CHF/2D/3W MM/RATE/CHF/2D/1M MM/RATE/CHF/2D/2M MM/RATE/CHF/2D/3M MM/RATE/CHF/2D/6M CHF-LIBOR-CONVENTIONS CHF6M FRA FRA/RATE/CHF/1M/6M FRA/RATE/CHF/2M/6M FRA/RATE/CHF/3M/6M FRA/RATE/CHF/4M/6M FRA/RATE/CHF/5M/6M FRA/RATE/CHF/6M/6M CHF-6M-FRA-CONVENTIONS CHF6M Swap IR_SWAP/RATE/CHF/2D/6M/2Y IR_SWAP/RATE/CHF/2D/6M/3Y IR_SWAP/RATE/CHF/2D/6M/4Y IR_SWAP/RATE/CHF/2D/6M/5Y IR_SWAP/RATE/CHF/2D/6M/6Y IR_SWAP/RATE/CHF/2D/6M/7Y IR_SWAP/RATE/CHF/2D/6M/8Y IR_SWAP/RATE/CHF/2D/6M/9Y IR_SWAP/RATE/CHF/2D/6M/10Y IR_SWAP/RATE/CHF/2D/6M/12Y IR_SWAP/RATE/CHF/2D/6M/15Y IR_SWAP/RATE/CHF/2D/6M/20Y IR_SWAP/RATE/CHF/2D/6M/25Y IR_SWAP/RATE/CHF/2D/6M/30Y CHF-6M-SWAP-CONVENTIONS CHF6M CHF3M CHF CHF1D Deposit MM/RATE/CHF/2D/1W MM/RATE/CHF/2D/1M MM/RATE/CHF/2D/3M CHF-LIBOR-CONVENTIONS CHF3M FRA CHF-3M-FRA-CONVENTIONS CHF3M Swap IR_SWAP/RATE/CHF/2D/3M/2Y IR_SWAP/RATE/CHF/2D/3M/3Y IR_SWAP/RATE/CHF/2D/3M/4Y IR_SWAP/RATE/CHF/2D/3M/5Y IR_SWAP/RATE/CHF/2D/3M/7Y IR_SWAP/RATE/CHF/2D/3M/10Y IR_SWAP/RATE/CHF/2D/3M/12Y IR_SWAP/RATE/CHF/2D/3M/15Y IR_SWAP/RATE/CHF/2D/3M/20Y IR_SWAP/RATE/CHF/2D/3M/25Y IR_SWAP/RATE/CHF/2D/3M/30Y CHF-3M-SWAP-CONVENTIONS CHF3M CHF1M CHF CHF1D Deposit MM/RATE/CHF/2D/1W MM/RATE/CHF/2D/1M CHF-Deposit CHF1M Swap IR_SWAP/RATE/CHF/2D/1M/2M IR_SWAP/RATE/CHF/2D/1M/3M IR_SWAP/RATE/CHF/2D/1M/4M IR_SWAP/RATE/CHF/2D/1M/5M IR_SWAP/RATE/CHF/2D/1M/6M IR_SWAP/RATE/CHF/2D/1M/7M IR_SWAP/RATE/CHF/2D/1M/8M IR_SWAP/RATE/CHF/2D/1M/9M IR_SWAP/RATE/CHF/2D/1M/10M IR_SWAP/RATE/CHF/2D/1M/11M IR_SWAP/RATE/CHF/2D/1M/1Y IR_SWAP/RATE/CHF/2D/1M/2Y IR_SWAP/RATE/CHF/2D/1M/3Y IR_SWAP/RATE/CHF/2D/1M/4Y IR_SWAP/RATE/CHF/2D/1M/5Y IR_SWAP/RATE/CHF/2D/1M/7Y IR_SWAP/RATE/CHF/2D/1M/10Y IR_SWAP/RATE/CHF/2D/1M/12Y IR_SWAP/RATE/CHF/2D/1M/15Y IR_SWAP/RATE/CHF/2D/1M/20Y IR_SWAP/RATE/CHF/2D/1M/25Y IR_SWAP/RATE/CHF/2D/1M/30Y CHF1M-Swap CHF1M CHF1D CHF discount curve bootstrapped from TOIS swap rates CHF CHF1D Deposit MM/RATE/CHF/0D/1D CHF-TOIS-CONVENTIONS OIS IR_SWAP/RATE/CHF/2D/1D/1M IR_SWAP/RATE/CHF/2D/1D/2M IR_SWAP/RATE/CHF/2D/1D/3M IR_SWAP/RATE/CHF/2D/1D/4M IR_SWAP/RATE/CHF/2D/1D/5M IR_SWAP/RATE/CHF/2D/1D/6M IR_SWAP/RATE/CHF/2D/1D/7M IR_SWAP/RATE/CHF/2D/1D/8M IR_SWAP/RATE/CHF/2D/1D/9M IR_SWAP/RATE/CHF/2D/1D/10M IR_SWAP/RATE/CHF/2D/1D/11M IR_SWAP/RATE/CHF/2D/1D/1Y IR_SWAP/RATE/CHF/2D/1D/1Y3M IR_SWAP/RATE/CHF/2D/1D/1Y6M IR_SWAP/RATE/CHF/2D/1D/1Y9M IR_SWAP/RATE/CHF/2D/1D/2Y IR_SWAP/RATE/CHF/2D/1D/3Y IR_SWAP/RATE/CHF/2D/1D/4Y IR_SWAP/RATE/CHF/2D/1D/5Y IR_SWAP/RATE/CHF/2D/1D/6Y IR_SWAP/RATE/CHF/2D/1D/7Y IR_SWAP/RATE/CHF/2D/1D/8Y IR_SWAP/RATE/CHF/2D/1D/10Y IR_SWAP/RATE/CHF/2D/1D/12Y IR_SWAP/RATE/CHF/2D/1D/15Y IR_SWAP/RATE/CHF/2D/1D/20Y IR_SWAP/RATE/CHF/2D/1D/25Y IR_SWAP/RATE/CHF/2D/1D/30Y CHF-OIS-CONVENTIONS Discount LogLinear A365 0.000000000001 EUR1D EUR discount curve bootstrapped from EONIA swap rates EUR EUR1D Deposit MM/RATE/EUR/0D/1D EUR-EONIA-CONVENTIONS OIS IR_SWAP/RATE/EUR/2D/1D/1W IR_SWAP/RATE/EUR/2D/1D/2W 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/1Y3M IR_SWAP/RATE/EUR/2D/1D/1Y6M IR_SWAP/RATE/EUR/2D/1D/1Y9M 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/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-CONVENTIONS Discount LogLinear A365 0.000000000001 DKK1D DKK discount curve bootstrapped from DKK OIS swap rates DKK Deposit MM/RATE/DKK/0D/1D DKK-OIS-CONVENTIONS OIS IR_SWAP/RATE/DKK/2D/1D/1M IR_SWAP/RATE/DKK/2D/1D/2M IR_SWAP/RATE/DKK/2D/1D/3M IR_SWAP/RATE/DKK/2D/1D/6M IR_SWAP/RATE/DKK/2D/1D/9M IR_SWAP/RATE/DKK/2D/1D/1Y IR_SWAP/RATE/DKK/2D/1D/1Y6M IR_SWAP/RATE/DKK/2D/1D/2Y IR_SWAP/RATE/DKK/2D/1D/3Y IR_SWAP/RATE/DKK/2D/1D/4Y IR_SWAP/RATE/DKK/2D/1D/5Y IR_SWAP/RATE/DKK/2D/1D/6Y IR_SWAP/RATE/DKK/2D/1D/7Y IR_SWAP/RATE/DKK/2D/1D/8Y IR_SWAP/RATE/DKK/2D/1D/9Y IR_SWAP/RATE/DKK/2D/1D/10Y IR_SWAP/RATE/DKK/2D/1D/12Y IR_SWAP/RATE/DKK/2D/1D/15Y IR_SWAP/RATE/DKK/2D/1D/20Y IR_SWAP/RATE/DKK/2D/1D/25Y IR_SWAP/RATE/DKK/2D/1D/30Y DKK-OIS-CONVENTIONS Discount LogLinear A360 0.000000000001 EUR6M EUR EUR1D Deposit MM/RATE/EUR/2D/6M EUR-EURIBOR-CONVENTIONS EUR6M FRA EUR-6M-FRA-CONVENTIONS EUR6M 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/7Y 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-6M-SWAP-CONVENTIONS EUR6M EUR12M EUR EUR1D Deposit MM/RATE/EUR/2D/1W MM/RATE/EUR/2D/1M MM/RATE/EUR/2D/2M MM/RATE/EUR/2D/3M MM/RATE/EUR/2D/4M MM/RATE/EUR/2D/5M MM/RATE/EUR/2D/6M MM/RATE/EUR/2D/7M MM/RATE/EUR/2D/8M MM/RATE/EUR/2D/9M MM/RATE/EUR/2D/10M MM/RATE/EUR/2D/11M MM/RATE/EUR/2D/1Y EUR-DEPOSIT EUR12M Tenor Basis Two Swaps BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/2Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/3Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/4Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/5Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/6Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/8Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/9Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/10Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/11Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/12Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/15Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/20Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/25Y BASIS_SWAP/BASIS_SPREAD/6M/12M/EUR/30Y EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS EUR12M EUR6M EUR3M EUR EUR1D Deposit MM/RATE/EUR/2D/1W MM/RATE/EUR/2D/1M MM/RATE/EUR/2D/2M MM/RATE/EUR/2D/3M EUR-EURIBOR-CONVENTIONS EUR3M 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/9M/3M FRA/RATE/EUR/1Y/3M EUR-3M-FRA-CONVENTIONS EUR3M Swap IR_SWAP/RATE/EUR/2D/3M/2Y IR_SWAP/RATE/EUR/2D/3M/3Y IR_SWAP/RATE/EUR/2D/3M/4Y IR_SWAP/RATE/EUR/2D/3M/5Y IR_SWAP/RATE/EUR/2D/3M/6Y IR_SWAP/RATE/EUR/2D/3M/7Y IR_SWAP/RATE/EUR/2D/3M/8Y IR_SWAP/RATE/EUR/2D/3M/9Y IR_SWAP/RATE/EUR/2D/3M/10Y IR_SWAP/RATE/EUR/2D/3M/12Y IR_SWAP/RATE/EUR/2D/3M/15Y IR_SWAP/RATE/EUR/2D/3M/20Y IR_SWAP/RATE/EUR/2D/3M/25Y IR_SWAP/RATE/EUR/2D/3M/40Y IR_SWAP/RATE/EUR/2D/3M/50Y EUR-3M-SWAP-CONVENTIONS EUR3M EUR1M EUR EUR1D Deposit MM/RATE/EUR/2D/1W MM/RATE/EUR/2D/1M EUR-DEPOSIT EUR1M Swap IR_SWAP/RATE/EUR/2D/1M/2M IR_SWAP/RATE/EUR/2D/1M/3M IR_SWAP/RATE/EUR/2D/1M/4M IR_SWAP/RATE/EUR/2D/1M/5M IR_SWAP/RATE/EUR/2D/1M/6M IR_SWAP/RATE/EUR/2D/1M/7M IR_SWAP/RATE/EUR/2D/1M/8M IR_SWAP/RATE/EUR/2D/1M/9M IR_SWAP/RATE/EUR/2D/1M/10M IR_SWAP/RATE/EUR/2D/1M/11M IR_SWAP/RATE/EUR/2D/1M/1Y IR_SWAP/RATE/EUR/2D/1M/2Y IR_SWAP/RATE/EUR/2D/1M/3Y IR_SWAP/RATE/EUR/2D/1M/4Y IR_SWAP/RATE/EUR/2D/1M/5Y IR_SWAP/RATE/EUR/2D/1M/6Y IR_SWAP/RATE/EUR/2D/1M/7Y IR_SWAP/RATE/EUR/2D/1M/8Y IR_SWAP/RATE/EUR/2D/1M/9Y IR_SWAP/RATE/EUR/2D/1M/10Y IR_SWAP/RATE/EUR/2D/1M/12Y IR_SWAP/RATE/EUR/2D/1M/15Y IR_SWAP/RATE/EUR/2D/1M/20Y IR_SWAP/RATE/EUR/2D/1M/25Y IR_SWAP/RATE/EUR/2D/1M/30Y EUR-1M-SWAP-CONVENTIONS EUR1M USD1D USD discount curve bootstrapped from FED FUNDS swap rates USD USD1D Deposit MM/RATE/USD/0D/1D USD-FED-FUNDS-CONVENTIONS OIS IR_SWAP/RATE/USD/2D/1D/1M IR_SWAP/RATE/USD/2D/1D/3M IR_SWAP/RATE/USD/2D/1D/6M IR_SWAP/RATE/USD/2D/1D/9M IR_SWAP/RATE/USD/2D/1D/1Y IR_SWAP/RATE/USD/2D/1D/1Y3M IR_SWAP/RATE/USD/2D/1D/1Y6M IR_SWAP/RATE/USD/2D/1D/1Y9M 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/7Y 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 USD-OIS-CONVENTIONS Discount LogLinear A365 0.000000000001 USD3M USD USD1D Deposit MM/RATE/USD/2D/1W MM/RATE/USD/2D/1M MM/RATE/USD/2D/2M MM/RATE/USD/2D/3M USD-LIBOR-CONVENTIONS USD3M FRA FRA/RATE/USD/3M/3M FRA/RATE/USD/6M/3M FRA/RATE/USD/9M/3M FRA/RATE/USD/1Y/3M USD-3M-FRA-CONVENTIONS USD3M Swap IR_SWAP/RATE/USD/2D/3M/2Y IR_SWAP/RATE/USD/2D/3M/3Y IR_SWAP/RATE/USD/2D/3M/4Y IR_SWAP/RATE/USD/2D/3M/5Y IR_SWAP/RATE/USD/2D/3M/6Y IR_SWAP/RATE/USD/2D/3M/7Y IR_SWAP/RATE/USD/2D/3M/8Y IR_SWAP/RATE/USD/2D/3M/9Y IR_SWAP/RATE/USD/2D/3M/10Y IR_SWAP/RATE/USD/2D/3M/12Y IR_SWAP/RATE/USD/2D/3M/15Y IR_SWAP/RATE/USD/2D/3M/20Y IR_SWAP/RATE/USD/2D/3M/25Y IR_SWAP/RATE/USD/2D/3M/30Y USD-3M-SWAP-CONVENTIONS USD3M USD6M USD USD1D Deposit MM/RATE/USD/2D/1W MM/RATE/USD/2D/1M MM/RATE/USD/2D/2M MM/RATE/USD/2D/3M MM/RATE/USD/2D/6M USD-LIBOR-CONVENTIONS USD6M FRA FRA/RATE/USD/6M/6M FRA/RATE/USD/1Y/6M USD-6M-FRA-CONVENTIONS USD6M Tenor Basis Swap BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/2Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/3Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/4Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/5Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/6Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/7Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/8Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/9Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/10Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/12Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/15Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/20Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/25Y BASIS_SWAP/BASIS_SPREAD/3M/6M/USD/30Y USD-LIBOR-3M-6M-BASIS-CONVENTIONS USD6M USD3M USDBMA USD USD3M BMA Basis Swap BMA_SWAP/RATIO/USD/3M/3M BMA_SWAP/RATIO/USD/3M/1Y BMA_SWAP/RATIO/USD/3M/2Y BMA_SWAP/RATIO/USD/3M/3Y BMA_SWAP/RATIO/USD/3M/4Y BMA_SWAP/RATIO/USD/3M/5Y BMA_SWAP/RATIO/USD/3M/6Y BMA_SWAP/RATIO/USD/3M/7Y BMA_SWAP/RATIO/USD/3M/8Y BMA_SWAP/RATIO/USD/3M/9Y BMA_SWAP/RATIO/USD/3M/10Y BMA_SWAP/RATIO/USD/3M/12Y BMA_SWAP/RATIO/USD/3M/15Y BMA_SWAP/RATIO/USD/3M/20Y BMA_SWAP/RATIO/USD/3M/25Y BMA_SWAP/RATIO/USD/3M/30Y USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS USD3M GBP1D GBP GBP1D OIS IR_SWAP/RATE/GBP/0D/1D/1W IR_SWAP/RATE/GBP/0D/1D/2W IR_SWAP/RATE/GBP/0D/1D/1M IR_SWAP/RATE/GBP/0D/1D/2M IR_SWAP/RATE/GBP/0D/1D/3M IR_SWAP/RATE/GBP/0D/1D/4M IR_SWAP/RATE/GBP/0D/1D/5M IR_SWAP/RATE/GBP/0D/1D/6M IR_SWAP/RATE/GBP/0D/1D/7M IR_SWAP/RATE/GBP/0D/1D/8M IR_SWAP/RATE/GBP/0D/1D/9M IR_SWAP/RATE/GBP/0D/1D/10M IR_SWAP/RATE/GBP/0D/1D/11M IR_SWAP/RATE/GBP/0D/1D/12M IR_SWAP/RATE/GBP/0D/1D/2Y IR_SWAP/RATE/GBP/0D/1D/3Y IR_SWAP/RATE/GBP/0D/1D/4Y IR_SWAP/RATE/GBP/0D/1D/5Y IR_SWAP/RATE/GBP/0D/1D/6Y IR_SWAP/RATE/GBP/0D/1D/7Y IR_SWAP/RATE/GBP/0D/1D/8Y IR_SWAP/RATE/GBP/0D/1D/9Y IR_SWAP/RATE/GBP/0D/1D/10Y IR_SWAP/RATE/GBP/0D/1D/15Y IR_SWAP/RATE/GBP/0D/1D/20Y IR_SWAP/RATE/GBP/0D/1D/25Y IR_SWAP/RATE/GBP/0D/1D/30Y IR_SWAP/RATE/GBP/0D/1D/40Y IR_SWAP/RATE/GBP/0D/1D/50Y GBP-OIS-CONVENTIONS GBP1D GBP6M GBP GBP1D Deposit MM/RATE/GBP/0D/1W MM/RATE/GBP/0D/1M MM/RATE/GBP/0D/2M MM/RATE/GBP/0D/3M MM/RATE/GBP/0D/6M GBP-DEPOSIT GBP6M 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/1Y/6M GBP-6M-FRA GBP6M 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 GBP-6M-SWAP-CONVENTIONS GBP6M GBP3M GBP GBP1D Deposit MM/RATE/GBP/0D/1W MM/RATE/GBP/0D/1M MM/RATE/GBP/0D/2M MM/RATE/GBP/0D/3M GBP-DEPOSIT GBP3M Tenor Basis Swap BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/1Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/2Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/3Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/4Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/5Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/7Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/10Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/12Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/15Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/20Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/30Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/40Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/50Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/60Y BASIS_SWAP/BASIS_SPREAD/6M/3M/GBP/70Y GBP-LIBOR-3M-6M-BASIS-CONVENTIONS GBP6M SEK6M SEK Deposit MM/RATE/SEK/2D/1W MM/RATE/SEK/2D/1M MM/RATE/SEK/2D/2M MM/RATE/SEK/2D/3M MM/RATE/SEK/2D/6M SEK-STIBOR-CONVENTIONS SEK6M Swap IR_SWAP/RATE/SEK/2D/6M/2Y IR_SWAP/RATE/SEK/2D/6M/3Y IR_SWAP/RATE/SEK/2D/6M/4Y IR_SWAP/RATE/SEK/2D/6M/5Y IR_SWAP/RATE/SEK/2D/6M/6Y IR_SWAP/RATE/SEK/2D/6M/7Y IR_SWAP/RATE/SEK/2D/6M/8Y IR_SWAP/RATE/SEK/2D/6M/9Y IR_SWAP/RATE/SEK/2D/6M/10Y IR_SWAP/RATE/SEK/2D/6M/12Y IR_SWAP/RATE/SEK/2D/6M/15Y IR_SWAP/RATE/SEK/2D/6M/20Y IR_SWAP/RATE/SEK/2D/6M/25Y IR_SWAP/RATE/SEK/2D/6M/30Y SEK-6M-SWAP-CONVENTIONS SEK6M JPY1D JPY discount curve bootstrapped from MUTAN swap rates JPY JPY1D OIS IR_SWAP/RATE/JPY/2D/1D/1M IR_SWAP/RATE/JPY/2D/1D/2M IR_SWAP/RATE/JPY/2D/1D/3M IR_SWAP/RATE/JPY/2D/1D/4M IR_SWAP/RATE/JPY/2D/1D/5M IR_SWAP/RATE/JPY/2D/1D/6M IR_SWAP/RATE/JPY/2D/1D/9M IR_SWAP/RATE/JPY/2D/1D/1Y IR_SWAP/RATE/JPY/2D/1D/1Y6M IR_SWAP/RATE/JPY/2D/1D/2Y IR_SWAP/RATE/JPY/2D/1D/3Y IR_SWAP/RATE/JPY/2D/1D/4Y IR_SWAP/RATE/JPY/2D/1D/5Y IR_SWAP/RATE/JPY/2D/1D/7Y IR_SWAP/RATE/JPY/2D/1D/10Y IR_SWAP/RATE/JPY/2D/1D/12Y IR_SWAP/RATE/JPY/2D/1D/15Y IR_SWAP/RATE/JPY/2D/1D/20Y IR_SWAP/RATE/JPY/2D/1D/25Y IR_SWAP/RATE/JPY/2D/1D/30Y JPY-OIS-CONVENTIONS Discount LogLinear A365 0.000000000001 JPY6M JPY JPY1D Deposit MM/RATE/JPY/2D/1W MM/RATE/JPY/2D/1M MM/RATE/JPY/2D/2M MM/RATE/JPY/2D/3M JPY-LIBOR-CONVENTIONS JPY6M Swap IR_SWAP/RATE/JPY/2D/6M/2Y IR_SWAP/RATE/JPY/2D/6M/3Y IR_SWAP/RATE/JPY/2D/6M/4Y IR_SWAP/RATE/JPY/2D/6M/5Y IR_SWAP/RATE/JPY/2D/6M/6Y IR_SWAP/RATE/JPY/2D/6M/7Y IR_SWAP/RATE/JPY/2D/6M/8Y IR_SWAP/RATE/JPY/2D/6M/9Y IR_SWAP/RATE/JPY/2D/6M/10Y IR_SWAP/RATE/JPY/2D/6M/12Y IR_SWAP/RATE/JPY/2D/6M/15Y IR_SWAP/RATE/JPY/2D/6M/20Y IR_SWAP/RATE/JPY/2D/6M/25Y IR_SWAP/RATE/JPY/2D/6M/30Y JPY-LIBOR-6M-SWAP-CONVENTIONS JPY6M JPY3M JPY JPY1D Deposit MM/RATE/JPY/2D/1W MM/RATE/JPY/2D/1M MM/RATE/JPY/2D/2M MM/RATE/JPY/2D/3M JPY-Deposit JPY3M FRA FRA/RATE/JPY/3M/3M FRA/RATE/JPY/6M/3M FRA/RATE/JPY/9M/3M FRA/RATE/JPY/1Y/3M JPY-FRA JPY3M Swap IR_SWAP/RATE/JPY/2D/3M/2Y IR_SWAP/RATE/JPY/2D/3M/3Y IR_SWAP/RATE/JPY/2D/3M/4Y IR_SWAP/RATE/JPY/2D/3M/5Y IR_SWAP/RATE/JPY/2D/3M/6Y IR_SWAP/RATE/JPY/2D/3M/7Y IR_SWAP/RATE/JPY/2D/3M/8Y IR_SWAP/RATE/JPY/2D/3M/9Y IR_SWAP/RATE/JPY/2D/3M/10Y IR_SWAP/RATE/JPY/2D/3M/15Y IR_SWAP/RATE/JPY/2D/3M/20Y IR_SWAP/RATE/JPY/2D/3M/30Y JPY3M-Swap JPY3M JPY-IN-USD JPY collateralised in USD discount curve JPY FX Forward FXFWD/RATE/USD/JPY/1W FXFWD/RATE/USD/JPY/2W FXFWD/RATE/USD/JPY/3W FXFWD/RATE/USD/JPY/1M FXFWD/RATE/USD/JPY/2M FXFWD/RATE/USD/JPY/3M FXFWD/RATE/USD/JPY/4M FXFWD/RATE/USD/JPY/5M FXFWD/RATE/USD/JPY/6M FXFWD/RATE/USD/JPY/7M FXFWD/RATE/USD/JPY/8M FXFWD/RATE/USD/JPY/9M FXFWD/RATE/USD/JPY/10M FXFWD/RATE/USD/JPY/11M FXFWD/RATE/USD/JPY/12M USD-JPY-FX-CONVENTIONS USD1D FX/RATE/USD/JPY Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/11Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/13Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/14Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/JPY/3M/20Y USD-JPY-XCCY-BASIS-CONVENTIONS USD1D FX/RATE/USD/JPY JPY3M USD3M Discount LogLinear A365 0.000000000001 SEK3M SEK Deposit MM/RATE/SEK/2D/1W MM/RATE/SEK/2D/1M MM/RATE/SEK/2D/2M MM/RATE/SEK/2D/3M SEK-STIBOR-CONVENTIONS SEK3M Swap IR_SWAP/RATE/SEK/2D/3M/1Y IR_SWAP/RATE/SEK/2D/3M/2Y IR_SWAP/RATE/SEK/2D/3M/3Y IR_SWAP/RATE/SEK/2D/3M/4Y IR_SWAP/RATE/SEK/2D/3M/5Y IR_SWAP/RATE/SEK/2D/3M/6Y IR_SWAP/RATE/SEK/2D/3M/7Y IR_SWAP/RATE/SEK/2D/3M/8Y IR_SWAP/RATE/SEK/2D/3M/9Y IR_SWAP/RATE/SEK/2D/3M/10Y IR_SWAP/RATE/SEK/2D/3M/12Y IR_SWAP/RATE/SEK/2D/3M/15Y IR_SWAP/RATE/SEK/2D/3M/20Y IR_SWAP/RATE/SEK/2D/3M/25Y IR_SWAP/RATE/SEK/2D/3M/30Y SEK-3M-SWAP-CONVENTIONS SEK3M DKK3M DKK Deposit MM/RATE/DKK/2D/1M MM/RATE/DKK/2D/2M MM/RATE/DKK/2D/3M DKK-LIBOR-CONVENTIONS DKK3M FRA FRA/RATE/DKK/1M/2M FRA/RATE/DKK/2M/3M FRA/RATE/DKK/3M/4M FRA/RATE/DKK/4M/5M FRA/RATE/DKK/5M/6M FRA/RATE/DKK/6M/7M DKK-3M-FRA-CONVENTIONS DKK3M Swap IR_SWAP/RATE/DKK/2D/3M/2Y IR_SWAP/RATE/DKK/2D/3M/3Y IR_SWAP/RATE/DKK/2D/3M/4Y IR_SWAP/RATE/DKK/2D/3M/5Y IR_SWAP/RATE/DKK/2D/3M/6Y IR_SWAP/RATE/DKK/2D/3M/7Y IR_SWAP/RATE/DKK/2D/3M/8Y IR_SWAP/RATE/DKK/2D/3M/9Y IR_SWAP/RATE/DKK/2D/3M/10Y IR_SWAP/RATE/DKK/2D/3M/12Y IR_SWAP/RATE/DKK/2D/3M/15Y IR_SWAP/RATE/DKK/2D/3M/20Y IR_SWAP/RATE/DKK/2D/3M/25Y IR_SWAP/RATE/DKK/2D/3M/30Y DKK-3M-SWAP-CONVENTIONS DKK3M EUR-IN-USD EUR collateralized in USD discount curve EUR FX Forward FXFWD/RATE/EUR/USD/3M FXFWD/RATE/EUR/USD/6M FXFWD/RATE/EUR/USD/9M FXFWD/RATE/EUR/USD/12M EUR-USD-FX-CONVENTIONS USD1D FX/RATE/EUR/USD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/50Y EUR-USD-XCCY-BASIS-CONVENTIONS USD1D FX/RATE/EUR/USD EUR3M USD3M Discount LogLinear A365 0.000000000001 GBP-IN-USD GBP collateralized in USD discount curve GBP FX Forward FXFWD/RATE/USD/GBP/3M FXFWD/RATE/USD/GBP/6M FXFWD/RATE/USD/GBP/9M FXFWD/RATE/USD/GBP/1Y USD-GBP-FX-CONVENTIONS USD1D FX/RATE/USD/GBP Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/GBP/3M/50Y USD-GBP-XCCY-BASIS-CONVENTIONS USD1D FX/RATE/USD/GBP GBP3M USD3M Discount LogLinear A365 0.000000000001 CHF-IN-USD CHF collateralized in USD discount curve CHF FX Forward FXFWD/RATE/USD/CHF/3M FXFWD/RATE/USD/CHF/6M FXFWD/RATE/USD/CHF/9M FXFWD/RATE/USD/CHF/1Y USD-CHF-FX-CONVENTIONS USD1D FX/RATE/USD/CHF Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/30Y USD-CHF-XCCY-BASIS-CONVENTIONS USD1D FX/RATE/USD/CHF CHF3M USD3M Discount LogLinear A365 0.000000000001 USD-IN-EUR USD collateralized in EUR discount curve USD FX Forward FXFWD/RATE/EUR/USD/3M FXFWD/RATE/EUR/USD/6M FXFWD/RATE/EUR/USD/9M FXFWD/RATE/EUR/USD/12M EUR-USD-FX-CONVENTIONS EUR1D FX/RATE/EUR/USD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/50Y EUR-USD-XCCY-BASIS-CONVENTIONS EUR1D FX/RATE/EUR/USD USD3M EUR3M Discount LogLinear A365 0.000000000001 TWD-IN-USD TWD collateralized in USD discount curve TWD FX Forward FXFWD/RATE/USD/TWD/1W FXFWD/RATE/USD/TWD/2W FXFWD/RATE/USD/TWD/3W FXFWD/RATE/USD/TWD/1M FXFWD/RATE/USD/TWD/2M FXFWD/RATE/USD/TWD/3M FXFWD/RATE/USD/TWD/4M FXFWD/RATE/USD/TWD/5M FXFWD/RATE/USD/TWD/6M FXFWD/RATE/USD/TWD/9M FXFWD/RATE/USD/TWD/1Y FXFWD/RATE/USD/TWD/2Y FXFWD/RATE/USD/TWD/3Y FXFWD/RATE/USD/TWD/4Y FXFWD/RATE/USD/TWD/5Y TWD-USD-FX-CONVENTIONS USD1D FX/RATE/USD/TWD Discount LogLinear A365 0.000000000001 KRW-IN-USD KRW collateralized in USD discount curve KRW FX Forward FXFWD/RATE/USD/KRW/1W FXFWD/RATE/USD/KRW/2W FXFWD/RATE/USD/KRW/3W FXFWD/RATE/USD/KRW/1M FXFWD/RATE/USD/KRW/2M FXFWD/RATE/USD/KRW/3M FXFWD/RATE/USD/KRW/4M FXFWD/RATE/USD/KRW/5M FXFWD/RATE/USD/KRW/6M FXFWD/RATE/USD/KRW/9M FXFWD/RATE/USD/KRW/1Y FXFWD/RATE/USD/KRW/2Y FXFWD/RATE/USD/KRW/3Y FXFWD/RATE/USD/KRW/4Y FXFWD/RATE/USD/KRW/5Y KRW-USD-FX-CONVENTIONS USD1D FX/RATE/USD/KRW Discount LogLinear A365 0.000000000001 BRL-IN-USD BRL collateralized in USD discount curve BRL FX Forward BRL-USD-FX-CONVENTIONS USD1D FX/RATE/USD/BRL Discount LogLinear A365 0.000000000001 INR-IN-USD INR collateralized in USD discount curve INR FX Forward FXFWD/RATE/USD/INR/1W FXFWD/RATE/USD/INR/1M FXFWD/RATE/USD/INR/2M FXFWD/RATE/USD/INR/3M FXFWD/RATE/USD/INR/6M FXFWD/RATE/USD/INR/9M FXFWD/RATE/USD/INR/1Y FXFWD/RATE/USD/INR/2Y FXFWD/RATE/USD/INR/3Y FXFWD/RATE/USD/INR/4Y FXFWD/RATE/USD/INR/5Y INR-USD-FX-CONVENTIONS USD1D FX/RATE/USD/INR Discount LogLinear A365 0.000000000001 CLP-IN-USD CLP collateralized in USD discount curve CLP FX Forward CLP-USD-FX-CONVENTIONS USD1D FX/RATE/USD/CLP Discount LogLinear A365 0.000000000001 IDR-IN-USD IDR collateralized in USD discount curve IDR FX Forward FXFWD/RATE/USD/IDR/1W FXFWD/RATE/USD/IDR/2W FXFWD/RATE/USD/IDR/3W FXFWD/RATE/USD/IDR/1M FXFWD/RATE/USD/IDR/2M FXFWD/RATE/USD/IDR/3M FXFWD/RATE/USD/IDR/4M FXFWD/RATE/USD/IDR/5M FXFWD/RATE/USD/IDR/6M FXFWD/RATE/USD/IDR/9M FXFWD/RATE/USD/IDR/1Y FXFWD/RATE/USD/IDR/2Y FXFWD/RATE/USD/IDR/3Y FXFWD/RATE/USD/IDR/4Y FXFWD/RATE/USD/IDR/5Y IDR-USD-FX-CONVENTIONS USD1D FX/RATE/USD/IDR Discount LogLinear A365 0.000000000001 CNY-IN-USD CNY collateralized in USD discount curve CNY FX Forward FXFWD/RATE/USD/CNY/1W FXFWD/RATE/USD/CNY/2W FXFWD/RATE/USD/CNY/3W FXFWD/RATE/USD/CNY/1M FXFWD/RATE/USD/CNY/2M FXFWD/RATE/USD/CNY/3M FXFWD/RATE/USD/CNY/4M FXFWD/RATE/USD/CNY/5M FXFWD/RATE/USD/CNY/6M FXFWD/RATE/USD/CNY/9M FXFWD/RATE/USD/CNY/1Y FXFWD/RATE/USD/CNY/2Y FXFWD/RATE/USD/CNY/3Y FXFWD/RATE/USD/CNY/4Y FXFWD/RATE/USD/CNY/5Y CNY-USD-FX-CONVENTIONS USD1D FX/RATE/USD/CNY Discount LogLinear A365 0.000000000001 MYR-IN-USD MYR collateralized in USD discount curve MYR FX Forward FXFWD/RATE/USD/MYR/1W FXFWD/RATE/USD/MYR/2W FXFWD/RATE/USD/MYR/3W FXFWD/RATE/USD/MYR/1M FXFWD/RATE/USD/MYR/2M FXFWD/RATE/USD/MYR/3M FXFWD/RATE/USD/MYR/4M FXFWD/RATE/USD/MYR/5M FXFWD/RATE/USD/MYR/6M FXFWD/RATE/USD/MYR/9M FXFWD/RATE/USD/MYR/1Y FXFWD/RATE/USD/MYR/2Y FXFWD/RATE/USD/MYR/3Y FXFWD/RATE/USD/MYR/4Y FXFWD/RATE/USD/MYR/5Y MYR-USD-FX-CONVENTIONS USD1D FX/RATE/USD/MYR Discount LogLinear A365 0.000000000001 PHP-IN-USD PHP collateralized in USD discount curve PHP FX Forward FXFWD/RATE/USD/PHP/1W FXFWD/RATE/USD/PHP/2W FXFWD/RATE/USD/PHP/3W FXFWD/RATE/USD/PHP/1M FXFWD/RATE/USD/PHP/2M FXFWD/RATE/USD/PHP/3M FXFWD/RATE/USD/PHP/4M FXFWD/RATE/USD/PHP/5M FXFWD/RATE/USD/PHP/6M FXFWD/RATE/USD/PHP/9M FXFWD/RATE/USD/PHP/1Y FXFWD/RATE/USD/PHP/2Y FXFWD/RATE/USD/PHP/3Y FXFWD/RATE/USD/PHP/4Y FXFWD/RATE/USD/PHP/5Y PHP-USD-FX-CONVENTIONS USD1D FX/RATE/USD/PHP Discount LogLinear A365 0.000000000001 GBP-IN-EUR GBP collateralized in EUR discount curve GBP FX Forward FXFWD/RATE/EUR/GBP/3M FXFWD/RATE/EUR/GBP/6M FXFWD/RATE/EUR/GBP/9M FXFWD/RATE/EUR/GBP/12M EUR-GBP-FX-CONVENTIONS EUR1D FX/RATE/EUR/GBP 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/7Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/10Y 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 CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/40Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/GBP/3M/50Y EUR-GBP-XCCY-BASIS-CONVENTIONS EUR1D FX/RATE/EUR/GBP GBP3M EUR3M Discount LogLinear A365 0.000000000001 CHF-IN-EUR CHF collateralized in EUR discount curve CHF FX Forward FXFWD/RATE/EUR/CHF/3M FXFWD/RATE/EUR/CHF/6M EUR-CHF-FX-CONVENTIONS EUR1D FX/RATE/EUR/CHF Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/2Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/3Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/4Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/5Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/7Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/10Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/15Y CC_BASIS_SWAP/BASIS_SPREAD/EUR/3M/CHF/3M/20Y EUR-CHF-XCCY-BASIS-CONVENTIONS EUR1D FX/RATE/EUR/CHF CHF3M EUR3M Discount LogLinear A365 0.000000000001 EURBMB EUR BM Bond Curve EUR FittedBond BOND/PRICE/SECURITY_2 BOND/PRICE/SECURITY_3 BOND/PRICE/SECURITY_4 BOND/PRICE/SECURITY_5 EUR6M true NelsonSiegel A365 true 0.1 0.5 false 20 BENCHMARK_EUR Bond benchmark curve in EUR EUR Zero Spread ZERO/YIELD_SPREAD/EUR/BENCHMARK_EUR/A365/5Y ZERO/YIELD_SPREAD/EUR/BENCHMARK_EUR/A365/10Y EUR-ZERO-CONVENTIONS-TENOR-BASED EUR1D BOND_YIELD_EUR Bond yield curve EUR EUR Zero ZERO/RATE/EUR/BOND_YIELD_EUR/A365/5Y ZERO/RATE/EUR/BOND_YIELD_EUR/A365/10Y EUR-ZERO-CONVENTIONS-TENOR-BASED BANK_EUR_BORROW BANK's average borrowing spread in EUR EUR Zero Spread ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/2Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/5Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/10Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/20Y EUR-ZERO-CONVENTIONS-TENOR-BASED EUR1D BANK_EUR_LEND BANK's average lending spread in EUR EUR Zero Spread ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/5Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y EUR-ZERO-CONVENTIONS-TENOR-BASED EUR1D USCPI_ZC_Swaps Estimation Curve for USCPI Yield/USD/USD1D ZC ZC_INFLATIONSWAP/RATE/USCPI/1Y ZC_INFLATIONSWAP/RATE/USCPI/2Y ZC_INFLATIONSWAP/RATE/USCPI/3Y ZC_INFLATIONSWAP/RATE/USCPI/4Y ZC_INFLATIONSWAP/RATE/USCPI/5Y ZC_INFLATIONSWAP/RATE/USCPI/6Y ZC_INFLATIONSWAP/RATE/USCPI/7Y ZC_INFLATIONSWAP/RATE/USCPI/8Y ZC_INFLATIONSWAP/RATE/USCPI/9Y ZC_INFLATIONSWAP/RATE/USCPI/10Y ZC_INFLATIONSWAP/RATE/USCPI/12Y ZC_INFLATIONSWAP/RATE/USCPI/15Y ZC_INFLATIONSWAP/RATE/USCPI/20Y ZC_INFLATIONSWAP/RATE/USCPI/25Y ZC_INFLATIONSWAP/RATE/USCPI/30Y ZC_INFLATIONSWAP/RATE/USCPI/40Y USCPI_INFLATIONSWAP true US ACT 3M Monthly 0.01 0.000000000001 20160101 Monthly SEASONALITY/RATE/MULT/USCPI/JAN SEASONALITY/RATE/MULT/USCPI/FEB SEASONALITY/RATE/MULT/USCPI/MAR SEASONALITY/RATE/MULT/USCPI/APR SEASONALITY/RATE/MULT/USCPI/MAY SEASONALITY/RATE/MULT/USCPI/JUN SEASONALITY/RATE/MULT/USCPI/JUL SEASONALITY/RATE/MULT/USCPI/AUG SEASONALITY/RATE/MULT/USCPI/SEP SEASONALITY/RATE/MULT/USCPI/OCT SEASONALITY/RATE/MULT/USCPI/NOV SEASONALITY/RATE/MULT/USCPI/DEC EUHICP_ZC_Swaps Estimation Curve for EUHICP Yield/EUR/EUR1D ZC ZC_INFLATIONSWAP/RATE/EUHICP/1Y ZC_INFLATIONSWAP/RATE/EUHICP/2Y ZC_INFLATIONSWAP/RATE/EUHICP/3Y ZC_INFLATIONSWAP/RATE/EUHICP/4Y ZC_INFLATIONSWAP/RATE/EUHICP/5Y ZC_INFLATIONSWAP/RATE/EUHICP/6Y ZC_INFLATIONSWAP/RATE/EUHICP/7Y ZC_INFLATIONSWAP/RATE/EUHICP/8Y ZC_INFLATIONSWAP/RATE/EUHICP/9Y ZC_INFLATIONSWAP/RATE/EUHICP/10Y ZC_INFLATIONSWAP/RATE/EUHICP/12Y ZC_INFLATIONSWAP/RATE/EUHICP/15Y ZC_INFLATIONSWAP/RATE/EUHICP/20Y ZC_INFLATIONSWAP/RATE/EUHICP/25Y ZC_INFLATIONSWAP/RATE/EUHICP/30Y EUHICP_INFLATIONSWAP true TARGET ACT 3M Monthly 0.01 0.000000000001 EUHICPXT_ZC_Swaps Estimation Curve for EUCPI Yield/EUR/EUR1D 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 ACT 3M Monthly 0.01 0.000000000001 20160101 Monthly SEASONALITY/RATE/MULT/EUHICPXT/JAN SEASONALITY/RATE/MULT/EUHICPXT/FEB SEASONALITY/RATE/MULT/EUHICPXT/MAR SEASONALITY/RATE/MULT/EUHICPXT/APR SEASONALITY/RATE/MULT/EUHICPXT/MAY SEASONALITY/RATE/MULT/EUHICPXT/JUN SEASONALITY/RATE/MULT/EUHICPXT/JUL SEASONALITY/RATE/MULT/EUHICPXT/AUG SEASONALITY/RATE/MULT/EUHICPXT/SEP SEASONALITY/RATE/MULT/EUHICPXT/OCT SEASONALITY/RATE/MULT/EUHICPXT/NOV SEASONALITY/RATE/MULT/EUHICPXT/DEC EUHICPXT_YY_Swaps Estimation Curve for EUCPI YoY Yield/EUR/EUR1D 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 20160101 Monthly SEASONALITY/RATE/MULT/EUHICPXT/JAN SEASONALITY/RATE/MULT/EUHICPXT/FEB SEASONALITY/RATE/MULT/EUHICPXT/MAR SEASONALITY/RATE/MULT/EUHICPXT/APR SEASONALITY/RATE/MULT/EUHICPXT/MAY SEASONALITY/RATE/MULT/EUHICPXT/JUN SEASONALITY/RATE/MULT/EUHICPXT/JUL SEASONALITY/RATE/MULT/EUHICPXT/AUG SEASONALITY/RATE/MULT/EUHICPXT/SEP SEASONALITY/RATE/MULT/EUHICPXT/OCT SEASONALITY/RATE/MULT/EUHICPXT/NOV SEASONALITY/RATE/MULT/EUHICPXT/DEC FRHICP_ZC_Swaps Estimation Curve for FRHICP Yield/EUR/EUR1D ZC ZC_INFLATIONSWAP/RATE/FRHICP/1Y ZC_INFLATIONSWAP/RATE/FRHICP/2Y ZC_INFLATIONSWAP/RATE/FRHICP/3Y ZC_INFLATIONSWAP/RATE/FRHICP/4Y ZC_INFLATIONSWAP/RATE/FRHICP/5Y ZC_INFLATIONSWAP/RATE/FRHICP/6Y ZC_INFLATIONSWAP/RATE/FRHICP/7Y ZC_INFLATIONSWAP/RATE/FRHICP/8Y ZC_INFLATIONSWAP/RATE/FRHICP/9Y ZC_INFLATIONSWAP/RATE/FRHICP/10Y ZC_INFLATIONSWAP/RATE/FRHICP/12Y ZC_INFLATIONSWAP/RATE/FRHICP/15Y ZC_INFLATIONSWAP/RATE/FRHICP/20Y ZC_INFLATIONSWAP/RATE/FRHICP/25Y ZC_INFLATIONSWAP/RATE/FRHICP/30Y FRHICP_INFLATIONSWAP true TARGET ACT 3M Monthly 0.01 0.000000000001 UKRPI_ZC_Swaps Estimation Curve for UKRPI Yield/GBP/GBP1D 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 ZC_INFLATIONSWAP/RATE/UKRPI/40Y UKRPI_INFLATIONSWAP true UK ACT 2M Monthly 0.01 0.000000000001 20160101 Monthly SEASONALITY/RATE/MULT/UKRPI/JAN SEASONALITY/RATE/MULT/UKRPI/FEB SEASONALITY/RATE/MULT/UKRPI/MAR SEASONALITY/RATE/MULT/UKRPI/APR SEASONALITY/RATE/MULT/UKRPI/MAY SEASONALITY/RATE/MULT/UKRPI/JUN SEASONALITY/RATE/MULT/UKRPI/JUL SEASONALITY/RATE/MULT/UKRPI/AUG SEASONALITY/RATE/MULT/UKRPI/SEP SEASONALITY/RATE/MULT/UKRPI/OCT SEASONALITY/RATE/MULT/UKRPI/NOV SEASONALITY/RATE/MULT/UKRPI/DEC ZACPI_ZC_Swaps Estimation Curve for ZACPI Yield/EUR/EUR1D ZC ZC_INFLATIONSWAP/RATE/ZACPI/1Y ZC_INFLATIONSWAP/RATE/ZACPI/2Y ZC_INFLATIONSWAP/RATE/ZACPI/3Y ZC_INFLATIONSWAP/RATE/ZACPI/4Y ZC_INFLATIONSWAP/RATE/ZACPI/5Y ZC_INFLATIONSWAP/RATE/ZACPI/6Y ZC_INFLATIONSWAP/RATE/ZACPI/7Y ZC_INFLATIONSWAP/RATE/ZACPI/8Y ZC_INFLATIONSWAP/RATE/ZACPI/9Y ZC_INFLATIONSWAP/RATE/ZACPI/10Y ZC_INFLATIONSWAP/RATE/ZACPI/12Y ZC_INFLATIONSWAP/RATE/ZACPI/15Y ZC_INFLATIONSWAP/RATE/ZACPI/20Y ZC_INFLATIONSWAP/RATE/ZACPI/25Y ZC_INFLATIONSWAP/RATE/ZACPI/30Y ZACPI_INFLATIONSWAP true ZAR ACT 3M Monthly 0.01 0.000000000001 EUHICPXT_ZC_CF EUHICPXT CPI Cap/Floor vol surface derived from price quotes ZC Price Lognormal Y ACT TARGET MF 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,30Y -0.02,-0.01,-0.005,0.00,0.01,0.015,0.02,0.025,0.03 EUHICPXT Inflation/EUHICPXT/EUHICPXT_ZC_Swaps false 3M Yield/EUR/EUR1D UKRPI_ZC_CF UKRPI CPI Cap/Floor vol surface derived from price quotes ZC Price Lognormal Y Actual/365 (Fixed) GBP Following 2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y -0.03,-0.02,-0.015,-0.01,-0.005,0.00,0.005,0.01,0.015,0.02,0.025,0.03 UKRPI Inflation/UKRPI/UKRPI_ZC_Swaps false 2M Yield/GBP/GBP1D USCPI_ZC_CF Price Surface ZC CapFloor USCPI ZC Price Lognormal Y ACT US MF 1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,30Y -0.02,-0.015,-0.01,-0.005,0.00,0.01,0.015,0.02,0.025,0.03 USCPI Inflation/USCPI/USCPI_ZC_Swaps false 3M Yield/USD/USD1D EUHICPXT_YY_CF_N EUR normal cap floor volatilities YY Volatility Normal TRUE Actual/365 (Fixed) TARGET Following 2Y,5Y,7Y,10Y,15Y,20Y -0.02,-0.01,0,0.01,0.02,0.03 EUHICPXT Inflation/EUHICPXT/EUHICPXT_YY_Swaps false 3M Yield/EUR/EUR1D SP5 SP 500 equity price projection curve USD USD1D DividendYield EQUITY/PRICE/SP5/USD EQUITY_DIVIDEND/RATE/SP5/USD/3M EQUITY_DIVIDEND/RATE/SP5/USD/20160915 EQUITY_DIVIDEND/RATE/SP5/USD/1Y EQUITY_DIVIDEND/RATE/SP5/USD/20170915 A365 Zero Linear SP5E SP 500 equity price projection curve EUR EUR1D DividendYield EQUITY/PRICE/SP5/USD EQUITY_DIVIDEND/RATE/SP5/USD/3M EQUITY_DIVIDEND/RATE/SP5/USD/20160915 EQUITY_DIVIDEND/RATE/SP5/USD/1Y EQUITY_DIVIDEND/RATE/SP5/USD/20170915 A365 Zero Linear Lufthansa Lufthansa equity price projection curve EUR EUR1D ForwardPrice EQUITY/PRICE/Lufthansa/EUR EQUITY_FWD/PRICE/Lufthansa/EUR/2016-06-16 EQUITY_FWD/PRICE/Lufthansa/EUR/6M EQUITY_FWD/PRICE/Lufthansa/EUR/2017-06-16 EQUITY_FWD/PRICE/Lufthansa/EUR/2Y A365 SX5E EUR EUR1D ForwardPrice EQUITY/PRICE/SX5E/EUR EQUITY_FWD/PRICE/SX5E/EUR/6M A365 FTSE GBP GBP1D ForwardPrice EQUITY/PRICE/FTSE/GBP EQUITY_FWD/PRICE/FTSE/GBP/6M A365 SPX USD USD1D ForwardPrice EQUITY/PRICE/SPX/USD EQUITY_FWD/PRICE/SPX/USD/6M A365 SP5 Lognormal option implied vols for SP 500 USD ATM 6M Lufthansa EUR ATM 2016-06-15 SX5E EUR ATM 6M FTSE GBP ATM 6M SPX Lognormal option implied vols for SP 500 USD ATM 6M SECURITY_1 Security BOND/YIELD_SPREAD/SECURITY_1 RECOVERY_RATE/RATE/SECURITY_1 SECURITY_2 Security BOND/YIELD_SPREAD/SECURITY_2 RECOVERY_RATE/RATE/SECURITY_2 SECURITY_3 Security BOND/YIELD_SPREAD/SECURITY_3 RECOVERY_RATE/RATE/SECURITY_3 ISIN:XS0983610930 Security BOND/YIELD_SPREAD/ISIN:XS0983610930 CPR/RATE/ISIN:XS0983610930 GOLD_USD Gold USD price curve USD COMMODITY/PRICE/GOLD/USD COMMODITY_FWD/PRICE/GOLD/USD/2016-02-29 COMMODITY_FWD/PRICE/GOLD/USD/2016-03-31 COMMODITY_FWD/PRICE/GOLD/USD/2016-04-29 COMMODITY_FWD/PRICE/GOLD/USD/2016-06-30 COMMODITY_FWD/PRICE/GOLD/USD/2016-08-31 COMMODITY_FWD/PRICE/GOLD/USD/2016-10-31 COMMODITY_FWD/PRICE/GOLD/USD/2016-12-30 COMMODITY_FWD/PRICE/GOLD/USD/2017-02-28 COMMODITY_FWD/PRICE/GOLD/USD/2017-04-28 COMMODITY_FWD/PRICE/GOLD/USD/2017-06-30 COMMODITY_FWD/PRICE/GOLD/USD/2017-08-31 COMMODITY_FWD/PRICE/GOLD/USD/2017-10-31 COMMODITY_FWD/PRICE/GOLD/USD/2017-12-29 COMMODITY_FWD/PRICE/GOLD/USD/2018-06-29 COMMODITY_FWD/PRICE/GOLD/USD/2018-12-31 COMMODITY_FWD/PRICE/GOLD/USD/2019-06-28 COMMODITY_FWD/PRICE/GOLD/USD/2019-12-31 COMMODITY_FWD/PRICE/GOLD/USD/2020-06-30 COMMODITY_FWD/PRICE/GOLD/USD/2020-12-31 COMMODITY_FWD/PRICE/GOLD/USD/2021-06-30 COMMODITY_FWD/PRICE/GOLD/USD/2021-12-31 A365 Linear true WTI_USD WTI USD price curve USD COMMODITY/PRICE/WTI/USD COMMODITY_FWD/PRICE/WTI/USD/2016-03-31 COMMODITY_FWD/PRICE/WTI/USD/2016-04-30 COMMODITY_FWD/PRICE/WTI/USD/2016-05-31 COMMODITY_FWD/PRICE/WTI/USD/2016-06-30 COMMODITY_FWD/PRICE/WTI/USD/2016-07-31 COMMODITY_FWD/PRICE/WTI/USD/2016-08-31 COMMODITY_FWD/PRICE/WTI/USD/2016-09-30 COMMODITY_FWD/PRICE/WTI/USD/2016-10-31 COMMODITY_FWD/PRICE/WTI/USD/2016-11-30 COMMODITY_FWD/PRICE/WTI/USD/2016-12-31 COMMODITY_FWD/PRICE/WTI/USD/2017-01-31 COMMODITY_FWD/PRICE/WTI/USD/2017-02-28 COMMODITY_FWD/PRICE/WTI/USD/2017-03-31 COMMODITY_FWD/PRICE/WTI/USD/2017-04-30 COMMODITY_FWD/PRICE/WTI/USD/2017-05-31 COMMODITY_FWD/PRICE/WTI/USD/2017-06-30 COMMODITY_FWD/PRICE/WTI/USD/2017-07-31 COMMODITY_FWD/PRICE/WTI/USD/2017-08-31 COMMODITY_FWD/PRICE/WTI/USD/2017-09-30 COMMODITY_FWD/PRICE/WTI/USD/2017-10-31 COMMODITY_FWD/PRICE/WTI/USD/2017-11-30 COMMODITY_FWD/PRICE/WTI/USD/2017-12-31 COMMODITY_FWD/PRICE/WTI/USD/2018-01-31 COMMODITY_FWD/PRICE/WTI/USD/2018-02-28 COMMODITY_FWD/PRICE/WTI/USD/2018-03-31 COMMODITY_FWD/PRICE/WTI/USD/2018-04-30 COMMODITY_FWD/PRICE/WTI/USD/2018-05-31 COMMODITY_FWD/PRICE/WTI/USD/2018-06-30 COMMODITY_FWD/PRICE/WTI/USD/2018-07-31 COMMODITY_FWD/PRICE/WTI/USD/2018-08-31 COMMODITY_FWD/PRICE/WTI/USD/2018-09-30 COMMODITY_FWD/PRICE/WTI/USD/2018-10-31 COMMODITY_FWD/PRICE/WTI/USD/2018-11-30 COMMODITY_FWD/PRICE/WTI/USD/2018-12-31 COMMODITY_FWD/PRICE/WTI/USD/2019-01-31 COMMODITY_FWD/PRICE/WTI/USD/2019-02-28 COMMODITY_FWD/PRICE/WTI/USD/2019-03-31 COMMODITY_FWD/PRICE/WTI/USD/2019-04-30 COMMODITY_FWD/PRICE/WTI/USD/2019-05-31 COMMODITY_FWD/PRICE/WTI/USD/2019-06-30 COMMODITY_FWD/PRICE/WTI/USD/2019-07-31 COMMODITY_FWD/PRICE/WTI/USD/2019-08-31 COMMODITY_FWD/PRICE/WTI/USD/2019-09-30 COMMODITY_FWD/PRICE/WTI/USD/2019-10-31 COMMODITY_FWD/PRICE/WTI/USD/2019-11-30 COMMODITY_FWD/PRICE/WTI/USD/2019-12-31 COMMODITY_FWD/PRICE/WTI/USD/2020-01-31 COMMODITY_FWD/PRICE/WTI/USD/2020-02-29 COMMODITY_FWD/PRICE/WTI/USD/2020-03-31 COMMODITY_FWD/PRICE/WTI/USD/2020-04-30 COMMODITY_FWD/PRICE/WTI/USD/2020-05-31 COMMODITY_FWD/PRICE/WTI/USD/2020-06-30 COMMODITY_FWD/PRICE/WTI/USD/2020-07-31 COMMODITY_FWD/PRICE/WTI/USD/2020-08-31 COMMODITY_FWD/PRICE/WTI/USD/2020-09-30 COMMODITY_FWD/PRICE/WTI/USD/2020-10-31 COMMODITY_FWD/PRICE/WTI/USD/2020-11-30 COMMODITY_FWD/PRICE/WTI/USD/2020-12-31 COMMODITY_FWD/PRICE/WTI/USD/2021-01-31 COMMODITY_FWD/PRICE/WTI/USD/2021-02-28 COMMODITY_FWD/PRICE/WTI/USD/2021-03-31 COMMODITY_FWD/PRICE/WTI/USD/2021-04-30 COMMODITY_FWD/PRICE/WTI/USD/2021-05-31 COMMODITY_FWD/PRICE/WTI/USD/2021-06-30 COMMODITY_FWD/PRICE/WTI/USD/2021-07-31 COMMODITY_FWD/PRICE/WTI/USD/2021-08-31 COMMODITY_FWD/PRICE/WTI/USD/2021-09-30 COMMODITY_FWD/PRICE/WTI/USD/2021-10-31 COMMODITY_FWD/PRICE/WTI/USD/2021-11-30 COMMODITY_FWD/PRICE/WTI/USD/2021-12-31 COMMODITY_FWD/PRICE/WTI/USD/2022-06-30 COMMODITY_FWD/PRICE/WTI/USD/2022-12-31 COMMODITY_FWD/PRICE/WTI/USD/2023-06-30 COMMODITY_FWD/PRICE/WTI/USD/2023-12-31 COMMODITY_FWD/PRICE/WTI/USD/2024-06-30 COMMODITY_FWD/PRICE/WTI/USD/2024-12-31 A365 Linear true GOLD_USD_VOLS USD COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/5Y/ATM/AtmFwd COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/10Y/ATM/AtmFwd Linear Flat A365 USD WTI_USD_VOLS USD 30.0,35.0,40.0,45.0,50.0,55.0,60.0 1Y,5Y,10Y Linear Linear true Flat Flat A365 USD EUR-CORR EUR CMS correlations CMSSpread EUR-CMS-10Y EUR-CMS-2Y EUR ATM RATE true Actual/365 (Fixed) TARGET Following 1Y,2Y USD-CORR USD CMS correlations CMSSpread USD-CMS-10Y USD-CMS-1Y USD Constant RATE true Actual/365 (Fixed) TARGET Following 1Y CPTY_A Lognormal option implied vols for CPTY_A 1M,3M,6M,1Y,2Y,3Y,4Y,5Y CDXIG Lognormal option implied vols for CDX IG 1M,3M,6M CDXIG CDX IG Bbase correlations 1D 0.03, 0.06, 0.10, 0.20, 1.0 0 US F A365 Y