AUD
USD
EUR
Forward Curve
3m 4.690 3mFut 95.310 3mFut 95.230 3mFut 95.290 3mFut 95.440 3Y 4.120 5Y 4.180 10Y 4.380 15Y 4.500
+
-
+
-
OIS Curve
Spread to
Forward Curve
1y 11.000 2y 11.000 3y 11.000 5y 11.000 10y 11.000 20y 11.000
Funding Curve
Spread to
Forward Curve
1y 75.000 2y 75.000 3y 75.000 5y 90.000 10y 100.000 20y 100.000
Price
Portfolio
Product Size Start End PayRecBuySell Coupon Spread FixBasis FloatBasis Fixed Float Call LongShort Expiry Discount IRS 100 0d 5y PAY 0.05 0.00 ACT/365 ACT/365 S S N N 1y OIS IRS 20 0d 2y PAY 0.05 0.00 ACT/365 ACT/365 S S N N 1y FUND IRS 10 0d 4y REC 0.05 0.00 ACT/365 ACT/365 S S N N 1y OIS IRS 50 1y 10y PAY 0.05 0.00 ACT/365 ACT/365 S S N N 1y OIS IRS 10 5y 5y REC 0.05 0.00 ACT/365 ACT/365 S S N N 1y FUND CAP 10 0d 5y BUY 0.05 0.00 ACT/365 ACT/365 S S N N 1y OIS FLOOR 20 0d 10y SELL 0.05 0.00 ACT/365 ACT/365 S S N N 1y FUND
CapFloorVol
Strike Strike 20% Below ATM 20% Below FACTOR VOL FACTOR 6m 1.10 0.10 1.20 1y 1.10 0.10 1.20 5y 1.10 0.20 1.20 7y 1.10 0.20 1.20
