{"text_format":"1","workbook":"xls","n_sheets":4,"sheets":["FX Swap","Basis Spreads - JPY Curve","Curve","Holidays"],"not_rendered":{"charts":0,"images":1,"macros":1,"external_links":2,"defined_names":0,"comments":13,"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","formulas":"cached_only"}

{"sheet":"FX Swap","index":0,"n_rows":41,"n_cols":16,"rows_kept":41,"cut":false,"hidden":false,"merged":[[34,1,35,1],[34,2,35,2],[34,3,35,3],[34,4,35,4]],"flags":["formulas_cached_only"]}
[null,"Fair Value for a Cross Currency Swap"]
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[null,"Details",null,null,null,null,null,null,"Results (aaSwap4_p)"]
[null,null,null,"settlement date","2006-10-11",null,null,null,null,"swap","fixed leg","floating leg (in paid currency)"]
[null,null,null,"structure",2,null,null,null,"fair value",1.1641532182693481e-10,-999999.9999999999,1000000,1]
[null,null,null,"FX spot - pay / receive",119.12,null,null,null,"accrued interest",0,0,0,2]
[null,null,null,"exchange of principal",3,null,null,null,"dirty price",1.1641532182693481e-10,-999999.9999999999,1000000,3]
[null,null,null,"coupon for fixed leg",0.05135,null,null,null,"par swap rate",0.05135,0.05135,0.05135,4]
[null,null,null,"notional principal - fixed leg",1000000,null,null,null,"par spread",0.00012499999999998745,0.00012499999999998745,0.00012499999999998745,5]
[null,null,null,"margin above or below a floating rate",0.000125,null,null,null,"basis point value",436.9267360866572,436.8900131267728,0.03672295988435508,6]
[null,null,null,"scale factor for forward rates (and reset rates if applicable)",1,null,null,null,"modified duration",4.369267360866573,4.368900131267729,-0.0003672295988435508,7]
[null,null,null,"notional principal - floating leg",8394.895903290799,null,null,null,"convexity",24.388916425712527,24.386277352459732,-0.002639073252794333,8]
[null,null,null,"interpolation method",1,null,null,null,"par spread (dirty)",0.00012499999999998745,0.00012499999999998745,0.00012499999999998745,9]
[]
[]
[null,"Swap Dates Table",null,null,null,null,null,null,"Cashflow Table -  Fixed Leg (aaSwap4_cf)"]
[null,"maturity date","effective date","first payment date for fixed leg (optional)","next to last payment date for fixed leg (optional)","first payment date for floating leg (optional)","next to last payment date for floating leg (optional)",null,"effective date","terminating date","notional principal amount","coupon rate","interest payment","PV of  interest payment","discount factor","accrued interest"]
[null,"2011-10-11","2006-10-11",null,null,null,null,null,"2006-10-11","2007-10-11",999999.9999999999,0.05135,-52063.19444444444,-49393.55250979147,0.9487230477664661,0]
[null,null,null,null,null,null,null,null,"2007-10-11","2008-10-11",1000000,0.05135,-52205.833333333336,-47151.98679050107,0.903193834478926,0]
[null,"Specifications for Fixed Leg",null,null,null,null,null,null,"2008-10-11","2009-10-11",1000000,0.05135,-52063.19444444444,-44750.27053331495,0.8595375487585004,0]
[null,"cashflow frequency","accrual method","business day convention","cash flow type",null,null,null,"2009-10-11","2010-10-11",1000000.0000000001,0.05135,-52063.19444444444,-42529.92078752799,0.816890343386647,0]
[null,null,null,null,null,null,null,null,"2010-10-11","2011-10-11",1000000,0.05135,-52063.194444444445,-40389.81680151161,0.7757844525773528,0]
[null,1,5,5,1]
[]
[null,"Specifications for Floating Leg"]
[null,"cash flow frequency","accrual method","business day convention","accrual method for reset rates","number of business days prior to reset date that rate is fixed"]
[null,1,5,5,5,0]

{"sheet":"Basis Spreads - JPY Curve","index":1,"n_rows":28,"n_cols":8,"rows_kept":28,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"JPY Curve with Basis Spreads"]
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[]
[]
[]
[]
[null,"Details",null,null,null,null,"Spread Table"]
[null,null,"interpolation method for discount factor curve",1,null,null,"swap maturity date","basis spread"]
[null,null,"day count convention for forward rates",2,null,null,"2008-10-11",5e-05]
[null,null,"frequency of forward periods",1,null,null,"2009-10-11",7.5e-05]
[null,null,"business day convention",5,null,null,"2010-10-11",0.000125]
[null,null,"bootstrapping method",1,null,null,"2011-10-11",0.000125]
[null,null,"curve extension",3]
[]
[]
[null,"Swap Dates Table"]
[null,"terminating date","effective date (optional)","first cycle date (optional)","last cycle date (optional)","adjust effective date (optional)","adjust terminating date (optional)","date generation method (optional)"]
[null,"2011-10-11","2006-10-11",null,null,1,1,1]
[]
[]
[null,"Output Curve"]
[null,"grid date","discount factor"]
[null,"2006-10-11",1]
[null,"2007-10-11",0.9938453301274975]
[null,"2008-10-11",0.9840010140478738]
[null,"2009-10-11",0.9706819547490333]
[null,"2010-10-11",0.9543181553108087]
[null,"2011-10-11",0.9355666917906951]

{"sheet":"Curve","index":2,"n_rows":28,"n_cols":6,"rows_kept":28,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Curve"]
[]
[]
[null,"Discount Factor Curve (USD)",null,null,"Discount Factor Curve (JPY)"]
[null,"grid date","discount factor",null,"grid date","discount factor"]
[null,"2006-10-11",1,null,"2006-10-11",1]
[null,"2006-10-12",0.9998541879309267,null,"2006-10-18",0.999931949]
[null,"2006-10-13",0.9997056422275664,null,"2006-11-13",0.999657467]
[null,"2006-10-18",0.9989696516016752,null,"2006-12-11",0.999325896]
[null,"2006-10-25",0.9979392554375215,null,"2007-01-11",0.998908692]
[null,"2006-11-01",0.9969120648790372,null,"2007-02-13",0.998435784]
[null,"2006-11-13",0.9951469997976534,null,"2007-03-12",0.998014439]
[null,"2006-12-11",0.9910161631983395,null,"2007-04-11",0.997500729]
[null,"2007-01-11",0.9864624470187461,null,"2007-05-11",0.996983416]
[null,"2007-02-12",0.9818329378746626,null,"2007-06-11",0.996405765]
[null,"2007-03-12",0.977814008563304,null,"2007-07-11",0.995808889]
[null,"2007-04-11",0.9735241770997539,null,"2007-08-13",0.995141322]
[null,"2007-05-11",0.9693460468452633,null,"2007-09-11",0.994516691]
[null,"2007-06-11",0.9650323658586314,null,"2007-10-11",0.993895405]
[null,"2007-07-11",0.9609500567268838,null,"2007-10-14",0.99381472]
[null,"2007-08-13",0.9565271331117028,null,"2008-04-14",0.988905252]
[null,"2007-09-11",0.9527079983859009,null,"2008-10-14",0.984020037]
[null,"2007-10-11",0.9487230477664661,null,"2009-04-13",0.977438932]
[null,"2007-10-14",0.9483406049530257,null,"2009-10-13",0.970829854]
[null,"2008-10-14",0.902820720673355,null,"2010-04-12",0.962803908]
[null,"2009-10-13",0.8592984152120094,null,"2010-10-12",0.954756731]
[null,"2010-10-12",0.8167735167425,null,"2011-04-11",0.945461759]
[null,"2011-10-11",0.7757844525773528,null,"2011-10-11",0.936156073]

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[null,"Holidays"]
[]
[]
[null,"Holidays - USD",null,"Holidays - JPY"]
[null,"date",null,"date"]
[null,"1999-01-01",null,"1999-01-01"]
[null,"1999-04-02",null,"1999-04-02"]
[null,"1999-04-05",null,"1999-04-05"]
[null,"1999-05-03",null,"1999-05-03"]
[null,"1999-05-31",null,"1999-05-31"]
[null,"1999-08-30",null,"1999-08-30"]
[null,"1999-12-27",null,"1999-12-27"]
[null,"1999-12-28",null,"1999-12-28"]
[null,"2000-01-03",null,"2000-01-03"]
[null,"2000-04-21",null,"2000-04-21"]
[null,"2000-04-24",null,"2000-04-24"]
[null,"2000-05-01",null,"2000-05-01"]
[null,"2000-05-29",null,"2000-05-29"]
[null,"2000-08-28",null,"2000-08-28"]
[null,"2000-12-25",null,"2000-12-25"]
[null,"2000-12-26",null,"2000-12-26"]
[null,"2001-01-01",null,"2001-01-01"]
[null,"2001-04-13",null,"2001-04-13"]
[null,"2001-04-16",null,"2001-04-16"]
[null,"2001-05-07",null,"2001-05-07"]
[null,"2001-05-28",null,"2001-05-28"]
[null,"2001-08-27",null,"2001-08-27"]
[null,"2001-12-25",null,"2001-12-25"]
[null,"2001-12-26",null,"2001-12-26"]
[null,"2002-01-01",null,"2002-01-01"]
[null,"2002-03-29",null,"2002-03-29"]
[null,"2002-04-01",null,"2002-04-01"]
[null,"2002-05-06",null,"2002-05-06"]
[null,"2002-05-27",null,"2002-05-27"]
[null,"2002-08-26",null,"2002-08-26"]
[null,"2002-12-25",null,"2002-12-25"]
[null,"2002-12-26",null,"2002-12-26"]
[null,"2003-01-01",null,"2003-01-01"]
[null,"2003-04-18",null,"2003-04-18"]
[null,"2003-04-21",null,"2003-04-21"]
[null,"2003-05-05",null,"2003-05-05"]
[null,"2003-05-26",null,"2003-05-26"]
[null,"2003-08-25",null,"2003-08-25"]
[null,"2003-12-25",null,"2003-12-25"]
[null,"2003-12-26",null,"2003-12-26"]
[null,"2004-01-01",null,"2004-01-01"]
[null,"2004-04-09",null,"2004-04-09"]
[null,"2004-04-12",null,"2004-04-12"]
[null,"2004-05-03",null,"2004-05-03"]
[null,"2004-05-31",null,"2004-05-31"]
[null,"2004-08-30",null,"2004-08-30"]
[null,"2004-12-27",null,"2004-12-27"]
[null,"2004-12-28",null,"2004-12-28"]
[null,"2005-01-03",null,"2005-01-03"]
[null,"2005-03-25",null,"2005-03-25"]
[null,"2005-03-28",null,"2005-03-28"]
[null,"2005-05-02",null,"2005-05-02"]
[null,"2005-05-30",null,"2005-05-30"]
[null,"2005-08-29",null,"2005-08-29"]
[null,"2005-12-26",null,"2005-12-26"]
[null,"2005-12-27",null,"2005-12-27"]
[null,"2006-01-02",null,"2006-01-02"]
[null,"2006-04-14",null,"2006-04-14"]
[null,"2006-04-17",null,"2006-04-17"]
[null,"2006-05-01",null,"2006-05-01"]
[null,"2006-05-29",null,"2006-05-29"]
[null,"2006-08-28",null,"2006-08-28"]
[null,"2006-12-25",null,"2006-12-25"]
[null,"2006-12-26",null,"2006-12-26"]
[null,"2007-01-01",null,"2007-01-01"]
[null,"2007-04-06",null,"2007-04-06"]
[null,"2007-04-09",null,"2007-04-09"]
[null,"2007-05-07",null,"2007-05-07"]
[null,"2007-05-28",null,"2007-05-28"]
[null,"2007-08-27",null,"2007-08-27"]
[null,"2007-12-25",null,"2007-12-25"]
[null,"2007-12-26",null,"2007-12-26"]
[null,"2008-01-01",null,"2008-01-01"]
[null,"2008-12-25",null,"2008-12-25"]
[null,"2008-12-26",null,"2008-12-26"]
[null,"2009-01-01",null,"2009-01-01"]
[null,"2009-12-25",null,"2009-12-25"]
[null,"2009-12-28",null,"2009-12-28"]
[null,"2010-01-01",null,"2010-01-01"]
[null,"2010-12-27",null,"2010-12-27"]
[null,"2010-12-28",null,"2010-12-28"]
[null,"2011-01-03",null,"2011-01-03"]
[null,"2011-12-26",null,"2011-12-26"]
[null,"2011-12-27",null,"2011-12-27"]
[null,"2012-01-02",null,"2012-01-02"]
[null,"2012-12-25",null,"2012-12-25"]
[null,"2012-12-26",null,"2012-12-26"]
[null,"2013-01-01",null,"2013-01-01"]
[null,"2013-12-25",null,"2013-12-25"]
[null,"2013-12-26",null,"2013-12-26"]
[null,"2014-01-01",null,"2014-01-01"]
[null,"2014-12-25",null,"2014-12-25"]
[null,"2014-12-26",null,"2014-12-26"]
[null,"2015-01-01",null,"2015-01-01"]
[null,"2015-12-25",null,"2015-12-25"]
[null,"2015-12-28",null,"2015-12-28"]
[null,"2016-01-01",null,"2016-01-01"]
[null,"2016-12-26",null,"2016-12-26"]
[null,"2016-12-27",null,"2016-12-27"]
[null,"2017-01-02",null,"2017-01-02"]
[null,"2017-12-25",null,"2017-12-25"]
[null,"2017-12-26",null,"2017-12-26"]
[null,"2018-01-01",null,"2018-01-01"]
[null,"2018-12-25",null,"2018-12-25"]
[null,"2018-12-26",null,"2018-12-26"]
[null,"2019-01-01",null,"2019-01-01"]
[null,"2019-12-25",null,"2019-12-25"]
[null,"2019-12-26",null,"2019-12-26"]
[null,"2020-01-01",null,"2020-01-01"]
[null,"2020-12-25",null,"2020-12-25"]
[null,"2020-12-28",null,"2020-12-28"]
[null,"2021-01-01",null,"2021-01-01"]
[null,"2021-12-27",null,"2021-12-27"]
[null,"2021-12-28",null,"2021-12-28"]
[null,"2022-01-03",null,"2022-01-03"]
[null,"2022-12-26",null,"2022-12-26"]
[null,"2022-12-27",null,"2022-12-27"]
[null,"2023-01-02",null,"2023-01-02"]
[null,"2023-12-25",null,"2023-12-25"]
[null,"2023-12-26",null,"2023-12-26"]
[null,"2024-01-01",null,"2024-01-01"]
[null,"2024-12-25",null,"2024-12-25"]
[null,"2024-12-26",null,"2024-12-26"]
[null,"2025-01-01",null,"2025-01-01"]
[null,"2025-12-25",null,"2025-12-25"]
[null,"2025-12-26",null,"2025-12-26"]
[null,"2026-01-01",null,"2026-01-01"]
[null,"2026-12-25",null,"2026-12-25"]
[null,"2026-12-28",null,"2026-12-28"]
[null,"2027-01-01",null,"2027-01-01"]
[null,"2027-12-27",null,"2027-12-27"]
[null,"2027-12-28",null,"2027-12-28"]
[null,"2028-01-03",null,"2028-01-03"]
[null,"2028-12-25",null,"2028-12-25"]
[null,"2028-12-26",null,"2028-12-26"]
[null,"2029-01-01",null,"2029-01-01"]
[null,"2029-12-25",null,"2029-12-25"]
[null,"2029-12-26",null,"2029-12-26"]
[null,"2030-01-01",null,"2030-01-01"]
[null,"2030-12-25",null,"2030-12-25"]
[null,"2030-12-26",null,"2030-12-26"]
[null,"2031-01-01",null,"2031-01-01"]
[null,"2031-12-25",null,"2031-12-25"]
[null,"2031-12-26",null,"2031-12-26"]
[null,"2032-01-01",null,"2032-01-01"]
[null,"2032-12-27",null,"2032-12-27"]
[null,"2032-12-28",null,"2032-12-28"]