Spreadsheet: john_griffith__15584__Basis Swaption
Sheet: Swap

Basis Swap
As of:
 |  | Swap | Socal
From | To | Price | Basis Mkt | Diff
2001-04-01 00:00:00 | 2002-12-31 00:00:00 | 1
 |  | Basis | Fixed Price | Volatility | Volatility | Interest | Discount
 | Nymex | Socal | Socal | Nymex | Socal | Rates | Factor | Correlation
2001-04-01 00:00:00 | 4.927 | 3.1 |  | 0.48 |  | 0.05363148276841081 |  | -0.53
 | 4.96 | 3.1 |  | 0.4525 |  | 0.05199172806640461 |  | -0.11
 | 5 | 3.15 |  | 0.4575 |  | 0.05109550639455751 |  | -0.11
 | 5.043 | 3.53 |  | 0.4625 |  | 0.0501849664188709 |  | -0.21
 | 5.068000000000001 | 3.73 |  | 0.465 |  | 0.04939442542148691 |  | -0.21
 | 5.048 | 3.53 |  | 0.4725 |  | 0.04860388463282691 |  | -0.21
 | 5.058000000000001 | 3.2 |  | 0.475 |  | 0.04798872986836192 |  | -0.11
 | 5.185 | 2.895 |  | 0.475 |  | 0.04759396160433171 |  | -0.13
 | 5.305 | 2.945 |  | 0.475 |  | 0.04721192785003232 |  | -0.13
 | 5.34 | 2.905 |  | 0.4775 |  | 0.04696047329069231 |  | -0.13
 | 5.145 | 2.855 |  | 0.4675 |  | 0.04690745296554111 |  | -0.13
 | 4.852 | 2.755 |  | 0.425 |  | 0.04685956364040589 |  | -0.13
 | 4.509 | 1.19 |  | 0.3475 |  | 0.04683765709898721
 | 4.422 | 1.19 |  | 0.305 |  | 0.0468560784406389
 | 4.439 | 1.19 |  | 0.305 |  | 0.04687511382713082
 | 4.485 | 1.935 |  | 0.305 |  | 0.04693884670136942
 | 4.499 | 1.935 |  | 0.305 |  | 0.04707896292633112
 | 4.481 | 1.935 |  | 0.305 |  | 0.0472190791578564
 | 4.476 | 1.305 |  | 0.3075 |  | 0.04737938786144191
 | 4.585999999999999 | 1.05 |  | 0.315 |  | 0.04758039265407991
 | 4.691999999999999 | 1.05 |  | 0.3175 |  | 0.047774913434008
 | 4.731999999999999 | 1.05 |  | 0.3225 |  | 0.04799699529792001
 | 4.600999999999999 | 1.05 |  | 0.3125 |  | 0.04824467073469221
 | 4.438 | 1.05 |  | 0.2975 |  | 0.04846837759842781
 | 4.247 | 0.9 |  | 0.2825 |  | 0.04869987479670312
 | 4.217000000000001 | 0.9 |  | 0.28 |  | 0.04890202431989451
 | 4.246000000000001 | 0.9 |  | 0.28 |  | 0.0491109121748674
 | 4.266 | 0.9 |  | 0.28 |  | 0.04930849107561482
 | 4.304 | 0.9 |  | 0.28 |  | 0.04950609738788671
 | 4.302 | 0.9 |  | 0.28 |  | 0.04970370371319929
 | 4.31 | 0.9 |  | 0.2825 |  | 0.04988924720697611
 | 4.431999999999999 | 0.57 |  | 0.2825 |  | 0.05007383885610401
 | 4.56 | 0.57 |  | 0.2825 |  | 0.05025247594673661
 | 4.6 | 0.57 |  | 0.2825 |  | 0.05044066886368542
 | 4.48 | 0.57 |  | 0.2775 |  | 0.05063270312116771
 | 4.34 | 0.57 |  | 0.275 |  | 0.0508123480828595
 | 4.227 | 0.75 |  | 0.2675 |  | 0.05098878324499841
 | 4.267 | 0.75 |  | 0.2675 |  | 0.0511434246427953
 | 4.316000000000002 | 0.75 |  | 0.2675 |  | 0.05130322076223551
 | 4.346 | 0.75 |  | 0.2675 |  | 0.0514546677019538
 | 4.404 | 0.75 |  | 0.2675 |  | 0.05160765398195322
 | 4.412000000000001 | 0.75 |  | 0.2675 |  | 0.05176064026976011
 | 4.44 | 0.75 |  | 0.2675 |  | 0.0519050070564195
 | 4.561999999999999 | 0.48 |  | 0.2675 |  | 0.0520506412090147
 | 4.69 | 0.48 |  | 0.2675 |  | 0.05219157749245482
 | 4.66 | 0.48 |  | 0.27 |  | 0.05234030289754621
 | 4.54 | 0.48 |  | 0.2725 |  | 0.0524915740360301
 | 4.4 | 0.48 |  | 0.2675 |  | 0.05262820603863941
 | 4.287 | 0.69 |  | 0.26 |  | 0.05275972852992701
 | 4.327 | 0.69 |  | 0.2525 |  | 0.05287126939373232
 | 4.376000000000001 | 0.69 |  | 0.2475 |  | 0.05298652829069011
 | 4.406 | 0.69 |  | 0.2475 |  | 0.05309806916293042
 | 4.464 | 0.69 |  | 0.2475 |  | 0.05321332806860251
 | 4.472 | 0.69 |  | 0.2475 |  | 0.05332858697870351
 | 4.5 | 0.69 |  | 0.2475 |  | 0.05344012786366251
 | 4.621999999999999 | 0.47 |  | 0.2475 |  | 0.05355538678247741
 | 4.75 | 0.47 |  | 0.2475 |  | 0.05366692767586791