| 10% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
4.61/5.46 |
3.05/3.63 |
3.21/7.42 |
8.92/11.08 |
7.94/7.13 |
2.63/2.88 |
4.23/4.70 |
2.72/3.85 |
1.84/1.72 |
5.48/5.13 |
| GP(RQ+Exp/RQ×Exp) |
4.57/4.82 |
3.00/3.23 |
3.17/3.32 |
8.53/9.52 |
7.23/8.96 |
2.54/2.61 |
4.23/3.97 |
3.10/3.57 |
1.67/2.26 |
5.04/5.98 |
| GP(RQ+Periodic/RQ×Periodic) |
4.51/4.55 |
3.00/3.00 |
2.71/3.22 |
8.14/8.18 |
7.67/7.07 |
2.46/2.56 |
4.80/3.94 |
3.01/2.91 |
1.63/1.52 |
5.42/5.02 |
| GP(RQ+RBF/RQ×RBF) |
4.50/4.77 |
2.97/3.36 |
2.88/3.55 |
8.50/7.57 |
7.84/6.72 |
2.55/2.61 |
4.05/4.14 |
2.91/2.80 |
1.66/1.61 |
5.51/4.72 |
|
3 |
| GP(RQ+Brownian/RQ×Brownian) |
7.87/9.27 |
5.34/6.28 |
5.94/9.86 |
10.57/10.15 |
7.90/7.18 |
3.95/4.27 |
6.14/7.22 |
3.57/4.60 |
1.75/1.58 |
5.58/5.76 |
| GP(RQ+Exp/RQ×Exp) |
7.71/8.39 |
5.22/5.88 |
6.14/5.89 |
10.31/10.92 |
7.24/8.72 |
3.72/4.03 |
5.99/6.00 |
3.72/3.86 |
1.56/2.15 |
5.21/5.92 |
| GP(RQ+Periodic/RQ×Periodic) |
7.64/7.78 |
5.25/5.22 |
5.35/6.06 |
9.80/9.91 |
7.65/7.29 |
3.79/3.87 |
6.40/6.04 |
3.81/3.86 |
1.58/1.54 |
5.53/5.28 |
| GP(RQ+RBF/RQ×RBF) |
7.51/7.80 |
5.04/5.37 |
5.61/6.49 |
10.37/9.60 |
8.10/7.01 |
3.77/3.78 |
5.92/6.22 |
4.09/3.82 |
1.63/1.54 |
5.81/5.11 |
|
| 5 |
| GP(RQ+Brownian/RQ×Brownian) |
10.52/11.77 |
7.07/8.04 |
7.38/10.54 |
10.47/9.75 |
7.15/6.76 |
4.77/4.96 |
7.54/8.88 |
3.92/4.34 |
1.58/1.49 |
5.20/5.52 |
| GP(RQ+Exp/RQ×Exp) |
9.90/11.57 |
6.66/8.24 |
7.66/7.10 |
10.16/10.63 |
6.68/7.78 |
4.48/4.87 |
7.61/7.94 |
3.92/3.85 |
1.45/1.91 |
4.96/5.44 |
| GP(RQ+Periodic/RQ×Periodic) |
9.55/9.98 |
6.63/6.71 |
6.82/7.47 |
9.90/9.95 |
7.05/6.84 |
4.69/4.78 |
7.45/7.50 |
3.71/4.16 |
1.48/1.46 |
5.19/5.06 |
| GP(RQ+RBF/RQ×RBF) |
9.66/10.13 |
6.50/6.92 |
7.12/7.96 |
10.47/9.69 |
7.31/6.52 |
4.47/4.52 |
6.69/7.45 |
4.22/3.99 |
1.48/1.44 |
5.37/4.90 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
12.81/14.04 |
8.48/9.53 |
8.64/11.10 |
10.65/10.24 |
6.70/6.46 |
5.95/6.17 |
9.27/9.68 |
4.24/4.19 |
1.47/1.42 |
5.00/5.26 |
| GP(RQ+Exp/RQ×Exp) |
11.89/14.69 |
7.87/10.32 |
8.89/8.20 |
10.44/10.77 |
6.41/7.13 |
5.55/6.16 |
8.75/9.22 |
4.12/4.31 |
1.38/1.68 |
4.87/5.18 |
| GP(RQ+Periodic/RQ×Periodic) |
11.41/12.00 |
7.65/7.93 |
8.01/8.66 |
10.21/10.21 |
6.59/6.60 |
5.56/5.85 |
8.61/8.85 |
4.18/4.34 |
1.40/1.41 |
4.93/4.98 |
| GP(RQ+RBF/RQ×RBF) |
11.65/12.11 |
7.74/8.03 |
8.43/9.22 |
10.66/10.05 |
6.81/6.34 |
5.52/5.57 |
8.43/9.02 |
4.33/4.07 |
1.40/1.38 |
5.10/4.87 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
10.71/12.22 |
7.29/8.34 |
7.22/10.30 |
10.19/9.83 |
6.75/6.52 |
5.02/5.41 |
7.50/8.53 |
3.91/4.86 |
1.50/1.43 |
4.94/5.30 |
| GP(RQ+Exp/RQ×Exp) |
10.21/12.05 |
6.94/8.58 |
7.48/6.94 |
9.95/10.37 |
6.32/7.39 |
4.87/5.33 |
7.53/7.80 |
4.09/4.15 |
1.38/1.81 |
4.70/5.23 |
| GP(RQ+Periodic/RQ×Periodic) |
9.79/10.25 |
6.76/6.92 |
6.66/7.34 |
9.61/9.68 |
6.66/6.46 |
4.82/5.04 |
7.15/7.22 |
3.90/4.10 |
1.41/1.38 |
4.93/4.81 |
| GP(RQ+RBF/RQ×RBF) |
9.86/10.42 |
6.78/7.17 |
6.98/7.80 |
10.08/9.37 |
6.75/6.15 |
4.81/4.94 |
6.89/7.33 |
4.20/3.98 |
1.39/1.36 |
4.99/4.64 |
| 20% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
6.94/8.33 |
4.67/5.64 |
6.04/15.35 |
18.19/21.50 |
16.95/13.74 |
3.63/3.82 |
5.68/7.92 |
3.89/4.77 |
3.63/3.31 |
10.85/9.43 |
| GP(RQ+Exp/RQ×Exp) |
6.80/7.44 |
4.68/5.25 |
6.02/6.28 |
17.50/19.26 |
15.56/19.88 |
3.45/3.55 |
5.93/5.94 |
4.33/5.12 |
3.37/4.72 |
10.09/12.12 |
| GP(RQ+Periodic/RQ×Periodic) |
6.78/6.87 |
4.67/4.69 |
4.85/6.20 |
16.87/17.10 |
16.81/15.37 |
3.41/3.78 |
6.13/6.20 |
4.33/3.79 |
3.31/3.12 |
10.92/10.09 |
| GP(RQ+RBF/RQ×RBF) |
6.72/7.49 |
4.77/5.63 |
5.38/7.11 |
17.48/15.66 |
17.28/13.17 |
3.52/3.64 |
5.52/6.28 |
3.94/3.78 |
3.20/2.77 |
11.27/8.92 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
11.97/14.04 |
8.20/9.63 |
11.47/19.49 |
20.95/19.85 |
15.57/11.75 |
5.53/5.74 |
8.72/11.69 |
5.36/6.44 |
3.25/2.62 |
10.16/9.50 |
| GP(RQ+Exp/RQ×Exp) |
11.45/13.01 |
7.98/9.54 |
12.06/10.96 |
20.08/21.74 |
13.41/17.72 |
5.30/5.41 |
8.93/9.13 |
5.52/5.62 |
2.74/4.18 |
9.05/10.98 |
| GP(RQ+Periodic/RQ×Periodic) |
11.52/11.82 |
8.29/8.05 |
10.27/11.84 |
19.38/19.93 |
15.21/14.24 |
5.24/5.62 |
9.03/9.05 |
5.49/5.50 |
2.91/2.85 |
10.16/9.53 |
| GP(RQ+RBF/RQ×RBF) |
11.12/11.89 |
7.85/8.49 |
10.80/12.76 |
20.48/19.02 |
16.62/12.80 |
5.34/5.40 |
8.13/8.74 |
5.53/5.14 |
2.96/2.72 |
11.08/8.77 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
16.29/18.91 |
10.98/12.79 |
15.23/21.67 |
20.91/19.40 |
12.54/10.89 |
7.03/7.23 |
11.64/15.79 |
5.61/6.31 |
2.68/2.41 |
8.62/9.33 |
| GP(RQ+Exp/RQ×Exp) |
15.12/18.97 |
10.36/13.98 |
15.90/14.26 |
20.27/21.39 |
10.96/14.34 |
6.87/7.21 |
11.36/13.14 |
5.61/5.70 |
2.27/3.50 |
7.81/9.29 |
| GP(RQ+Periodic/RQ×Periodic) |
14.80/15.50 |
10.42/10.43 |
13.95/15.54 |
19.79/20.04 |
12.26/11.84 |
7.01/7.00 |
10.62/11.72 |
5.33/5.53 |
2.42/2.41 |
8.55/8.33 |
| GP(RQ+RBF/RQ×RBF) |
14.74/15.62 |
10.29/10.80 |
14.49/16.60 |
20.96/19.32 |
13.69/10.80 |
6.83/6.68 |
10.05/11.30 |
5.78/5.57 |
2.53/2.29 |
9.44/7.92 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
19.65/21.91 |
13.39/15.20 |
17.37/22.18 |
20.90/20.05 |
11.15/10.26 |
8.19/8.33 |
14.72/17.84 |
5.10/4.95 |
2.41/2.27 |
8.01/8.67 |
| GP(RQ+Exp/RQ×Exp) |
18.19/23.19 |
12.57/17.53 |
17.89/16.17 |
20.41/21.25 |
10.07/12.42 |
7.92/8.53 |
13.56/16.94 |
5.18/5.23 |
2.15/3.03 |
7.46/8.43 |
| GP(RQ+Periodic/RQ×Periodic) |
17.09/18.26 |
12.37/12.60 |
16.03/17.47 |
19.95/20.13 |
10.95/10.81 |
8.07/8.21 |
12.19/15.16 |
5.13/5.05 |
2.25/2.26 |
7.88/7.92 |
| GP(RQ+RBF/RQ×RBF) |
17.01/18.37 |
11.86/12.83 |
16.66/18.55 |
21.05/19.64 |
11.76/10.19 |
7.77/7.73 |
11.62/13.44 |
5.28/4.72 |
2.28/2.23 |
8.36/7.73 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
16.02/17.98 |
11.01/12.34 |
14.18/20.49 |
20.30/19.36 |
12.26/10.52 |
7.29/7.60 |
11.48/15.61 |
5.05/5.66 |
2.66/2.38 |
8.40/8.64 |
| GP(RQ+Exp/RQ×Exp) |
14.99/18.47 |
10.32/13.68 |
14.78/13.47 |
19.61/20.72 |
10.78/14.01 |
7.07/7.70 |
10.97/13.09 |
4.96/5.36 |
2.30/3.48 |
7.60/8.99 |
| GP(RQ+Periodic/RQ×Periodic) |
14.46/14.99 |
10.43/10.28 |
12.94/14.50 |
19.14/19.38 |
12.35/11.63 |
7.14/7.30 |
10.28/11.80 |
5.06/5.02 |
2.49/2.42 |
8.57/8.16 |
| GP(RQ+RBF/RQ×RBF) |
14.37/15.42 |
10.08/10.67 |
13.55/15.47 |
20.09/18.64 |
12.96/10.45 |
6.83/7.00 |
9.40/11.21 |
5.05/4.84 |
2.47/2.28 |
8.96/7.59 |
| 30% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
9.80/11.63 |
6.87/7.97 |
10.71/24.48 |
28.36/31.58 |
28.01/20.73 |
5.32/5.09 |
8.12/12.83 |
5.06/6.54 |
5.27/4.94 |
16.52/13.73 |
| GP(RQ+Exp/RQ×Exp) |
9.41/10.78 |
6.57/7.85 |
10.81/10.11 |
28.02/29.58 |
26.77/33.91 |
4.94/4.71 |
7.90/7.98 |
6.07/6.70 |
5.40/7.39 |
15.79/18.65 |
| GP(RQ+Periodic/RQ×Periodic) |
9.30/9.62 |
6.62/6.73 |
8.12/10.43 |
26.07/26.71 |
28.06/25.74 |
4.78/5.17 |
7.76/7.88 |
5.72/5.47 |
5.17/4.82 |
16.50/15.42 |
| GP(RQ+RBF/RQ×RBF) |
9.31/10.56 |
6.40/8.08 |
9.23/11.87 |
26.81/24.37 |
27.44/21.37 |
5.01/5.05 |
6.93/8.38 |
5.42/5.15 |
4.88/4.33 |
16.22/13.40 |
|
| 3 |
| GP(RQ+Brownian/RQ×Brownian) |
15.73/18.15 |
11.03/12.61 |
17.99/29.62 |
31.41/29.86 |
24.67/16.63 |
7.23/7.51 |
11.84/19.26 |
6.56/8.17 |
4.86/3.78 |
14.77/13.41 |
| GP(RQ+Exp/RQ×Exp) |
15.08/17.69 |
10.75/13.44 |
18.76/16.64 |
30.20/32.78 |
20.80/29.56 |
6.92/7.20 |
11.82/13.28 |
6.60/6.86 |
4.06/6.61 |
12.97/16.53 |
| GP(RQ+Periodic/RQ×Periodic) |
14.87/15.15 |
11.23/10.71 |
16.01/18.48 |
29.05/29.98 |
23.71/22.05 |
6.94/7.23 |
10.68/12.01 |
6.63/6.50 |
4.30/4.08 |
14.56/13.62 |
| GP(RQ+RBF/RQ×RBF) |
14.39/15.99 |
10.61/11.88 |
16.95/20.14 |
30.76/28.60 |
26.25/19.05 |
7.01/6.91 |
9.89/12.44 |
7.21/6.44 |
4.26/3.82 |
15.96/12.36 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
20.46/23.73 |
13.90/16.22 |
23.08/32.39 |
31.55/29.47 |
19.74/15.05 |
8.89/9.10 |
17.33/23.47 |
6.49/7.51 |
3.97/3.34 |
12.67/13.26 |
| GP(RQ+Exp/RQ×Exp) |
18.72/24.45 |
12.93/18.79 |
24.06/21.21 |
30.79/32.45 |
16.82/23.31 |
8.56/9.16 |
16.26/20.06 |
6.84/6.71 |
3.29/5.43 |
11.26/13.84 |
| GP(RQ+Periodic/RQ×Periodic) |
18.76/19.01 |
13.75/12.99 |
21.09/23.61 |
29.85/30.36 |
19.14/18.24 |
8.67/9.04 |
13.64/16.28 |
6.76/6.56 |
3.52/3.47 |
12.44/12.10 |
| GP(RQ+RBF/RQ×RBF) |
17.97/19.52 |
13.21/13.53 |
22.10/25.14 |
31.19/29.27 |
22.20/15.94 |
8.83/8.57 |
13.13/16.51 |
7.39/6.34 |
3.63/3.29 |
14.17/11.18 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
24.81/28.52 |
17.10/19.30 |
26.72/33.84 |
31.36/30.27 |
16.08/13.97 |
9.83/10.02 |
20.76/25.70 |
6.51/7.19 |
3.35/3.12 |
11.13/12.45 |
| GP(RQ+Exp/RQ×Exp) |
22.80/30.76 |
16.24/23.62 |
27.63/24.69 |
30.50/32.02 |
13.55/18.51 |
9.51/10.29 |
19.08/23.96 |
6.48/6.51 |
2.84/4.43 |
9.92/11.88 |
| GP(RQ+Periodic/RQ×Periodic) |
22.01/23.16 |
16.79/16.17 |
24.49/26.97 |
30.01/30.30 |
15.86/15.51 |
10.05/9.99 |
15.18/19.87 |
6.73/6.56 |
3.12/3.05 |
10.90/10.92 |
| GP(RQ+RBF/RQ×RBF) |
21.51/23.01 |
16.32/16.14 |
25.74/28.52 |
31.19/29.56 |
17.64/13.92 |
9.51/9.35 |
14.60/19.32 |
6.94/6.44 |
3.15/2.94 |
11.93/10.52 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
20.72/23.50 |
14.17/16.02 |
21.47/30.68 |
30.07/28.86 |
18.26/14.38 |
8.47/8.82 |
16.61/22.22 |
5.72/6.69 |
3.82/3.30 |
11.78/12.22 |
| GP(RQ+Exp/RQ×Exp) |
19.33/24.58 |
13.34/18.50 |
22.26/19.83 |
29.17/30.89 |
15.60/21.81 |
8.19/8.75 |
15.18/18.55 |
6.05/6.48 |
3.26/5.24 |
10.47/12.98 |
| GP(RQ+Periodic/RQ×Periodic) |
18.84/19.53 |
13.54/13.28 |
19.41/21.93 |
28.40/28.82 |
18.19/16.53 |
8.27/8.31 |
12.95/16.07 |
5.98/5.84 |
3.47/3.24 |
11.90/11.02 |
| GP(RQ+RBF/RQ×RBF) |
18.43/19.94 |
13.25/14.01 |
20.45/23.35 |
29.68/27.68 |
19.70/14.53 |
7.92/8.05 |
12.99/16.14 |
6.08/5.85 |
3.42/3.10 |
12.75/10.19 |