| 10% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
2.09/1.52 |
1.67/2.84 |
5.17/3.38 |
2.89/1.66 |
4.70/3.75 |
0.96/1.93 |
| GP(RQ+Exp/RQ×Exp) |
2.04/2.49 |
1.57/1.69 |
5.20/5.46 |
2.88/2.87 |
4.76/4.96 |
1.06/0.93 |
| GP(RQ+Periodic/RQ×Periodic) |
2.00/1.89 |
1.43/1.63 |
4.77/4.98 |
2.74/2.82 |
4.54/4.57 |
0.97/0.99 |
| GP(RQ+RBF/RQ×RBF) |
2.00/1.87 |
1.52/1.63 |
4.90/4.91 |
2.78/2.80 |
4.63/4.55 |
0.92/1.06 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
2.13/1.61 |
2.88/4.31 |
7.11/6.09 |
3.34/2.45 |
5.03/4.53 |
1.51/2.13 |
| GP(RQ+Exp/RQ×Exp) |
1.98/2.51 |
2.62/3.02 |
6.95/7.36 |
3.22/3.40 |
5.06/5.20 |
1.76/1.41 |
| GP(RQ+Periodic/RQ×Periodic) |
1.91/1.88 |
2.26/2.73 |
6.15/6.61 |
2.99/3.13 |
4.84/4.91 |
1.82/1.61 |
| GP(RQ+RBF/RQ×RBF) |
1.96/1.83 |
2.53/2.78 |
6.49/6.96 |
3.11/3.16 |
4.93/4.95 |
1.59/1.72 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
2.09/1.63 |
3.76/5.17 |
9.09/8.80 |
3.75/3.23 |
5.14/4.81 |
1.76/2.13 |
| GP(RQ+Exp/RQ×Exp) |
1.92/2.51 |
3.37/4.09 |
8.98/9.43 |
3.59/3.94 |
5.15/5.27 |
2.10/1.60 |
| GP(RQ+Periodic/RQ×Periodic) |
1.87/1.83 |
2.81/3.45 |
8.10/8.20 |
3.25/3.43 |
4.95/5.01 |
2.38/1.92 |
| GP(RQ+RBF/RQ×RBF) |
1.91/1.82 |
3.21/3.59 |
8.28/8.91 |
3.42/3.54 |
5.03/5.08 |
1.99/2.02 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
2.01/1.62 |
4.56/5.89 |
11.15/11.09 |
4.23/3.89 |
5.25/5.03 |
1.97/2.17 |
| GP(RQ+Exp/RQ×Exp) |
1.86/2.42 |
3.96/5.08 |
11.36/11.37 |
4.05/4.46 |
5.25/5.36 |
2.40/1.76 |
| GP(RQ+Periodic/RQ×Periodic) |
1.84/1.77 |
3.15/4.09 |
10.47/9.95 |
3.64/3.78 |
5.07/5.12 |
2.79/2.17 |
| GP(RQ+RBF/RQ×RBF) |
1.84/1.76 |
3.80/4.20 |
10.33/11.07 |
3.79/4.00 |
5.15/5.20 |
2.31/2.28 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
2.06/1.63 |
3.79/5.19 |
9.03/8.65 |
3.72/3.14 |
5.10/4.74 |
1.73/2.11 |
| GP(RQ+Exp/RQ×Exp) |
1.92/2.46 |
3.37/4.18 |
8.99/9.45 |
3.57/3.92 |
5.12/5.25 |
2.08/1.58 |
| GP(RQ+Periodic/RQ×Periodic) |
1.85/1.81 |
2.77/3.46 |
8.02/8.22 |
3.21/3.40 |
4.91/4.97 |
2.35/1.91 |
| GP(RQ+RBF/RQ×RBF) |
1.87/1.77 |
3.26/3.59 |
8.16/8.89 |
3.36/3.51 |
5.00/5.03 |
1.98/2.00 |
| 20% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
4.28/2.79 |
2.76/5.84 |
11.18/6.47 |
6.39/3.01 |
9.69/7.63 |
1.94/4.01 |
| GP(RQ+Exp/RQ×Exp) |
4.18/5.17 |
2.51/2.87 |
11.23/12.08 |
6.37/6.53 |
9.81/10.21 |
2.16/1.79 |
| GP(RQ+Periodic/RQ×Periodic) |
4.10/3.90 |
2.11/2.67 |
10.18/10.65 |
5.96/6.14 |
9.39/9.47 |
1.99/2.01 |
| GP(RQ+RBF/RQ×RBF) |
3.93/3.58 |
2.28/2.63 |
10.03/10.65 |
5.91/6.13 |
9.39/9.34 |
1.92/2.27 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
4.26/2.88 |
5.09/8.46 |
15.64/14.08 |
7.43/5.51 |
10.33/9.24 |
2.90/4.25 |
| GP(RQ+Exp/RQ×Exp) |
3.82/5.14 |
4.53/5.47 |
15.53/16.11 |
7.30/7.65 |
10.33/10.65 |
3.45/2.58 |
| GP(RQ+Periodic/RQ×Periodic) |
3.74/3.74 |
3.50/4.86 |
14.00/14.78 |
6.77/7.06 |
9.91/10.11 |
3.73/3.16 |
| GP(RQ+RBF/RQ×RBF) |
3.68/3.57 |
3.95/4.91 |
13.94/15.54 |
6.80/7.15 |
9.98/10.17 |
3.32/3.42 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
4.12/2.94 |
7.41/10.76 |
19.56/19.42 |
8.42/7.35 |
10.67/9.96 |
3.34/4.14 |
| GP(RQ+Exp/RQ×Exp) |
3.65/5.10 |
6.32/8.09 |
19.85/19.92 |
8.24/8.74 |
10.65/10.93 |
4.15/2.81 |
| GP(RQ+Periodic/RQ×Periodic) |
3.57/3.57 |
4.59/6.83 |
18.37/18.34 |
7.55/7.87 |
10.26/10.44 |
4.85/3.75 |
| GP(RQ+RBF/RQ×RBF) |
3.55/3.42 |
5.60/6.98 |
18.07/19.51 |
7.64/8.09 |
10.34/10.54 |
4.13/4.01 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
4.01/3.03 |
8.92/12.07 |
23.57/23.91 |
9.47/8.91 |
10.76/10.28 |
3.61/4.00 |
| GP(RQ+Exp/RQ×Exp) |
3.61/4.99 |
7.33/10.03 |
24.41/23.82 |
9.26/9.89 |
10.74/10.97 |
4.67/2.93 |
| GP(RQ+Periodic/RQ×Periodic) |
3.54/3.46 |
5.27/7.98 |
23.44/21.85 |
8.51/8.73 |
10.36/10.52 |
5.65/4.16 |
| GP(RQ+RBF/RQ×RBF) |
3.49/3.39 |
6.59/8.14 |
22.27/23.76 |
8.51/9.10 |
10.48/10.64 |
4.72/4.42 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
4.16/2.97 |
7.06/10.30 |
19.24/18.67 |
8.22/6.95 |
10.64/9.83 |
3.29/4.11 |
| GP(RQ+Exp/RQ×Exp) |
3.72/5.09 |
6.08/7.84 |
19.44/19.74 |
8.00/8.57 |
10.62/10.92 |
4.07/2.76 |
| GP(RQ+Periodic/RQ×Periodic) |
3.65/3.59 |
4.36/6.53 |
18.04/17.96 |
7.32/7.63 |
10.22/10.39 |
4.78/3.71 |
| GP(RQ+RBF/RQ×RBF) |
3.61/3.44 |
5.32/6.67 |
17.61/19.12 |
7.37/7.83 |
10.32/10.48 |
4.11/3.96 |
| 30% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
6.37/4.12 |
4.64/9.84 |
18.47/11.39 |
10.71/5.09 |
15.10/11.84 |
3.21/6.29 |
| GP(RQ+Exp/RQ×Exp) |
6.58/8.13 |
4.06/4.60 |
18.69/19.76 |
10.69/11.14 |
15.50/15.98 |
3.72/2.76 |
| GP(RQ+Periodic/RQ×Periodic) |
6.42/6.01 |
3.05/4.22 |
16.95/17.18 |
10.14/10.18 |
14.78/14.75 |
3.29/3.29 |
| GP(RQ+RBF/RQ×RBF) |
6.23/5.55 |
3.76/4.20 |
17.47/17.81 |
10.40/10.43 |
14.95/14.65 |
3.11/3.66 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
6.66/4.34 |
8.07/13.52 |
24.53/22.74 |
12.38/9.53 |
16.10/14.34 |
4.55/6.51 |
| GP(RQ+Exp/RQ×Exp) |
6.03/8.19 |
7.03/8.60 |
24.31/25.02 |
12.18/12.72 |
16.10/16.60 |
5.39/3.77 |
| GP(RQ+Periodic/RQ×Periodic) |
5.85/5.82 |
4.91/7.49 |
22.45/23.38 |
11.40/11.79 |
15.47/15.74 |
5.93/4.96 |
| GP(RQ+RBF/RQ×RBF) |
5.74/5.41 |
5.98/7.68 |
22.46/24.69 |
11.46/12.06 |
15.57/15.77 |
5.21/5.47 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
6.51/4.50 |
11.00/16.41 |
29.48/29.65 |
13.84/12.35 |
16.55/15.40 |
5.09/6.24 |
| GP(RQ+Exp/RQ×Exp) |
5.81/8.14 |
9.27/12.04 |
29.90/29.91 |
13.67/14.33 |
16.52/16.93 |
6.40/4.00 |
| GP(RQ+Periodic/RQ×Periodic) |
5.61/5.58 |
6.18/10.14 |
28.25/27.96 |
12.72/13.08 |
15.89/16.19 |
7.56/5.77 |
| GP(RQ+RBF/RQ×RBF) |
5.41/5.35 |
7.56/10.39 |
27.51/29.42 |
12.60/13.40 |
15.93/16.33 |
6.61/6.18 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
6.30/4.60 |
13.57/18.72 |
34.63/35.35 |
15.55/14.79 |
16.81/16.03 |
5.49/6.06 |
| GP(RQ+Exp/RQ×Exp) |
5.56/7.97 |
11.39/15.35 |
35.47/34.85 |
15.37/16.12 |
16.76/17.13 |
7.02/4.11 |
| GP(RQ+Periodic/RQ×Periodic) |
5.49/5.38 |
7.38/12.26 |
34.81/32.61 |
14.35/14.54 |
16.16/16.46 |
8.82/6.39 |
| GP(RQ+RBF/RQ×RBF) |
5.20/5.19 |
9.22/12.63 |
33.25/34.81 |
14.10/15.09 |
16.25/16.63 |
7.59/6.79 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
6.46/4.47 |
10.59/15.81 |
28.80/28.10 |
13.48/11.53 |
16.43/15.06 |
4.99/6.26 |
| GP(RQ+Exp/RQ×Exp) |
5.84/8.06 |
8.98/11.70 |
29.21/29.29 |
13.29/14.02 |
16.43/16.86 |
6.19/3.88 |
| GP(RQ+Periodic/RQ×Periodic) |
5.68/5.57 |
6.06/9.78 |
27.65/27.26 |
12.32/12.73 |
15.78/16.08 |
7.28/5.63 |
| GP(RQ+RBF/RQ×RBF) |
5.53/5.25 |
7.65/9.94 |
27.01/28.77 |
12.33/13.03 |
15.89/16.15 |
6.28/6.05 |