22.4 Instrument Level Output

The following outputs are updated to processing table FSI_D_FX_SWAPS:

1. Macaulay Duration (DURATION_C)
2. Macaulay Duration (DURATION_C)
3. Modified Duration (MODIFIED_DURATION_C)
4. Convexity (CONVEXITY_C), Current Yield (CUR_YIELD), DV01 (DV01_C), and average Life (AVERAGE_LIFE_C) are not calculated. CONVEXITY_C, CUR_YIELD is updated to ‘0’.