Arbitrage

Volatility

PeriodValueContractPrice

Yield

PeriodValueContractPrice
SPOT 08-Jul-2010 USD/PMT 3.0625000000000
1M 09-Aug-2010 USD/PMT 3.1250000000000
2M 08-Sep-2010 USD/PMT 3.3750000000000
3M 08-Oct-2010 USD/PMT 3.5000000000000
6M 10-Jan-2011 USD/PMT 3.6250000000000
9M 08-Apr-2011 USD/PMT 3.7500000000000
1Y 08-Jul-2011 USD/PMT 3.8125000000000
2Y 09-Jul-2012 USD/PMT 3.9375000000000

Forex

PeriodValueContractPrice
SPOT 08-Jul-2010 GBP*USD/FX 1.5100000000000
1M 09-Aug-2010 GBP*USD/FX 1.5085794232192
2M 08-Sep-2010 GBP*USD/FX 1.5073362734288
3M 08-Oct-2010 GBP*USD/FX 1.5061030118331
6M 10-Jan-2011 GBP*USD/FX 1.5023004109087
9M 08-Apr-2011 GBP*USD/FX 1.4988301037227
1Y 08-Jul-2011 GBP*USD/FX 1.5045332092980
2Y 09-Jul-2012 GBP*USD/FX 1.4808065818028

RiskFree

PeriodValueContractPrice
SPOT 08-Jul-2010 GBP/PMT 4.0625000000000
1M 09-Aug-2010 GBP/PMT 4.1250000000000
2M 08-Sep-2010 GBP/PMT 4.3750000000000
3M 08-Oct-2010 GBP/PMT 4.5000000000000
6M 10-Jan-2011 GBP/PMT 4.6250000000000
9M 08-Apr-2011 GBP/PMT 4.7500000000000
1Y 08-Jul-2011 GBP/PMT 4.1825000000000
2Y 09-Jul-2012 GBP/PMT 4.9375000000000