Added OIS Spread Z Spline curve and set of “OISprd Z RVS” columns
In this release, there is a new relative value spread added, the OISprd Z RVS. This column shows the bond’s spread to the OIS Sprd Z Spline curve.
RiskVal’s OIS Sprd Z Spline Curve fitting points take the entire bond universe into account. The curve uses the OIS Z-Spreads of all bonds to fit a spline model and minimize the sum of square errors (RVS).
OIS Sprd Z Spline Curve Weight
Default weighting for available curves for each CCY:
USD, GBP, JPY: Free Float x DV01
EUR: Issue Size x DV01
AUD, CAD: Outstanding Size x DV01