Callable Bond Trade Enhancement | Weekly Release 6/4/21

Added Key Rate Risk

After making a callable bond selection, traders can click on the "Calculations" drop-down and select "Key Rate Risk".


In the popup table, traders can enter bonds, swaps, and futures, and hit "ReCalc", to calculate their Key Rate Risk.



Key Rate Risk is maturity-weighted DV01 Hedge, calculated by bumping down 1 bps for all the fitting points of the On-The-run curve. Key Rate risk supports bonds, futures, and swaps.