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CCY Bond Roll Enhancement| Weekly Release 4/12/2024


 [Curve Analysis] Added ability to plot Model SSprd Z/OISprd Z curves

 

In this week’s release, RiskVal added an ability to plot the “Model SSprd Z/OISprd Z” curves in the Curve Analysis pop-up window. Traders can select the figures under the “Data Type” and click “Plot” button to view the curves.

 

Also, RiskVal added the “Model SSprd Z/OISprd Z” columns in the USD Bond window as well. The columns can be located and added to the table by going to “Table” – “Manage Columns” menu.


Column Name

Description

Model SSprd Z

SSprd Z Model value (bps)

 

The SSprd Z value (bps) implied from the SSprd Z Spline model

 

Model OISprd Z

OISprd Z Model value (bps)The OISPrd Z value (bps) implied from the OISprd Z Spline model

 

In the screenshot below, see the SSprd Z and the Model SSprd Z side by side.

 


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