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Conditional Curve Enhancement | Weekly Release 11/10/2023

Added the function to set the “offset”

In this release, RiskVal added new “Offset” setting that solves for zero cost structures, sets the shorter leg at ATM+Offset.

New “ATM Sprd” field for traders to input offset in bps. Default is set to 0. Offset will be applied when “Hg” is set to “ZP+$Delta” & “ZP+SwapDV01”.

For the Spread tab, offset applies to the shorter leg and when traders are looking at the butterfly tab, offset applies to the belly.

The offset changes Strike % value, the anchor leg (shorter leg or belly) will be ATM+offset, and the hedging will be based on the adjusted anchor leg. RiskVal updates all the related fields.


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