Emerging Markets | Weekly Release 5/21/21


In this week’s release, we have added the BRL On/Offshore basis curve to allow traders to price the off shore by setting a spread to the onshore curve. Traders can then use these spreads to price swaps in the Trade Blotter.


Basis Swap enhancement

Where can I find Basis Swap?

From RiskVal’s top menu, click “Market View” – “Basis Swap”.


Traders can leverage the BRL On/Off curve to price BRL Offshore swaps by setting the spread between the BRL Onshore and BRL Offshore curves. The spread will be added to the BRL Onshore rate to calculate the BRL Offshore rate. These rates will be reflected in the Trade Blotter for the BRLOffshore swaps


Note: After overwriting the “Sprd”, the BRL curve must be built before it updates on the trade blotter.