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Bond Roll Enhancements | Weekly Release 6/3/22

Enhancement #1:

[USD] Added interpolated yield set of columns

From “Table - Manage Columns” traders can add columns that are reflecting linear interpolation – “Interp Yld Marker”, “Interp Yld”, “Interp dYld”, “Interp Yld Sprd”, “Interp Yld dSprd”.

Once traders check “Interp Yld Marker” fields, RiskVal will recalculate linear interpolation “Interp Yld”, delta between the interpolated yields “Interp Yld Sprd” and daily changes columns accordingly.

Note: RiskVal will calculate interpolated columns for nearly checked bonds

Enhancement #2:

Added multiple date Gap Breakeven Analysis

Now traders can estimate multiple fundings for money market securities on a breakeven basis. Traders can compare the Term, Head, and Tail, given CD Rate/Discount Rate assumptions between sets.

The breakeven is calculated as Start date - Center date 1 - Center date 2; where Center date 2 is acting as the end date. RiskVal calculates breakeven of the second set as Center date 1- Center Date 2- End date; where Center date 1 is acting as the start date.

Once traders enter “Start/Center/End” dates & “Term/Head/Tail” RiskVal will recalculate gap breakeven table accordingly.

Note: Traders can add new sets by clicking on “New Set” button


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