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ESTR Curve Enhancement | Weekly Release 7/24/20

As the EUR IRS market is moving from OIS to ESTR discounting, RiskVal added an ESTR curve such that traders can now toggle between OIS or ESTR discounting with this week’s release

ESTR Discounting Curve

Selecting the ESTR Curve as the default discounting curve for EUR

To set the ESTR discounting on the Libor Curve, click on “Preference” – “Discount Method” – “ESTR Discounting”. After this method is selected, remember to click on “Save Config” to keep the change.

Changes in RVFI

All EUR libor swaps will now be discounted according to the ESTR curve.

Trade Blotter: We can see the difference in NPV of a swap in Trade Blotter between using the OIS vs ESTR discounting curves as seen below

Using OIS Discounting, NPV is 141,079

Using ESTR Discounting, NPV is 141,266

EUR Bond: Changing the discounting curve also changes the asset swap levels in EUR Bond. Below you can see the different ASW levels using OIS discounting vs ESTR discounting


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