Future Calendar Roll Enhancement | Weekly Release 1/31/20

Created a STIR view with new columns available for analyzing front & back future performance across Implied Repo vs SOFR, Implied Repo vs OIS, and Implied Repo vs Actual Repo, with added history for actual repo.


Leverage the new columns from the “Table” – “System View” – “Default-STIR” view.

D1 SOFR is the SOFR rate to the front contract’s delivery date

D2 SOFR is the SOFR rate to the back contract’s delivery date

FT IRR SOFR is the front contract’s implied repo rate – SOFR rate

BK IRR SOFR is the back contract’s implied repo rate – SOFR rate

BK IRR D1 SOFR is the back contract’s implied repo rate – front contract’s SOFR rate

FT IRR FT Repo is the front contract’s implied repo rate – actual repo rate

BK IRR BK Repo is the back contract’s implied repo rate – actual repo rate

Diff OIS Z is the back contract’s CTD OIS Z – front contract’s CTD OIS Z

  • LinkedIn - Black Circle
  • Twitter - Black Circle

RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

Copyright © 2020 RiskVal Financial Solutions, LLC. All rights reserved.