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Future CTD Scenario Analysis Enhancement | Weekly Release 7/29/22


Added preference to choose PCA parallel or normal parallel for delivery probability & scenario analysis and save repo

In the scenario analysis of the Future CTD, to calculate the how many standard deviations move it will take for the CTD to change, it does a “PCA Parallel Shift”. The “PCA parallel shift” bumps the movement of each bond depending on the duration and applying the appropriate shift from the PCA parallel curve.

In this week’s release, an option has been added to shift all the bonds the same value, “Flat Parallel Shift”. This is to make it make it more straight forward.

To change to the delivery parallel type, click on “Preferences” – “Dlv Parallel Type” – “Flat/PCA

In addition, traders also have the option to Auto save their repo. Traders can have their overwritten “Repo” and “GC Spreads” save from the Future CTD. The option is under “Preferences” – “Auto Save Repo


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