Future CTD Scenario Analysis Enhancement | Weekly Release 8/5/22

Enhancement


The delivery probability scenario is now using “Flat” bump opposed to PCA by default


In last week’s release, the option to use a “Flat” curve bump in calculating the delivery probability. In this week, it is now the default to keep it consistent with the Scenario analysis 1/2/3.


In the example below, assuming a “Flat” bump in the scenario analysis, the 2.75 May 29 will become the CTD. In the scenario analysis 2, it shows the CTD being the 2.875 Apr29 with a 25 bp bump. In scenario 3, however, when the scenario is bumped 25 bps. The 2.75 May29 bond becomes the CTD.

Note: To change it back to PCA, click on “Preferences” - “DLV Parallel Type” - “PCA