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Future CTD Scenario Analysis Enhancements| Weekly Release 4/19/2024

# 1: Added the End of Month Option

 

In this week’s release, the End of Month Option has been added. RiskVal calculates the end-of-month option value between the last trading day and last delivery day of the bond future using the Annual NVol implied from the ATM bond future option. The calculation methodology is similar to the switch option calculation methodology, except the payoff in each scenario is based on a fixed future price.

Note: Renamed the “WC + Switch Opt Value” to include the EOM



# 2: Added additional IVSPS YY for early delivery and last delivery

 

In addition, to adding the End of Month Option Value, new IVSPS YY columns have added to show the Invoice Spread to the early delivery date and last delivery date. These columns can be added from “Table” – “Manage columns”.

 

 

Column Name

Description

ED IVSPS YY

Early Delivery dated Matched Maturity SOFR Invoice Spread

LD IVSPS YY

Last Delivery dated Matched Maturity SOFR Invoice Spread


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