Added the ability to do a simple scenario analysis to the futures
The Future Net Basis Forecast is used to have an outlook on the following futures outside the current cycle. This sheet will display the bonds that fall in each of the baskets as well as point out the bond that could be the CTD by way of the net basis. In addition to this, traders can now perform scenario analysis on each of the baskets at once. There is an option to set the “Parallel” bump or “Curve Bump”. Once the Bump type is selected, traders can set by how much the curve will be bumped.
In the screenshot below, see how the Parallel Bump affects the bonds to become the CTD. Enter the Bump next to “Parallel Bump” and click on “Apply Bump” to see the new bond prices and the new Net Basis with the highlighted potential CTD.
In the screenshot below, the Curve Bump option has been selected from “Preferences” – “Bump Type” – “Curve”. Traders can enter the shortest maturity bond bump and the longest maturity bond bump. RiskVal will interpolate the bump to each of the bonds in between. The Net Basis will be recalculated and the potential CTD will be highlighted.
Note: Click on the “Reset” button to clear out the overwritten prices due to the scenario analysis.