[Curves] Added support for CMT RY curves for EUR and CAD, also available in the Forward Swap Matrix
Added CMTRY curves for EUR & CAD. To access these curves, click “Market View” – “Curves” – “EUR”/”CAD” – “CMTRY”. For IT & FR, note that separate curves were added for different inflation indexes. These curves are labeled “IT Loc” & “FR Loc”.
To activate the curve, click “New Build”. To have the curve build on launch of RiskVal, check “Auto Build”.
Note: These curves are implemented in the “CMTRY RVS” set of columns of the TIPS Sheets, which shows the TIPS bond spread to their respective curve.
Support for CMTRY was also added to Forward Swap Matrix sheet. Format is “EUCMTRY#”/“CACMTRY#” & for forwards “EUCMTRY#x#”/“CACMTRY#x#”.
[Curves:] Added ED$ Convexity curve under the USD - Libor tab
Under “Market View” – “Curves” – “USD” – “LIBOR”, added the option to show the ED$ Convexity curve.
To do so, click “Preferences” – “Show ED$ Cnvx Curve”. The ED$ Convexity curve will load as a popup.
Note: Traders can view the ED$ Convexity curve data points in the table below.
[Basis Swap] Added Sonia v SOFR, also available in the Custom Basis
Traders can now look at the Sonia v SOFR basis in both the “Market View” – “BasisSwap” and the “Custom Basis” sheet. In addition, from monitoring the Basis spreads, in the lower section, traders can calculate the forward matrix and plot the Fwd Gap and Tail Gap.
Note: Traders can also add this Basis Curve to the Custom Basis, click on “Manage” button to add it to the current view.