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Trade Blotter Enhancement | Weekly Release 5/31/2024

[CB Rate Hedge] Added support for multiple CCYs

 

Previously known as “Meeting Date Rate Hedge”, “CB Rate Hedge” will now support USD/GBP/AUD/NZD. CB Rate Hedge calculation is similar to Bucket Risk calculation. A curve is built with Central bank meeting forward rates as fitting points. After that, for each fitting point, we bump the rate by -1bp only at this one, then take the difference of PV before and after bumping at the partial DV01 at this fitting point.

 


 


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