WI TIPS Enhancement | Weekly Release 4/23/21


Enhanced how RiskVal estimates the WITII total roll where the rolldown is calculated using the CMT RYld curve


WI TIPS “Total Roll (bp)” = Carry + Curve Roll + Coupon Effect + Bad Day


For WITII, the coupon effect uses the swap curve. The curve rolldown uses the CMT Real Yield curve to estimate the rolldown. In the previous release, RiskVal estimated the rolldown using the market roll. Using the CMT RY curve produces a WI roll much closer to the market.


Note, RiskVal's CMT RY curve can be found under Market View -> Curves -> USD -> CMT RY