ExcelNotes

_Note adhoc notes re questions to be removed at later date. _

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Curves

YieldCurve
Index
FlatForwardCurve
DefaultCurve
BondCurve
RepoCurve
DefaultCurve

• Peicewise valuation curve for each basis.
• Discount curves OIS, Eonia, Sonia etc re collateral.
• FutPXAdj for term basis per basis valuation curve and actual basis.
• History re indexs and libor (BBA, OIS, Eonia, Sonia etc).
• Pricing engine for each basis per discount curve.
• Jump date adjustments.

Roll EOD T-1 curves to SOD curve.

• Carry/accretion.
• Imply rates spot + 1d from EOD T-1 for SOD.
• IR Fut kept constant.

Products

VanillaSwap
BasisSwap
FloatingLeg
FixedLeg
ForwardRateAgreement

FixedRateBond
FloatingRateBond
ZeroCouponBond

Swaption
BermudanSwaption
CreditDefaultSwap
Repo

• IR futures simple.
• Bond futures delta underlying re CF on CTD.
• FX and fixed flows re-discount.
• CMS use basis swap.
• Plus many others not investigated yet** **

Rates/Spreads quotes

DepoRate
FraRate
FutRate
SwapRate
CdsSpread

Query trades

• FinPlusRTDQuery re "NoTp".
• AsOf T-1.
• AsOf T-1 settled bonds and futs netted at open px.

• P&L performance needs aggregated flows AsOf T-1.

• New Biz + Changed trades.

• Contra AsOf T-1 for Changed trades.

Query other market/static

• FinPlusRTDQuery re "NoTp".

Delta/gamma deterministic

• SOD curve, +1bp, +10bp for each point bumped 40+ curves.
• 1000 trades valued x 40 if no flow aggregation.
• FutPXRisks, basis sensitivities etc?
• Risk from discount curves minimal.

PL Explainer

• Deltas/Gammas, basis etc.
• Trades as per above.
• T, SOD & T-1 EOD curves.
• Bond future gross & net basis.
• Price marked products price changes.
• Realised flows re cash balance.

Funding and carry

• O/N funding on cash balances.
• PV diff EOD T-1 & SOD.
• Repos.

Booking tools

• Trade capture.
• FinPlusBooker re "NoTp".
• Market data history, builds, static etc

Calenders

• Biz convention etc.

Setting diarys

• Upcoming settings and cash flows?

Summary

• FutPXAdj & JumpDateAdj published from excel.
• Curve roll, interim driven from excel for capture, bond px adj?.
• No aggregated cash flows for re-imply flt flows/re-discount flt+fix flows for new pv painful.
• Five ccys 5 indexs, 5 OIS curves 20 live curves re basis.
• For risk 5 currencies re bumped curves with say 20 curve points could equate for each basis to 400 curves.
• QL has bond curves, but best to risk temp swap with principle exchange matched dates/cpns, solve for bond price by adj yield curve for basis ( YC - BC adj = BC) to get risk against hedge instruments used to build yield curve.
• Bloomberg for bonds, carry mismatch between bonds marked to spot and swaps pv'd to today.
• Rolling curves forward each day for a month, build probs can be caught pre trade date.
• Extra curves without Futures, stub to first fut? and from last fut to first swap?
• Not just valuation curve risk but risk re discount curves.
• Bond fut risk on single CTD as per conversion factor.
• Bond Fut, unexplained cash/fut basis.
• Counterparty netting/settle reduce admin cost/books size.
• Cash bonds priced to spot settled or not?
• PL explain from intra-day snaps.

Note for initial cut build curves from spreadsheets for easier diagnostic re new quant library