Bloomberg L.P., (2012), FWCV Forward Analysis Matching Output. Bloomberg L.P..pdf
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Transcript of Bloomberg L.P., (2012), FWCV Forward Analysis Matching Output. Bloomberg L.P..pdf
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FWCV Forward AnalysisMatching Output
INTRODUCTION........................................................................................................................................ 2
SWDF SOURCE ......................................................................................................................................... 2
USE CASE 1: SHORT END SWAPS .............................................................................................................. 3
FWCV:HORIZONCURVESWAP CONVENTIONS .............................................................................................. 4
FWCVOLDSWAP CONVENTIONS.................................................................................................................... 4
ICVS:CURVEHORIZONSWAP CONVENTIONS ................................................................................................. 5
SWPMSWAP CONVENTIONS .......................................................................................................................... 5
FWCV:IMPLIEDFORWARDS-CASH CONVENTIONS .......................................................................................... 6
FWCVOLD-CASH CONVENTIONS ..................................................................................................................... 6
ICVS:FORWARDANALYSIS-CASH CONVENTIONS ............................................................................................ 7
SWPM-CASH CONVENTIONS ........................................................................................................................... 7
USE CASE 2: LONG ENDED SWAPS ............................................................................................................ 8
FWCV:HORIZONCURVE .............................................................................................................................. 8
FWCVOLD ................................................................................................................................................... 9
FWCV:IMPLIEDFORWARDS ...................................................................................................................... 10
SWPM ........................................................................................................................................................ 10
ICVS:FORWARDANALYSIS ........................................................................................................................ 11
ICVS:CURVEHORIZON ............................................................................................................................... 11
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Introduction
FWCV was recently revamped as part of Bloomberg NEXT with the goal of
providing a more user friendly UI and at the same time providing morefunctionality and flexibility than the previous version.
Additional consideration for short end projectionsShort ended swaps typically have different conventions then the cash rates usedon the short end of Interest rate curves and as a result Forward Analysis followsdifferent assumptions than Horizon Analysis. The former is based on theconventions of the underlying curve objects meanwhile the latter is based ongenerating forward swap rates hence using swap conventions only.
To help illustrate backward compatibility of FWCV and also the particularnuances of short ended projections we show output generated by FWCVagainstFWCV OLD, SWPM and ICVS based on two use cases (short end and longend). SWPMprovides the additional benefit of being able to see the underlyingcash-flows in reference to the projected rates in FWCV.
SWDF Source
If goal is to match the values in FWCV to FWCV OLDwe need to ensure thesame inputs are being used along with the same conventions. FWCV OLDonly
supports swap curves in SOURCE 1.
In SWDF make sure the applicable swap curve is sourced this way.
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Use Case 1: Short End Swaps
Currency: USD
Fixed FloatFloat Leg Reference Index: LIBOR 3monthsPay freq: Zero Coupon Effective Date: 1 month from today (today being April 12, 2012)Maturity: 6 months from Effective dateSwap curve #23MID valuesContributor Source: CMPN Compound Frequency:
o Semi-annual for swap conventiono No compounding for Cash conventions
Day count:o 30I360 for swap conventionso ACT360 for cash convention
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FWCV: HORIZON CURVE Swap Conventions
Horizon Curve always displays Projected rates (zero and Par Swap) based onswap conventions. This approach is consistent with the Curve Horizons tab
within SWPM.Settings:
o Rate Type: Zero Rate
Result: .9014
FWCV OLD Swap Conventions
Settings:o Day Type: 30 360o Coupon/Spot: Spot (zero coupon)
Result: .9014
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ICVS: CURVE HORIZON Swap Conventions
Settings:o View: Spot Rates
Result: .9014
SWPM Swap Conventions
Settings:o SWPM 1MOX6MO C04/16/2012 ZER0o Change effective and maturity dates
Result: .0901378 (approx .9014)
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FWCV: IMPLIED FORWARDS - Cash Conventions
Settings:o Interval: 1 month
o Tenor: 6 month
Result: .8818
FWCV OLD - Cash Conventions
Settings:o Day Type: ACT 360o Coupon/Spot: Spot (zero coupon)
Result: .8818
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Use Case 2: Long Ended Swaps
USDFixed FloatFloat Leg Reference Index: LIBOR 3monthsPay freq: Zero Coupon Effective Date: 3 years from today(today being April 12, 2012)Maturity: 4 years from start/effective dateApplicable Bloomberg swap curve #23MID valuesContributor Source: CMPN
Compound Frequency:o Semi-annual for swap convention
Day count:o 30I360 for swap conventions
Note: No convention nuance like we have for short ended swaps
FWCV: HORIZON CURVE
Result: 2.4264
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FWCV OLD
Result: 2.4264
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FWCV: IMPLIED FORWARDS
Result: 2.4264
SWPM SWPM USD 3YX4Y ZERO C04/12/2012
Change Effective date to 4/16/2015 and Maturity to 4/16/2019
Result: 2.426352 (approx. 2.4264 )
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ICVS: FORWARD ANALYSIS
Result: 2.4264
ICVS: CURVE HORIZON
Result: 2.4264