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Pricing and Valuing Interest Rate Swaps On Bloomberg: Nfea 5 International Conference Moscow
Pricing and Valuing Interest Rate Swaps On Bloomberg: Nfea 5 International Conference Moscow
Swaps on Bloomberg
NFEA
5th International Conference
Moscow
Timothy Murphy
Bond and Derivatives Specialist
Bloomberg Applications,
Bloomberg London
Viewing Libor OIS Spreads
Viewing Libor OIS Spreads
Overview Bloomberg IRS Swap Functions
ILBM
ILBM ASW
ASW CVA
CVA
OVME
OVME SWPM
SWPM
OVML
OVML
Structur
Structur
ing and
ing and
Pricing
Pricing
Swap
Swap Library:
Library: Derivativ SWDF
Trade Derivativ Curve
Curve SWDF:: Swap
Swap Defaults
Defaults
IRDL
IRDL Executio es
es Menu
Menu and
and
Portf.
Portf. View:
View: n and
<IRDV>
Rate
Rate
MARS
Monitor <IRDV> Analysis
Analysis ICVS
ICVS :: Curve
Curve Construction
Construction
MARS
Rate
Rate quotes:
quotes:
BBTI
BBTI
Volatilit
y
Analysis
VCUB
VCUB
NSV
NSV WIRP
WIRP
BUILDING
CURVES
SWDF
ICVS
Setting Curve Defaults ->SWDF
It
It is
is important
important to
to verify
verify
the curve default
the curve default
settings
settings as as these
these feed
feed
into
into the
the valuation
valuation
modules
modules and and can
can give
give
rise to valuation
rise to valuation
differences
differences between
between two
two
users
users
SWDF: IRS Curve IDs, Curve Sources and Pricing Settings
However,
However,
note
note that
that
SWDF
SWDF does
does
not
not list
list
Inflation
Inflation Swap
Swap
Curves.
Curves.
These
These can
can be
be
found
found in
in ICVS
ICVS
Russia Swap Curves on
Bloomberg
ICVS Int. Curve Builder
Source 8 Curve Constructions using 3 month reset Index
ICVS
Timothy Murphy
020 7392 0371
07939 257 308
tmurphy62@bloomberg.net
timothymurphy@mac.com