1

FWCV Forward Analysis

Matching Output
INTRODUCTION........................................................................................................................................ 2
SWDF SOURCE ......................................................................................................................................... 2
USE CASE 1: SHORT END SWAPS .............................................................................................................. 3
FWCV: HORIZON CURVE SWAP CONVENTIONS .............................................................................................. 4
FWCV OLD SWAP CONVENTIONS.................................................................................................................... 4
ICVS: CURVE HORIZON SWAP CONVENTIONS ................................................................................................. 5
SWPM SWAP CONVENTIONS .......................................................................................................................... 5
FWCV: IMPLIED FORWARDS - CASH CONVENTIONS .......................................................................................... 6
FWCV OLD - CASH CONVENTIONS ..................................................................................................................... 6
ICVS: FORWARD ANALYSIS - CASH CONVENTIONS ............................................................................................ 7
SWPM - CASH CONVENTIONS ........................................................................................................................... 7
USE CASE 2: LONG ENDED SWAPS ............................................................................................................ 8
FWCV: HORIZON CURVE .............................................................................................................................. 8
FWCV OLD ................................................................................................................................................... 9
FWCV: IMPLIED FORWARDS ...................................................................................................................... 10
SWPM ........................................................................................................................................................ 10
ICVS: FORWARD ANALYSIS ........................................................................................................................ 11
ICVS: CURVE HORIZON ............................................................................................................................... 11

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 more
functionality and flexibility than the previous version.
Additional consideration for short end projections
Short ended swaps typically have different conventions then the cash rates used
on the short end of Interest rate curves and as a result Forward Analysis follows
different assumptions than Horizon Analysis. The former is based on the
conventions of the underlying curve objects meanwhile the latter is based on
generating forward swap rates hence using swap conventions only.
To help illustrate backward compatibility of FWCV and also the particular
nuances of short ended projections we show output generated by FWCV against
FWCV OLD, SWPM and ICVS based on two use cases (short end and long
end). SWPM provides the additional benefit of being able to see the underlying
cash-flows in reference to the projected rates in FWCV.

SWDF Source
If goal is to match the values in FWCV to FWCV OLD we need to ensure the
same inputs are being used along with the same conventions. FWCV OLD only
supports swap curves in SOURCE 1.
In SWDF make sure the applicable swap curve is sourced this way.

Use Case 1: Short End Swaps

Currency: USD
Fixed Float
Float Leg Reference Index: LIBOR 3months
Pay freq: Zero Coupon
Effective Date: 1 month from today (today being April 12, 2012)
Maturity: 6 months from Effective date
Swap curve #23
MID values
Contributor Source: CMPN
Compound Frequency:
o
o

Semi-annual for swap convention

No compounding for Cash conventions

Day count:
o
o

30I360 for swap conventions

ACT360 for cash convention

FWCV: HORIZON CURVE Swap Conventions

Horizon Curve always displays Projected rates (zero and Par Swap) based on
swap 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
o

Day Type: 30 360

Coupon/Spot: Spot (zero coupon)

Result: .9014

ICVS: CURVE HORIZON Swap Conventions

Settings:
o

View: Spot Rates

Result: .9014

SWPM Swap Conventions

Settings:
o
o

SWPM 1MOX6MO C04/16/2012 ZER0

Change effective and maturity dates

Result: .0901378 (approx .9014)

FWCV: IMPLIED FORWARDS - Cash Conventions

Settings:
o
o

Interval: 1 month
Tenor: 6 month

Result: .8818

FWCV OLD - Cash Conventions

Settings:
o
o

Day Type: ACT 360

Coupon/Spot: Spot (zero coupon)

Result: .8818

ICVS: FORWARD ANALYSIS - Cash Conventions

Settings:
o
o

Interval: 1 month
Tenor: 6 month

Result: .8818

SWPM - Cash Conventions

o
o
o

SWPM 1MOX6MO C04/16/2012 ZER0

Change effective and maturity dates
Day count ACT360

Result: .881739 (approx .8818)

Use Case 2: Long Ended Swaps

USD
Fixed Float
Float Leg Reference Index: LIBOR 3months
Pay freq: Zero Coupon
Effective Date: 3 years from today(today being April 12, 2012)
Maturity: 4 years from start/effective date
Applicable Bloomberg swap curve #23
MID values
Contributor 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

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