I will use this post as repository of all the publicly available shiny dashboards I have developed through time.
DTCC Swap Data Dashboard
All the investment banks in the world must submit the information about their trades to a trade repository called DTCC. We report the anonymysed version of such data as published by DTCC here (https://pddata.dtcc.com/gtr/cftc/dashboard.do) in a dashboard that tracks the evolution through time of the global investments in a specific trade called “interest rate swaps”.
The EU is set to become the largest supranational bond issuer in the world thanks to its €90bn billion instrument for temporary Support to mitigate Unemployment Risks in an Emergency (SURE) and €750bn Next Generation EU (NGEU) recovery fund.
If we look at the distribution of bond notional issued by the European Union outstanding as at the end of June and we divide it between SURE, NGEU and legacy programmes (mainly for loans to Ireland and Portugal during the last debt crisis) we can see that the SURE programme (now concluded) represents almost 50% of total with NGEU already representing 20%.
I have released a new version of the package SwapPricer on GitHub here.
As we are now at version 1.0.1 the toolbox is able to price using just a one-curve framework but is able to price multiple currencies (ie. CHF, EUR, GBP, JPY and USD) and any convention in terms of coupon frequency, day count convention.
We are working to introduce OIS Discounting in the next releases
SwapPricer: instructions for use To run a multi-currency swap portfolio valuation you need the following three “ingredients”:
In the previous posts we have seen how easy it is to price interest rate swaps using R. I am honoured to announce that I have decided to put all the functions I have described together into a package that is called…SwapPricer!
Ok, the name is not super original, but it should at least be easy to remember.
You can install it as follows:
