Portfolio Valuation in Kupala-Nich

 

M 917 536 3378 maksim_kozyarchuk@yahoo.com

The Portfolio Valuation offering of Kupala-Nich allows users to obtain Mark To Market Valuation of your portfolio using publicly available models and market data. This feature is currently limited to OIS Swaps and Listed Products but support for other financial instruments will soon be added. As output you will get Market Value, Cashflows as well as a number of risk metrics for your portfolio .

Supported Products OIS Swaps: Supported currencies include USD-SOFR, EUR-ESTR, GBP-SONIA, JPY-TONA, CAD-CORRA, MXN-TIION, SGD-SORA, and CHF-SARON. Both spot-starting, forward-starting and aged swaps are supported. Listed Products: Available via Yahoo Finance, covering U.S. equities, FX positions, cryptocurrencies, and limited options/futures, among other products. Cash: Converted to USD using the latest FX rate. Market Data Sources OIS Curves Market data for swaps is derived from trades reported via SDR (Swaps Data Repository), as well as from OIS rates reported by various central banks. Derived using summary files downloaded from the CFTC GTR, filtered by relevant UPIs and excluding certain trade types. Curve history goes back to early January 2025, and OIS rate time series extends to April 2024.  Allowing for historical revaluations from Jan 2025 and as well as pricing of aged swaps with start dates after April 2024. Listed Data and FX Rates Obtained via Yahoo Finance. Provides the latest ticks updated every five minutes. Historical revaluations for listed products are not supported. Swap Valuation Methodology QuantLib Version 1.36 is used for swap valuations. For more information about the valuation methodology, please refer to this blog post. Supported Outputs    The Portfolio Valuation offering from Kupala-Nich supports three main sections: Position Valuation:  Provides key metrics across all supported instruments, with additional swap-specific columns: Column Name Description Applicable Instruments npv Net Present Value All total_value NPV + Settled Amount Swaps only fair_rate Market-neutral fair rate Swaps only dv01 Dollar value of 1bp change in zero rates Swaps only pv01 Dollar value of 1bp change in fixed rates Swaps only bdv01 Dollar value of 1bp change in benchmark rates Swaps only Cashflows (Swaps Only) Displays swap cash flows for the next five years. Pivoted by currency and payment date in the UI, with an option to remove grouping and export to CSV. Past floating fixings are determined using OIS rates from central banks; future fixings are projected from the relevant OIS curves. The following columns are available in the cashflows tab: Notional Amount Discount Factor PV Start Date End Date Payment Date Used Rate Settled Indicator Position ID Bucketed DV01 (Swaps Only) Calculated by shifting benchmark points down 1bp at all available curve points. Results appear in a two-dimensional grid with currency as columns and tenors as rows. Gaps may exist for currencies/tenors if the underlying curve lacks liquidity at certain tenors.