Bond Roll Enhancement | Weekly Release 7/3/20

Added hedge columns for SOFR YY, OIS YY, and ASW YY to calculate the swap hedge ratio using Matched Maturity Swap structure

Traders can view the SOFR/OIS/ASW swap hedge using the Matched Maturity Swap Structure. This way traders can see quickly see what the hedge is for each bond. It is very useful when looking to trade a swap basis strategy.

Note: Traders can select between PV01 or DV01 hedge.

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