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Bond Roll Enhancements | Weekly Release 11/22/19

Enhancement #1

RV analysis: added the CMT RVS as an option to run the analysis

The RV Analysis helps traders efficiently narrow down which strategies have a good relative value spread based on metrics other than outright yield. To expand the reach of the analysis, we have added the CMT RVS.

In the example below, the trader can find the best spread strategies for the Original 10-year bonds using the CMT RVS.


Enhancement #2

(1) Curve Analysis, Enhanced the hi/lo for each point on the curve with updated tool tips shows the hi/lo/mean/stdev

In the Curve Analysis, the HiLo Bars have been added to show where the current level is relative to its 3M(default) HiLo. In addition, if you hover over the bar, the trader will see the high/low/mean/std deviation/ std deviation (dchg).

(2) Curve Analysis, the data series have the same name as the columns to make them consistent

(3) Two Curves, show the difference between the curves as a third curve

In the curve analysis, we have added the option to show the difference between two curves on a third curve. This way the trader can see the trend of the spreads.


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