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Bond Roll Enhancements | Weekly Release 2/5/21

Enhancement #1

Added “CMT Par Yield” which includes the coupon effect to compare with the CMT Model yield to see the coupon effect

"CMT Par Yield" column in the bond roll sheet, can be used to compare to the "CMT Model yield" to see the coupon effect.

CMT par yield is based on bond with coupon = par yield from CMT.

CMT model yield is using the actual bond’s cashflow


Enhancement #2

Added “To Swap Box Synthetic” option for Original 20Y and 30Y bonds

Traders who would like to create synthetic bonds from the 30 yr or 20 yr series can easily create them by <right clicking> and selecting “To Swap Box Synthetic”. When the Synthetic bond is created in the swap box, it will create a “synthetic strategy” in which a user can construct a new bond with a different coupon level from the whole bond and strip principle.


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