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Bond Roll Enhancement | Weekly Release 4/2/21

Added “XCCY Fixed Yld” columns to convert bond cashflow into another CCY cashflow and imply the yield, also available in the SSA sheets

Traders can leverage the cross-currency calculator to run the XCCY fixed yield using the implied FX curve to convert the bond’s cashflow into the selected currency. Then calculating the yield based off that converted cashflow.

To calculate the column, click on “Calculation” – “Calc XCCY ASW…”

To add the column, traders can click on “Table” – “Manage Columns”. Search for the column on the left. Add it to the view, then save it.


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