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CCY Bond/Future Spreads and Butterflies Enhancements | Weekly Release 6/7/19

Enhancement #1

Seasonality to use Trading Days, instead of Calendar Days

The seasonality graph average lines now use Trading Days instead of Calendar days to produce a smoother progression: the average line has a lot of bumps. This update is also more consistent with Bloomberg’s historical graph.


Enhancement #2

C+R columns now honor trader’s Curve Roll selection, using either OTR Spline or CMT curve, which is also consistent with Bond Roll’s C+R

In the Bond/Future Spreads & Butterflies Monitor and the Bond Roll Analysis sheet, the live and historical data will now update to the users selection for the G7 Curve Roll Type. Traders can switch between OTR and CMT Rolldown methods by clicking “Preferences” then “GUI Preferences” then in the “G7 Curve Rolldown Type” option choosing either CMT or OTR.

Traders can also double click for C+R history.


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