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CCY Sprd/Bfly Enhancement | Weekly Release 11/1/19

Added a new method for traders to conduct a regression analysis, allowing traders to choose from three options: whole level, daily change, or the whole level with beta based on the daily change

To select a preferred regression method, click “Preferences” then hover over “Regression Choices” and select an option.

In the new method, whole level w/ beta on daily change, the correlation uses whole level correlation and the beta uses the daily change beta.

  • Alpha calculated as: whole level alpha + (whole level beta – daily change beta) * average (based on time series).

  • Residual calculated as: Spread level (bp) – (new method alpha – vmCT10Live * daily change beta)

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