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CCY Sprd/Bfly Enhancement| Weekly Release 5/10/2024

# 1: [Seasonality Matrix] Added support for weekly change and weekly average


In this week’s release, the “Seasonality Matrix” has been extended to calculate the “Weekly” change and the “Weekly Avg” change.


To recap, traders have the option to choose how much data to load under the “Year” dropdown. “Change Type” allows traders to choose the net change over the selected time period or by percent change. “Change Method” allows traders to choose the monthly change or weekly change.


The “Weekly” change shows the difference between the last business day of the past week and the last business day of the current week.

The “Weekly Avg” shows the change in weekly average between the current week and the past week.

Finally, the “#Y Avg” shows the average of the time period over the subsequent years.


# 2: Added “DV01 Convexity Weight” option for bond flies


The new “DV01 Convexity Weight" option has been added to the Sprd/Bfly to calculatethe weights at which a bond fly will be both DV01 and convexity neutral.


In the screenshot below, see the UKT 3.5 768/UKT 1.625 O71/UKT CT50 fly is both DV01 and Convexity neutral, given a notional of $1B for the O71, which is the belly.


# 3: Added support for “RONIA” index, also available in Forward Swap Matrix


Traders can enter “RONIA” in Sprd/Bfly and Forward Swap Matrix sheets to load GBP Repo Overnight Index. <Double click> on “Sprd” column to populate historical data.


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