Enhancement #1:
Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets
The following columns were added:
Enhancement #1: Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets
The following columns were added:
Note: Traders can add these columns to their view from “Table” – “Manage Columns”
Enhancement #2:
[USD/EUR] Added SOFR/ESTR spread Z RVS set of columns
Traders can now view the “SSprd/ESprd Z RVS” level, change on day, 3-month heatmap, & 3-month z-score in the USD & EUR Sprd/Bfly sheets.
The following columns were added:
Note: Traders can add these columns, which are also available in USD/EUR Bond sheets, from “Table” – “Manage Columns”. Traders can also view the SSprd/ESprd Z Spline curves under “Market View” – “Curves”.