Enhancement #1:
Added code to show the On-the-Run as a price
The generic On-the-Run bond price is now supported under the “Sprd” column in lieu of the yield. Traders can enter “#_PX” to get the live price of the On-the-Run bond.
For example, traders can enter “10_PX”. This way, regression analysis can be run between TBA historical price and On-the-Run historical price without being mismatched.
Enhancement #2:
Added OIS to the CIX function*
OIS is now supported for CIX function. Traders can enter GBS# for swap CIX and GBOIS# for OIS CIX function.
Note: Also available in the Forward Swap Matrix
Enhancement #3:
Added support for “NV#x#” & “NVD#x#” for swaption vols*
Normal Vol is now supported in Sprd/Bfly. Traders can enter “NV#x#” and “NVD#x#” for swaption vols. For example, traders can enter “NV1X5” for 1 year forward 5 year tail IR Normal Vol.
Note: Also available in the Forward Swap Matrix
Enhancement #4:
Added Risk Free Rate CT Spread syntax*
In the AUD Sprd/bfly sheet, traders can enter “OISCT#” format for Australian risk-free CT spreads.
Note: This is also available in the Forward Swap Matrix sheet under the AUD tab.