Sprd/Bfly Enhancements | Weekly Release 1/14/22


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.