Enhancement #1: [CNY]: Added support for current China 1-year government bond, also available in Sprd/Bfly
Traders can now view the 1-year on the run CNY government bond by entering “B1” in the CNY tab in the Forward Swap Matrix sheet. Traders can use this same format, “B#”, to enter other on the run bonds in this sheet as well.
Note: To enter CNY on the runs in Sprd/Bfly sheet, in the CNY tab traders can use “#” code. For example, “1” for the 1-year on the run bond.
Enhancement #2: [USD & EUR]: For “3M Cnvx Ret” & “3M Cnvx Adj C+R” columns, added support for libor & OIS strategies
In a previous release, the “3M Cnvx Ret” and the “3M Cnvx Adj C+R” were added to the Forward Swap Matrix. In this release, these columns were extended to show the metrics for the OIS and Libor swaps in EUR and USD currencies.
The “3M Cnvx Adj C+R” is calculated as the carry and rolldown including the 3-month convexity adjustment.
“3M Cnvx Return” is calculated as the convexity adjustment P&L in basis points using 3-months historical data