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Future Analysis Enhancements | Weekly Release 12/11/20

Enhancement #1

Added a “Seasonal” flag to show the futures pair by quarter for the year selected under “Contract #”

Checking on the "seasonal" and "Front Back Pair" checkboxes will plot the data of the future pair in the current quarter as well as the same quarter in the previous years selected under the contract Dropdown. This will allow the trader to compare the current year with the previous year’s trends.


Enhancement #2

Added a dropdown to select the time frame for the historical data

The “Time Period” dropdown will allow the trader to select the days leading up to the “Roll” date. This way the user has a more streamlined way of constructing the analysis with the added benefit of RiskVal lining up the historical data properly.


Enhancement #3

Revamped the layout of the options and the graph legend

The set-up menu has been revamped to give the construction a better flow putting the data to be analyzed such as currency, future, data type, front/back selection with the number of contracts plus the time period to have selected.

The next section reserved for how the historical data is to be presented such as the Time Period, Roll, and Adjustment. Finally, there is the seasonality options below that.

In the screenshot above, the forward ESTR ASW Z and the forward ESTR YY are highlighted among the forward OIS spreads/ forward ASW/ future invoice spreads.


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