top of page

Historical Viewer Enhancement | Weekly Release 6/28/2024

#1: Added additional regression scenarios with ability to modify the historical data

 

The Historical Viewer loads historical data for regression analysis. In the middle section, there is the “Data & Regression” section to show the regression, which now has enhanced flexibility to modify the time series and run regression analysis.

 

Before getting to the regression analysis, first select the data in the top section by clicking on the “<Click to Browse>” and hitting “Plot” to load the data. After selecting the data series, the trader has the option to adjust the data series by the following configurations. After selecting the desired configurations, traders can hit the “Refresh” button above the table to apply. The modifications to the data will be applied for the regression analysis, and the modified time series can be viewed in the “Modified Data” tab.

 


Modified Data configuration:

Include

Check to include the time series in the regression analysis

Frequency

Select whether to use daily, weekly, or monthly points for regression.

Lag

Select number of data points to lag by (subject to the frequency selected, i.e. if monthly frequency and “3” lag, it will be 3 month lag)

Transformation

Select “type” of data from this time series to use. Can be raw level, absolute change, % change, log change, log value, square valueNote: Change should be based on frequency

After modifying the data for the regression analysis, traders can now perform 3 simultaneous regressions (R1, R2, R3) and view the regression results together. For each regression, traders can set window used to fit the regression as well as the fit type of the regression and see the multiple results all at once. As per screenshot below, see the different regression analysis based on the different rolling periods and regression fit types. After setting the desired configurations, traders can hit the “Refresh” button above the table to apply.

 

The first regression table uses the time horizon set on the top right of the sheet, while the next 3 use the time horizon and configuration set in the R1-R3 table.



Regression configuration:

Window

Select “Rolling” or “Fixed” to configure the type of time period used to fit the regression

Rolling

If Window = Rolling, set the lookback period where the regression will use (Today – Rolling Period) to Today’s data to generate the regression equation

Start/End Date

If Window = Fixed, set the specific start and end dates of the data used to generate the regression equation

Active

Select the regression to show the graphs for in the lower panel when using the “Scatter Plot” function. Note: the preferences - “Show Residual” and “Show Fitted Curve” should be checked to see the residual graphs.

Fit Type

Linear or quadratic regression

Finally, to visualize the regressions, traders can click on “Preferences” – “Show Residual” to show the residual graphs. In the table, check on the “Active” to see the regression plotted in the graph. See screenshot below.



--

 #2: [GBP] Added “SONIA Sprd T/Z/P” for GBP TIPS

 

In this week’s release, we have added the SONIA spread Proceeds, SONIA Spread True, and the SONIA spread Z for the GBP TIPS bonds. See Screenshot below.




--

#3: [USD] Added “SSprd YY” for USD TBill

 

The matched maturity SOFR Spread for TBills has also been added to this release. See Screenshot below.


Comentarios


bottom of page