Key Features in this Release:
Updated NTT code to the CME 20Y bond future specifications
Added the option to automatically create 20y Treasury WIs & include it in Future CTD & Future NetBasis forecast sheets for 20y bond futures
Added ability to set alerts on “SSprd” & “ESprd” set of columns in USD & EUR bond sheets, respectively
Added code to show the On-the-Run as a price
Added OIS to the CIX function*
Added support for “NV#x#” & “NVD#x#” for swaption vols*
Added Risk Free Rate CT Sprd syntax*
*These items are also available in the Forward Swap Matrix
Added historical data and Multi Graph Charting options
Added ability to show background heatmaps for the “dYld” & “CoD %” columns.
Set Risk Free Rates as default “Sprd Method” & added them to the “Roll Method” dropdown
[EUR] Added support for Cyprus
Minor Fixes & Enhancements:
Forward Swap Matrix:
Added longer historical data for EUR ESTR swaps
Added G7 Risk Free Rate examples under “Help” – “Examples”
SSA + Covered:
Added SOFR/ESTR Spread YY Carry, Roll, & Carry & Roll columns to USD & EUR, respectively
“Tools” – “Swap Rate” has been moved to SOFR/ESTR for USD & EUR, respectively
Added “Comp Yld” column to show yield of comp bond
AUD Semi: Added GBP to XCCY ASW function
USD Agency & SSA: Added the SOFR curve monitor under the “Tools” – “Swap Rate”
Future CTD: After restart will load back default delivery basket plus manually added bonds
New Global IVSP: Added ability to send invoice spreads/butterflies to Sprd/Bfly via right click & historical popup graph
Trade Blotter: Added hotkeys for new row (Ctrl + N) & delete row (Ctrl + D) for all trade types
Market View – IRVol: Added Risk Free Rate Strike tabs for G7 currencies