Key Features in this Release:
Introducing the Israeli Bond sheet, Sprd/Bfly, and CMT curve
Allow the trader to override the “Yld Stdev_d” using their own vol assumption to recalculate the “3M convexity return” and the “3M convexity adjusted carry and roll” which will also propagate to the Sprd/Bfly
Added “Actives” tab for USD/EUR/JPY which includes the On-the-Runs, front and back CTDs
Added the ability to allow the user to pop-out sub tabs as a separate floating window
[AUD] Added support for JPY under XCCY ASW
Enhanced the “Blotter Manager” to allow traders to create folders to better organize their strategies
Under the Swaption section, enabled overriding “$Vega N” column to calculate the notional
Enhanced the lower panel to allow the traders to enter custom strategies
Allow traders to configure EUR Countries
Created a “Standard Tabs” for G7 basis and cross-currency basis; to further customize, traders can drag and drop to rearrange the tab order
Minor Fixes & Enhancements:
Sprd/Bfly
[AUD/CAD] Added support for State* and SSA Bonds to “Sprd/Bfly Generator” and “Strategy Creator”; enhancement also available in the Swap Box sheet, *State is only for AUD
[USD] Added generic time series for “SOFR ASW Z”
Enhanced plotting of the RT Charts, so the charts are not “Always on top”
Fwd Swap Matrix:
Added support for [Country Code] CPISW/CMT format; same enhancement is available in the Sprd/Bfly sheet
In the lower panel graphs for CMT Roll, Roll, and Carry and Roll, added highlighting to the 3 best performing values
Allow the traders to configure the forward and tails for the lower panel Matrices
Bond Roll:
Enabled setting alert for “ASW” columns
RV Analysis: Added “>=2Y” as a default sector
Callable Trade: For European bonds, keep “Opt Type” as “European” after they get called
OTC vs Exchange Vol”: Renamed “CBOT Annual Vol (bp)” column to “Exch Annual Vol (bp)”
Historical Viewer: Enhanced exporting strategies from the Sprd/Bfly sheet to reference the same common series
Market View: [GBP] Renamed “CPI Swap” as “RPI Swap” and added “CPI Swap”
Callable Grid: Enhanced Bermudan/European tooltip to show LOAS and LOAS based on flat vol assumption