Key Features in this Release:
When selecting 2 or 3 “CT Sprd”/ “Comp Sprd” columns & selecting “ToSprdBfly”, will send over as 4 or 6-legged strategy with weight (1/-1/-1/1) or (1/-1/-2/2/1/-1), respectively
Added keyboard shortcut (Ctrl + Shift + C) to change weight of strategy
Added support for OIS MAC swap inputs
Added support for NVol in daily bps
Added support for TIPS bonds
[Bond] Added ability to see projected TIPS cashflows
Under “Curves” – “USD”, Added SOFR Spread Z Spline curve to the back end; “SSprd Z RVS” column already available in the Bond sheet
Added CMT – SSAEU data series
Added support for MTGEFNCL index
Added CMT RVS set of columns
Added the ability imply forward CB rates from the curve under “Calculation Preferences” – “CB Rate Implied from Curve”
Minor Fixes & Enhancements:
Bond
[USD]: Under “Preferences” – “dChg Background Color”, added “dCTSprd”
[USD]: Added an additional set of BM CT columns (“BM CT2”, “CT Sprd 2”, “dCT Sprd2”)
[COP] Added XCCY ASW function
Trade Blotter
For JPY Swaps, now apply JSCC-LCH basis to JPY OIS swap, also applies to Forward Swap Matrix
[Swaption] Added ability to enter “$Delta N” to back out “Strike %”
Forward Swap Matrix:
Added “Undo” function after sorting
Historical data will honor the “clearing house” flag
CCY SSA: ASW YY & OISprd YY rolldown will use same method used to calc 3M rolldown
EUR Bond & EUR S + SP: BM CT column will be shown as “Country Code + Year”
Market view – Curves: [EUR] Removed all green bonds from all curve constructions