Key Features in this Release:
Market View
Reorganized the back-end tabs such that all curves, including Libor, OIS, CMT, CPI Swap, etc are grouped into a single “Curves” tab
Updated the “Curve Config” tab title as “CCY Config” and relocated directly to the right of the “Curves” tab, providing traders with a smoother workflow when adding/removing currencies
Window: Open Sheet
Categorized sheets for easier navigation such that traders can quickly discover key sheets and strategies
Added a Cost of Carry & Bond Borrow tool for traders to compare the Fwd Repo and Breakeven Repo for a given forward date, and estimate the Net P&L (Cost of Carry P&L)
Forward Swap Matrix Enhancement:
For AUD and NZD, added support for IMMFRA, IMMOIS, and IMMFRAOIS
Added column to calculate XCCY ASW (also available in Custom Bond ASW), which uses the same method as the one in Bond sheets
Bug Fixes & Minor Enhancements:
Bond Roll:
Curve Analysis: updated the tooltip on the Diff Hi/Lo bar to show interpolated points if users enable the ‘show interpolated’ flag
RV Analysis: Renamed ‘Best Strategy’ as ‘Long Strategy’, and ‘Worst Strategy’ as ‘Short Strategy
USD S+SP: Added tooltips with column definitions for traders to reference