Key Features in this Release:
RV Analysis: Expanded the options in the Butterfly Generator section to include “tolerance”. Also, made RV Analysis available across G7 + AUD
Added a Gap Breakeven Analysis tool, especially useful for short-end traders to estimate funding for money market securities for a full investment period on a breakeven basis
[AUD] Added indicators for the CTD and Invoice Spread, where applicable in the live graph
Live Graph: WI bonds will show the Alias in the tooltip
Enhanced the “Analysis” menu and added Gap Analysis and Curve Analysis across CAD, JPY, and AUD sheets
[EUR] Expanded the “XCCY TASW” tool to calculate True Asset Swap adjusted by the CAD 3M vs EUR 3M Cross Currency Basis
Sprd/Bfly Enhancement: Seasonality
“Normalize” has been turned on by default. When “Normalize” is checked on, the data will converge at “0”, even if traders +/- days
Added indicators to show the most recent 5 trading days
Adjusted # of Days based on trading days
Separated the Vol input from the Lognormal Vol inputs to price
Bug Fixes & Minor Enhancements:
USD OIS Curve: Default fitting points now exclude the 1-day FEDL01 index
Sprd&Bfly:
Added CMT RVS and CMT RVS Z-Score to the Set Alerts tool
Regression Analysis: Reset the default to use “Whole Level”
Support CMT 40y and 50y points for countries that issue bonds with maturity greater than 30Y (France, Italy, Japan, etc)
Trade Blotter: Added a new default view with 2+ risk and hedge columns in the Summary, Bond, and Bond Future sections
CCY SSA: From the historical graph, traders can now send to the “Sprd/Bfly”, in addition “to Swap Box”
Future CTD: Added back the “Use 0 Net Basis” short-cut