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
“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