Key Features in this Release:
Enhanced the Curve Analysis to show the “ESTR/SOFR ASW Z”, “FESTR/FSOFR ASW Z”, “ESTR/SOFR YY”, and “FESTR/FSOFR YY” in the EUR Bond and USD Bond respectively
Added a “Seasonal” flag to show the futures pair by quarter for the year selected under “Contract #”
Added a dropdown to select the time frame for the historical data
Revamped the layout of the options and the graph legend
Included ED$ futures to the RVAnalysis
Added support for IMM SOFR and IMM ESTR Swaps
Added the SOFR and ESTR forward tabs under USD and EUR tabs respectively
Added the “0 Yld Sprd” column,
Incorporated “Trsy ASW Z”, “ASW Z Diff”, “ASW dZ Diff”, “ASW Z Diff Rich/Cheap”, “ASW Z Diff ZS” columns with the option to change the ASW type to either YY/Z/T
Minor Fixes & Enhancements:
Futures: Added support for the new AUD future- VTAH1
Sprd/Bfly
Including “Cnvx Ret”, “Cnvx Adj C+R”, and “C+R Zs” columns’ historical horizon when changing it for “3 M C+R” to keep them consistet
Added the “CAONREPO” to show the overnight repo, also available in the Forward Swap Matrix
Flip ASW flag is applied to the “OISprd 3M C”, “OISprd 3M R crv”, and the “OISprd 3M C+R”
Added support for the OIS fwd rates such as OIS6Mx6M
TBill: Renamed the “Trsy Conv” to “Yld” and the “Trsy dConv” –“dYld
Bond Roll:
Applied the “Flip ASW” flag to the “OISprd 3M C”, “OISprd 3M R crv”, and the “OISprd 3M C+R”
Enhanced the process of sending trades from the “RV Analysis” to the Sprd/Bfly to include the strategy’s weight
Fut Cal Roll: Enhanced the historical graph to fill the available space available below the table
Trade Blotter: Enhanced the auto-save function to include saving the color customization by the user
Tbill: Added the “SOFR/ESTR”, “SOFR/ESTR YY”, “SOFR/ESTR dYY”, “SOFR/ESTR ASW Z”, and “SOFR/ESTR ASW dZ”