Key Features in this Release:
A monitor to see the benchmark treasury yields for each currency and equities with the change on day, heatmaps, and regression beta
Added SOFR Swaption ATM strike, Spot premium, forward premium and their change of day
Added the beta of the normal vol vs the underlying forward swap rate movement
Added default Floating Index selection
Added support for ESTR Spread YY (Z) as plotting options
Added support for 1 Week/1 Month/1 Year change on yield/ASW YY/ESTR Spread YY
[EUR] Added support for ESTR vs EUR3s basis as “BSESTR3s-#X#” & “IMM3sBSESTR-##X#” formats, also available in G7 tabs
Added support for IMMFRASOFR swap rates
Added ability to filter sheet by BM CT
Added IVSPO (OIS Invoice Spread) and IVSPS/IVSPE (SOFR/ESTR Invoice Spread) columns to the future table
Minor Fixes & Enhancements:
CCY Bond:
Converted Issue Size & Fed Holding % filters to button popups
Renamed “FH%” to “CB%” for non-USD sheets
[EUR] Curve Analysis: Added “ESTR dZ”
Fed Fund Simulation: Added support for forward starting swaps
Sprd/Bfly:
[USD] Added examples under “Help” – “Examples” – “TBA”
Support user created TIPS WI
Trade Blotter:
Under “Edit” menu, added option to “Check All”, “Uncheck All”, “Check All CCY”
Removed OIS/SOFR Adj function from Misc
[Swaption] Renamed $delta, $gamma, $vega, $theta -> “Local Delta”, “Local Gamma”, “Local Vega”, “Local Theta”
[Swaption] Added the ability to enter the forward premium
Market View: [IRVol]Added “Edit PCS” option under “Preferences”
Forward Swap Matrix:
Added carry and roll historical for the invoice spreads
Included the live value into the mean reversion frequency and the 1 standard deviation mean reversion frequency
Callable Grid: Added a new field where user can see the assumed OAS flat assuming vol of 14 for a new issue
Previous week's release - Sprd/Bfly, TBill, CB Rate, and RV Analysis enhancements