Key Features in this Release:
Replaced the “End=Last Day” flag with a “Save Custom Date Range” flag for enhanced user experience. RiskVal will check this flag for any strategies where the trader inputs a custom start and end date
Enhanced the “0 Sprd” selection to include: Par Swap, SOFR columns (USD Bond), and ESTR columns (EUR Bond). In addition, traders can create strategies from these columns and send them to the “Sprd/Bfly”
Added an option to display the selected historical graph imbedded within the floating window
Support sending of trades directly to the Sprd/Bfly window
Updated the top panel to show the Spot spread and Fwd spread information
Enhanced Bond vs Bond Future strategies with the ability to calculate the price/yield of the bond leg by calculating the Gross Basis against the Future leg of the strategy
Minor Fixes & Enhancements:
Callable Bond Grid
Added the “LIBOR(OIS/SOFR) Sprd”
Set the default model to LGM-VOLSKEW-ADJ
Callable Trade: Added the SOFR curve to the curve dropdown selection
Forward Swap Matrix:
Extended G7 central bank rate coverage to also support AUD RBA rates
Added the background heatmap for the lower panel graphs: “CMT”, “OIS - CMT”, “Swap – CMT”+
[EUR] Added support for CPISWDE#, also supported in Sprd/Bfly
Market View: For USD, added “oo20” for the double-old 20-year. This ticker is now supported across Sprd/Bfly, USD Bond (“Generic curve point” column), Hist Viewer
RSI: Adjusted the colors for the Bollinger Bands to distinguish them from the other technical analysis. Consistent across Sprd/Bfly, Fwd Swap Matrix, and Hist Viewer
USD Agency: Added the “ASW Z”, “ASW dZ”, “ASW Z rich/cheap” heatmap, “ASW Z ZS” and “FASW Z” columns for spot and fwd ASW Z spread analysis
USD Bond: Enhanced the curve analysis to include the UXY Bond Future
Sprd/Bfly
Applied the “Flip ASW” flag to the “OIS YY”, “OISprd Z”, “IVSPO YY”, “IVSPO Z”
Added the option to show/hide the color bar under “Format” – “show color bar”
USD S+SP: Added SOFR, SOFR YY, SOFR ASW Z, and Fwd SOFR columns
Historical Viewer: In addition to the HY Index, added “IG Index” time series to the “Broad Markets” - “Credit Indices” section
Previous week's release - Bond Roll, Forward Swap Matrix and CB Rate enhancements