Key Features in this Release:
Added Convexity Adjusted Expected Return (Cnvx Adj Exp Ret) column
[BRL]Added the ability to handle the futures as dates
Added support for JPY fixed and floating entriesfor 3MDTIBOR and 6MDTIBOR using format DTIBOR3s-#(X#) or 3sDTIBOR-#(X#), DTIBOR6s-#(X#) or 6sDTIBOR-#(X#)- with historical data and forward matrix in the bottom tables
Added support for all countries that have CMT curves in RVFI under “Preferences”– “Config Countries”
Added base country dropdown to view country spreads
Added dropdown to show daily/weekly/monthly changes, which can be viewed in actual change or chg/vol (stdevchg)
In RV analysis, added support for “Yld”, “ASW YY”, & “OIS YY” as well as ability to have cross country spreads use the same tenor
[MTGE] Added support for Key Rate risk and Bucket risk
Added the option to change the Float Index to OIS(Fed Fund) for Swaption trades
Added a new CMT curve for the “EU” ticker with the “EU CMT RVS” & “EU CMT dRVS” columns
Added option to choose which ticker to be displayed.
Minor Fixes & Enhancements:
Custom Basis & Basis Monitors:
Added BSBY1s vs BSBY3s and BSBY3s vs BSBY6s
Added history for IMM and FWD Matrix for JPY3sDTIBOR & JPY6sDTIBOR
Sprd/Bfly:
Added "OISprd Z RVS", "OISprd Z dRVS", "OISprd Z RVS Rich - Chp", "OISprd Z RVS ZS" columns
Added Mean Reversion Frequency (“MR Freq”) column to show how many times the data crossed the 3 month mean
TIPS:
Honors “Flip ASW”&“FLIP ASW C+R” flags in “Global Preferences”
[AUD]: Highlight current TIPS
Custom Bond:
Added “Insert Row” & “Insert 10 Rows” options to <right click>
Added color highlighting bar
Sprd/Bfly& Forward Swap Matrix: Added “Flip SS C+R” to show the carry and roll for swap spreads as bond minus swap, under “Global Preferences”
Historical Viewer: Added historical data for SSA bonds
AUD Semi, AUD Bond, AUD SSA: Added “Exclude Bonds” filter to RV Analysis
Forward Swap Matrix: Added history for IMMFRA[HMUZ] for 1M FRA
USD Swap 2+RVS: Added support for 20Y SS
Market View: [USD]: Added 50Y point for OIS & SOFR curves
Listed Option Strategy: Added “Import Tab” & “Export Tab” functions