Key Features in this Release:
Added support for future IVSP (YY/T/Z) and IVSPO (YY/Z) using “<Bond Future>_IVSP/IVSPO_(YY/T/Z)”format
Revised the logic for the “Synthetic Forward Yield Weight” for butterfly strategies
[EUR]: Added Greek 15y, 20y, & 30y On-the-Run bonds; also available in Bond Roll &Fwd Swap Matrix sheets
Added new sheet for EUR Semi bonds
Added category to see historical data for expired FOMC meeting dates
Added Realized Market Vol “Rlzd MKT Vol”, Vol Score “Vol Score”, and three-month rolldown “3M Roll” columns
Added support for “DDMMMYY” formatunder the “Fwd Term Curve Date” & “Tail Term” sections
Extended "Future Carry + Roll based on CTD” flag to cover the CCY IVSP and the New Global IVSP sheets
Minor Fixes & Enhancements:
Market View:
[Basis Swap]: In IMM tab, “Generic”is turned off by default
[Basis Swap]: In BRL tab, UC/GD is rolled to next month’s contract on the date before the last business day of each month & the UC previous contract and roll is used to derive the UC price for next month
[IRVol]: Mean Reversionis now adjusted by -1 in RV Analysis & Forward Swap Matrix sheets
[IRVol]: For swaption rolldown, enhanced “Gamma PnL Rolldown” tab to be equal to (1/2 * gamma * rolldown time * vol^2)& is either Realized Vol or Implied Vol based on what is set under the“Preferences”
CCY TIPS:
“Map to Generic” flag under “Preference” menuwhich will be applied to both TIPS and Nominal bonds and made consistent with the Sprd/Bfly
Added Carry Adjusted BEI & Carry Adjusted IOTA columns
Bond Roll: [GBP] Added the ability to set alerts on the“SONIASprd Z” column
Sprd/Bfly: [EUR]: Added “Ticker” filter for TIPS tab under the “Bond Chooser”