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
Market View [IRVOL-RV Analysis]
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”
Previous week's release - Fed Fund Simulator, Trade Blotter, Forward Swap Matrix and Market View [Basis Swap] - Custom Basis enhancements