Key Features in this Release:
Added historical data to Expected Return and Mean Reversion Return fields in RV Analysis (also in Basis Swap Monitor)
Enhanced RV Analysis to generate top performing strategies with positive carry and rolldown flag
The Historical Viewer sheet has been reworked and reorganized to increase usability, convenience, and is more intuitive
Enhanced Basis Swap trade types such that traders can enter custom levels for the Sprd01 value to solve for the notional amount
Enhanced the Strategy section with an added Total Cost column, and added $Delta Neutral, zero cost call and put tabs
Added flexibility for traders to change the Comp Trsy benchmark and assign a specific country for each SSA ticker
[USD] Support USD Agency discount notes such that traders can send strategies over from the USD Agency DN sheet
Minor Fixes & Enhancements:
Trade Blotter: Support SOFR swaps and ESTR swaps for traders to calculate Horizontal Analysis and PCA Scenarios
Conditional Curve: Added weight column, and adjusted the convention to be consistent with Fwd Swap Matrix
Sprd/Bfly:
[CAD] Added support for generic USD TIPS
[EUR] Added a generic ticker for the Italian 20-year bond (IT20)
Market View - IRVOL: Renamed the following fields: volDiff to CoD, Annual Diff to CoD, and realizedBPAnnualVol to realizedAnnual