Key Features in this Release:
Added the 1 Standard Deviation Mean Reversion Frequency, “1Std MRFreq”, column, which counts the number of times a trade goes from +/- 1 Stdev level back to the mean
Added a column to show the Annualized Carry and Roll over the annual Vol, “Ann C+R/Ann Vol”
Added option to send bond future strategies (generic and issue-specific) “ToTradeBlotter”
[GBP] Added option to send SFI Futures (generic and issue-specific) “ToTradeBlotter”; also supported from RV Analysis
Added the ability to enter the DV01 as “50K” or “2M” for bonds and swaps
Added “Trade Px”, “Trade Date”, “Daily P&L”, “Cum P&L” columns for mortgage securities, which are aggregated in the summary table
Added support for the Austrian and Finnish TBills
Added option to choose dependent time series in the multilinear regression
Minor Fixes & Enhancements:
Sprd/Bfly:
Added “Show Color Bar” option under the “Preferences” menu
Renamed “SOFR Sprd YY/Z” set of columns to “SSprd YY/Z”
Added “Flip” optionto the historical graphs of the spreads created directly from the table
USD Agency and USD SSA: Updated the Treasury Benchmarks (BM CT)
CB Rate Monitor:Added support for New Zealand (NZD)
New Global IVSP: Added “NB (bps)” column that represents Net Basis expressed in basis points
[CAD] TIPS: Allow traders to add the CanHou and surrounding TIPS as the benchmark
Constant Maturity Treasury (CMT) Curve: Updated our Nelson-Siegel-Svensson (NSS) multi-factor model to use cubic spline to have continuous zero and forward rates