Key Features in this Release:
Allow traders to choose the distance between left and right wings with body in the Butterfly Generator
Enhanced “BM Corr” cells to allow traders to access historical and regression scatterplot data more easily
Added support for SSprd YY/Z set of columns for US CMT strategies
Added support for EU SSA Bills
[Curves] Added support for CMT RY curves for EUR and CAD, also available in the Forward Swap Matrix
[Curves:] Added ED$ Convexity curve under the USD - Libor tab
[Basis Swap] Added Sonia v SOFR, also available in the Custom Basis
Allow traders to use “Step Repo” curve to calculate the repo
Minor Fixes & Enhancements:
CCY Bond: Added “1~5 Y” as new sector filter
USD TIPS: Added support for SSprd YY and SSprd Z set of columns
Market View:
Curves: [USD – CMT B] Added “DV01” column
Curves-Libor: Traders can enter custom dates to get the discount factor
USD S+SP: Added column to show match maturity zero coupon OIS rate, this column is used to calculate “OISprd YY”
Listed Option SABR: Added support for 1/16 strike increment for ED$ Futures
Forward Swap Matrix: [HDK/NOK] Adjusted the CMT to limit the spot and forwards to 10 yrs in both the top table and “CMT”, “Swap-CMT”, and “CMT Roll” tabs
Trade Blotter: Under the Swap and Swaption sections, renamed Floating Index from “FedFund” to “OIS”
Previous week's release - CCY Bond, Trade Blotter, Market View, and Sprd/Bfly enhancements