Key Features in this Release:
[EUR, CAD]: Added support for CMTRY
Added new regression weighting method for butterflies - Regression (level) Weight using 2 Sprd & Regression (daily change) Weight using 2 Sprd. Also available in Forward Swap Matrix
[Bond] If forward date is entered, “FYld Trade” & “FPx Trade” columns will be populated and added to the “Sum(Trade Sprd)”
[Swaption] Added “$Sticky Delta N” & “$Sticky Delta N USD” columns. Can also be added to Summary section.
Added ROMANI ticker and standard tabs
Added the ability to generate the WI Coupon Based on CMT Curve
Set sheet to load Canhou FRNs
Minor Fixes & Enhancements:
Forward Swap Matrix:
Double clicking “BM Corr” will show correlation history
<Right-click> – “Regression Graph” in “BM Corr” will show regression chart
For Vol strategies, added support for “Premium Hedge” when <right-click> - “To Trade Blotter”
[Lower matrix – CPI Tab]: Added double click for historical graph & renamed data table column from “Carry Adj” to “Roll Adj”
USD TBill: Added “CMB RVS”, “CMB dRVS”, “CMB 3M Rch-Chp”, “CMB RVS ZS” columns. Also available in Sprd/Bfly.
OTC vs Exch MidCurve Vol:
Renamed “CCY OTC NVol” to “CCY OTC NVol Swaption”
Added “CCY OTC NVol Cap/Floor”
USD TIPS: If WITII has px = 0, won’t affect graphs
USD Bond: Added Convexity/ Modified Duration column (“Cnvx/M Dur”)