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Roll Adjustment Enhancements | Weekly Release 10/2/20


Centralized the roll adjustment settings to keep consistency between the Bond Roll and the Sprd/Bfly such that both places share the roll adjustment flags

To ensure the historical data is consistent between the bond roll and the Sprd/Bfly, the “Map to Generic” flag is now shared. This setting affects the Bond’s historical data, for the heatmaps and any metric that uses historical data.



Added a “map to generic limit” which allows the user to define the number of off-the-run generic curve points to map issue-specific securities to graph generic + roll adjusted historical data

"Map to Generic Limit" is defaulted to the max # of off-the-run generic points available for each CCY Bond Roll sheet. USD Bond defaults to 23 off-the-runs, while EUR Bond defaults to 3. Note, EUR Bond sheet 'map to generic' only applies to German CT's in this week's release. We will add support for the other EGB's in next week's release.


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