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RV Analysis Enhancement | Weekly Release 12/15/2023


[CCY Bond, Forward Swap Matrix] Added “Lookback Period” and the preference to use generic historical data vs bond specific data


In this week’s release, traders can now set the “Lookback Period”, “Map to Generic”, “Roll Adj for Generic”, & “Roll Adj with Decay” settings under the “Preferences” menu. The “Lookback Period” setting will be shown at the top of the “RV Analysis” pop-up window next to the “Preferences” menu. Once the settings are selected, “RV Analysis” will find the best strategies based on the settings.



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[GBP TIPS] Added support for “SONIA Sprd Z Diff” to “Measure” dropdown


Traders can now set “SONIA Sprd Z Diff” for the “GBP TIPS-RV Analysis” window as the “Measure” from the dropdown menu. This metric will be used to find the top flattening and steepening strategies.

 

In the screenshot below, after clicking the “Generate Strategies”, these were set as the top spreads based off the “Sonia sprd Z diff”.




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