Sprd/Bfly Enhancements | Weekly Release 9/24/21


Enhancement #1


[EUR, CAD]: Added support for CMTRY


Traders who would like to monitor the CAD CMT Real Yield rate alongside the EUR strategy can enter them in both the EUR and CAD Sprd/Bfly. Strategies containing both the CA CMT RY and the EUR CMT RY can also be entered.


Enhancement #2


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


The weight menu has been updated to add two more weighting methods. 1- Regression (Level) Weight using 2 Sprds:


Similar method as Regression (Level) while using the spreads of the bfly instead.


Bond1/Bond2/Bond3:

Fit linear regression with (X2 – X1) = alpha + beta * (X3 – X2)

Where X1 = bond1 historical yield, X2 = bond2 historical yield, X3 = bond3 historical yield


Weight1 = -2 * 1/ (1 + beta)

Weight2 = 2

Weight3 = -2 * beta / (1 + beta)


2- Regression (Daily Change) Weight using 2 Sprd:

Same method as Regression (Level) using 2 Sprd while using the daily change of yield instead.


To apply these weighting methods, <right click> on the cell under the “Weight” column and choose “Change weight to” – “Butterfly Weight” –“Regression(Level) Weight using 2)/Regression(Daily change) weight using 2 Sprd” .