Sprd/Bfly Enhancements | Weekly Release 3/20/20

Added a Scenario Analysis tool for traders to simulate customizable curve shifts to estimate strategy performance across bull/bear steepener/flattener scenarios


The Scenario Analysis tool that was recently added to the Forward Swap Matrix sheet is now also available in the Sprd/Bfly monitor for all currencies. The supported securities are bonds, bond futures, and swaps. Traders can use this function to bump either the yield or swap curves to simulate different curve scenarios. The following example is a 5yr/TYM0/10yr butterfly strategy.

Of note: the “Bump Repo” check box will adjust the repo curve by the level specified in the “Terms” table for each scenario. This preference applies to strategies containing bonds and bond futures (which use the CTD in the scenario analysis).

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