Sprd/Bfly Enhancements | Weekly Release 4/16/21

Enhancement #1


Added Carry, Rolldown and Carry+ Rolldown columns for IVSP YY, IVSPO YY, and IVSP SOFR/ESTR YY


To add IVSP YY, IVSPO YY and IVSP SOFR/ESTR YY carry and rolldown set of columns to their view, traders can click on “Table” – “Manage Columns”.


Enhancement #2


Added option to plot multiple standard deviations on the same historical graph, also available in the Fwd Swap Matrix


To access historical time series, traders can <double click> on any of the fields with a light blue triangle in the top left corner.


Once traders check the “Stdev” checkbox in the historical graph, they can enter multiple standard deviations separated with a comma before hitting “Plot”.

Enhancement #3


Support PCA weight for spread and butterfly strategies containing issue specific bonds, previously only calculated for generics


PCA weight is available for all treasury bonds now by interpolation and is calculated as follows:


  1. We first calculate PCA factors for key bonds (the bonds we use to build the OTR curve)

  2. Then we use those factors to build PCA scenario curves (first-factor scenario curve, second-factor scenario curve, and third-factor scenario curve).

  3. Lastly, the PCA factors for any bond can be calculated under those new curves. PCA weights are derived using those factors.


To change their weighting, traders can <right click> on the "Weight" column and select "Change Weight To" - "Sprd/Bfly/Condor Weight" and select "PCA Weight".