Sprd/Bfly Enhancements | Weekly Release 6/26/20

Enhancement #1

For cross currency spread and butterfly strategies, added the FX adjusted Px Ratio and CIX string

Cross Currency Future Adjustment

For the futures within different currencies, the DV01s used in all Px Sprd calculation are adjusted to the same currency using the spot FX rate.

Enhancement #2

The CIX string supports the FF Futures and ED v FF Strategies

Traders can now create the CIX strings for strategies containing Fed Fund Futures and Euro Dollars in Spreads and Butterflies. To get the string, <right click> the cell from the “Sprd Bfly” column, go to the “CIX” menu, and select the string needed.

The string will automatically be copied, then pasted in an email, a Bloomberg msg, or a notepad.

Enhancement #3

Added the ability to map specific Fed Fund futures to their generic counterparts

Traders now have the ability to map specific Fed Fund futures to their generic counterparts which will allow for extended historical analysis of individual Fed Fund future performance and strategies containing Fed Fund futures. Previously, traders had to choose between generic and issue specific Fed Fund futures when creating strategies. Now, traders can generate strategies with specific Fed Fund futures that show performance of that future since its issuance and the performance of its mapped generic future prior to issuance. The following example shows the FFZ0/TUZ0 spread strategy with the “Generic” box ticked in the historical spread graph.

There are two routes available to enable the mapping of specific Fed Fund futures to generic Fed Fund futures. Traders can click Preferences – hover over Graph – and check Map to Generic. This option will automatically map all supported issue specific securities (bonds, futures, etc.) to their generic counter parts prior to their issue date. Alternatively, traders can enable mapping to generic in historical graphs. To do this, bring up a historical graph of a strategy containing an issue specific Fed Fund future. Then check the box labeled “Generic” to achieve the same result. The screenshot below shows the location of the generic option under Preferences.


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