Trade Blotter Enhancement | Weekly Release 2/28/20

Added preference to calculate TED Hedge (Strip Hedge) with or without spread adjustment

TED Hedge uses the first 20 ED$ Futures to build a ED$ strip curve, and uses this curve as discount curve. We then shift each fitting point by 1bp, to calculate bond PV change. TED hedge = PV change / ED$ future DV01 *(-1).

  • Hedge with spread adjusted TED: Default method for bond and bond futures. First, we calculate ted spread with the Z-Spread calculation against the ED$ strip curve. That is, we add the TED spread on both the base strip curve and 1bp shifted strip curve. Then, the PV change is calculated based on the two curves.

  • Hedge without spread adjusted TED: TED spread is not included when calculating PV change.