Bond Roll Enhancements | Weekly Release 2/21/20

Enhancement #1


Added option under Preferences to allow STRIP traders to use the mid-price for the whole bond and/or the implied bid/ask price for the S + SP bonds


This option was previously only available in the USD S+SP sheet and has now been added to USD Bond. To enable either of these options click the local “Preferences” menu then “S/SP Bid/Ask Sprd”.

In the pop-up window check either of the two boxes and manually set the bid/ask spread (in ticks) for each sector and click Save.

Enhancement #2


Enhanced the Curve Analysis when plotting the Diff Hi-Lo series with a ‘close range’ in the tooltip to show the distance between the current level and minimum spread as a percentage


Traders can now hover over any “Diff HiLo” bar in the Curve Analysis window to view the “close range”. The close range is used to view the distance between the current level and minimum spread as a percentage. The formula for the close range over the given time frame is: [(Current Level – Lowest Level) / (Highest Level – Lowest Level)] * 100. The screenshot below shows the diff hi-low for France – Germany yield curve with the newly available information in the yellow box.


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