WI Enhancement | Weekly Release 11/1/19

Added “SP Curve Roll” roll method for traders to set the 30-year WI Bond’s WI Roll as the “SP Derived WI Roll”


Optional method for WI30

Use the “SP Derived WI roll”, which is a STRIPS-recon calculation by setting the Roll Method = SPCurve_Roll.

SP Derived WI Roll = SP Derived WB Yld – SP Derived CT Yld

This is a forward STRIP calculation based on the S and SP spot price, and WI S and WI SP forward prices.

SP Derived WB Yld: SP derived WI whole bond yield calculated using STRIPS-recon based on S + SP forward price.

SP Derived CT Yld: SP derived CT whole bond yield calculated using STRIPS-recon based on S + SP spot price.