Invoice Spread Calculator

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About this Tool

The Invoice Spread Calculator provides levels of invoice swap spreads (forward starting swaps vs. CBOT U.S. Treasury futures). This page also contains hedge ratios versus swaps, cheapest-to-deliver and DV01 information for Treasury futures.

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NEW: Invoice Spread Calculator now available in real-time via Excel

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Requirements

  • Allows existing Bloomberg terminal subscribers to utilize real-time price data via their Bloomberg Excel to view the tool’s outputs in real-time.
  • Users must install the Analytics Add-In to their Excel, which supports the underlying analytics.
  • Users must have 2013 version of the MSVC runtime libraries

Designed for educational use only using Maxeler Technologies' curve construction methodology, this tool uses delayed data and displayed results are indicative representations only.