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Conditional Curve Monitor Enhancement| Weekly Release 3/22/2024

Added a scatter plot of the selected curve

 

The conditional curve monitor has been enhanced to show the regression between the leg you are short and the spread. To see this graph, click on “Preferences” – “Show Scatter Chart”. Once you have this checked, click on the “Notional” column of the desired curve to view.

 

The chart below shows the SOFR1x3 vs the SOFR 1x(3/15). Each dot represents a different strike as well as assuming a couple of scenarios around the ATM.


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