Market View - IRVOL Enhancements | Weekly Release 1/21/22


Enhancement#1:


Enhanced the IRVOL to pull in the SOFR Vol


The live Vol pulled has been switched from the Vol with LIBOR as the index to the Vol with the SOFR index. This Vol will be applied to the SOFR Swaptions’ valuation in the Trade Blotter and everywhere the SOFR Vol is applicable.

Note: Traders can choose the pricing source by clicking on the “PCS” button.




Enhancement #2:


Under the “StrikeSOFR” added historical data for the forward SOFR rates


The SOFR Forwards have historical data added, <double click> the cells to bring up the historical charts.