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Trade Blotter Enhancements | Weekly Release 1/21/22

Enhancement #1:

Added support for SOFR future options & SOFR midcurve options, also available in Listed Option SABR model

Traders can now enter SOFR future options (SFR/SER) as well as SOFR midcurve options (SRA/SRR/SRW/0Q/2Q/3Q/4Q/5Q) into the Listed Option section in Trade Blotter. To open a Listed Option trade in current tab, click “Type” & select “Listed Option”.

To open a Listed Option trade in a new tab, click “New”, name the Tab, select “Listed Option”, & click “Ok”.

Enhancement #2:

Added key risk regression whole & daily change

After selecting securities to include in the trade, traders can click “Calculation” – “Key Risk” where “Key Risk Regression (Whole)” & “Key Risk Regression (Daily Change)” have been added.

These regression weights apply to bond & bond future trade types only. Other trade types' risk distribution will be the same as Key Risk (Cashflow). For individual bond/future, it's equivalent to creating butterfly strategy using the bond/future as the belly and the nearby CT/Future points (configurable as table row) as wings. Based on the whole or daily change selection, the weights are then calculated from historical data. Risk is then distributed between wings based on the calculated weight.


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