Enhancement#1:
Added bucket Vega support for listed options
Traders who keep track of their Listed Options in the Trade Blotter, can now see their risk in the Bucket Vega alongside their swaption Vega Risk.
To see the Risk, enter the Listed Options, check them under the “x” column. Then, click on “calculation” – “Bucket Vega”
Note: The Bucket Vega shows the risk for listed options including future options, ED$ options, SOFR Options, and Fed Fund Options.
Enhancement#2:
[Swaptions > Midcurve Swaptions] Separated the “Corr” column into realized correlation and priced correlation.
Both columns can be manually overwritten.
Added a way to calculate the priced correlation using a proportional correlation bump under “Preferences”. Traders have the option to enter the correlation bump which is then used to recalculate the “Priced Corr” column as:
Priced Corr = Rlz Corr + (1- Rlz Corr) * bump size
