Enhancement #1: [TWD] Added support for onshore & offshore normal vol
For Onshore normal vol, traders can use the following code: NVON#x#
NV = Normal Vol
ON = Onshore
# = forward term
# = tenor
Example, NVON1x1 for 1y1y onshore normal vol
Similarly, for Offshore normal vol, traders can use the following code:
NVOFF#x#
NV = Normal Vol
OFF = Offshore
# = forward term
# = tenor
Example, NVOFF1x1 for 1y1y offshore normal vol
Traders can view the whole vol surface under “Market View” – “IRVOL” tab, as well.
For TWD, traders will see Onshore & Offshore tabs.
Enhancement #2: Replaced Libor for SOFR in the custom Swap tab
The custom tab, now labeled “Cust SOFR”, in the lower panel in Forward Swap Matrix sheet has been moved to SOFR. In this sheet, traders can click “Config Terms” to customize the forward & tail terms to be used in the matrix. After making changes, click “Apply”. The matrix will be updated accordingly.
