Enhancement #1: [Trade Blotter] Added preference to use flat or decaying DV01 for Future’s Repo Risk calculation
Added option to set “Repo Risk for USD Bond Future” calculation to use decaying DV01 or flat DV01. For the first SER contract, default is set to use flat DV01 for the hedge. In this week’s release, the option has been added to use decaying DV01 as day count increases over time.
To adjust this preference, click “Preferences” – “Global Preferences” – “Calculation Preferences”. By default, this is unchecked meaning flat DV01 will be used. When this preference is checked, decaying DV01 will be used.
After entering USD futures into the “Future” section., to access “Repo Risk for USD Bond Future” calculation, click “Calculation” – “SOFR Hedge” – “Repo Risk for USD Bond Future”.
Enhancement #2: [Market View – CT] Added preference to be able to override CT
For traders who want to change the current treasury benchmark can now do so. To enable this function, under “Preferences” – “Global Preferences”, check “Show advanced settings” in the lower left of the window. Then Under “Market Data Preferences”, set “Enable Custom CT” to “True”.
After adjusting the preference, traders can go to “Market View” – “CT” tab. To adjust benchmarks, click the cell in “Bond” column to open the bond dropdown. After adjusting benchmark, traders will be prompted to restart RiskVal to have the change propagate throughout the system.
After restart the new CT will be propagated throughout the system.
Note: Traders can click the “Reset CT” button at the top of the CT window in order to clear overridden benchmarks & revert to original.