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Market View Enhancements | Weekly Release 9/10/21

Enhancement #1

[IRVol] Added ability to customize “RatioOver10YTail”

Under “IRVOL” – “Normal Vol”, traders now have the option to change the Ratio Over Tail. To do this, click “Preferences” – “Ratio Over Tail”. There is now the option to set the tail to 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 15Y, 20Y, 25Y, or 30Y.

RiskVal’s default is 10Y.


Enhancement #2

[Curves - EUR] Allow traders to choose to fit EUR IMM 3s6s basis in order build EURIBOR6s swap zero curve

Under “Curves” – “EUR” – “Libor”, traders now have the ability to fit EUR IMM3s6s to build the EURIBOR6s swap zero curve.

To do this, check the desired IMM#s in the “Use” column in the “IMM 3s6s” table. After checking IMMs, click “New Build” to rebuild the curve.

Traders can save the changes by clicking on “Save Config” button. By default, no IMM#’s are checked.


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