Enhancement #1: [Curves - USD – LIBOR] Removed ED$ & updated fitting points
Due to the discontinuity of Eurodollars, the ED$ table has been removed. As a result, the 1y Swap Rate will now be used as a default fitting point.
Note: Traders can adjust fitting points for their curves in Market View. After changing fitting points, click “New Build”. To save this configuration, click “Save Config”.
To resort to default fitting points, click “Reset Config” and “Save Config” to keep it.
Enhancement #2: [Basis Swap] Added CHF OIS vs SOFR
Under the CHF tab, support has been added for CHFOIS vs SOFR. To load in live prices, click “UseBBGLive”. Traders can hover over the “Live” column to see the BBG ticker being used. Click the “Show Fwd Matrix” button at the bottom to expand the forward matrix panel.
To easily send these basis swaps to Forward Swap Matrix for further analysis, traders can pop out a historical graph by double clicking the cell under the “Live” column & use the “ToFwdSwapMatrix” button in bottom right.
Note: To enable the CHF table in “Basis Swap”, first select the currency from “CCY Config” tab & “Save Config”. Then in the “Curves” tab check “Auto Build” in the CHF tab.