Key Features in this Release:
o In this week’s release, we have disabled the LIBOR curves for USD, GBP, and JPY.
o Please note, the Forward Swap Matrix may have some codes come up as highlighted “yellow” in this case, these are no longer supported. To clear them use the “Tools” - “Remove unsupported” function.
o [TWD] Added support for onshore & offshore normal vol
o Replaced the libor for SOFR in the custom Swap tab
o Added “Max dSprd Rise” & “Max dSprd Drop” columns
o Added support for OIS Swap Spread data series
Bug Fixes & Minor Enhancements:
Hist Viewer: Added support out to O-23 for 20yr series