Key Features in this Release:
o Added new “Custom Bond Cashflow” trade type
o [INR/IDR] Added “XCCY ASW” set of columns and functionality
o [AUD] Added support to plot “3s/6s ASW YY (T/Z)” in Curve Analysis
o [AUD] Added ability to plot NZD Treasuries alongside the AUD bonds in Curve Analysis
o Added support for Euribor futures convexity
o Extended the “IMM” functionality to support “IMM/IMMWED/IMMCAD/IMMAUD”
o [Curves - AUD] Added ability to switch the short-term index for the 3M/6M Libor curve
o [Basis Swap – JPY] Added support for Fixed vs. DTIBOR6M
o Added “T-1/T-2/T-3 Sprd”, “4bd dSprd”, and “QTD dSprd” columns
o [EUR] Added generic tickers for France HICP linkers (OATe)
o Added ability to choose the font size for the group graph
Bug Fixes & Minor Enhancements:
Historical Viewer: Added ability to plot SOFR Open Interest from CFTC
Market View:
o [Future] Added support for CNY CGB 30yr future (TBSZ3)
o [Curves – EUR – LIBOR - 6M] Added support for 11y fitting point for EUR 6s
o [Curves – CAD – LIBOR] Removed 11th & 12th default fitting points from the “Future Prices”
CCY SSA + Covered:
o [GBP] Added “LIB1M” , “LIB3M”, & “LIB6M” to XCCY ASW function
o [EUR] Added “PKBSK” & “BENAU” tickers
Trade Blotter:
o [PCA Scenario] Switched to use risk-free rate historical data
o [Custom Bond Cashflow] Added “Tag” and “# of Units” functionality
Forward Swap Matrix: Enhanced the normal vol (NV#X#) & mid curve vol (NV#X#X#) to take in decimal year (0.25, 0.5, 0.75, etc.) and year with “Y” suffix
USD Bond
o “GB Bid/Ask Feed” columns will honor the “Preferences” – “Show GB/NB in 32nd Format” flag
o Added “Strip B/E Par Cpn SSprd dZ” column (also available in the graph dropdown and Sprd/Bfly as well)
CCY TBill: Added “ASW YY” to “XCCY ASW” function
GBP Sprd/Bfly: Added support for Sonia Sprd Z Diff Rich/Chp heatmap and Z-Score columns
Future NetBasis Forecast: Added ability to set the “X” column as the first column under the Preferences menu