Key Features in this Release:
[EUR] Enhanced the color management in the Curve Analysis so traders can use different colors for low and high coupons
XCCY ASW: added historical data
Allow user to input the calendar for the incoming future pair
Enhanced XCCY Basis Swap to support Historical VaR simulation
Added “$delta SABR” and “$delta SABR USD” column under the Blotter Manager and the Summary table
Added the WTD dSprd, MTD dSprd, 3M Lo Sprd, and 3M Hi Sprd columns
Added a tooltip to show the start date and maturity date for IMM strategies like U0X5 and IMMU0X5
Added the 1M/3M/6M forward Swaption Vol (NVol)
Added the config alerts menu
Extended the limit alert to include the pop-up
Minor Fixes & Enhancements:
Bond Roll:
[USD] Added 20y standard tab
[SEK] Updated OTR fitting points from 2, 5, 7, 10 to 2, 5, 10, 20, also available in the “Market View” – “CT”
[USD] Automatically set the benchmark for the system created WIs to derive the WI’s live price which is independent of the “Auto-Reset BM CT” flag
Market View -> BRL: Enhanced the swap curve construction to include the 8M as a fitting point
Forward Swap Matrix:
Added a pop-up message to warn users if the selected weighting type is not supported for the strategy; made it consistent with Sprd/Bfly sheet
Added a shortcut to set the alerts, by <right click> - “set alert”
Basis Monitor and Custom Basis Monitor: Added the spot row for the 1s3s curves, such that spot = 100 * LIB3M - LIB1M
USD CT Sprd/Bfly: Added CT20 to the list of spread and butterfly strategies
Swap Box: Emerging Market countries are supported
Historical Viewer
Added the ESTR and SOFR historical data time series
Added Future’s historical data such as: Carry, Rolldown, and 3M C+R
Added the ability to send generic CMT strategies from the Sprd/Bfly
Fwd Fwd Matrix: Added alerts