Key Features in this Release:
Added new Rate x Vol horizontal analysis to show PnL and Greeks for all Rate/Vol Shock Scenarios
Added Cusip search function
Added OISprd T set of columns (SSprd T for USD, ESprd T for EUR)
[AUD] Added ability to use bond future for BM-CT on default
Added MAC SOFR/ESTR swaps
Added Greece, Finland, Portugal, & Netherlands
BM CT uses FR current TBill
Added SSprd/ESprd options to R/C Graph for USD & EUR, respectively
[EUR/GBP] Added option to show OISprd & IVSPO change on day
Added ability to upload vol spreads to ATM (Skew)
Minor Fixes & Enhancements:
New Global IVSP: Added “dIRR” (IRR daily change) & “dNB” (NB daily change), also available in CCY Bond
Forward Swap Matrix:
Added 10-year historical data for “OIS30x10” & “OIS30x5”
TIPs: added rolldown, historical data for C+R heatmap and Z-score, and default TII for EUR
Added historical rate, carry and roll, data for MAC and OIS MAC swaps
Market View:
[CPI Swap] Added time series for implied YoY rate
[SOFR] Added Convexity for SOFR Futures
Corp Bond RV Sheet: Enabled Sprd/Bfly trade to strategy table
Historical Viewer: Added ESTR Z data series for EUR futures