Key Features in this Release:
[Seasonality] Added ability to configure monthly date range
[EUR] Added “IRR” & “IRR ESTR” columns
In historical popup graphs, weight of the strategy will be shown in the title
[EUR] Added up to 30yr forwards for ESTR vs SOFR
In Multi Graph popups, added flag to plot timeseries on multiple Y or single Y axis, also available in Forward Swap Matrix
[MYR] Added Forward ASW YY/T/Z columns to currencies with “Off-Shore” curves
Added OIS as an index choice for GBP/CAD/JPY/AUD
[INR] Added support to calculate against USD (SOFR) & EUR (ESTR)
[SGD] Added XCCY ASW function
Minor Fixes & Enhancements:
XCCY ASW:
Default index will be set to SOFR for USD, ESTR for EUR, & OIS for GBP/CAD/JPY/AUD
New Global IVSP [AUD]:
Enhanced IRR calculation to use basket bonds to be consistent with NB calculation
NB calculation will now use “Repo” column value for all basket bond calculations.
NB = AVG (basket repo forward yield) - Use Future Invoice Yield
CCY TBill: Under “Sort” dropdown, added “Sort Ticker – Maturity Asc” & “Sort Ticker – Maturity Desc
Swap Box [SOFR HEDGE]: Stub will be pulled out by assuming full risk of the 1st contract
Sprd/Bfly: [USD/EUR] Added support for real time intraday IVSPS/IVSPE YY