Key Features in this Release:
Added the ability to create the CIX string of forward swaps, also available in the Sprd/Bfly
Added generic bond futures to the list of supported product types which can also be used for the benchmark regression analysis
Enhanced the lower “Fwd Matrix” panel to plot the cross-market tail or fwd gaps
For CMS and CMS Spread Options, traders can enter the DV01 or the Sprd DV01 N to calculate the notional
For Cap/Floor strategies, added the ability to enter the spread to the ATM Strike
Consolidated the three Cross Currency ASW T columns into one calculation menu
The “Comp Sprd” column has been modified to include the futures, such as the XM1 and YM1, as the benchmarks
Added the RV Analysis
Added the “SA ZC InflSw” live graph to visualize each TIPS seasonality adjusted zero coupon inflation rate
Added the ASW P(Proceeds ASW) Diff heatmap and Z-score
Allow traders to create GBP WI TIPs
Minor Fixes & Enhancements:
Hist Viewer: Extended the maximum number of formulas allowed to 26
Calendar ASW: Allow traders to keep and load back their saved Cal Roll, setting is under Preferences – Load Saved Fut Cal Roll
SSA BOND: Added the missing SSA tickers for IBRD, IADB, IFC, ASIA, KFW, EIB in the AUD, USD, EUR with a minimal notional of 250 mm
Market View- Curves: Added the historical data for the Libor/OIS/SOFR/ESTR points
Trade Blotter/Swap Box: PCA scenario has been corrected to ensure the calculation does not show “diamonds” when selecting a list of bonds
Fwd Swap Matrix: Added support for custom dated basis and cross currency basis swaps
Previous week's release - Forward Swap Martix, User Experience, Bond Roll, Forward Curve Analysis, Custom Basis and Sprd/Bfly enhancements