Key Features in this Release:
[FUT CTD] Updated symbol to TWE
[Calendar ASW] Added TWE roll tab
Added to USD Bond sheet & Market View
Added support for ESTR rate
[USD/EUR] Added SOFR/ESTR spread Z heatmap & z-score, STRIP B/E & STRIP B/E SP SOFR/ESTR spread Z, & SOFR/ESTR spread YY carry & roll set of columns
Added SER Ted YY/T & SFR TED YY/T columns
Added “SSprd YY Stdev_d” & “IVSPS YY Stdev_d” columns
Added support for PCA weights for CMT strategies
Added support for SOFR/ESTR/OIS Sprd True columns
Added FWD SOFR PV01 to Swap Hedge dropdown
[KRW & SGD] Added central bank meeting dates & ability to use them as fitting points
Added Forward Vol matrix
Minor Fixes & Enhancements:
Trade Blotter:
Added ability to schedule export files for different Risk breakdowns (Key Risk, Bucket Risk, Fwd Risk)
Added cap/floors to the “Summary” section
CCY Bond
[CNY] Added ability to set bond future as BM-CT
[EUR] Added green bond filter under “Set Comp Trsy” function
[RV Analysis] Added “Stdev” & “Stdev_d” columns, already available in Forward Swap Matrix RV Analysis
Sprd/Bfly: Added the SOFR/ESTR/OIS for ASW P
Fed Fund Simulation: Will show current month future
TBA Analysis: Added option to use “FN30 roll for FN15” under “Preferences”
Historical Viewer: Added support for AUDUSD spot & fwd fx rate & annual nvol
IRVOL: Added the “Forward Vol” table to show the matrix of the forward Vols between points