Key Features in this Release:
Added support for cap/floor vol
Added ability to configure short term forwards & tails in lower matrix for SOFR Swap
[RV Analysis] Added ability to generate different forwards & tails for the same strategy
[IRVOL-Skew] Added RV Analysis
[CMSprd Vol] Added 1m, 3m, & 6m expiries as well as a table to compare to swaption ATM vols
[Strategy Analysis] Added “SOFR/ESTR @ Fwd Date” column
[Butterfly Generator] Traders can now use “Advanced” & “Distance/Tolerance” filters simultaneously to generate strategies
[Blotter Manager]: If no strategy is selected from left panel, then “Calculation” menu will calculate risk for all tabs displayed
Under “Preferences”– “Notional Hedge”, added “Independent” hedging option
Added ability to configure lower graphs to show only live, only daily change, or both
Added “% Roll”, “FT Open Int”, & “BK Open Int” columns
Added ability to choose central bank meeting date roll for all currencies
Minor Fixes & Enhancements:
CCY Bond: “Preferences” – “Show As Floating Graph” will be independent for each tab
Trade Blotter [Import File]:
RiskVal will skip importing invalid inputs with a popup dialog summary of failed inputs
Added float index field for Swaptions
Anotional field for each CCY under XCCY Basis Swap
Forward Swap Matrix: Added support for implied forward rate between date1 and date 2 (for example: EURUSD-FXIMP-USD-M2-M3)
Sprd/Bfly:
Added historical data for TBill ASW YY
Extended historical data for UXY1
AUD SSA: Added support for “KBN” ticker
Global Rates Monitor: Added swap spread historical data for ESP, ITL, & FRF
Market View – Curves: [EUR] Removed 18m from default fitting points