Key Features in this Release:
Updated delivery basket for TWE future
When sending vol trades to Trade Blotter sheet, enabled “Notional Hedge”
Added support for all FX Vol tenors that are in Market View; also supported in Sprd/Bfly
[AUD] Added preference to calc AUD OIS3s basis using outright 3s & outright OIS
Added support for additional SOFR packs, bundles, and ability to specify starting month
Added preference to set belly of Maturity Weight as either 1 or 2
Added support for SEK, NOK, CHF, DKK bonds & swaps
Added ability to change meeting cutoff dates across RiskVal
Minor Fixes & Enhancements:
Swap Monitor: Added ability to export table to Excel (<right click> - “Export to Excel”)
Global Rates Monitor: Added “5BD” option under “Preferences” – “Diff”
Market View
[Curves - EUR] Updated fitting points of ESTR curve
[Curves – USD] Added FVs to OTR Spline curve construction
[IRVol] Added functionality to save RV Analysis config
[IRVol] Under Preferences, added “Show Vol Heatmap” to show heatmap in implied vol, realized vol, & ratio tables
Trade Blotter: Extended exporting VAR historical data to 1-2 years
Historical CTD: Will show CTD up until current day for current future