Key Features in this Release:
Created new “Realized P&L” trade type to pick up the future’s PnL
Added support for “1D R” column
[USD] Added “FSSprd Z vs SSprd dZ to “Graph” dropdown
[EUR] Added support for “FEsprd Z Gap” & “ESprd Z 3M R” columns
Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets
[USD/EUR] Added “SOFR/ESTR Z RVS” set of columns
Added ability to include/exclude 3Y & TWE in charting
Added option to select specific curves for different CCY swaps
Added support for ASIA, BNG, CPPIB, & IADB tickers
Added support for Mexican CB meeting dates
Minor Fixes & Enhancements:
Trade Blotter:
[Import file]: Added sub strategy column
[Blotter Manager] Added ability to check/uncheck trades by CCY, strategy, and sub strategy (function exists in individual tabs as well)
On a tab level, added ability to check/uncheck trades by sub strategy
On product type level, added ability to check/uncheck trades by CCY, strategy, & sub strategy
Historical Viewer: Added TBA generic timeseries
Sprd/Bfly: Updated the SS4 and SS25 to use the net weight between the 3/S4/5 and 20/S25/30
Global Rates Monitor: GBP ED$ will now show SFI
Market View:
[Curves – CPI Swap]: Added “Save Config” & “Reset Config” functions, which will save & reset the “Use” columns in the “Zero Coupon CPI Swaps” & “Monthly CPI” tables
[CMSSprd Vol]: Added <right-click> “Multi Graph”/”Sprd Graph”/”Bfly Graph” functionality
Fed Fund Simulator: Added support for SEK-RA$
Global Preferences: Added preference to price AUD3s6s basis with 3s curve, 6s curve without using 3s6s basis curve
Custom PCA Trade Sheet: Added “Curve” selection dropdown (CCYs set to “Auto-Build” will be shown as options)