Key Features in this Release:
Added support for CAD CORRA
[USD – SOFR] Added preference to change FOMC pricing source
[Seasonality Matrix] Added support for weekly change and weekly average
Added “DV01 Convexity Weight” option for bond flies
Added support for “RONIA” index, also available in Forward Swap Matrix
Added Norway SSA sheet
Bug Fixes & Minor Enhancements:
Trade Blotter:
[FRN] Added the Clean PV and Prev Clean PV in local currency and in USD
Added support for mortgage & FRN bonds in import file
Added support for credit index trades
Under “Tools” added “Clear Imported Bond Live Prices” & “Clear Imported Bond Closing Prices” functions
Forward Swap Matrix:
Added “Tools” – “Reset Clearing House” to change clearing house to the selected one under “Preferences” – “Clearing House”
Added generic & roll adjustment functionality for IMM historical data graphs
Under “Preferences” – “Default Butterfly Weight” added “-0.5/1/-0.5” option
Added new examples under “Help” – “Examples” – “Basis” for each currency
GBP Sprd/Bfly: Added support for GBP SSA FRN bonds
Swap Box: Added “SFR Ted T” to “Table” – “Manage Columns” for top table
Hist Viewer: “Use Change” selection will be used as default for newly created strategies
USD S+SP:
Added <double-click> for historical data function for “Px”
Added “Format” – “Color Management”
Market View – WI SSA: Added “Series” option when creating WI
Global Preferences: Removed lognormal choice for AUD swaption vol