Key Features in this Release:
Added ability to include/exclude specific future rows
[EUR] Reassigned bonds’ “Orig”. This will be used to calculate “ESprd Z 3M Roll” column.
Added “Fx Scenario (Spot x Time)” to “Calculation” menu
Added ability to set time period for “Fx Scenario (Spot x Vol)”
[CMS Sprd Option] Added <right click> - “Corr Historical Rates” option & “Priced Corr” column
Added “IVSPS dYY/IVSPS Stdev_d”, & “IVSPS 5BD dYY/IVSPS YY Stdev_d” columns; also supporting IVSPS Z, IVSPO YY/Z, and IVSP YY/Z columns
[AUD] Added “Avg ASW YY” & “Avg IVSP YY” columns
Added ability to enter future DV01 to back out number of contracts
Added “Impl SOFR D1 D2” column
[EUR] Added ability to set OIS- ESTR spread
Minor Fixes & Enhancements:
CCY Bond
Added ability to show/hide filter bar (“Preferences – “Show Filter Bar”)
Added ability to show/hide tooltips (“Preferences – Show Header Tooltips”)
Trade Blotter:
[CMS Sprd Option] Renamed “Corr” column to “Rls Corr”
[EUR] Non-green bonds will be shown before Green bonds in “Bond Chooser”
Fut CTD: Including/excluding bonds from delivery basket will now include/exclude them from the scenario analysis
Market View:
[Curves] For CAD OIS curve, “derived from OIS3s” will be checked on default
[CMS Sprd Vol] Added “Corr” column to show correlation used to price SMD Sprd vols