Key Features in this Release:
Added variety of font (size) options for table, worksheet title and system font
RVAnalysis: add the option to send to the Trade Blotter Sprd01
XCCY Basis Swap trades support overwriting of Sprd01 USD, to allow user to back out the notional
Enhanced the Summary panel such that traders can sum up the convexity of their bond and swap positions from the “$Gamma N” column
Enhanced the Historical VaR calculation and added Theta, which shows the Carry for bond positions
Added IRR-Repo column with historical data to track the spread between the implied repo vs actual repo rate
Added ESTR vs EONIA for the EUR Basis swap. Levels derived from ESTR and EONIA
Added “MMY SOFR” which is the Agency Discount Note’s money market yield minus the matched-maturity SOFR rate, as well as the spread’s change on day
Minor Fixes & Enhancements:
USD S+SP
[USD] Added Fwd Zero Swap column, also available in the USD SP sheet
Added “Auto load WI” under Preferences
CAD Prov: Added Forward date field to populate the forward columns
Market View - Curves - CPI Swap: Added default PCS for GBP and DEM
CCY Bond: Allow traders to enable “multiple Y Axis”
Fwd Swap Matrix:
Nested the weight options under the “Change To” <right click> menu, under the weight column
Add the heatmaps for the Swap-CPI forward matrix
[NZD] Added the historical data for carry
Added local PCA weighting as an option under the Preferences column for butterfly strategies
Previous week's release - Forward Swap Matrix, [New] Historical Viewer, Trade Blotter, Listed Option SABR Model, EUR SSA + Covered and Sprd/Bfly enhancements