Key Features in this Release:
Enhanced the Summary panel such that traders can calculate the Greek P&L for swaption trade types such as “Delta P&L”, “Gamma P&L”, “Vega P&L”, “Theta P&L” for both local CCY and USD (Currently only works for listed options)
In CMS Sprd option, added forward premium column for single look options
Enhanced the RVAnalysis tool with the option to generate forward and tail strategies for OIS swaps
RVAnalysis: Added support for Libor IMM as a curve choice
Added columns to indicate which bonds are considered “Green Bond”, “Social Bond”, “Sustainable Bond”, if applicable
Live Graph: Added the “Show Table” under “Preferences”
Applied the “Flip ASW” preference in the Global Preferences menu to Asset Swap, OIS Spread, and Invoice Spread data series
Added background heatmap color to visualize richness/cheapness
Updated the TIPS tab to use SA BEI as the default and added the flag to flip the breakeven direction
Added a preference to show/hide the statistics (Z-Score and Mean/Std_d) and description tables
Added the “to Trade Blotter” function
Minor Fixes & Enhancements:
USD Agcy DN:
Updated the “1M C” drop down menu to “Carry+Roll” (Also added to USD TBill sheet)
Highlighted “MMY TB-T”, “MMY OIS”, “MMY dOIS”, “MMY SOFR”, “MMY dSOFR” columns
Added historical graph on “MMY ADN-TBill” and “TBill MMY”
Added TED/FF/3M SOFR Hedge calculation
CCY Bond: RV analysis
Renamed “Same direction C+R” to “Positive C+R” and “Same direction Yld Exp Return” to “Positive Yield MR Return”
Option “Positive Yield MR Return” shows only when measure is CMT RVS
Historical Viewer: Extended the “Flip ASW” flag to the historical data
On the run: Added 20Y OTR
TBA Analysis: Allow traders to override the “Live Price” column