Key Features in this Release:
Added the ability to select multiple bonds & run Key Rate (Cashflow) Risk
Allow traders to create “Sprd Graph” between bond and future & then send it to Sprd/Bfly and Swap Box sheets
Added support for SOFR & ESTR swaptions
[IRVol] Added ability to customize “RatioOver10YTail”
[Curves - EUR] Allow traders to choose to fit EUR IMM 3s6s basis in order to build EURIBOR6s swap zero curve
Added support for CIX for strategies with more than 4 legs
[CAD]: Fixed auction seasonality data
Minor Fixes & Enhancements:
USD OTR:
Added “SSprd YY” "SSprd dYY", "SSprd Z", and "SSprd dZ" columns with historical data
Separated OISprd columns into “OISprd YY”, “OISprd dYY”, “OISprd Z”, & “OISprd dZ” with historical data
Global Rates Monitor: Added ability to create “Sprd Graph” & “Multi Graph” for Live levels; also supported across CCYs
Market View:
[Curves-CMB]: CMB curve will be set to “Auto Build” on demand
[IRVol]: Added default PCS
Historical Viewer: When entering two different time frames, added preference to align them
Sprd/Bfly: Added history for “Exp Ret – CT MR” & “CTSprd MR Ret” columns
Preferences: Added “Auto Load Management” for Swap Box and Calendar ASW sheets