Swap Box Enhancement | Weekly Release 1/3/20

Enhanced the ‘Convert to Cash’ function for strategies containing Bond Futures, such that traders can choose which leg(s) of their strategy to convert to the CTD Bond

To help traders manage their future strategies, the “convert to cash” function has been modified to convert one leg of the strategy at a time from the Strategy Analysis. This way traders can convert the expiring future leg of the strategy and keep the current future. While preserving the strategy as a whole and avoiding reconstructing it.

In the example below, see the expired TUZ9 vs the current TUH0. The trader can <right click> and choose “convert to cash” to open up the selector.

In the selector, the user can select 2.25 921 – future and click on “convert”. This will result in converting the TUZ9 into the CTD, 2.25 921 bond.

With ease, the trader can convert the expiring futures into the bonds and keep the strategies in the “Strategy Analysis”

  • LinkedIn - Black Circle
  • Twitter - Black Circle

RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

Copyright © 2020 RiskVal Financial Solutions, LLC. All rights reserved.