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Swap Box Enhancement | Weekly Release 10/25/19

For strategies containing a Bond Future leg, RiskVal enhanced the Carry & Rolldown calculation to use the CTD Bond by default, unless already modified by the user

Previously, RiskVal would show 0 Carry unless traders manually checked the flag in Global Preferences. In this release, the default was changed to show the carry for the CTD for the future leg by default.

To revert and show NO Carry for the Bond Future leg, click on “Preferences” – “Global Preferences” and in the pop-up, go to “Calculation Preferences” – “Global Calculation Preferences” to uncheck the “Future Carry+Roll based on CTD” flag.


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