Trade Blotter Enhancement | Weekly Release 1/10/20

Enhanced the Key Rate Risk (and cashflow) calculations to support listed option and swaption trade types

In the trade blotter, the Key Rate Risk and the Key Rate Risk(Cashflow) have been modified to incorporate the Listed option and swaption trades into it.

In the sample portfolio below, there are TU listed options and swaptions with longer maturity. See how each category is available as a separate Column by product type, and then aggregated as the “Total” and “Equiv Risk”.


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