Enhancement #1: [Horizontal Analysis] Added option to enter a beta for the rate/vol bumps
Traders can now add a beta factor to further customize the Horizontal Analysis. Set the beta by overwriting the “Rate (Maturity)” and/or “Vol (Expiry)” from the “Custom Beta” button. By default, the whole curve is set to “1”, which shows the analysis without any additional bumps. Click on “Save” to keep changes.
To demonstrate how the beta is applied, see the example below where:
Long 100mm of 1y10y receiver and short 75mm of the 2y10y receiver
In this screenshot, the beta is left as is, looking particularly at the Vol, which shows Vol scenarios to range from -50 to +50 by increments of 10. Both swaptions are bumped the same vol amount across each scenario.
Adding the Beta, 3.5 for the 1M, 2.5 for 2M, 2 for 3M, 1.5 for 6M, 1.25 for 9M, 1 for 1Y, and .75 for 2Y, will show the shorter expiry options bumped more than longer expiry options. Beta being the multiplier for each of the scenarios.
In the previous example, we left the rates curve as is. The rates beta works similar, by applying the beta bump to the rates curve instead of the Vol.
Enhancement #2: Added “Gross Notional” and “Net Notional” columns to the Blotter Manager
In the past, “Gross Notional” and “Net Notional” columns are only available in the “Summary” section in an individual subtab. With this week’s release, traders can now add the two columns to the Blotter Manager from the “Table” button on top left – “Manage Columns”.
