Enhancement: [SOFR Hedge] Added Repo Risk for US Bond Future calculation function
Traders can open the “Future” trade type by using the “Type” dropdown or by clicking “New” to create a new tab. Traders can then enter USD futures into the Future section. To select which futures to include in the calculation, use the “X” column.
Once futures are entered and selected, from “Calculation” – “SOFR Hedge” – “Repo Risk for USD Bond Futures”, will show the USD SER bucket repo risk for US bond futures. Traders can see how to hedge the Futures’ repo.
Note: Traders can send the strip to Trade Blotter sheet by clicking “ToTradeBlotter” in the lower right of the pop-up window.