Added “Fx Scenario (Spot x Time)” to “Calculation” menu
Traders who trade FX Options can now take a look at the FX Scenario Spot x Time. This horizontal analysis tool allows traders to understand their PnL and risk under different FX Spot shock scenarios at different points in time.
Added ability to set time period for “Fx Scenario (Spot x Vol)”
The “FX Scenario (Spot x Vol)” scenarios for FX trades now includes the ability for traders to shock at different points in time, via the dropdown time horizon menu.
Note: After changing the “time” click on “recalc” to recalculate the analysis
[CMS Sprd Option] Added <right click> - “Corr Historical Rates” option & “Priced Corr” column
Traders can <right click> on the “Rlz Corr” column and choose the “Corr Historical Rates” to see the historical data used to calculate the correlation.
Updating the “Set Corr Bump” will update the “Priced Corr”, which will update the pricing of the CMS.