Trade Blotter Enhancements | Weekly Release 10/23/20

Enhancement #1


Enhanced XCCY Basis Swap to support Historical VaR simulation

The Historical VaR simulation has been expanded to include the XCCY basis swap strategies.

Enhancement #2


Added “$delta SABR” and “$delta SABR USD” column under the Blotter Manager and the Summary table

Traders can see the $Delta SABR and the $Delta SABR USD. Enter the swaptions and select them, to see the totals at the top of the sheet.


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