Enhanced XCCY Basis Swap to support Historical VaR simulation
The Historical VaR simulation has been expanded to include the XCCY basis swap strategies.
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.