Enhanced Key Rate Risk (Cashflow) calculation by supporting USD 3-month TBill and allowing for swap rates to be set as fitting points
Traders can now add the 3M, 6M, and swap rate points to the Key Rate Risk. This way traders can see how to hedge their portfolio’s Risk. To open the Risk Report, click on “Calculation” – “Calc Key Rate Risk”
Added support for MXN in the Historical VaR simulation [also in Swap Box]
Traders who trade Mexican bonds and swaps will be able to see the Historical Var report for it.
Enter the Bonds/Swaps
Select the Instruments
Click on “Calculation” -> “Historical Var Simulation”