Trade Blotter Enhancements | Weekly Release 7/17/20

Enhancement #1

Allow traders to select the line items by “Strategy” to calculate the PnL from the “Blotter Manager”

Traders who utilize the “Blotter Manager”, in the “Trade Blotter”, to view the PnL, will have a streamlined way to select the position’s PnL directly from the Blotter Manager by leveraging the “strategy” column. Traders can quickly select a group of positions by selecting the Strategy.

1- To set up the functionality, the trader must fill in the “Strategy” column in the tabs for each position.

2- In the “Blotter Manager”, under the “My Trades” section, <right click> on the tab name and select “Select Trades by Strategy

3- In the “Strategy Selector”, select the strategy, then hit “Apply”

4- The line items will be selected in the tab and tallied in the Blotter Manager

See complete workflow in the screenshot below.

Enhancement #2

Enhanced the Horizontal Analysis calculation for futures which will capture the carry profile with “Future Carry+Roll based on CTD” flag enabled

To include future’s carry and roll into the Horizontal Analysis, the “Future Carry+Roll based on CTD” can be turned on. This way the trader can capture the Carry and Roll in the Horizon Analysis, The result summarizes the Carry profile over time. Carry of the bond is using the GC repo. Carry of bond Future product is using the implied repo of future’s CTD.

Bond Carry P/L = (forward bumped yield – spot bumped yield) * forward DV01 * Position / 100

Bond Future Carry P/L = (CTD forward bumped yield – CTD spot bumped yield) * CTD forward DV01 / conversion factor * future position * value of point

In the screenshot above, see how the CTD’s carry and roll changes the outcome dramatically.

Enhancement #3

Enhanced Cap/Floor pricing such that traders can now define the volatility spread between the base fixing index and other fixing indexes Cap/Floor

1- We assume the ATM vols are the same for the different fixing indexes. And the strikes which have the same skews would also use the same vols.

For example, as we create 3 Caps with the same start dates and maturities. Their ATM strikes are different. Since they are all “ATM”, the volatility will be the same.

Aside from that, if there are 3 Caps which are all 10 bps over ATM strikes, the vols are also the same.

2- User can define the volatility spread between the base fixing index and other fixing indexes Cap/Floor. Use Trade Blotter -> Cap Floor -> Preference -> Set Vol Basis Spread…

For Example, if we define Lib1M Cap Vol is 10 bps higher than Lib3M, and Lib6M Cap vol is 5 bps lower than Lib3M. Then the vols used are listed below:

To open the Cap/Floor Spread Management menu, click on “Preferences” -> “Set Vol/Basis” spread.

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