Enhancement #1
In further preparation of the SOFR transition, traders can price SOFR swaps using LCH clearinghouse which will default to use OIS discounting, or CME clearinghouse which will default to use SOFR discounting
In the example above, traders can enter a SOFR swap by setting the “Float Index” = SOFR. Customize the Clearinghouse to use the OIS discounting curve by selecting LCH, or use the SOFR discounting curve by selecting CME from the “clearing house column”.
Enhancement #2
Enhanced Future and Listed Option trade types to support the 3-year future contract used for the “Future Equivalent” field
Traders who want to see the 3-year future equivalent of their futures and listed option positions can now do so. The feature is under the “preferences” – “Future Selection”. The Future Equivalent will show the number of the contracts selected is DV01 equivalent to the selected positions.
