Enhanced the Summary panel such that traders can calculate the Greek P&L for swaption trade types such as “Delta P&L”, “Gamma P&L”, “Vega P&L”, “Theta P&L” for both local CCY and USD
To help traders fully analyze their portfolios and include their swaptions position’s Greek exposure along with the rest of the portfolio, the risk has been added to the summary table. In previous releases, the Greek risk was only summed up for listed options, however, in this release you can see the Delta, Gamma, Vega and Thera P&L in local currency and converted to USD, aggregated up in the summary table.
In CMS Sprd option, added forward premium column for single look options
The Forward Premium column was added for single look CMS spread options, it represents the forward premium value on the option maturity date.