Changes
Analytics Workspace - Major Enhancements
Speed and Resource usage enhancements
- AW uses less memory and operates an order of magnitude faster than the previous version. Less server resources are required to compute theoreticals as well. Slide and Price updates should come in substantially faster
Menu Reorder
- Rate Adjustment now called Rate Manager
- Poly Vol and Vol Adjustment now called Vol Manager
- Flex Vol Response Calibrator now called Vol Response (under Vol Tools)
- Group Vol Control is now under Vol Tools
- Dividend Maintenance Two Yields is now called Dividends
- Graph windows grouped together, under Graphs
- Most apocrypha is now in the utilities menu
Future Price Lockups
- Index product 'driver price' is no longer lockable from Vol Manager or Rate Manager. To lock this price, click on the Future symbol (ES, for example), and access the Futures Prices panel. These overrides are local and are not saved.
Rate Manager -- PLEASE READ
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Rate Manager simplifies and replaces the former Rate Adjustment form. There are two modes, specified in Utilities->Model Params -> Rate Source. The Rate Manager form is drawn differently according to this mode switch.
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Simple Mode: Box and Roll values may now be entered directly as a Riskless rate and roll target / roll reference value respectively. Clients are encouraged to use this mode, as it is simpler, faster and the new default.
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TPlusAdjusted Mode: Clients may choose this mode in order to keep the same box and roll values through the upgrade with minimal settings changes. Please note that the global roll and carry spreads have been eliminated in favor of expiration keyed inputs. The Rate Spread Column is also gone. Also note that clients that peg rolls using a special mode in Roll Offset should use the new Roll Reference / Roll Target columns to achieve the same result (see below)
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New Targeted Smart Rolls (in either mode): In the rate manager form, enter a driver value in Roll Reference column to activate the Roll Target column. Once activated in this manner, the current expiration's roll will be equal to the Roll Target when the driver is at Roll Reference, away from Roll Reference, the roll will move slightly from the Roll Target proportional to it's Delta. To lock the Roll at Roll Target regardless of a reference, set the Roll Reference to -1.0
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Automatic Euro/Libor Future Rollover: It is no longer necessary to delete ED or EM futures contracts in the system. New contracts should be added as time passes, however.
Eurodollar Hedging
Check the Quarterly Futures form on the ED symbol and the Monthly Futures form on the EM symbol for these new features.
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Eurodollar / Libor Future Rate Shifts: User can now express rate curve shifts (both roll and riskless) on the same tenor as the Euro and Libor futures.
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Rho Shift: User can now input a specific move in the rate curve through which to calculate portfolio rho.
Vega Factor
- Improved Vega Factor Calculation Accuracy / Speed; this will cause a slight change on AdjVegas when upgrading to this version.
Spline Mode
- Set Order Lim to -1.0 to set the Vol Curve to be a spline instead of an Nth Order Polynomial
Vol By Raw Strike Mode
- Set Stdk Mode to 2.0 to set the Vol Curve to be determined by addends to at the money vol over raw strikes.
New Graphs
- Added Probability Distribution Graph
- Added "Shape Strike Vol Series" which graphs slopek1/2, curvk1/2, ptk1, and ctk2 in vol space over time
New Vol Response Modes
- Added Quadratic functional form to represent and calibrate response as a parabola.
- Added Wing mode (and QuadraticWing) that allows the user to express a view on changes in the call wing and put wing versus changes in ATM.