The mandatory upgrade date in production is April 11, 2016.
To assist the upgrade process, here are some answers to frequently asked questions:
-All Optimizer users, not just users with Swaptions, must upgrade to version 8.0 in order to properly calculate the IRS liquidity model.
-Windows 7 or higher is required to run the most recent version of SPAN packaged within Optimizer 8.0.
-Users will need to build a process to pull in two new input files from CME’s secure FTP in order to run Optimizer 8.0. The new input files are:
-For portfolios with large Swaptions positions, users will see Optimizer estimated HVaR margin figures diverge from actual margin figures. This does not impact optimal allocation results.
Please contact the CME CORE group at firstname.lastname@example.org with any questions.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.