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Optimizer Version 14.0 Release Notes

Version: 14.0.0.0

Release Date: 28th May 2020 (see adoption timeline below)

Enhancements

  • Supports €STR discounting curve - more information about the discounting transition at CME is here
  • Netting behavior updated to net the positions with the net quantity closest to zero
  • Added support for an optional pass-through 'memo' field in the positions.csv file
    • Header and field values are firm-defined and entirely optional
  • Updates to field TrdHandlInst in output transfer record from TrdHandlInst="2" to TrdHandlInst="8"
    • This change is related to an FECPlus change described here

Fixes

  • Fixes a bug which prevented ERIS positions from being margined properly

Configuration Changes

  • No configuration changes in this release.

Pre-installation Checklist

  1. Please ensure that your system adheres to the minimum system requirement as described in the CME Optimizer Software User Guide.
  2. CME Optimizer 14 is designed to install side-by-side with existing CME Optimizer installations.
  3. If you have a prior version of CME Optimizer installed, please ensure that the application is not running.

Installation Instructions

To install CME Optimizer 14.0.0.0 perform the following steps:

  1. Download CME Optimizer 14.0.0.0. It is available to download from CME CORE. Detailed instructions can be found in the CME Optimizer Software User Guide, 'Downloading Optimizer' section.
    1. Note users do not need to uninstall the prior version of Optimizer (v13). Optimizer 14 can be installed and run side by side with Optimizer 13 for users who install in production prior to the mandatory production deadline.

  2. Log onto the system where the software is to be installed. You should log on as an administrative user.
  3. Double-click on the Optimizer 14 installer (filename: Optimizer.14.0.0.0.msi), this will start the installation process.
  4. Follow the on-screen instructions:
  5. You must accept the End-User License Agreement (EULA) to install Optimizer 14:
  6. Accept the default installation location or optionally change it:
  7. You can choose to automatically run the Optimizer 14 Samples once the installation completes:

Troubleshooting

If you run into issues during the installation, please refer to the guidance below. Alternatively, reach out to our cme.core@cmegroup.com for further assistance:

  1. Verify that you have the correct privileges to install software on the target system and that security software/policies are not preventing software from being installed
  2. Verify that you have the minimum system requirements for hardware and operating system
  3. Verify that you have installed the software prerequisites and that a system reboot has been performed
  4. If the installer starts, but fails to complete, try running the MSI with logging enable from the command-line e.g. PowerShell:

    .\Optimizer.14.0.0.0.msi /log installer.log

  5. If the installer log does not point to a localized issue, then forward the log to core@cmegroup.com for further investigation (see below).

Operational Changes for Optimizer 14

  • No new files
  • Changes to existing files:
    • €STR curve details will publish in existing Optimizer input files: "Base_Curves . . .", "IRSDL . . .", "cme_rloptimizercfg . . ."

Adoption Timeline

  • New Release: May 28, 2020
  • Production: July 27, 2020

Optimizer Version 13.1 release notes

Version: 13.1.0.46

Release Date: 13th December 2019

Fixes

  1. SNT date not applied to transfers generated from treasury rolls.
  2. Single net transfers not generated in FIXML and CSV transfers when MoveDecision and/or NettingMoveDecision was set to SNT.
  3. Transfers showing negative transfer amount.


Enhancements

  • New transfer origin 'Exclusion' for CSV transfers. Applicable to transfers generated from product and/or treasury roll exclusions.
  • New configuration property added to configuration.json called "ExclusionMoveDecision" which can be used to control exclusion transfer behavior (see matrix and sample below).


Configuration Changes

Change TypeSectionProperty NameData TypeValuesDefault ValueNotes
New PropertyDefaultsExclusionMoveDecisionString

LIFO

FIFO

SNT

LIFO

The transfer allocation method for transfers that are created when a given portfolio is enabled for product and/or treasury roll exclusions.


LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

Pre-installation Checklist

  1. Please ensure that your system adheres to the minimum system requirement as described in the CME Optimizer Software User Guide.
  2. During the installation, the installer will remove any prior versions of CME Optimizer 13 and install the latest version.
  3. If you have a prior version of CME Optimizer 13 installed, please ensure that the application is not running.
  4. If you use the default configuration or input/output directories in "C:\Program Files\CME Group\CME Optimizer 13", then it is recommended that you backup these assets before installing this update.


Installation Instructions

To install CME Optimizer 13.1.0.46 perform the following steps:

  1. Download CME Optimizer 13.1.0.46. It is available to download from CME CORE. Detailed instructions can be found in the CME Optimizer Software User Guide, 'Downloading Optimizer' section.
  2. Log onto the system where the software is to be installed. You should log on as an administrative user.
  3. Double-click on the Optimizer 13 installer (filename: Optimizer.13.1.0.46.msi), this will start the installation process.
  4. Follow the on-screen instructions:




  5. You must accept the End-User License Agreement (EULA) to install Optimizer 13:




  6. Accept the default installation location or optionally change it:












  7. You can choose to automatically run the Optimizer 13 Samples once the installation completes:



  8. Once installation has completed, it is best practice to reboot the PC on which the software is installed.

 

Troubleshooting

If you run into issues during the installation, please refer to the guidance below. Alternatively, reach out to our cme.core@cmegroup.com for further assistance:

  1. Verify that you have the correct privileges to install software on the target system and that security software/policies are not preventing software from being installed
  2. Verify that you have the minimum system requirements for hardware and operating system
  3. Verify that you have installed the software prerequisites and that a system reboot has been performed
  4. If the installer starts, but fails to complete, try running the MSI with logging enable from the command-line e.g. PowerShell:

    .\Optimizer.13.1.0.46.msi /log installer.log

  5. If the installer log does not point to a localized issue, then forward the log to core@cmegroup.com for further investigation (see below).



Configuration Sample (fragment)

{
	"Defaults": {
		"ExclusionMoveDecision": "LIFO"		// New Property
	}
}

Optimizer Version 13.0 release notes

Mandatory Production Release target date August 26, 2019

See also new Optimizer User Guide.

New features for Optimizer 13 include:

  1. Fully integrated CME IRS margin model. Prior versions approximated IRS risk using delta ladder inputs.
  2. Some users may see additional efficiencies compared to prior versions.

Operational Changes for Optimizer 13 include:

  1. New Optimizer input files will be required to run version 13, summarized below:
    1. csv is being decommissioned and will no longer be available for download
    2. xml will no longer be an input to Optimizer 13, but it is not being decommissioned.
  2. The Configuration file is migrated from XML to JSON format.
  3. The output log file is updated to reflect the re-written Optimizer architecture.
  4. The output margin reports references to HVaR are replaced by VaR.

 

Adoption Timeline (TBC):

Dissimilar to prior installations, users can keep Optimizer 12 installed while installing version 13 in order to run either version under the new plug-in architecture.  Due to the large quantity of changes, a new Optimizer User guide has been published here. For general details about the Portfolio Margin program, see here. For detailed release notes please see here.


CME CORE Impacts

CME CORE Rates User Interface will be impacted in the following ways:

  • Deprecation of the Ideal Optimizer Report in the ‘Optimize’ feature
    • This report provided a list of futures not present in the account which would reduce total IRS-based risk to its maximum efficiency.
    • Other standard Optimize feature reports will continue to be available.
  • ‘Optimize’ feature will be available in the test region in August.

Optimizer Version 12.0 release notes

Mandatory Production Release May 21,2018

Detailed Release Notes:

  • Please note a new version of Optimizer: version 12, is available for download to support new currencies, namely Chilean Peso (CLP), Colombian Peso (COP) and Chinese Yuan (CNY).
  • Full release details of the new currency launch can be found here.
  • To support the currencies, there are several impacted Optimizer input files, listed below. The format for these files is not changing to support the new currencies
    • Base_Curves_yyyymmdd.csv
    • ConcentrationBracket_yyyymmdd.xml
    • Log_Return_yyyymmdd.csv
    • IRSDL_[firm number]_yyyymmdd.csv (if actively trading CLP/COP/CNY)
    • Updated data files will be available for download from the secure FTP New Release environment beginning on Wednesday, April 4, 2018
    • Updated data files will be available for download from the secure FTP Production environment beginning on Monday, May 21, 2018
  • Optimizer 12 builds span.ini with the correct path e.g: OrgMasterPath=<install directory>\ORGMAST.xml
  • Optimizer 12 fixes a bug in the log file and displays ‘After Optimization’ margin value.
  • Optimizer 12 requires Microsoft .Net Framework 4.5.2 to be installed in order to execute
  • For best results, please uninstall the prior build of the Optimizer completely before installing the new build.

Instructions to download Optimizer 12

1. Log into CME CORE.

2. Navigate to Download Center > Software > CME Optimizer (latest build is Optimizer 12)

Optimizer Version 11.0 release notes

Mandatory Production Release July 10, 2017

Detailed Release notes:

  • Optimizer 11.0 supports IRS non-deliverable currency products INR and KRW. Full release details of the new currency launch can be found here.
  • To support the currencies, there are several impacted Optimizer input files, listed below. The format for these files is not changing to support the new currencies and no development work is expected.
    • Base_Curves_yyyymmdd.csv
    • ConcentrationBracket_yyyymmdd.xml
    • Log_Return_yyyymmdd.csv
    • IRSDL_[firm number]_yyyymmdd.csv (if actively trading INR/KRW)
    • Updated data files will be available for download from the secure FTP New Release environment beginning on Wednesday, June 7, 2017
    • Updated data files will be available for download from the secure FTP Production environment beginning on Monday, July 10, 2017
  • For best results, please uninstall the prior build of the Optimizer completely before installing the new build.

Optimizer Version 10.0 release notes

Mandatory Production Release February 27, 2017

Detailed Release notes:

  • To better support the portfolio margining of portfolios across all product types, an updated savings model is implemented in Optimizer 10 which iterates through additional potential solutions before deciding on an allocation of futures to transfer to the swaps account. Additional savings has been observed for some, but not all, portfolios.
    • Optimizer 10 could run slightly slower than previous builds due to additional iterations. Please prepare to test total processing time during deployment.

    • The output log file, ‘OptimizerLog . . .txt’, will be larger than previous builds as it logs the additional iterations. The solution Optimizer chooses for each portfolio will be logged at the bottom of the log file as the ‘Chosen hvc:’ and each solution iteration also includes the same HVC detail.

    • Savings results may not match for all portfolios versus Optimizer 9. Savings will be as good or better than Optimizer 9.

  • CME’s IRS Liquidity Calculation is being updated and the expected production release date is 2/27/17. The Optimizer 10 seamlessly supports updates to the liquidity calculation.
    • Users who do not upgrade to the new build on or before 2/27/17 could see portfolio failures due to liquidity parameter changes.
    • The contents of the liquidity parameter input file ‘ConcentrationBracket_yyyymmdd.xml’ are affected by the change. The name will remain the same.
    • 'ConcentrationBracket_yyyymmdd.xml’ files with the changes for testing will be available in the New Release environment beginning 1/25/17.
  • To meet customer requests for consistency across Roll Treasury flags for all deliverable portfolio margin-eligible products, Optimizer 10 relocates the Ultra-Ten Year (TN) roll flag to the 'cfg.xml file.'
    • Previous builds included this flag in the extended configuration file 'Optimizer.exe.config.' Processes built to support automating the treasury roll flags can use the 'cfg.xml' file for all deliverable products by flipping the new TN flag from False (default value; no rolling) to True (rolling front month), shown below.  
      • Flag off (default value):
        </setting>
                        <setting name="RollTreasuryTN" serializeAs="String">
                        <value>False</value>
      • Flag on (rolls front-month contract out of PM account)
                        </setting>
                        <setting name="RollTreasuryTN" serializeAs="String">
                        <value>True</value>
    • Further details about the Treasury Roll flags can be found here.
    • No Optimizer input or output files are affected by this change
  • Optimizer 10 improves number handling in the ‘Total Percent Savings’ field of the ‘Total Savings Estimate . . .csv’ output file.
    • For numbers larger than 3 characters (1,000 or greater for portfolios with very large option value) Optimizer 10 will not comma delimit the ‘Total Percent Savings’ figure.
    • For example, a savings percent of 1,400% in previous builds would have delimited as ‘1’ and ‘400%’ as below. Optimizer 10 treats this as the string ‘1400%’
    • No other Optimizer input or output files are affected by this change.

Optimizer version 9.0 release notes

Mandatory Production Release October 3, 2016.

Detailed Release notes:

  • In conjunction with the FEC+ transfer migration described here, Optimizer 9.0 has the ability to generate either dual-sided model transfers (current model) or single-sided/Allocate and Claim model transfers (new model post-FEC+ migration). Attached below are examples of both the old and new transfer messages.
    • Transfer message examples are saved to CME CORE's Download Center
    • Users can configure the Optimizer to run using either transfer message model within the cfg.xml file in the Program directory. The default setting is the new single-sided model.
      • Dual-sided model configuration: Update ‘SingleSidedReport’ flag in cfg.xml file in Program directory to ‘False’
      • Single-sided/allocate and claim model configuration: Update ‘SingleSidedReport’ flag in cfg.xml file in Program directory to ‘True’ (default setting)
    • The New Release environment will be available to test the new transfer message format starting 9/1/16.
    • A detailed message specification document is posted in the Clearing system manuals here (see FIXML Allocate and Claim Model for Transfers, section 3.8).
  • In conjunction with CME’s launch of New OIS IRS currencies CAD and AUD on 10/3/16, Optimizer 9.0 is enhanced to calculate margin requirements and offsets using the new curves (below). The Optimizer is backwards compatible and does not require these new currencies to exist in the IRSDL file in order to run.
    • New curve names:
      • AUD_AONIA_1D_ERS
      • CAD_CORRA_1D_ERS
    • New OIS IRS currencies will be published in IRS market data Log_Return_yyyymmdd.nr.csv, ConcentrationBracket_yyyymmdd.nr.xml, and Base_Curves_yyyymmdd.nr.csv files in the New Release environment starting 8/31/16 and will move in to the production files on 10/3/16. Optimizer 8.0 does not support these new curves.
  • Optimizer 9.0 is able to run with new portfolio margining-eligible products TN and 41. The Optimizer is backwards compatible and does not require these new products to exist in the Positions file in order to run.
    • The new products are configured to be included in Optimizer runs as a default in Optimizer 9.0. To remove these products from Optimization, update the PMEligible string from “true” to “false” in the Optimizer.exe extended configuration file within the Program directory.
    • New products 41 and TN will be published in IRS market data Log_Return_yyyymmdd.nr.csv, Base_Curves_yyyymmdd.nr.csv, and Futures_Delta_yyyymmdd.nr.csv files in the New Release environment starting 8/31/16 and will move in to the production files on 10/3/16. Optimizer 8.0 does not support these new products.

Optimizer version 8.0 release notes

Mandatory Production Release April 11, 2016.

  • Users will be required to upgrade to Windows 7 or higher to run the most recent version of span, which is packaged in Optimizer 8.0
  • The Margin Summary Report has been enhanced with new columns to include liquidity margin breakout when running with new files
  • Users will be required to run Optimizer 8.0 with two new input files to support the new liquidity model for OTC IRS portfolios. 
    • New file Details:
      • ConcentrationBracket_YYYYMMDD.xml: This file contains risk data that will be used to complete a liquidity margin calculation and is located on the secure FTP via the PUB/IRS directory
      • Futures_Delta_YYYYMMDD.csv: This file contains the DV01 values of each futures contract eligible for the portfolio margin program represented in a delta ladder and is located on the secure FTP via the PUB/IRS directory
      • To run with the new liquidity model a user should simply load the new files into the input directory
      • Please test with the Sample Risk Data Files found in the Sample Directory including:
        • Base_Curves_20141212.csv
        • cme.20141212.s.cust.spn
        • ConcentrationBracket.xml
        • Futures_Delta_20141212.xml
        • IRSDL_sample_20141212.csv
        • Log_Return_20141212.csv
        • Position_Sample_20141212.csv