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  • Incorporates new portfolio margin eligible products Eris SOFR-based swap futures, scheduled for production go-live November 22, 2021.
    • List of Eris SOFR-based swap futures Globex/Clearing Codes: YIA, YIB, YIC, YIT, YIW, YIY, YIL, YID, YII, YIO, YIE.
      • See all eligible products here.
    • These products are eligible to transfer to OTC accounts to achieve risk offsets.
    • This build of Optimizer will generate futures transfers in the above products and consider them during Optimization.
    • Users who do not include Eris SOFR-based Swap futures in the positions.csv file today should add these contracts to achieve optimal results.
  • Incorporates support for Bloomberg Short-Term Bank Yield Index (BSBY) – based USD interest rate swaps, scheduled for production go-live November 15, 2021.
  • Incorporates support for Singapore Overnight Rate Average (SORA) – based SGD interest rate swaps, scheduled for product go-live November 15, 2021.
  • Supports limited forwards-compatibility for future Optimizer releases by introducing a multi-version support inside Optimizer's  interpretation of compatible market data sets.
    • This change is internal only and should not impact firm workflows.
  • Reduced installation footprint:
    • Installer file (MSI) approx. 75 MB
    • Installation folder (post-installation) approx. 450 MB
    • Note that the sample market data has been significantly reduced and only supports a limited set of contracts. If you require a full market data set to facilitate testing prior to NR launch dates, then please reach out to cme.core@cmegroup.com for further information.
      • Date of samples file is August 20, 2021.

Fixes

  • Optimizer version 17 adds validation logic for invalid dates in the position.csv input file TradeDate field. Prior Optimizer versions defaulted transfer output to an un-tradable 1/1/0001 date when an improper TradeDate format was supplied. The TradeDate field is now expected to be in date format: yyyymmdd, mm/dd/yyyy, or m/d/yyyy. Optimizer version 17 produces an error at the portfolio level if the TradeDate field is not in these formats. The new expected error is:

    Invalid trade date format detected: '<<invalid format>>'. Expected yyyyMMdd or MM/dd/yyyy or M/d/yyyy


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