This topic includes release notes about enhancements and updates to CME Optimizer Software versions.
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1.2. Enhancements
1.2.1. PLN and MXN
CME will support MXN Overnight TIIE Funding Rate (F-TIIE) and PLN Warsaw Interest Rate Overnight (WIRON) swap clearing in the New Release environment on Wednesday, November 01, 2023 - please see the advisory here for more details. The Production support date is early 2024, please see CME's production advisories for more details. The New
Optimizer version 19 supports the curve data necessary for trading these new contracts. Users who do not trade these contracts are also required to support Optimizer version 19.
1.3. Fixes
1.3.1. Treasury Rules-based Offset Engine (CME/FICC Cross Margin Program) Logic
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This section illustrates changes to specific sections of the Optimizer’s configuration.json file to support treasury and SOFR option exclusions. Please see
See also: configuration.json file specifications here.
Option Lifecycle Exclusions
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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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