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Basis Swap and Custom Basis Swap Enhancements | Weekly Release 3/17/2023

Enhancement #1: [EUR] Added support for ESTR vs FF


From the "EUR" - "ESTR vs FF" tab, traders can load the basis swap spread table. If they hit on "Show Fwd Matrix" below the table, RiskVal will load the lower panel forward matrix. Traders can double click on the "Live" column or fields in the forward table to open a historical chart.


Traders can enter BSESTRFF-#, BSESTRFF-#X#, IMMBSESTRFF- M#X# formats in the Forward Swap Matrix sheet such as, BSESTRFF-5, BSESTRFF-1X2, and IMMBSESTRFF-N3X3.

Note: From the historical popup, traders can hit “ToFwdSwapMartix” and send strategies to the forward swap matrix sheet.


Enhancement #2: [GBP] Added support for ESTR vs SONIA


Traders can enter BSESTRSONIA-#, BSESTRSONIA-#X#, IMMBSESTRSONIA-M#X# formats in the Forward Swap matrix sheet such as BSESTRSONIA-1, BSESTRSONIA-6X2, and IMMBSESTRSONIA-Q3X2.

Note: From the historical popup, traders can hit “ToFwdSwapMartix” and send strategies to the forward swap matrix sheet.

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