Basis Swap & Custom Basis Enhancement | Weekly Release 3/18/22

Enhancement


[EUR] Added support for ESTR vs EUR1s basis


From the “EUR” – “ESTR vs EUR1s” tab, traders can load the basis swap spread table.

If they hit on “Calc Fwd”, RiskVal will load the lower panel forward table.

Traders can <double click> on the “Live” column, or fields in the forward table to open a historical chart.


Traders can enter “BSESTR1S-#”, “BSESTR1S-#x#” & “IMMBSESTR1S-[HMUZ]x#” formats in the Forward Swap matrix sheet.

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