Basis Swap Enhancement | Weekly Release 2/14/20

Allow traders to modify which cross currency basis swap pairs should imply the 3M, 6M, 9M tenors from the FX Curve. By default, this flag is unchecked such that the short-end will use the market level


In this release, each XCCY basis pair has its own separate flag to determine whether the short-end points of 3M, 6M, 9M tenors are implied by the fx curve or directly from the market.

Note: When the “Imply 3M/6M/9M from FX Curve” is checked, the overridden values will be pink.