Basis Swap Enhancement| Weekly Release 9/30/22

Enhancement


Added support for SGD SORA vs SOFR


In Basis Swap, from the “SGD” – “SGDSORA vs SOFR” 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 table. Traders can click on the “Live” column, or fields in the forward table to open a historical chart.


Traders can enter BSSOFRSGSR-#(X#), IMMBSSOFRSGSR-#X# formats in the Forward Swap matrix sheet such as, BSSOFRSGSR-5, BSSOFRSGSR-1x2, and IMMBSSOFRSGSR-H3X2.

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