Basis Swap Enhancements | Weekly Release 10/16/20

Enhanced G7 + AUD 1s3s curves with an added line item to show the spot break, which is calculated as (LIB3m- LIB1m) * 100

To add more granularity to the short end 1s3s basis curves for G7 and AUD countries a new line item has been added to show the Spot break-even.

Spot break-even: (LIB3m- LIB1m) * 100


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