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Calendar ASW Enhancement | Weekly Release 02/03/2023

Added Fwd SOFR(ESTR) DV01(PV01) swap hedge options


To further complete the Calendar ASW, we have added the SOFR/ESTR hedging. In the “Swap Hedge” dropdown, the “FWD SOFR DV01” and “Fwd SOFR PV01” have been added to allow traders to choose the SOFR hedge. Choosing this will change the Swaps on the PnL section to SOFR swaps, as well as show the “Fwd Swap BPV” as SOFR.



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