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Conditional Curve Monitor Enhancement| Weekly Release 4/26/2024

Added “Fwd to Spot P&L” column

 

Added a new "Fwd to Spot P&L" column, which calculates the P&L under the assumption that the forward rolls to spot. For example, if you are looking at a 1y expiry 2/10 conditional curve, the forward to spot P&L will be the P&L assuming that after 1y, the 1x(2/10) becomes spot 2/10.

 

In the screenshot below, the “Fwd to Spot P&L” shows as -270.6.


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