Swap Box Enhancement | Weekly Release 9/25/20

Added flag to give traders the option to calculate the $C+R fields with or without the weight of each leg

Traders who would like to see the $ Carry +Rolldown by the notional’s directionality can turn off the dependency on the weighting.

The directionality looks to be in the same direction as the Carry and Roll in basis point terms for both legs, when including the weight. When excluding the weight, the directionality for the $ carry and roll is the same as the notional for each leg.

While the flag is not checked the $ C+R is calculated as: C+R * Bond forward DV01 * Weight

While the flag is checked, the $ C+R is calculated as: C+R * Bond forward DV01