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Forward Swap Matrix Enhancements | Weekly Release 1/21/22

Enhancement #1:

Added support for broken date CPI swaps, also available in Sprd/Bfly

Traders can now enter broken date CPI swaps using the following formats:

Enhancement #2:

Added support for SOFR/ESTR/OIS quarterly swaps greater than 1 year

Traders can enter “SOFR/ESTR + decimal #” as a format in Fwd Swap Matrix to see quarterly swaps. RiskVal also supports “SOFR/ESTR + decimal # x #” for forward quarterly swaps.

Enhancement #3:

Added “SOFR-OIS”/ “ESTR-OIS” columns in the lower part of USD/EUR tabs, respectively

Under the “FRA-OIS/SOFR&ESTR” tabs, RiskVal added “SOFR-OIS” & “ESTR-OIS” columns.

Traders should hit “Calc Fwd” button to populate the table.

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