Added support for broken date CPI swaps, also available in Sprd/Bfly
Traders can now enter broken date CPI swaps using the following formats:
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.
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.