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.