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Forward Swap Matrix – RV Analysis Enhancements | Weekly Release 2/4/22

Enhancement #1

Added the Stdev_d column

Standard Deviation over daily change, otherwise known as the daily vol, has been added to the RV Analysis popup window. This value is over the threshold of a 3-month period.

Enhancement #2

When the curve is set as OIS IMM, LIBOR IMM, or SOFR/ESTR IMM (for USD and EUR, respectively), traders can click on the “Tails” button, check the desired tails, and click “Apply”.

Note: The analysis will run on the selected forwards and tails


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