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