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Forward Swap Matrix Enhancements | Weekly Release 2/25/22

Enhancement #1:

[USD/EUR] Added support for SOFR/ESTR spot & forward swaptions

In Forward Swap Matrix, traders can use the following formats to enter SOFR & ESTR spot & forward swaptions.

To send to the Trade Blotter sheet, right click in the “Curve” column & select “To Trade Blotter”.

Enhancement #2:

Added support for CNY Fixed vs USD3s, KRW Fixed vs USD6s, & BRL Fixed vs USD3s

Traders can enter these basis swaps using the following formats:

Note: In Basis Swap & Custom Basis Swap sheets, traders can pop out historical graphs & click “ToFwdSwapMatrix” to send to the Forward Swap Matrix sheet.

Enhancement #3:

Libor swaps will now be supported with prefix “S”

In this week’s release, the “S” has been added as a prefix to help distinguish the swap as LIBOR. Given the option to set the default curve as SOFR/ESTR for USD/EUR or OIS for the remaining currencies including USD/EUR, there was not a way to enter the LIBOR swap in the tabs with other curves as the default. Going forward, traders can enter “S#” to see the LIBOR swaps.


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