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.