Forward Curve Analysis Enhancement | Weekly Release 2/5/21

Expanded support to include the applicable basis swaps, such as 1s3s, 3s6s, 1s6s, OIS v 3s


Added support for “1s3s”, “3s6s”, “1s6s”, and “OIS v 3s” basis swaps in the Forward Curve Analysis.

Select the currency. Then can choose the curve such as “1s3s”, “3s6s”, “2s6s”, or “OIS v 3s” under the “Curve” box. Below that, enter the “Fwd Terms/CurveDates”. Finally, hit “plot” to see the graph of the curves.


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