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Forward Swap Matrix Enhancement | Weekly Release 06/09/2023

The Gadget strategy allows users to see the spread between the invoice yield and the matched maturity spot started swap. In the example below, we have the TY1_GDT_YY, the Invoice Yield for the TY1 is 3.7869, while the spot started swap with the maturity of the CTD (March 31, 2030) is 3.84798, shows a spread of about -6.106.

The formatting is as follows:


Future’ + ‘GDT’ + ‘YY’


For example: TY1_GDT_YY


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