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Forward Swap Matrix Enhancements | Weekly Release 09/29/2023

Enhancement#1: Added support for Euribor futures convexity


Traders can enter “ER[HMUZ]#_CNVX” format to populate Euribor future convexity. ERZ3_CNVX for example. In Forward Swap Matrix, RiskVal has historical data for convexity as well.

Enhancement#2: Extended the “IMM” functionality to support “IMM/IMMWED/IMMCAD/IMMAUD”


Due to IMMs rolling on different days per currency, support has been extended to use specified currencies in the IMM dates.

In the example below, in the AUD tab, using “IMM[HMUZ]#x#” will use AUD IMM dates. To use USD dates for example, use “IMMWED[HMUZ]#x#”. Traders can hover over the strategy to see the dates being used.


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