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Forward Swap Matrix Enhancement | Weekly Release 1/20/2023

Enhancement: Added “Reg(weeklyChg) Weight” & “Reg(weeklyChq) Weight using 2 Sprd” weight options

The weight menu has been updated to add two more weighting methods.

1- Reg(weeklyChg) Weight:

Same method as Regression (Level) while using the weekly change of yield instead. Regression weighting uses regression beta. Uses the previous 3M historical data and runs linear regression on the weekly changes of each leg.

2- Reg(weeklyChg) Weight using 2 Sprd:

Same method as Regression (Level) using 2 Sprd while using the weekly change of yield instead.

To apply these weighting methods, on the cell under the “Weight” column and choose “Change Weight To” – “Reg Weight” - “Reg(weeklyChg) Weight”/ “Reg(weeklyChq) Weight using 2 Sprd”.

Note 1: “Reg(weeklyChg) Weight” method is available for every type of strategy, while the “Reg(weeklyChg) Weight using 2 Sprd” option is available for butterfly strategies only. This weighting method is already available in Sprd/bfly sheet.


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