Added support for cross country CPI Swaps across G7 tabs
Adding versatility across different CCY-Libor tabs in the Forward Swap Matrix, CPI swaps are supported across the G7 tabs. In addition, cross-currency strategies can be created.
In the sample below, the strategies are all entered in the GBP – Libor tab. First, the GBP spread to USD, then, GBP spread to EUR.
Note: With this release, we made it backward compatible so traders who have existing strategies such as “CPISWIT10” will work alongside “ITCPISW10”