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Forward Swap Matrix Enhancement | Weekly Release 12/16/22

Enhancement #1: Added option to plot average line in Multi Graph

Traders can now enter AUD/IT/ES/GB CPI/RPI fixings into Forward Swap Matrix sheet using the following formats:

Traders can access the CPI fixings tables by going to “Market View” – “Curves” – “CCY” –“CPI Swap” Tab & referring to the “Zero Coupon CPI Swaps” &” “Monthly CPI” tables. For GBP RPI, traders can refer to the “RPI” tab under “GBP – “Infl Swap”.

Enhancement #2: Added ability to specify absolute strike for swaptions

Traders can now enter an absolute strike for FRP (Forward Receiver Premium) swaptions, rather than a spread to the ATM. In the past, traders can enter “FRP1X10@ATM+4” for 4bp spread; Now, traders can enter “FRP10X10@4” when strike equals 4%.

For the Forward Payer Premium use the “FPP10X10@4”. These line items can be sent to the Trade Blotter.


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