Forward Swap Matrix | Weekly Release 4/1/22


Enhancement #1


Added support for cap/floor vol


Traders can now enter cap/floor vol in Forward Swap Matrix sheet using format “CFVOL[Fwd]X[Tail]@[Strike]”, for example “CFVOL3Mx1@1.0”


Fwd, Tail, & Strike will correspond with "Start Date", "Maturity Date", & "Strike %" in Trade Blotter, respectively.



Enhancement #2


Added ability to configure short term forwards & tails in lower matrix for SOFR Swap


Traders can use the “Custom Fwd” & “Tail” boxes to configure short term forward curves for SOFR Swap entries using “#D” format. For example, “1D” for 1 Day.


After entering “#D”, press <Enter> on the keyboard or click the “Calc Fwd” button for the matrix to recalculate.


Note: Short term format already supported in Swap & OIS Swap tabs