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