Forward Swap Matrix Enhancement | Weekly Release 6/17/22

Enhancement


Added seasonality matrix function to show the monthly average for every month over a year, additionally the monthly average over the set amount of years


Traders interested in seeing the change on month throughout the year can leverage the newly added “Seasonality Matrix”. This matrix can display up to 5 years’ worth of change on month plus the monthly average of the selected years. In addition, to this, there is an integrated heatmap to help highlight the change on months that have moved dramatically.



Similarly, the monthly average is calculated using the difference in month average from one month to the next. In the example below, see the average for the month of February is 1.839379. The average for the month of March is 2.001598. The difference between the two is 16.22 as shown in the “Seasonality Matrix”.