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Forward Swap Matrix Enhancement | Weekly Release 7/1/22


#1 Added support for receiver & payer swaption premiums

Traders can enter spot & forward straddle, receiver and payer swaption premiums with different strikes in Forward swap matrix sheet.

Traders can use following format:

Part 1: Spot/Fwd (S/F)

Part 2: Straddle/Reciever/Payer Swaption (S/R/P) + P

Part 3: Fwd x Tail

Part 4: Strike (@ATM+-(ATM diff))

For example: SSP1X10@ATM-50”, “SPP1X10@ATM-75”, “FSP5X5@ATM+50”, “FPP1X10@ATM-100”.

#2 Added support for CHF & NZD futures

In the Forward swap matrix traders can enter 3-month CHF & NZD future contracts using “SSY[HMUZ]#” & “ZB[HMUZ]#” formats; SSYZ2 & ZBZ2 respectively.

These futures are also supported in Sprd/bfly sheet under the same formats.


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