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Forward Swap Matrix Enhancement | Weekly Release 7/29/22

Enhancement #1

Added flag to price CADOIS vs SOFR basis off the basis curve or CAD3sSOFR + CAD3sOIS basis

Traders can set this preference in Forward Swap Matrix by clicking “Preferences” – “CADOIS SOFR Basis Pricing” – “Basis Curve”/ “CAD3sSOFR + CAD3sOIS”.

When Basis Curve is selected, rates will be pulled from the CADOIS vs SOFR basis curve. This can be found under “Market View” – “Basis Swap” – “CAD” – “CADOIS vs SOFR”. When “CAD3sSOFR + CAD3sOIS” is selected, the CADOIS vs SOFR basis swap in Forward Swap Matrix will be inferred from the CAD3s vs SOFR + CAD3sOIS basis. Traders can also access the CAD3sSOFR & CAD3sOIS curves under “Market View” – “Basis Swap” – “CAD”.

Note: If this preference is changed, traders must navigate to “Market View” – “Curves” & click “New Build” for both the USD SOFR & CAD OIS curves.

Enhancement 2

Added support for CMSprd Vol

Traders can use the following format to enter single look and non-single look CMSprd Vol into Forward Swap Matrix:

CMSVSL(# = expiry)x(# = short leg)x(# = long leg)@ATM+(# = strike)

Example: CMSVSL1X5X10@ATM-50.

Traders can access the CMSprd vol sheet in RiskVal by clicking “Market View” at the top of the screen & navigating to the “CMSprd Vol” tab. Here traders can set the “Short Index”, “Long Index”, & “Tail” using the dropdowns. After making changes, click “Calc” to recalculate the table.


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