Forward Swap Matrix Enhancements | Weekly Release 7/30/21


Enhancement #1


Added Convexity Adjusted Expected Return (Cnvx Adj Exp Ret) column


Traders can now see the Convexity Adjusted Expected Return or “Cnvx Adj Exp Ret” in the Sprd/Bfly. This is comprised of the “Mean Reversion Return” and the “3M Convexity Adjusted Return”.

Enhancement #2


[BRL]Added the ability to handle the futures as dates


Traders now have the ability to enter the BRL futures as dates in the forward swap matrix. In the screenshot below, see entering the futures will pick up the Valuation Date as the date of the swap rates.

Enhancement #3


Added support for JPY fixed and floating entries for 3MDTIBOR and 6MDTIBOR using format DTIBOR3s-#(X#) or 3sDTIBOR-#(X#), DTIBOR6s-#(X#) or 6sDTIBOR-#(X#)- with historical data and forward matrix in the bottom tables


Traders can enter DTIBOR3s-#(X#) or 3sDTIBOR-#(X#), DTIBOR6s-#(X#) or 6sDTIBOR-#(X#) to see the fixed and floating entries of 3MDTIBOR and 6MDTIBOR.


In addition, the forward matrices of each are available as separate tabs in the bottom section.