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Forward Swap Matrix Enhancements | Weekly Release 06/30/2023

Enhancement #1: [TWD] Added support for onshore & offshore normal vol

For Onshore normal vol, traders can use the following code: NVON#x#

NV = Normal Vol

ON = Onshore

# = forward term

# = tenor

Example, NVON1x1 for 1y1y onshore normal vol

Similarly, for Offshore normal vol, traders can use the following code:


NV = Normal Vol

OFF = Offshore

# = forward term

# = tenor

Example, NVOFF1x1 for 1y1y offshore normal vol

Traders can view the whole vol surface under “Market View” – “IRVOL” tab, as well.

For TWD, traders will see Onshore & Offshore tabs.

Enhancement #2: Replaced Libor for SOFR in the custom Swap tab

The custom tab, now labeled “Cust SOFR”, in the lower panel in Forward Swap Matrix sheet has been moved to SOFR. In this sheet, traders can click “Config Terms” to customize the forward & tail terms to be used in the matrix. After making changes, click “Apply”. The matrix will be updated accordingly.


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