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Forward Swap Matrix Enhancements | Weekly Release 09/15/2023

Enhancement #1: Added a new preference to set default curve for tabs and currencies

To set default curves for all currencies at once, traders can click “Tools” – “Config Default Curve”. In the popup window, traders can select the curve to be used for each currency using the corresponding dropdown menus.

There are three options to apply selections to:

Tab”: Apply curve selections to current subtab

CCY”: Apply curve selections to all subtabs of the CCY tab being used

All”: Apply curve selections to all CCY tabs & subtabs

Enhancement #2: Added support to show Hull-White SOFR future convexity

Traders can enter “SFR[HMUZ]#_CNVX” format to populate SOFR future convexity.

These levels will match “Market View” – “Curves” – “USD” – “SOFR” lower panel future table.

In Forward swap matrix, RiskVal has historical data for convexity as well.


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