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Forward Swap Matrix Enhancements| Weekly Release 1/19/2024


#1 : Added alerts to correlation and residual columns


Traders can <right click> on Corr and Resid fields and select Set Alert”. Or from “Tools” – “Set Alerts”, access main alert display.

After checking column name, and entering high/low” levels, RiskVal creates alert.

Asterisk, and a bell are added to the strategy and tab name to indicate there is alert.

 

When alerts are triggered, RiskVal will highlight strategies. To customize alert setting, traders can click on Tools” – “Config Alerts”. 


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#2 : [Lower Panel] Added the dSprd/Stdev_d with the heatmap

 

After calculating forward under the “Live” tab, traders can take a look at newly added “dSprd/Stdev_d” tab that has a live matrix. Levels in the matrix will match “dSprd/Stdev_d” column in the upper table.


This column shows daily change in terms of standard deviations (Daily Vol).



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