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Forward Swap Matrix Enhancements | Weekly Release 1/24/20

Enhancement #1

Enhanced the Fwd Swap RV Analysis with additional filters, as well as ability to send potential trades to the Trade Blotter

Further enhanced the RV Analysis to include Butterflies as well as add the option to set the strategy’s weight to either the default equal weight or regression (daily change), set the spread distance each between each leg, and a new tab to see the outlier strategies.

Supported Weighting Methods:

  • Default Equal Weight: Spreads (-1/1), Butterflies (-1/2/-1)

  • Regression (Daily Change): Similar to the Regression (Level) while using the daily change of yield instead. Regression Weighting uses regression beta. Uses the previous 3M historical data and runs linear regression on the daily changes of each leg. Creates a very similar result to PCA by adjusting the weight to remove the common factors.

Additional features:

  • Spread Distance: distance in between each leg of the strategy

  • Outliers Tab: Shows the strategies that are out of the 3-month rich/cheap heatmaps on yield


Enhancement #2

Support cross-country OIS by entering the two-letter country code, such as EUOIS. Leverage the X-Country Template from the ‘Help’ menu

Traders can now track multi-currency strategies in one page in the Forward Swap Matrix (as well as Sprd/Bfly). In addition to this, traders can enter the code of the country in its own country tab without causing any errors.

From the "Help" menu, navigate to "Examples" to select "XCountry Examples" to quickly model up G7 + AUD Swap & OIS Swap strategies.


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