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Forward Swap Matrix Enhancements| Weekly Release 1/26/2024

#1 : Added Custom regression set of columns, also available in Sprd/Bfly

 

Traders can now add the “Custom Regression” set of columns (“Custom Curve”, “Custom Corr”, “Custom Resid”, “Custom R2”, & “Custom Resid ZS”) in the Forward Swap Matrix window by going to the “Table” – “Manage Columns”. Traders can enter the curve under the “Custom Curve” column to generate and view the regression model between the ticker and the curve.


Note: These columns are also available in the Sprd/Bfly window.



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#2 : [Seasonality] Added the option to show the dates for the annual date range


In this week’s release, traders can now change the X-axis format of the Seasonality Analysis as the dates for the “Annual Date Range” anchor.

 

After entering the “Start Date” and “End Date” boxes, traders can click the “Show Date” checkbox and click the “Apply” button to change the X-axis format from the “Day count” format to the “Date (dd-MMM)” format. 



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#3 : [EUR] Extended “6s Swap – CMT” lower tab to support “DE”, “FR”, “IT”, “ES”, “BE”, & “NL” countries separately

 

In this week’s release, RiskVal extended the “6s Swap – CMT” lower tab under the “Forward Swap Matrix” – “EUR” tab to support “DE”, “FR”, “IT”, “ES”, “BE”, & “NL” countries separately.

 

Traders can click the “Calc Fwd” button in each of the“6s Swap – CMT” currency sub-tabs to generate the “Live”, “Hist”, & “Chg” tables with the Country’s CMT and 6s Swap securities accordingly.

Traders also can <double-click> the cell under the table to see the historical graph and send the strategy over to the “Forward Swap Matrix” window by clicking the “ToFwdSwapMatrix” button.

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