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Forward Swap Matrix Enhancements| Weekly Release 10/06/2023

Enhancement #1: Added support for the JPY Fixed vs DTIBOR6M

In last week’s release, support for JPY Fixed vs DTIBOR6M in Market View – Basis Swap – JPY was added. In this release, traders can enter “BSFXDT6S-#” for spot, “BSFXDT6S-#X#” for forward, and “BSFXDT6S -[HMUZ]#x#” for IMM positions in Forward Swap Matrix.

To easily send these basis swaps from Market View – Basis Swap to Forward Swap Matrix for further analysis, traders can pop out a historical graph by double clicking the cell under the “Live” column & use the “ToFwdSwapMatrix” button in bottom right.

Enhancement #2: Added the Forward Swaption Vols

Traders can now enter Forward Swaption Vols with “FWDVOL#X#X#” in Forward Swap Matrix. The spread is equivalent to the Annual Forward Vol in Market View – IRVOL.

Note: The terms shown under the “FWD” column in the “Annual Forward Vol” table are supported.

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