Forward Swap Matrix Enhancements | Weekly Release 10/23/20

Enhancement #1


Added the WTD dSprd, MTD dSprd, 3M Lo Sprd, and 3M Hi Sprd columns

Enhanced Forward Swap Matrix sheet with:

  1. Week to Day Spread “WTD dSprd” is calculated as Live Spread – Spread of the previous Friday’s close

  2. Month to Day Spread “MTD dSprd” is calculated as Live Spread – Spread of the previous Month End’s closing price

  3. Lowest Spread within the last 3 months “3M Lo Sprd

  4. Highest Spread within the last 3 months “3M Hi Sprd

To add these four columns to their views, traders can search for them under “Table” -> “Manage Columns” as “WTD”, “MTD”, “3M Lo” and “3M Hi” respectively.

Enhancement #2


Added a tooltip to show the start date and maturity date for IMM strategies like Z0X5 and IMMZ0X5


Traders can now hoover over their IMM strategies to see the start and maturity date.

Enhancement #3


Added the 1M/3M/6M forward Swaption Vol (NVol)

Added Swaption Vol (NVol) for 1month/3months/6months forwards under the Fwd Swap Matrix sheet. In previous releases, only support full years like NV1x10 were supported.


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