Forward Swap Matrix Enhancements | Weekly Release 11/6/20

Enhancement #1


Added support for ESTR swaps, both spot and forward

Traders who monitor the ESTR swaps can do so in the Forward Swap Matrix using the code as: “ESTRSW#”, “ESTRSW#X#”, or “ESTRSW(#X#/#X#)”.

Enhancement #2


Added PCA and Regression Daily change Weighting for OIS strategies

Traders can apply the 3M PCA and Regression Daily weights to OIS Strategies. See the screenshot below.

Enhancement #3


CPI Swaps can be sent directly to the Trade Blotter

The process to enter CPI Swaps to the trade blotter was streamlined by adding the ability to send the line item directly to the Trade Blotter. <Right Click> and select “to Trade Blotter PV01”, this will enter the line item with all the inflation swap details in the Trade Blotter.

Enhancement #4


[USD] Added spot and forward ED$ convexity swaps

Traders can create and monitor ED$ convexities using the convention CNVX#, CNVX#X#, and “CNVX(#X#/#X#)”.


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