Forward Swap Matrix Enhancements | Weekly Release 12/11/20

Enhancement #1

Included ED$ futures to the RVAnalysis

For traders that want to find the top-performing ED$ future strategies, we enhanced the RV Analysis.

To access RV Analysis, traders can select "Analysis" and choose "RvAnalysis” from the drop-down menu.

From the "Curve" drop-down, traders can select "ED Future", and hit “Generate Strategies” to populate the best flattening and steepening spread and bfly strategies.

Enhancement #2

Added support for IMM SOFR and IMM ESTR Swaps

Enhanced support to include "IMMSOFR[HMUZ]X#" and "IMMESTR[HMUZ]X#" formats. In addition, traders can use "SOFR#X#" and "ESTR #X#" formats in their Forward Swap Matrix instead of the previous "SOFRSW#X#" and "ESTRSW#X#".

If trader sets default curve to “SOFR”, the system maps “IMM#X#” to “IMMSOFR##X#”.

The same applies when trader applies “ESTR” as a default curve. RiskVal maps “IMM##X#” to “IMMESTR##X#”.

Enhancement #3

Added the SOFR and ESTR forward tabs under USD and EUR tabs respectively

Traders can navigate to the lower panel of the Forward swap Matrix sheet to find SOFR tab (USD), and ESTR tab (EUR).

To populate forward table, traders should select “Calc Fwd”.

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