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Forward Swap Matrix Enhancements| Weekly Release 2/16/2024

#1 : [RV Analysis] Added the Curve and Corr % filters


RV Analysis in Forward Swap Matrix has been further enhanced to support regression analysis. Similar to Bond Sheet RV Analysis, “BM Curve” as well as “Abs Corr %” filters have been added. After entering a curve benchmark to run correlation against in the “BM Curve” column, traders can use the “Abs Corr %” columns to enter the absolute correlation desired for the analysis. RV Analysis will then find the best strategies using the regression analysis filters.

Note: Traders can access RV Analysis from “Analysis” – “RV Analysis

#2 : [Lower Matrix] Added the option to enter a shortcuts for the historical date


Instead of having to type in actual historical dates, traders can now use easy to enter formats to quickly change historical period to be used for the change “Chg” tab in the lower panel. For example, to see 1-day change traders can enter “-1D” into the “Hist Date” box. For 1 month change, “-1M” can be entered. After entering & pressing <Enter> on the keyboard, RiskVal will populate the Hist Date box with the actual date & update the lower matrix accordingly.


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