Forward Swap Matrix Enhancements | Weekly Release 2/19/21

Enhancement#1


Added the ability to create the CIX string of forward swaps, also available in the Sprd/Bfly


In this release, traders can generate the CIX strings for forward swap strategies. Traders can create these strings and share them with other traders or create indices. To generate the strings, <right click> on the strategy and select “Copy Swap CIX”. This will create the string in your clipboard, then you can <ctrl> + <v> into an e-mail, a chat room, or terminal.

Note: This is only supported for Forward Libor strategies in USD/GBP/EUR

Enhancement #2


Added generic bond futures to the list of supported product types which can also be used for the benchmark regression analysis


Traders can now enter generic futures to the benchmark(“BM”) space at the top. Entering the generic bond futures will use the spot CTD’s bond yield.

Note: Traders can <double click> the correlation column to see the underlying data.

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