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Forward Swap Matrix Enhancements| Weekly Release 2/23/2024

#1 : Added preference to set regression weightings’ historical period


To set regression weights for strategies, <right-click> in the “Weight” column & select “Change Weight to” – “Reg Weight”.

A new preference has been added to allow traders to set the historical period to be used for all regression weightings. To do so, click “Preferences” – “Reg Weight Period” & select the historical period. Options include 1M, 2M, 3M, 6M, & 1Y. Selecting an option will only be applied moving forward. Existing regression weights will not be updated to reflect the selected historical period.

Note: For details on regression weights please contact Jordan Hu via IB.


#2 : Added preference to retrieve SOFR Pack & bundle data from market data source


To enter SOFR packs & bundles into Forward Swap Matrix, traders can use “SPKxx” & “SBNDL#” formats, respectively. A new preference has been added to retrieve SOFR pack & bundle data straight from the market data source. To do so, under “Preferences” check “SOFR Pack from BBG” option. If this option is unchecked, the data will be calculated from SFR futures.


Traders can hover over these strategies to see the ticker being used.


Note: Traders can also enter these tickers directly into Forward Swap Matrix as well.


#3 : [Lower Matrix - EUR CMT] Added the ability to select a country pair and the show forward spread matrix


In the lower CMT matrix, traders can now easily see a matrix of the forward spreads between two selected countries. In the “CMT” – “Custom” tab, select the two countries & then click “Calc Fwd”. Traders can easily send these spreads to their Forward Swap Matrix sheet by double clicking a cell for historical graph & clicking “ToFwdSwapMatrix”.


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