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Forward Swap Matrix Enhancements | Weekly Release 3/13/20

Enhancement #1

Added a new scenario analysis tool for swap and OIS strategies to model bull/bear steepener/flattener curve shifts

Both Libor and OIS swap strategies are supported in this tool which can be accessed by right-clicking on a supported strategy and selecting “Scenario Analysis”.

The following example shows the scenario Pnl (in basis points) for the 2x5/5x10 swap spread strategy.

Traders can also change the swap curve used by changing either or both of the terms, as well as how many basis points each term rallies or sells off per scenario.


Enhancement #2

Added ability to send swap strategies from RV analysis to the main sheet

The process to monitor strategies from the RVAnalysis has been streamlined, Traders can right-click on the strategy in RVAnlysis and select “To Fwd Swap Matrix”. The strategy will appear in the Forward Swap Matrix, in the selected tab.

In addition to monitoring the strategy, a trader can also set alerts to be notified when it has hit a certain level.


Enhancement #3

Added option to send IMM OIS, IMM FRA, and IMM FRA-OIS swaps to the Trade Blotter

In continuing the process of streamlining, the function to send OIS strategies from the forward Swap Matrix to the Trade Blotter, has been added.

In the Blotter, the trader can then see the risk and P&L of the strategy or of the portfolio, if other strategies are added as well.


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