Forward Swap Matrix Enhancements | Weekly Release 3/18/22

Enhancement #1


Added ability to send meeting dates to Trade Blotter


To enter meeting dates in Forward Swap Matrix sheet, traders can use the following formats, for example:


After entering dates in Forward Swap Matrix, traders can right click in the “Curve” column & select “To Trade Blotter” – “PV01/DV01 Hedge”. After choosing an existing tab or creating a new tab to send the date(s) to, the date(s) will be sent to the Trade Blotter sheet where the columns will be auto populated with meeting details.


For example, “CCY”, “Fixed Start Date”, “Fixed Mty Date”, “Fixed Cpn”, & “Float Index” will be auto populated.

Note: In Trade Blotter, the “Fixed Start Date” will be the selected meeting & the “Fixed Mty Date” will be the next meeting date.


Enhancement #2


Added support for FX forward to IMM dates, also available in Sprd/Bfly


Traders can use the following format:



Enhancement #3


Added support for FX forward cross currency basis (implied CCY1 rate based on FX Fwd and CCY2 rate)


Traders can use the following format:

Implied Rate = ((FX Fwd / FX Spot) * (1 + Base Curve Rate * TimeInYear (based on base CCY swap floating leg day count)/100) - 1)/ TimeInYear (based on the other CCY swap floating leg day count) *100


The base curve rate uses par swap rate (spot started, maturity is term or IMM date).

The day count is based on the CCY. For example, GBP is 365, others 360.