Forward Swap Matrix Enhancements | Weekly Release 3/5/21

Enhancement#1


[GBP] Enhanced inflation swap support such that CPI#x# and CPI# formats use the CPI curve whilst adding RPI#x# and RPI# which uses the RPI curve


In the Fwd Swap Matrix, under the GBP tab, if “CPI#” and “CPI#x#” formats are entered, RiskVal is using CPI curve, and if "RPI#" and "RPI#x#" formats are entered, the system is using RPI curve.


In the lower matrix under the GBP tab, we renamed “CPI” to “RPI”, “Swap-CPI” to “Swap-RPI” and added “CPI” and “Swap-CPI” tab using the GBP CPI curve.

Enhancement#2


Added the XCCY RV Analysis to generate the top performing strategies for any currency pair


Enhanced Fwd Swap Matrix sheet with the XCCY RV Analysis. Traders can access XCCY RV Analysis from the “Analysis” dropdown – “XCCY RV Analysis”.

Traders can make their CCY selection from the “CCY” dropdown-menus and apply different filters before generating the top performing strategies.


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