Forward Swap Matrix Enhancements | Weekly Release 4/17/20

Enhancement #1

Support cross-market Normal Vol strategies across G7 tabs

The support for normal vol swaptions has been expanded to allow any country’s normal vol strategy to be entered in any other country’s LIBOR tab. Traders can enter these cross-country normal vol swaptions like others by adding the two-letter country-code as a prefix. This applies for both forward into N year tail as well as normal vol of # into an AxB mid-curve swaption. For example, to look at the EUR 1x5 normal vol in the USD LIBOR tab, enter EUNV1x5. To look at the EUR 1x3x5 normal vol into 2x5 year mid-curve swaption in the USD LIBOR tab, enter EUNV1x3x5.

Enhancement #2

Enhanced the list of accepted formats for cross-currency basis swap tickers for increased usability and readability

Previously, the only accepted inputs would omit the local currency from being spelled out. For example, the USD 3m vs EUR 3m cross-currency basis swap, when entered in the USD Libor tab, could only be formatted as BSEUR3s-#. Now, the format BSCCYA#sCCYB#s-# and the inverse, BSCCYB#sCCYA#s-# are both accepted. Thus, that same strategy could be entered as BSUSD3sEUR3s-# or BSEUR3sUSD3s-# to generate the same basis swap.

For the complete list of supported formats, traders can click “Help” -> “Format References”.