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Forward Swap Matrix Enhancements | Weekly Release 4/29/22

Enhancement 1:

When sending vol trades to Trade Blotter sheet, enabled “Notional Hedge”

Traders can now send “Notional Hedge” Vol strategies to the Trade Blotter, from the Forward Swap Matrix. This will make the notional for spreads to be 100mm v -100mm. Butterflies will have the notional set as 100mm v -200mm v 100mm.

Enhancement #2:

Added support for all FX Vol tenors that are in Market View; also supported in Sprd/Bfly

Traders can enter "CCYCCY-FXVOL-[#M/Y]" format in Fwd Swap Matrix & Sprd/Bfly sheets for FX Vol tenors.

RiskVal also has historical data for these tenors; just <double click> on any column with light blue triangle in upper left corner.

Enhancement #3:

[AUD] Added preference to calculate AUD OIS3s basis using outright 3s & outright OIS

From “Preferences” – “AUD OIS3s Basis Pricing” traders have option to switch flags for different basis pricing calculations. Once “Outright Curves” is checked, RiskVal will calculate AUD OIS3s basis using outright 3s and outright OIS.


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