Forward Swap Matrix Enhancements | Weekly Release 5/22/20

Enhancement #1


Added the ability to create spread, butterfly, and multi-graphs in the lower panel tables

In the lower panel Swap table traders can now generate spread, butterfly, and multi-graphs. This allows traders to easily visualize the historical performance of forward (and spot) started swap strategies. These graphs are available for the forward dated swaps, the historical dated swaps, and the daily change in forward rate dated swap tabs

These graphs are available in all LIBOR and OIS tabs regardless of currency (so long as there’s history). Traders can create these graphs by clicking the “Calc Fwd” button and then using the right click menu on two or more securities.

Of note: graphs cannot be created with custom forward dates that aren’t a full term; they must be set with a full-term date (such as 1 month, 2 years, etc).

Enhancement #2


Added support for IMM dated CAD OIS vs USD FF XCCY basis swap

Traders can now model the CAD OIS vs USD FF XCCY basis swap in both USD and CAD tabs in the Forward Swap Matrix. Both IMM started and non-IMM started swaps are supported and for simplicity, the order of securities entered is interchangeable. Traders can enter BSCADOISFF-# in the USD tabs and BSOISFF-# in the CAD tabs.

Enhancement #3


Added support for Brazil offshore basis (as BSOFFSHORE-#)

Traders can now view Brazil offshore basis swap rates in the BRL Libor tab in Forward Swap Matrix. Both IMM and non-IMM started basis swaps are supported and can be entered as BSOFFSHORE-# and IMMBSOFFSHORE-[HMUZ#]x#.


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