Forward Swap Matrix Enhancements | Weekly Release 6/19/20

Enhancement #1

Enhanced Swap-CMT and CPI matrices by adding “Plot Tail Gap” and “Plot Fwd Gap” functions

The functionality of the lower matrices has been expanded with the addition of the ability to plot both the forward and tail gaps for the Swap-CMT and CPI. This enhancement is available in the “Libor” tabs (not “OISwap”) in their respective lower tabs.

With this tool, traders will be able to plot the forward differences between two forwarded legs across all tenors and the difference in tenor for all forward dates.

To plot a forward or tail gap: navigate to the lower matrix of interest (Swap-CMT or CPI). Then click “Calc Fwd” to plot the forward matrix. Once calculated, check either two legs under the “Fwd Gap” column or in the “Tail Gap” row. Then click “Plot Fwd Gap” or “Plot Tail Gap” based on the legs checked.

Enhancement #2

Enhanced lower IMM matrices by adding Fwd IMM, Hist_Fwd IMM, and dFwd IMM

To help traders view the IMM Forwards in the future space, the matrix has been added to the bottom section of the Forward Swap Matrix. Additionally, the Change of Day and the Historical Date have also been added. The IMM Forward table can plot the tails or the forwards in a graph.

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