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Forward Swap Matrix Enhancements | Weekly Release 8/5/22

Enhancement #1

Added ability to send CMS sprd vol strategies to Trade Blotter

Traders can now send CMS spread vol strategies from Forward Swap Matrix to Trade Blotter. Select the strategy in the “Curve” column, right click, and hover over “To Trade Blotter” and select Notional Hedge. In the pop-up window, traders can either send the strategy to an existing tab in Trade Blotter or to a new tab and hit the “Send” button. The strategy will be available in Trade Blotter.

Enhancement 2

Added preference to choose curve used in lower carry & roll matrix

Traders can now choose a different curve for the “Carry + Row” matrix in the lower panel of Forward Swap Matrix from “Preferences” – “Carry & Roll Curve”.

Note: Hit “Calc Fwd” button next to the matrix to recalculate after changing the curve.

Enhancement #3

For fx forwards, added support to subtract actual rate from spot rate

In previous release, for fx forwards, support was added for the implied forward rate between date 1 & date 2. For this, traders can use format “CCYCCY-FXIMP-CCY-HMUZ#”, for example. EURUSD-FXIMP-USD-M3.

In this week’s release, support was added to subtract the actual spot to HUMZ# swap rate from the fx forward implied rate. For this, traders can use format “CCYCCY-FXIMPB-CCY-HMUZ#”. For forwards, use format “CCYCCY-FXIMPB-CCY-HMUZ#-HUMZ#”, for example, “EURUSD-FXIMPB-USD-M3-M4”.


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