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Forward Swap Matrix Enhancement | Weekly Release 11/20/20

Enhancement #1

For each CCY tab, removed the “Libor” name and just show the CCY. Traders can create tabs and define the default curve for all the strategies within the new tab to use Libor, OIS, SOFR (USD), or ESTR (EUR)

To help traders create tabs with a preferred base curve, traders can choose it when creating a new tab. This will help traders quickly enter strategies without using the long syntax and only using the generic code such as “2”. See screenshot below.

With this change, it is encouraged to tur off the “OIS Swap” tabs. To turn them off, click on “Preferences” and uncheck “Show Fwd OIS Tabs”.


Enhancement #2

Enhanced the Floating Index column which updates to automatically show the correct index for each leg of the strategy

When entering strategies with the specified curve in the name, such as “OIS2”, the Float Index column will become un-editable to prevent changing the curve for such strategies. This applies to OIS/SOFR/ESTR/Inflation swaps.

Note: The “OIS2/2” strategy is editable because the trader may want to change the Libor leg from 3M floating index to either 1M or 6M



Added the ability to send IMMFRAOIS strategies to the Trade Blotter

Traders have the ability to export IMMFRAOIS strategies from the Forward Swap Matrix sheet to the Trade Blotter sheet.

Traders can <right click> on the strategy and select “To Trade Blotter DV01”. The trade will be sent automatically to Trade Blotter where, they can see that the IMM FRA and IMM OIS legs constructed with the IMM boxes are checked under the “Swap” and “FRA” tabs.


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