Forward Swap Matrix Enhancement | Weekly Release 11/12/21

Enhancement #1


Added support for OIS MAC swap inputs


Traders can now enter OIS MAC swaps into Forward Swap matrix using “OIS[HMUZ]#x[Tenor#]”, for example “OISZ1x3M”.


Traders can also see these values in the lower matrix under the IMM OIS tab.

Enhancement #2


Added support for NVol in daily bps


Added support for NVol in daily bps using format “NVD#x#”.


These values map to “Market View” – “IRVOL” – “USD” under the “Daily” tab in the “Normal Vol” table.


Enhancement #3


Added support for TIPS bonds


Traders can now enter TIPS bonds into the Forward Swap Matrix sheet using format “TII#”. For other currencies, use “[Country code]TII#”, for example “DETII10” for German 10year TIPS.


The values in Forward Swap Matrix sheet will map to the "RYld" column in the corresponding CCY TIPS sheet.