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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.


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