Forward Swap Matrix Enhancement | Weekly Release 11/5/21


Enhancement #1


Added support for forward and IMM basis for ESTR vs EUR3s, AUDOIS vs SOFR and NZDOIS vs SOFR


In the Forward swap matrix, RiskVal added support for ESTR vs EUR3s, AUDOIS vs SOFR & NZDOIS vs SOFR forward and IMM Basis.


In the EUR and USD tab, traders can enter “BSESTREUR3S-#” & “IMMBSESTREUR3S-[H/M/U/Z] # x #” formats.

In the AUD and USD tab, traders can enter “BSAOSOFR-#” & “IMMBSAOSOFR-[H/M/U/Z] # x #” formats

In the NZD and USD tab, traders can enter “BSNZDOISSOFR-#” & “IMMBSNZDOISSOFR-[H/M/U/Z] # x” formats.

Enhancement #2


Added support for IMM FRA-ESTR formats


Traders can enter “IMMFRAESTR[H/M/U/Z] #” or “IMMFRAESTR#i” formats to load IMM FRA ESTR strategies.


“IMMFRAESTRH2”, “IMMFRAESTRM2” are specific formats, while “IMMFRAESTR1I”, “IMMFRAESTR2I” are generic formats.

Enhancement #3


Added ESTR and FRA-ESTR columns under the “FRA-OIS/ESTR”


In the lower part of the Forward Swap Matrix, traders can click on “FRA-OIS/ESTR” tab and take a look at “ESTR” & “FRA-ESTR” tenors and IMMs.

Traders can click on “Calc Fwd” to recalculate their tables.