Forward Swap Matrix Enhancement| Weekly Release 12/3/21

Enhancement #1


[EUR] Added support for ESTR vs EUR3s basis as “BSESTR3s-#X#” & “IMM3sBSESTR-##X#” formats, also available in G7 tabs


Support for BSESTR3s and IMMBSESTR3s for ESTR vs EUR3s basis has been added in [EUR] tab.


In addition, ESTR vs EUR3s is also available in G7 tabs in the following format:


 

Enhancement #2


[USD] Added support for IMMFRASOFR swap rates


Support for IMMFRASOFR has been added to [USD] tab. This is supported in [EUR] tab already. Traders can enter IMMFRASOFR[HMUZ#]# as the format.