Forward Swap Matrix Enhancement | Weekly Release 6/25/21


Enhancement#1


Added support for Straddle Swaption Spot Premiums and Forward Premiums, also available in the Sprd/Bfly


Traders can enter the Spot Premium and Forward Premium of a swaption in the Forward Swap Matrix and Sprd/Bfly sheets by entering the "SSP#x#" for the Spot Premium and "FSP#x#" for the Forward Premium. Seen in the screenshot below a few examples of the swaptions between the Forward Swap Matrix and the Trade Blotter.

Enhancement#2


Added look back period “LBP” setting


Traders can adjust the look back period for the Heatmaps, Mean, Standard Deviations, Expected Return, Mean Reversion Return, and Correlation Analysis. This way traders can analyze the strategies with the shorter data such as one month or go out as far as the default of three months.

Note: To change the Carry and Roll time horizon, it is a separate flag under “Preferences” – “Carry and Roll” – “1 Month/ 3Month/ 6Month”.