Forward Swap Matrix Enhancements | Weekly Release 8/20/21

Enhancement #1


Added support for SFI futures


Traders can enter SFI futures to see spread, roll, and expected return, using "SFI#", or "SFI[HMUZ]#" format. Additionally, SFI futures are supported in the Sprd/Bfly as well.

 

Enhancement #2


[GBP] Added support for SFI future curve under the RVAnalysis


After applying filters, traders can select "SFI Future" from the Curve dropdown before hitting "Generate Strategies".

RiskVal will populate Top Sprd (flattening and steepening) and Top Bfly (long and short) strategies.

Note: To access RV Analysis, traders can click on “Analysis” – “RV Analysis”

 

Enhancement #3


Added the 1 Standard Deviation Mean Reversion Frequency, "1 Std MR Freq", column, which counts the number of times a trade goes from +/- 1 Stdev level back to the mean


Traders can add "1 Std MR Freq" column from “Table” – “Mange Columns”.

This newly added column counts the number of times a trade goes from +/- 1 Stdev level back to the mean.

In the historical chart, traders can check “Mean” and “+/- 1 Stdev” boxes to easily see the standard deviation Mean Reversion Frequency.