Sprd/Bfly Enhancement | Weekly Release 8/5/22

Enhancement


Added support for CMS sprd vol, already available in Forward Swap Matrix


Traders can use the following format to enter single look and non-single look CMSprd Vol into Forward Swap Matrix:

CMSVSL(# = expiry)x(# = short leg)x(# = long leg)@ATM+(# = strike)

Example: CMSVSL1X5X10@ATM-50.


Traders can access the CMSprd vol sheet in RiskVal by clicking “Market View” at the top of the screen & navigating to the “CMSprd Vol” tab. Here traders can set the “Short Index”, “Long Index”, & “Tail” using the dropdowns. After making changes, click “Calc” to recalculate the table.