Swap Box Enhancement | Weekly Release 2/14/20

Enhanced the logic for C+R ($) which is now consistent with C+R (bps) by taking the strategy weighting into account


To make the details of the forward analysis consistent throughout the Swap Box’s forward analysis, the calculation for the C+R ($) has been adjusted to incorporate the “Weight”. In previous releases, the C+R($) would ignore the “weight” column.


In the example, see the Row 6, the Bond Forward DV01, multiplied by the C+R in row 17, and then by the weight in the top section, the weight column. The total C+R ($) is in row 18.

Note: this will be applied to all the ASWYY C+R($), OISprd YY C+R ($), Swap C+R ($), and OIS C+R ($)


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