Swap Box Enhancements | Weekly Release 3/4/22


Enhancement #1:


Added support for SOFR/ESTR/OIS Sprd True columns


From “Table” – “Manage Columns” traders can add support for “SOFR/ESTR/OIS Sprd T” & “SOFR/ESTR/OIS Sprd dT” columns to their views.

Also, RiskVal reorganized forward table, so now ESTR/SOFR are displayed before OIS & Libor asset swaps.


Enhancement #2:


Added FWD SOFR PV01 to Swap Hedge dropdown


Forward Swap PV01 is added to Swap Hedge dropdown menu. The default is set to SOFR/ESTR swap hedge for USD/EUR and OIS for the rest of the currencies. Traders can click on the arrow to expand the dropdown and select the desired swap hedge.