October 26, 2018

RiskVal Fixed Income (RVFI) Release – 10/26/2018

In this week’s RVFI release, RiskVal enhanced Bond/Future Spreads & Butterflies Monitor by adding option to calculate PCA scenarios using the Swap Curve or CMT Curve, and the Real Yield CMT Curve if possible (for example GBP). We also added numerous enhancements to G7 Bond/Future Spreads & Butterflies Monitor by adding support for for Italian high and low coupon CMT Curves, typed as “CMTITHI[#]” and “CMTITLO[#]”, respectively. Additionally, users can color-code different date ranges in regression chart and have an ability to add table management function to pop-out tabs. Moreover, Future Calendar Roll Monitor was enhanced by adding column for Implied Repo vs. OIS Rate with historical data included.

 

 

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