October 6, 2018

RiskVal Fixed Income (RVFI) Release – 10/5/2018

In this week’s RVFI release,  RiskVal enhanced Portugal Government Bond relative value spread analysis with an added Portugal Constant Maturity Treasury (CMT) curve. Traders can now leverage RiskVal’s full suite of PT CMT RVS columns with historical data, available in EUR Sprd/Bfly and EUR Bond Roll Analysis sheets. Moreover, traders can now analyze BRL forward swap’s “Vol Adjusted 3M Roll”, which RiskVal calculates using the realized vol, for Brazilian (BRL) swaps, and other currencies that do not have a swaption vol surface. For traders’ convenience, our team added the option to flip the Forward and Tail axes in the lower panel’s forward grids as preferred. Several enhancements were added to G7 Bond Roll Analysis. Specifically, traders can calculate the XCCY ASW for Eonia vs OIS basis (EUR), choose between money market yield vs OIS “MMY vs. OIS Rate” as an option in the lower panel graph (USD), and populate the Invoice Spreads for front and back future rows, without requiring forward date.

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