November 17, 2018

RiskVal Fixed Income (RVFI) Release – 11/16/2018

In this week’s RVFI release, RiskVal enhanced Future CTD Scenario Analysis. We added a PCA Type dropdown that would allow users to choose the curve that best accounts for the variations in different currencies’ market volatility. A prime example is the Italian market, whose volatility is much higher than the previously used default German Swap Curve. Traders can now select either the CMT or Swap Curve for PCA Analysis on a given future contract.

We also improved USD Bond Roll Analysis by adding a “SOFR ASW Sprd” column using either YY or Z-Spread methods for users to analyze each bond’s performance against the SOFR curve.

Moreover, Market View → Basis Swap was enhanced. RiskVal team added CDOR vs CAD OIS basis so traders can analyze the Canada’s swap curve vs overnight rate basis. We also added JPY TONAR vs JPY 6M so traders can analyze Japan’s overnight rate and swap curve basis.

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