April 29, 2018

RiskVal Fixed Income (RVFI) Release – 4/27/2018

In this week’s RVFI release, RiskVal enhanced the Swap Box sheet by handling Bond Future Early Delivery scenario on a strategy-by-strategy basis such that traders can customize the Delivery Date for precise future valuation. We also allowed traders to switch the Clearing House between LCH/CME to recalculate the strategy’s Fwd Swap Rate and Invoice Spread accordingly. In the Market View –> Libor Curve Builder –> CMT Curve, for the GBP CMT Real Yield, we created a whole-curve fitted constant maturity real yield curve for RPI index linked bonds. The CMT real yield curve for GBP sterling TIPS securities uses the Nelson-Siegel-Svensson (NSS) multi-factor model and constructed by the weighted least squares fitting (LSF) procedure. For G7-CMT curves, we added a “Save Weight” button to allow traders to save their specified weighting by either filtering out low/high coupons or changing the weighting method. For the GBP Bond/Future Spreads & Butterflies floating window, we allowed gilt inflation traders to analyze historical real yield performance by entering “TII5”, “TII10”, and “TII30” for generic gilts/linkers. Additionally, we added support for generic GBP TIPS in USD Sprd/Bfly by entering “GBPTII#”.

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