September 29, 2018

RiskVal Fixed Income (RVFI) Release – 9/28/2018

In this week’s RVFI release, RiskVal improved G7 Bond and Future Spreads & Butterflies by enhancing the scatterplot feature, which allows traders to customize two date ranges to graph and compare the correlation and regression relationships. This feature is also available in Forward Swap Matrix. Additionally, Forward Swap Matrix now supports date-specific Central Bank meeting tickers for FOMC with history and allows users to build a Chile Swap Curve to analyze spot and forward starting CLP swaps for a wider variety of emerging markets. Bond Trade Sheet got enhanced to handle monthly SOFR Futures, such as SERU8 for 1-month SOFR Futures in the “Future” tab, so that traders can include them when running Bucket Risk for pre-trade analysis on their strategy.

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