RiskVal Guide

RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/3/21

Key Features in this Release: [New] Global Macro Monitor A monitor to see the benchmark treasury yields for each currency and equities...

Key Features in this Release: Sprd/Bfly Added Carry and Roll set of columns with historical data when looking at TIPS bonds TBill Allow...

Key Features in this Release: Trade Blotter Added new Rate x Vol horizontal analysis to show PnL and Greeks for all Rate/Vol Shock...

Key Features in this Release: Bond When selecting 2 or 3 “CT Sprd”/ “Comp Sprd” columns & selecting “ToSprdBfly”, will send over as 4 or...

Key Features in this Release: Trade Blotter Added support for Modified Duration weighted Key Rate Risk Market View [IRVol] Reorganized...

Key Features in this Release: [EUR] Transition from EONIA to ESTR TIPS: Added ESTR Sprd YY, ESTR Sprd Z, ESTR Sprd Z Diff sets of columns...

Key Features in this Release: [EUR] Transition From EONIA to ESTR Forward Swap Matrix: “ECB#” meeting dates are now mapped to the ESTR...

Key Features in this Release: Future CTD Given talks of CME releasing a future tied to the 20-year bond series, two 20 -year future...

Key Features in this Release: Trade Blotter [Swaps] Added hotkeys- <Ctrl> + N for new row, <Ctrl> + D to delete row, F2 to control...

Key Features in this Release: Sprd/Bfly Added support for forward custom OIS rates In Strategy Creator & Strategy Editor, added “Preview”...

Key Features in this Release: Sprd/Bfly [EUR, CAD]: Added support for CMTRY Added new regression weighting method for butterflies -...

Key Features in this Release: Sprd/Bfly Allow traders to choose the distance between left and right wings with body in the Butterfly...

Key Features in this Release: CCY Bond Added the ability to select multiple bonds & run Key Rate (Cashflow) Risk Allow traders to create...

Key Features in this Release: Sprd/Bfly Allow traders to edit existingstrategies with “Strategy Editor” tool Added regression historical...

Key Features in this Release: Sprd/Bfly Added the 1 Standard Deviation Mean Reversion Frequency, “1Std MRFreq”, column, which counts the...

Key Features in this Release: Forward Swap Matrix Added support for SFI futures [GBP] Added support for SFI future curve under the...

Key Features in this Release: [New] USD LIBOR Cessation – June 2023 Given LIBOR rates will cease to be published after June 30th, 2023,...

Key Features in this Release: [NEW] USD ED$ Roll Added new USD ED$ Roll sheet Custom Basis & Basis Monitors Added SOFR vs ESTR XCCY basis...

Key Features in this Release: Forward Swap Matrix Added Convexity Adjusted Expected Return (Cnvx Adj Exp Ret) column [BRL]Added the...

Key Features in this Release: Trade Blotter Added support for Mortgage trade type Forward Swap Matrix Added support for individual Euro$...