Bond Roll – CCY SSA – AUD Semi Enhancement | Weekly Release 5/28/21


Under the RV Analysis, added Coupon difference filter to allow traders to set a coupon difference between each leg in the top strategies


From the “Analysis” drop-down, traders can access “RV Analysis”.

The coupon difference filter “Cpn Diff (bps)” is under the “coupon” range filter. Where traders can enter the max value of the difference in coupon between each leg. Finally, hit “Generate Strategies”. RiskVal will populate top spread and butterfly strategies with the coupon difference less than the value they entered in the “Cpn Diff (bps)” field.

In this week’s release, we also enhanced “Sprd/Bfly Generator” with “Cpn Diff (bps)” filter. Traders can click on “Tools”, and from the dropdown menu select “Spread Generator” and “Butterfly Generator”