Bond Roll Enhancement | Weekly Release 6/17/22

Enhancement

[USD] Added ability to use SOFR white pack for 2+ hedge


In order to show SOFR white pack in RiskVal’s 2+ Hedge tool, traders should first enable it from “Preferences” – “Use SOFR White Pack”.

In USD Bond sheet, traders can run 2+ Hedge Rate risk by selecting a cell, holding the <ctrl key>, select additional cell(s) in the same column, & choosing “Risk/Hedge” – “2+ Hedge” from the dropdown menu. The 2+ Hedge popup will load.

Traders can adjust principal & DV01 fields for selected bonds, RiskVal will populate risk columns including “2+HG SPKHW” column.