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CCY Sprd/Bfly Enhancements | Weekly Release 4/29/22

Enhancement #1:

Added support for additional SOFR packs, bundles, and ability to specify starting month

RiskVal now supports the following SOFR packs & bundles:

Also, a preference has been added to allow traders to specify the start terms of these SOFR packs & bundles to use the SOFR start term or ED$ start term.

To use ED$ start term for SOFR Packs & Bundles, click “Preferences” – “Misc” & check “SPK/SBNDL Same Start Month as ED”. To use SOFR start term, uncheck this preference.

Enhancement #2:

Added preference to set belly of Maturity Weight as either 1 or 2

Traders can set the weight of a strategy to Maturity Weight by right clicking in the “Weight” column & choosing “Change Weight to” – “Butterfly Weight” – “Maturity Weight.

Traders now have the option to set the belly for this weighting to be either 1 or 2. To do so, click “Preferences” – “Maturity Bfly Belly Weight” & set it to either “1” or “2”.

If the weight is already set to Maturity Weight & the preference is changed, traders must <right click> in the “Weight” column & click “Refresh Weights” for the change to take effect.


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