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.