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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/15/2023


Key Features in this Release:


  • RV Analysis

    • [CCY Bond, Forward Swap Matrix] Added “Lookback Period” and the preference to use generic historical data vs bond specific data

    • [GBP TIPS] Added support for “SONIA Sprd Z Diff” to “Measure” dropdown

 

  • User Experience

    • Added shortcut functionality to select “Sprd/Bfly/Multi Graph” features

 

  • Trade Blotter

    • [Listed Option] Added “Weight” column to calculate the cost of the package

 

 


Bug Fixes & Minor Enhancements:


  • Forward Swap Matrix: [CNY] Corrected the IMM On-Shore and Off-Shore strategies to show “IMMSON#S#” & “IMMSOFF#X#” tickers when sent from the lower “IMM(On)” & “IMM(Off)” tabs

  • CCY Bond: Added “0 Sprd 2, 3, 4 ZS” columns  

  • Market View:

    • [Basis Swap] Renamed the “Status” column to “UpdateTime”

    • [Basis Swap - CHF] Added 3M, 6M, 9M, & 1Y fitting points for CHFOIS vs SOFR

    • [Basis Swap – INR] Switched “INR Fixed vs SOFR” to use “IRUSON#” currency for swaps and “IRN#M” currency for FX curve

    • [Curves – SEK – OIS] Removed the 5th and 6th central bank meeting date rates

    • [Curves – CMT] Switched to use the pricing date as the cutoff date

  • Sprd/Bfly:

    • Added the “PCA Weight” feature for the SOFR Future strategies

    • [JPY] Added “Reopening” auction dates in the historical graph pop-up window

    • Enhanced the “1 Std MR Freq” statistics to dynamically adjust based on the time frame in the historical graph pop-up window

  • Global Preferences: “Set RV Default Font Size” will be set to “Yes” on default 

  • TBA Analysis: Added “Edit PCS” option under “Preferences”

  • Global Rates Monitor: Added support for Portugal, Austria, Ireland, Greece, and Finland

  • Future NB Forecast: Enhanced the “Scenario Analysis” bump boxes to save the entry when clicking/tapping out of the box

  • Historical Viewer

    • Enabled “AUD3s vs USD 3s” XCCY Basis Swap

    • Added support for IRR SOFR/ESTR






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