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Fixed Income (RVFI) Weekly Enhancements - 1/5/2024

Key Features in this Release:

  • Trade Blotter

    • Added functionality to aggregate risk by EUR country


  • Spread/Butterfly

    • Added shortcut functionality to select “Sprd/Bfly/Multi” graphing options

    • Added option to enter comment line for already existing inputs


  • CCY Bond:

    • [JPY] Added support to plot CB Ownership

    • [Curve Analysis] Allow traders to present the difference of two series as a bar chart

    • [EUR] Added the ESTR Ted Sprd set of columns


Bug Fixes & Minor Enhancements:

  • Forward Swap Matrix: In RVAnlaysis added >= Z-score parameter

  • GBP Bond: Added “Sonia Sprd Z Stdev & CMT RVS Stdev” columns  

  • Trade Blotter: Added option to use work days when pricing swaptions

  • Sprd/Bfly:

    • [EUR] Added support for ITO15 and ITO50

    • [JPY] Added generic timeseries for generic CT bonds when using LCH clearing house

    • [AUD] Added generic timeseries for 6s ASW YY for generic bonds

  • Fut CTD: Added support for ISIN column

  • Future Analysis: Updated sheet and added invoice spread functionality

  • Listed Strategy: added option to show “Fut Px B/E” as decimal values


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