Enhanced RV Analysis to support FRA and IMM FRA strategies
Highlight the calendar roll fields for contracts where the roll is stale, such that RiskVal will calculate the calendar roll using the previous day’s future closing px difference
Traders can take a look at the “Future” tab under Market View to determine whether the calendar roll used to calculate the price of the non-active contract is live or calculated using the spread between the front and back contracts’ closing price. The light blue fields show that the calendar roll is real-time.
Note: Traders still have the option to enter their own roll, whether the roll is live or from the previous business day.