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RiskVal Fixed Income (RVFI) Weekly Enhancements - 01/20/2023

Key Features in this Release:

o Added function to sort a future basket by net basis

o Added “Gross Notional” and “Net Notional” columns to the Blotter Manager

o [Horizontal Analysis] Added option to enter a beta for the rate/vol bumps

o [Curve Analysis] Added ability to plot USD treasuries alongside the SSAs

o Added option to plot only average line in Multi Graph

o Added “Reg(weeklyChg) Weight” & “Reg(weeklyChq) Weight using 2 Sprd” weight options

Bug Fixes & Minor Enhancements:

USD Bond: Added “Strip B/E SP SSprd Z” to “Graph” dropdown

Market View – Basis Swap - EUR:

  • Updated EUR1s vs EUR3s default fitting points to fit “1M EURIBOR Swap”

  • Updated EUR3s vs EUR6s default fitting points to fit ERJ3, ERG3, & ERH3

Custom Bond: Added a “Note” column


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