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RiskVal Fixed Income (RVFI) Weekly Enhancements - 03/17/2023


Key Features in this Release:

  • [Seasonality] Added ability to include “CT Pricing Dates”

  • [EUR] Added support for ESTR vs FF

  • [GBP] Added support for ESTR vs SONIA

Bug Fixes & Minor Enhancements:

USD/EUR Sprd/Bfly: Added alert function for “IVSPE/S YY” columns

EUR Bond: Added the benchmarks for Croatia

Forward Swap Matrix:

  • Corrected the “Resid” column to show historical residuals for all securities

  • Corrected sending strategies from RV Analysis to the FSM which did not have the correct weights




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