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RiskVal Fixed Income (RVFI) Weekly Enhancements - 05/05/2023


Key Features in this Release:

o [Curves - USD – LIBOR] Removed ED$ & updated fitting points

o [Basis Swap] Added CHF OIS vs SOFR


o Added ability to send delivery basket to Trade Blotter


o Added “1M SOFR Hedge + Future Repo Risk” calculation option


o Added Curve Analysis functionality


o Added PSPCAP ticker


Bug Fixes & Minor Enhancements:

Bond Roll: Added ability to include reissues in historical graphs for IT bonds, also available in Sprd/Bfly

Market View[ETF]: Added the 3M Carry and Roll

Forward Swap Matrix: Corrected the correlation, when resetting the BMCT, the correlation for strategies in other currencies became 1

Sprd/Bfly: Multigraph- All in One, the lines shared the same color, it was corrected to be multicolored to distinguish them




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