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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/24/2024

Key Features in this Release:

  • Central Bank Rate Simulation

    • Renamed “Fed Fund Simulation” sheet to “CB Rate Sim” & separated tab structure to “Hike Prob” & “Simulation Path”

    • Renamed add/remove dates preference



  • CCY Sprd/Bfly

    • Renamed RSI 14 button to “TA” (Technical Analysis) in historical graph pop-up windows

    • Separated “Map to Generic” function to “Map to Generic (Cash)” & “Map to Generic (Swap)”, also available in Forward Swap Matrix

    • [AUD] Added support for generic TCV & QTC GB timeseries

    • [GBP] Added support for GBP 2, 5, 10, 30, 40, & 50 1st Off-the-Run


  • Conditional Curve Monitor

    • Added “XY Switch”, “X-Axis Leg Type”, “Show Spot/Forward Rate”, & “History Period” options for Scatter Plot


  • CCY Bond

    • Added ability to choose X-Axis type for the lower graph and Curve Analysis


Bug Fixes & Minor Enhancements:

  • CAD Securities

    • Updated the settlement date from T+2 to T+1, starting on May 27th

  • EUR SSA: Added second set of “Comp Bond” columns

  • Sprd/Bfly:

    • Added ability to turn on/off the historical graph auto-refresh function (“Preferences” – “Graph” – “Auto Refresh”)

    • [CAD/AUD/SGD] Added support for SSA FRN bonds

    • [EUR] Added “FI25” ticker for Finland generic 25 year On-the-Run bond

    • Added preference to show “Px Sprd” in decimal format (“Preferences” – “Show Px in Decimal Format”)

  • Trade Blotter:

    • [FRN] Added “Clean Daily PnL” & “Clean Daily PnL USD” columns

    • [FRN] Added “DV01 USD” & “DM DV01 USD” columns

  • Market View:

    • [WI] Added support for “ReopenDt1/2” in the “Fwd Date” dropdown

  • CCY TIPS: Added modified duration (“M Dur”) column to “Table” – “Manage Columns” & Custom Column functionality

  • Forward Swap Matrix: Added “DV01/PV01 USD Hedge” as exporting option to Trade Blotter

  • Hist Viewer [Fut – SOFR]: Added support for SOFR future Implied Normal Vol/Realized Annual Normal Vol


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