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RiskVal Fixed Income (RVFI) Weekly Enhancements - 06/23/2023


Key Features in this Release:

o Added the ability to load the TBills with the Treasury bonds


o Added support for the SSA EU GB series

o Added Discount Rate (Disc) column for TBills

o Traders can now view the Price spread column in tick format


o [CMS Sprd Options] Added “Fwd Settle” column


o Added support for realized vol and swaption vol tables for all supported currencies


o Added “Dlv dESTR/dSOFR” columns

o Added “Sprd from GC %” column, also available in Fut Cal Roll & Fut CTD


o Added support for “IMM SOFR” swaps


Bug Fixes & Minor Enhancements:

Sprd/Bfly:

o [Spread Generator]: Added “Orig” filter

o [EUR] Updated the CMT Forward Spread strategy column headers to be consistent with the strategy detail table

JPY Bond: Added ability to set alerts on “OISprd YY/Z” columns

Market View – Curves: [GBP] Added support for MPC10 & 11 fitting points in OIS curve

IRVol Monitor: Enhanced “Realized Vol Hist” function to sync with “Market View” – “IRVol” tab

Forward Swap Matrix: Added support for Onshore/Offshore Libor/OIS Curves prefixes for supported currencies like ON, SON, IMMON, IMMSON, IMMOISON

Future NetBasis Forecast: Added “SSprd dZ” column

Historical Viewer: Added historical data for AUD SSA bonds




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