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RiskVal Fixed Income (RVFI) Weekly Enhancements - 07/21/2023


Key Features in this Release:

o Added “EFP Box Z” column as an addition to already existing EFP columns

o Added option to change multiple EFP BM at once


o [Future] Added “Show 0 PV” to show future PV as 0

o [Swaps] Added preference to flip the sign of the risks


o [CMSprd Vol] Extended expiry period to 20Y

o Added option to include a vertical line in the PnL/Delta Graphs


o Added support for 2BD/3BD/5BD/10BD/1M 6s ASW dZ & 2BD/3BD/5BD/10BD/1M 3s ASW dZ


Bug Fixes & Minor Enhancements:

Bond Roll: [CCY] Added alert support for CMT columns

Trade Blotter:

o Added hotkeys for new rows (Ctrl + N) & to delete rows (Ctrl+D)

o Removed Strip Hedge as a part of Libor Cessation

Market View:

o [Curve] [USD] RiskVal uses SFR futures and 3Y/4Y/5Y SOFR to estimate the convexity for SFR & SER

o [FX Curve] Added an option to derive HKD FX curve based on the XCCY basis

Listed Option Strategy: Added <right click> “Rename Tab” function

Historical Viewer: Added support for SFR specific futures




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