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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/10/20

Key Features in this Release:

  • Separated IT CMT into two curves: Low (coupon <4%) and High (coupon >=4%) for more accurate trade discovery and rolldown when analyzing BTPS bonds against the CMT curve (also applies to ASW Z RVS)

  • Refined the USD CMT curve to fit the original issue within each sector to create a smoother curve for more powerful relative value analysis

  • Plot the Par Rate curve, instead of the Spot Rate

  • Enhanced the seasonality function which dissects the historical data based on either an economic event or custom anchor date to automatically show the full cycle of the oldest segment

  • Added an indicator to flag which strategies have alerts enabled

  • Updated default views with ASW Z RVS set of RV columns, as well as Total Return and Expected Return columns

  • Added US Treasury Trading Volume

  • Added XCCY ASW YY to analyze the Yield-Yield ASW of each bond in one currency-adjusted by the XCCY basis swap curve of another currency

  • Gap Analysis: Added “Total Return” = Expected return + Gap Return

  • Curve Analysis: Added option to let traders configure the Diff  when plotting any combination of two series

  • Enhanced the Key Rate Risk (and cashflow) calculations to support listed option and swaption trade type

  • [GUI] For traders with 4K monitors, added bigger font size options

  • Forward Swap Matrix: revamped the Help menu’s Format References with a PDF containing a full list of supported product types & formats

Minor Fixes & Enhancements:

Forward Swap Matrix: SAR: backfilled historical data for Saudi Arabian spot and fwd swaps Market View:

  • Curves: Highlight default fitting points for both OIS & Libor curves

  • IRVOL: reorganized the Realized Vol Hist, Roll Type, and Straddle Scenario (bps) into a “Preferences” menu

  • Future: remove dependency on ASW/OIS method and show all Sprd methods (YY, True, Z-Sprd)

USD TBill: Added Float Size to the default view

Bond Roll:

  • AUD: Renamed the ASW (YY, T, Z) and ASW Z RVS columns as 3M ASW to differentiate from 6M ASW

  • Curve Analysis: remembers the settings from the “config” menu

FX Curve: For EUR pairs, added tooltips for IMM

Sprd/Bfly: Added generic time series for ASW Z RVS columns

CANHOU Bond: Added history for CMT RVS

Callable Grid: After user enters a level into the libor spread or NPV table, use interpolation to push to the ‘Extended’ tab

Trade Blotter: Enhanced the Horizontal Analysis to support CMS Sprd Options

User Experience: Enhanced floating windows such that resizing is easier


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