RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/24/20

Key Features in this Release:


WI Creator Enhancement

  • In this week’s release, RiskVal enhanced the When Issued Creator for traders to create and analyze the WI 20Y using any bond as the benchmark, such as the 30-year off-the-run, T 4.625 Feb-15-2040

Forward Swap Matrix Enhancements

  • Enhanced the Fwd Swap RV Analysis with additional filters, as well as ability to send potential trades to the Trade Blotter

  • Support cross-country OIS by entering the two-letter country code, such as EUOIS. Leverage the X-Country Template from the ‘Help’ menu

CCY Sprd/Bfly Enhancements

  • Seasonality: incorporated the “supply” dates into the EGB Auction for Germany

  • Hist Graphs: Option to show the mean and +/- one Std Dev grid

AUD TIPS Enhancement

  • Created a TIPS CMT Real Yield curve for AUD inflation traders to conduct relative value analysis against the Constant Maturity Treasury curve

GBP SSA Enhancement

  • Add the 3M ASW YY and 3M ASW dYY columns

Trade Blotter Enhancement

  • Added Calc Spot, Theta, Vega, Rho P&L columns for Listed Options

CAD Provincial Enhancements

  • Enhanced usability to let traders filter each tab by Issue Size, and enhanced the Comp Sprd functionality to set different Provinces for each Province, and added Comp Sprd C&R

  • Support sending strategies from CAD Provincial to CAD Sprd/Bfly Allow traders to filter bond list by issue size

FX Curve Enhancement

  • Allow traders to include the IMM and Quarter-end points for more granular short-end analysis for the following FX pairs: GBPUSD, JPY, CAD, AUD, CHF, SEK, NZD


Minor Fixes & Enhancements:


Forward Swap Matrix:

  • Countries can now support rates with their own county code, ie, in the USD tab, enter US10

  • Enhanced usability for traders finish entering their strategy before refreshing the cell

  • [GBP] Added historical data for OIS50 & OIS30x20 swaps

Callable Bond: Added “Secondary Structure” and “Original Structure”CMT Curves:

  • [AUD] Enhanced the curve parameters to better portray the market in the 10y sector

  • [DE] Refined the German CMT Curve construction based on original issue where 2Y and below uses only original 2Y, 2Y~5Y uses only original 5Y, 5Y~10Y uses only original 10Y, and 10Y~30Y uses only original 30Y

Sprd/Bfly:

  • Added a new column: “TReturn / Stdev” which is the Total Return divided by the standard deviation

  • Support cross country swap & OIS swap rates, including 3M OIS (OIS0.25)

  • Added the real-time intraday chart to populate for strategies, such as RX1 in the USD Sprd/Bfly

  • Fixed the Px Ratio calculation (also in Swap Box)

Bond Roll:

  • Remember and display the sorting selection options. Also applies to SSA sheets

  • [EUR] Added 3M ASW YY and 3M ASW dYY columns against the 3M EUR curve

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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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