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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/06/2023

Key Features in this Release:

o Added new bulk upload of the Custom Bond Cashflow

o Calculating delta PnL for Bonds and Futures

o Added support for the JPY Fixed vs DTIBOR6M

o Added the Forward Swaption Vols

o [Multigraph Regression] Added the option to load additional 3-month data sets to the regression analysis

o Added support for Change of week and Change of Month

Bug Fixes & Minor Enhancements:

Trade Blotter: Added Support for TZRRX3 and SFRTZRX3 futures

Market View:

o [AUD Basis Swap] Added the AUD3s vs FF curve, as the AUD 3s-SOFR Basis

o [Cap/Floor Vol]: Added BVOL as pricing source

Historical Viewer:

o Added historical data for S/A Yield for GBP SSA

o Added historical data for SOFR generic such as SFR0, SFR1, SFR2, etc.,; SOFR Packs such as SFWH, SFRE, SFGR, and SFR Bundles such as SFRBNDL2, SFRBNDL3

New Global IVSP: Added the Custom Columns function

XCCY Govt Curve Analysis: Enhancements to improve functionality

Sprd/Bfly- Group Graphs: They save when clicking on “Save Desktop”

XCCY Basis Swap: Replaced all USD3s with SOFR


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