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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/11/19

Key Features in this Release:

  • Added the Wildcard Option Price in tick and bps for USD Bond Futures

  • Allow traders to transform their trading strategy into an email with a new “Send as Email” feature. Traders can specify the email recipient(s) & receiver(s), to generate a snapshot of the trade details as well as the spread graph of the 3-month history. Currently only supported for spread trades

  • Officially renamed the ‘Bond Trade’ as the Trade Blotter, which we advise traders replace as their comprehensive trade sheet, instead of managing individual trade sheets

  • Product Coverage: Bond, Future, Swap, Swaption, FRA, Listed Option, Basis Swap, XCCY Basis Swap, FRN, FX (Spot/Fwd, Option, and Exotic), Cap Floor, CMS Option, CMS Spread Option

  • Added support for generic Cyprus tickers (CY5, CY10, CY15, CY30)

  • Added ability to create aliases for user-created WI bonds to set an identifying name instead of the generic UWI Ticker, which traders can reference in the Sprd/Bfly

  • Added CMT Curve which traders can use to calculate the Curve component in estimating the WI Roll

Bug Fixes & Minor Enhancements:

Libor Curve [EUR only]: Refined the CMT and Z-Spread Spline curve weighting method for all EUR countries, such that the default weight is based on Issue Size, rather than the Free Float which is no longer updated by ECB

Trade Blotter:

  • Updated “Schedule Export” function to include all trade types (previously excluded FX Spt/Fwd and FX option)

  • FX Option Trade: Added DV01 column

User Experience: Across the Bond Roll, CCY SSA, and Sprd/Bfly, we reorganized the right-click menu for easier navigation


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