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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/23/20

Key Features in this Release:

  • [EUR] Enhanced the color management in the Curve Analysis so traders can use different colors for low and high coupons

  • XCCY ASW: added historical data

  • Allow user to input the calendar for the incoming future pair

  • Enhanced XCCY Basis Swap to support Historical VaR simulation

  • Added “$delta SABR” and “$delta SABR USD” column under the Blotter Manager and the Summary table

  • Added the WTD dSprd, MTD dSprd, 3M Lo Sprd, and 3M Hi Sprd columns

  • Added a tooltip to show the start date and maturity date for IMM strategies like U0X5 and IMMU0X5

  • Added the 1M/3M/6M forward Swaption Vol (NVol)

  • Added the config alerts menu

  • Extended the limit alert to include the pop-up

Minor Fixes & Enhancements:

Bond Roll:

  • [USD] Added 20y standard tab

  • [SEK] Updated OTR fitting points from 2, 5, 7, 10 to 2, 5, 10, 20, also available in the “Market View” – “CT

  • [USD] Automatically set the benchmark for the system created WIs to derive the WI’s live price which is independent of the “Auto-Reset BM CT” flag

Market View -> BRL: Enhanced the swap curve construction to include the 8M as a fitting point

Forward Swap Matrix:

  • Added a pop-up message to warn users if the selected weighting type is not supported for the strategy; made it consistent with Sprd/Bfly sheet

  • Added a shortcut to set the alerts, by <right click> - “set alert”

Basis Monitor and Custom Basis Monitor: Added the spot row for the 1s3s curves, such that spot = 100 * LIB3M - LIB1M

USD CT Sprd/Bfly: Added CT20 to the list of spread and butterfly strategies

Swap Box: Emerging Market countries are supported

Historical Viewer

  • Added the ESTR and SOFR historical data time series

  • Added Future’s historical data such as: Carry, Rolldown, and 3M C+R

  • Added the ability to send generic CMT strategies from the Sprd/Bfly

Fwd Fwd Matrix: Added alerts


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