RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/28/22


Key Features in this Release:


GBP Sprd/Bfly

  • Added semi-annual set of columns

GBP SSA + Covered

  • Added semi-annual set of columns to “Graph” dropdown

CCY TBill

  • Added 1 week & 2 week to carry & roll setting

CCY Bond – Curve Analysis

  • Added ability to plot SSprd/ESprd/OISprd/EONIA/SONIA YY C+R

Forward Curve Analysis

  • Enhanced sheet to allow traders to choose any currency & curve combination


Bug Fixes & Minor Enhancements:

  • CCY TIPS: Added Custom Columns functionality to “Table” – “Manage Columns”

  • Forward Swap Matrix: Added carry & roll history for SOFR/ESTR MAC Swaps & CPI Swaps

  • Future Cal Roll: Added “NB(bp)” column for front & back contracts

  • XCCY Swap Curve Analysis: Added SOFR/ESTR for USD/EUR

Previous week's release - CCY Bond, Historical Viewer, GBP TIPS, enhancements