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RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/10/2023


Key Features in this Release:


o Added set of columns to calculate weighted number of future contracts using cheapest to deliver “Wght DV01”

o Added option to change lookback period for the PCA analysis

o Added support for 1-month & 3-month ESTR futures

o Added alerts function

o Added the function to set the “offset”

o Added difference between discount margin and matched maturity SOFR Spread Z set of columns (also available in Sprd/Bfly)


Bug Fixes & Minor Enhancements:


  • Market View – Basis Swap: Added 12Y, 15Y, 20Y, 25Y, 30Y, 35Y, 40Y and 50Y fitting points for CNY Fixed vs SOFR, KRW Fixed vs SOFR & KRW3s vs SOFR

  • TBA Monitor: Added control function for the swap performance graph

  • Market View – Curves: [ILS-CPI] removed 20Y

  • Sprd/Bfly: Added option to update live price for Group charts

  • TBA Analysis: Added support for FN30 6.5 and 7% coupons

  • Bond Roll: Added preference to split user created WI and BBG WI bonds in the graph menu

  • EUR TBILL: Added support for ESTR Spread YY 3-month carry & roll

  • G7 XCountry Spread: Added option to choose a curve type





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