RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/12/21


Key Features in this Release:


Bond

  • When selecting 2 or 3 “CT Sprd”/ “Comp Sprd” columns & selecting “ToSprdBfly”, will send over as 4 or 6-legged strategy with weight (1/-1/-1/1) or (1/-1/-2/2/1/-1), respectively


Sprd/Bfly

  • Added keyboard shortcut (Ctrl + Shift + C) to change weight of strategy


Forward Swap Matrix

  • Added support for OIS MAC swap inputs

  • Added support for NVol in daily bps

  • Added support for TIPS bonds


Trade Blotter

  • [Bond] Added ability to see projected TIPS cashflows


Market View

  • Under “Curves” – “USD”, Added SOFR Spread Z Spline curve to the back end; “SSprd Z RVS” column already available in the Bond sheet


Hist Viewer

  • Added CMT – SSAEU data series

  • Added support for MTGEFNCL index


NZD SSA

  • Added CMT RVS set of columns


Global Preferences

  • Added the ability imply forward CB rates from the curve under “Calculation Preferences” – “CB Rate Implied from Curve”


Minor Fixes & Enhancements:


Bond

  • [USD]: Under “Preferences” – “dChg Background Color”, added “dCTSprd”

  • [USD]: Added an additional set of BM CT columns (“BM CT2”, “CT Sprd 2”, “dCT Sprd2”)

  • [COP] Added XCCY ASW function

Trade Blotter

  • For JPY Swaps, now apply JSCC-LCH basis to JPY OIS swap, also applies to Forward Swap Matrix

  • [Swaption] Added ability to enter “$Delta N” to back out “Strike %”

Forward Swap Matrix:

  • Added “Undo” function after sorting

  • Historical data will honor the “clearing house” flag

CCY SSA: ASW YY & OISprd YY rolldown will use same method used to calc 3M rolldown

  • EUR Bond & EUR S + SP: BM CT column will be shown as “Country Code + Year”

  • Market view – Curves: [EUR] Removed all green bonds from all curve constructions

Previous week's release - Trade Blotter, Marker View, CCY Bond, Forward Swap Matrix, EUR SSA + Covered, RV Analysis enhancements