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RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/17/2023


Key Features in this Release:


o Added second field for curve correlation analysis

o Added map to generic functionality for XCCY ASW

o Added support for AUD generic TBills

o Added support for “Ticker DDMYY” format for TBills

o Added support for 1M & 3M ESTR Futures

o Added ability to filter data points based on date/value range

o Added historical data for Front Contracts open interest for seasonality analysis


Bug Fixes & Minor Enhancements:


  • Sprd Bfly:

    • Added “Maturity Weight” as option under “Preferences” – “Weight Calc Freq”

    • Added support for broken dated CMTRY forwards with rolldown

  • Forward Swap Matrix: Added “Vol Adj R” tab to other currencies (already available for EUR)

  • Basis Swap [DTIBOR 3s v DTIBOR 6s]:

    • Added 3M Index table

    • Added 6M basis

  • Conditional Trade:

    • Added support to enter generic term (eg “G1Y”)

    • Will use RFR (SOFR/ESTR/OIS) as floating index

    • Added support to send to Trade Blotter under “Tools”

  • Fed Fund Monitor: Added “Manage Columns” functionality

  • Listed Option Strategy: Added “Expiry” column to lower Greek table

  • GBP SSA+Covered: Added rich/cheap heatmaps & z-score columns for “CMT RVS” & “S/A CMT RVS”

  • Trade Blotter: Added “Base CPI” to security input doc for Custom Bond Cashflow

  • CB Rate: Added Nok OIS Central Bank meeting dates

  • RV Academy: Has been reworked, see instructions on how to login






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