RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/19/21


Key Features in this Release:


Trade Blotter

  • Added new Rate x Vol horizontal analysis to show PnL and Greeks for all Rate/Vol Shock Scenarios


Bond

  • Added Cusip search function

  • Added OISprd T set of columns (SSprd T for USD, ESprd T for EUR)

  • [AUD] Added ability to use bond future for BM-CT on default


Forward Swap Matrix

  • Added MAC SOFR/ESTR swaps


EUR TBill

  • Added Greece, Finland, Portugal, & Netherlands

  • BM CT uses FR current TBill


Future Calendar Roll

  • Added SSprd/ESprd options to R/C Graph for USD & EUR, respectively


Bond CoD Graph

  • [EUR/GBP] Added option to show OISprd & IVSPO change on day


Market View [IRVol]

  • Added ability to upload vol spreads to ATM (Skew)



Minor Fixes & Enhancements:


New Global IVSP: Added “dIRR” (IRR daily change) & “dNB” (NB daily change), also available in CCY Bond

Forward Swap Matrix:

  • Added 10-year historical data for “OIS30x10” & “OIS30x5”

  • TIPs: added rolldown, historical data for C+R heatmap and Z-score, and default TII for EUR

  • Added historical rate, carry and roll, data for MAC and OIS MAC swaps

Market View:

  • [CPI Swap] Added time series for implied YoY rate

  • [SOFR] Added Convexity for SOFR Futures

Corp Bond RV Sheet: Enabled Sprd/Bfly trade to strategy table

Historical Viewer: Added ESTR Z data series for EUR futures


Previous week's release - Bond, Sprd/Bfly, Forward Swap Matrix, Trade Blotter, Market View, Historical Viewer, NZD SSA and Global Preferences enhancements