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RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/22/19

Key Features in this Release:

  • Added Straddle Scenario P&L, which Vol traders can use to conduct Scenario Analysis across Spot and Fwd Straddle tabs. Traders will see updated tab names, to indicate that the scenarios are calculated based on a 10k notional position

  • Further enhanced the roll adjustment flags to simplify the meaning and location for traders to conveniently toggle their roll adjustment settings directly in the historical graph. In future releases, we will make this feature available across all columns in Sprd/Bfly and other sheets in RiskVal

  • Enhanced the Seasonality tool for EGB traders

  • [EUR only] Added data under “Sprd Rt Chart” for generic EUR CTs

  • RV analysis: added the CMT RVS as an option to run the analysis

  • Curve Analysis:

1. Enhanced the hi/lo for each point on the curve with updated tool tips shows the hi/lo/mean/stdev

2. Two Curves, show the difference between the curves as a third curve

3. The data series have the same name as the columns to make them consistent

  • Added the 1M point for SOFR v FF, available in the Basis Swap Monitor and under Market View – Basis Swap

Bug Fixes & Minor Enhancements:

Market View:

  • WI: When creating more than one 30yr WI, only create one SP WI

  • Libor Curve: Created a SEK CMT Curve

Future Calendar Roll: Set default Hedge method to use Spot Hedge


  • The historical graphs labels match the column names for consistency

  • Added the Inflation Swap’s start/end dates to the tool tips under the “ZC Infsw”

  • Fixed the TIPS/Nominal ratio (%) field

Bond Roll:

  • Turned off the Roll Adjust for the OTR, first-old and second-old such that all Bond Roll data will remain using issue-specific unless trader prefers to enable this flag

  • Turned off the Moving Avg SMA as the new default

Strip (S+SP): Updated rolldown columns based on trader’s curve method, either applying OTR or CMT

Forward Swap Matrix: Autosave color highlights


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