RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/29/19


Key Features in this Release:


User Experience Enhancements:


Market View

  • Reorganized the back-end tabs such that all curves, including Libor, OIS, CMT, CPI Swap, etc are grouped into a single “Curves” tab

  • Updated the “Curve Config” tab title as “CCY Config” and relocated directly to the right of the “Curves” tab, providing traders with a smoother workflow when adding/removing currencies

Window: Open Sheet

  • Categorized sheets for easier navigation such that traders can quickly discover key sheets and strategies

Bond Roll Enhancement:

  • Added a Cost of Carry & Bond Borrow tool for traders to compare the Fwd Repo and Breakeven Repo for a given forward date, and estimate the Net P&L (Cost of Carry P&L)

Forward Swap Matrix Enhancement:

  • For AUD and NZD, added support for IMMFRA, IMMOIS, and IMMFRAOIS

Swap Box Enhancement:

  • Added column to calculate XCCY ASW (also available in Custom Bond ASW), which uses the same method as the one in Bond sheets


Bug Fixes & Minor Enhancements:


Bond Roll:

  • Curve Analysis: updated the tooltip on the Diff Hi/Lo bar to show interpolated points if users enable the ‘show interpolated’ flag

  • RV Analysis: Renamed ‘Best Strategy’ as ‘Long Strategy’, and ‘Worst Strategy’ as ‘Short Strategy

USD S+SP: Added tooltips with column definitions for traders to reference

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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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