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

Key Features in this Release:

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

  • 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)

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

  • 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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