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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/02/22

Key Features in this Release:

  • Added another layer of calculating the simulation path by averaging existing paths with weighting

  • Added ability to choose to map symbols to bond future or current treasury

  • [CMS Sprd Option] Added support against SOFR/ESTR/OIS

  • Added “OISprd Z vs. FOISprd Z” to “Graph” dropdown

Bug Fixes & Minor Enhancements:

EUR Sprd/Bfly: Added support for Austrian benchmarks (AT15, AT20, AT50)

Forward Swap Matrix: Added support for offshore swaps for THB, MYR, & KRW, already available in Sprd/Bfly


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