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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/10/21

Key Features in this Release:

  • [Future - CAD] Added 30Y future “LGB” across the system

  • [Curves – USD – Libor] Added support for Implied Convexity

  • Added support for generic TBA

  • Added Latvia, Lithuania, & Estonia bonds

  • Added ability to set SSA bonds as Comparable Bond

  • Added ESTR and SOFR options for the XCCY ASW columns, also available in the Bond Roll

  • Added Denmark TBill sheet

  • Added IVSPE set of columns

Minor Fixes & Enhancements:

CCY Bond: Under “Preferences” - “dChg Background Color”, added “OTR dRVS”


  • In the Fwd BEI Matrix, added “Carry Adj BEI” to the dropdown menu

  • Added preference to not show Carry Adj historical data for “RYld” & “BEI” columns from under “Tools” - “Graph” – “Show Carry Adj for Ryld and BEI”

  • Added the option to change the live graph from years to duration

Sprd Bfly: Added ability to send EUCMT strategies to Hist Viewer

Market View: [Curves – EUR – CMT – DE] Added original 15s to CMT curve construction

TBA Analysis: Under “Tools”, added “Import HR%” with a sample file under the “Help” menu

ED$ Monitor: Added the Implied Cnvx for the Packs and Bundle sections


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