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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/17/21

Key Features in this Release:

  • Added a function to allow users to select all the strategies in the same currency or same strategy

  • Added a risk by tag

  • Added equity futures, equity vol, FX, FX Vol, & commodity futures

  • Allow users to set 0 Net Basis Px for active future contracts

  • Added ability to configure weights for ED & SOFR futures

  • [USD] Added forward 2+ RVS column with the live graph and included in the Curve Analysis

  • Added “Years to Maturity” column

  • Added Forward CMT RVS Spread and Forward CMT Yld to “Graph” dropdown and to the Curve Analysis. In addition, added the Forward SOFR/ESTR to the USD/EUR bond

Minor Fixes & Enhancements:

Trade Blotter:

  • Under “Calculation” - “Horizontal Analysis”, added “SABR” option to “Vol” dropdown

  • [Future] Added “3M C+R” column

TBA Analysis: Added the front and back futures as benchmarks for the performance comparison columns

Forward Swap Matrix: Added keyboard shortcut to create new row (Ctrl + “N”), also supported in Sprd/Bfly sheet

EUR SSA: In RV Analysis, tickers that are selected for the current tab will be set as the default for “Tickers” filter

Market View – IRVOL – SOFR Strike: Added the option “to Fwd Swap Matrix” from the historical data graphs

Callable Grid: Added the option to override the Flat Vol

Future CTD: Added new 20-year future (NTDH2) with maturity of 19.75-25 years


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