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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/3/21


Key Features in this Release:


  • A monitor to see the benchmark treasury yields for each currency and equities with the change on day, heatmaps, and regression beta


  • Added SOFR Swaption ATM strike, Spot premium, forward premium and their change of day

  • Added the beta of the normal vol vs the underlying forward swap rate movement


  • Added default Floating Index selection


  • Added support for ESTR Spread YY (Z) as plotting options

  • Added support for 1 Week/1 Month/1 Year change on yield/ASW YY/ESTR Spread YY


  • [EUR] Added support for ESTR vs EUR3s basis as “BSESTR3s-#X#” & “IMM3sBSESTR-##X#” formats, also available in G7 tabs

  • Added support for IMMFRASOFR swap rates


  • Added ability to filter sheet by BM CT


  • Added IVSPO (OIS Invoice Spread) and IVSPS/IVSPE (SOFR/ESTR Invoice Spread) columns to the future table


Minor Fixes & Enhancements:


CCY Bond:

  • Converted Issue Size & Fed Holding % filters to button popups

  • Renamed “FH%” to “CB%” for non-USD sheets

  • [EUR] Curve Analysis: Added “ESTR dZ”

Fed Fund Simulation: Added support for forward starting swaps

Sprd/Bfly:

  • [USD] Added examples under “Help” – “Examples” – “TBA”

  • Support user created TIPS WI

Trade Blotter:

  • Under “Edit” menu, added option to “Check All”, “Uncheck All”, “Check All CCY”

  • Removed OIS/SOFR Adj function from Misc

  • [Swaption] Renamed $delta, $gamma, $vega, $theta -> “Local Delta”, “Local Gamma”, “Local Vega”, “Local Theta”

  • [Swaption] Added the ability to enter the forward premium

Market View: [IRVol]Added “Edit PCS” option under “Preferences”

Forward Swap Matrix:

  • Added carry and roll historical for the invoice spreads

  • Included the live value into the mean reversion frequency and the 1 standard deviation mean reversion frequency

Callable Grid: Added a new field where user can see the assumed OAS flat assuming vol of 14 for a new issue


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