RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/25/22


Key Features in this Release:


CCY Sprd/Bfly

  • Added “TCV” (Total Cash Value) column

  • Added option to copy CIX for ASW Y & ASW Z


CCY TIPS

  • Added “SSprd/OISprd YY/Z Diff” set of columns

  • [USD] Added “SSprd P Diff” set of columns


Trade Blotter

  • Added ECH2 future options


Forward Swap Matrix

  • [USD/EUR] Added support for SOFR/ESTR spot & forward swaptions

  • Added support for CNY Fixed vs USD3s, KRW Fixed vs USD6s, & BRL Fixed vs USD3s

  • Libor swaps will now be supported with prefix “S”


Corp Bond RV [Sprd/Bfly table]

  • Added ability to construct strategies using ISIN with an “Alias” description


Market View Curves

  • [INR] Added central bank meeting dates & ability to use them as fitting points


CCY Bond

  • Added “SSprd/ESprd/OISprd YY Carry” columns

  • [KRW] Added ASW onshore & offshore sets of columns

  • [CNY] Added “Alias Name” column


Minor Fixes & Enhancements:


Fed Fund Simulation: Added the EUR-ESTR tab

Bond Roll [Risk/Hedge]:

  • Traders can use “k” or “m” shortcut in the “DV01” cells to enter thousands/millions (respectively) (For example, “1k” can be entered for “1,000”)

  • Multiple bonds can be selected by holding the <Ctrl> key

Sprd/Bfly:

  • [THB] Added Offshore ASW set of columns, already available in MYR & THB Bond sheets

  • [USD] Added historical data for “CMT 1.5”

Custom Bond: Added ability to override “MMY” column to recalculate bond’s “Yld” & “Px”

New Global IVSP: When calculating NB(bp), its own repo rate (either special or GC) will be used for each deliverable bond instead of using the GC repo in the “Repo” column on default

Swap Box/Trade Blotter: Extended the 3M SOFR Hedge to match the ED$ Hedge

USD S+SP: Added “SSprd Z” to “Graph” dropdown

Historical Viewer: Added 10 years of historical data for “PE Ratio”

Basis Swap & Custom Basis: Added support for “ToFwdSwapMatrix” in CNY Fixed vs USD3s, KRW Fixed vs USD6s, & BRL Fixed vs USD 3s historical graphs

RVFI Graphing: Added indicator to pop out lower graphs (Equivalent to “Preferences” – “Graph” – “Show as Floating Window”




Previous week's release - Sprd/Bfly, Basis Swap & Custom Basis, CCY Bond, and XCCY ASW enhancements