RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/4/22


Key Features in this Release:


Sprd/Bfly

  • Added Exp Ret/Stdev column, also available in the Forward Swap Matrix

  • [JPY] Series name will be shown in “Alias Name” column

  • [JPY] Added historical data for “Simple Yld” column, also available in JPY Bond

  • [Seasonality] Added EGB 15-year auctions for Germany & France as well as EGB 20-year auction for GBP

  • Added the ability to send CMT SSprd/ESprd data series to the Historical Viewer


Forward Swap Matrix-RVAnalysis

  • Added the Stdev_d column

  • Added the ability to allow users to choose the tail in case of OIS IMM, LIBOR IMM or SOFR/ESTR IMM


Basis Swap & Custom Basis Swap

  • Added ESTR vs 6s series, also available in Forward Swap Matrix


JPY Bond

  • Added the “Simple Yield” column and moved the “Compounding yield” into the “Yld” column

  • Added the “Simple Yield” to the “Measure” dropdown in the RV Analysis.


Trade Blotter

  • For Bond data type, added ability to right click to set benchmark Future


Minor Fixes & Enhancements:


EUR Bond:

  • Added ability to override “Fut BM” & “CF” columns

  • Under “Tools”, added “Refresh Future BM” function”

  • [Live Graph] Added the ASW Z RVS, OISprd Z RVS, E/Sprd Z RVS, also available in the curve analysis.

Swap Box [Strategy Analysis]: AddedSSprd/ESprd dYY/dZ columns

Trade Blotter: Added XXCY basis to import file under “Help”

Corp Bond RV: Under “Preferences”, added “Refresh Checked Bond Data” to refresh data for selected bonds

Basis Swap- RV Analysis: Added the Stdev_d and unchecked the 3M and 6M tail for both the basis and basis_IMM




Previous week's release - Fed Fund Simulation, Sprd/Bfly, RV Analysis, Corp Bond RV, Trade Blotter, EUR Bond CoD Graph, CB Rate Monitor, USD & EUR Bond and Market View - WITII enhancements