top of page

RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/7/20

Key Features in this Release:

  • Added a function to create generic tabs using the generic future rolls and included a quick refresher on analyzing the calendar roll

  • Allow traders to create Calendar Rolls with the Future of the previous Active cycle, ie- Z9-H0, when the active cycle is H0-M0

  • Calculate Strip Roll for SP bonds which traders can utilize for analyze 20-year and 30-year WI bonds

  • To help traders manage their swap positions easier, we added a function to create the unwind trade to offset the original swap position

  • Allow FX traders to aggregate their FX Spot/Fwd, FX Option and FX Exotic positions to estimate the Prev Cum P&L given a custom closing date

  • Added the option to use either Whole Curve CMT or Hi/Lo CMT curves for Italy such that the CMT RVS columns in EUR Bond or Sprd/Bfly will use the selected CMT curve(s)

  • Price Ratio: added an option to keep the first leg positive or consistent with the weight on the strategy. Also available in the Swap Box

  • Seasonality: Added USD TIPS Auctions

  • Exclude Bond Management and updated reload & refresh watchlist function w/ new options

Minor Fixes & Enhancements:

Future CTD Scenario:

  • Enhanced wildcard EOD option which is calculated using 6-hour window (from 3:00 PM– 9:00PM EST). We were previously using 2.5 hr window

  • Renamed ‘Quality Option’ as “Switch Option’

IVSP: Added Clearinghouse under the “Preferences” menu for JPY & USD. For JPY, option to use either JSCC or LCH. For USD, option to use either LCH or CME

Callable Grid: Added 9M non-callable term

Market View – WI: [EUR] When user selects CMT Curve as the Roll Method, RiskVal will use that country’s respective CMT curve

Forward Swap Matrix: Added * indicator to show strategies that have alerts

USD Bond:

  • For traders who model up the 20y WI bond, it can now be displayed in the lower panel graph

  • Added the “Strip B/E SP ASW Z” column to default STRIP and STRIPRECON views

  • Curve Analysis: allow trader to plot the SP ASW and SP Yld, without manually calculating in the blotter

Swap Box: Supports Butterfly B/B/F strategy combinations


  • Renamed columns that use standard deviation based on daily change as “Stdev_d” to differentiate from “Stdev” based on absolute level

  • Added “C/stdev” which is the 3M Carry / Stdev where standard deviation is based on whole level

  • “Added “TReturn ASW YY” and “EReturn ASW YY” which is the Total Return and Expected Return on the ASW YY levels


Commenting has been turned off.
bottom of page