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RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/9/2024

Key Features in this Release:


  • Swap Box

    • Added preference & column to show which leg is being derived


  • Sprd/Bfly

    • Added new syntax for SOFR packs & bundles

    • Added Seasonality Matrix with the option to extend to 10 years

    • Added ability to set colors for Multi Graph lines


  • Trade Blotter

    • [Custom Bond Cashflow] Added config to use spread adjusted curve to price PV & calc risk

    • [3M SOFR Hedge] Added option to replace 1st 3M SOFR contract with 1M SOFR contracts

    • [Listed Option] Added support for Monday weekly options on US contracts


Bug Fixes & Minor Enhancements:

  • CYY Bond:

    • Added historical data for “0 Bfly” columns

    • [USD] Added “SSprd Z 3M C+R”

    • [JPY] For future row, will show simple yield in “Simp Yld” column

  • Market View – Basis Swap [EUR]: Added 9M, 15M, 18M, & 21M fitting points for ESTR vs SOFR

  • SSA + Covered: 

    • [USD] Added Saudi Sovereign bonds

    • [AUD] Added “OISprd T”

  • Sprd/Bfly: Added button to uncheck event dates in Multi Graph


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