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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/1/2024

Key Features in this Release:


  • Forward Swap Matrix

    • Added support for ratio of X/Y

  • Sprd/Bfly

    • [CAD] Added support for generic provincial

  • Future CTD:

    • Added switch option times CTD conversion factor preference

  • CCY Bond:

    • [EUR] Added “DE CMT RVS” set of columns

    • [GBP] Extended XCCY ASW calculation to support CAD

    • [JPY] Added option to change bond settlement date from T+1 to T+2

  • Trade Blotter:

    • [Bond] Added option for traders to import Trade Yield instead of Trade price

    • [Bond] Added “Pull to Par P&L” column  

  • Market View- Curves:

    • [SEK] Added support for SWESTR curve 



Bug Fixes & Minor Enhancements:

  • Future CTD: Added “Generic” checkbox for the Wild Card Option graph

  • Market View – CT: Added support for generic 25Y for European countries

  • Conditional Trade: Added separate panel for Horizontal Analysis (Curve x Time)

  • Historical Viewer: Added forward data for ESTR-EUR3s basis

  • CMT Monitor: Added RV Analysis

Bug Fixes & Minor Enhancements:


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