RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/11/22


Key Features in this Release:


Swap Box

  • Added option to set the default as SOFR futures for the strip hedge


Sprd/Bfly

  • In the butterfly generator, when choosing one bond, the other legs will be the same distance away from the chosen bond


CCY TIPS

  • Added ability to set WI as the comparable treasury

  • Added Float Size column


Basis Swap & Custom Basis Swap

  • [KRW] Added KRW Fixed vs SOFR

  • [CNY] Added CNH Fixed vs SOFR


Trade Blotter

  • [Swaption] Added keyboard shortcuts to set “Pay/Rcv” column


CAD Prov & Covered

  • Added additional sets of XCCY ASW columns, including GBP SONIA to XCCY ASW


Minor Fixes & Enhancements:


Trade Blotter [Basis Swap]: When double clicking B/E Sprd for popup, “Stub” & “Interp” selections will be saved after restart

Basis Swap: AUD3s vs AUDOIS, formerly implied from AUD OIS & AUD3s curve, will now use market quote (BBG symbol ADBBCO#)

Market View – Curves [AUD]: Mixed curve was removed. One curve for 3s & one curve for 6s is now shown.

Swap Monitor: Handles more currencies



Previous week's release - 20-year Bond Future, Fed Fund Simulation, CCY S + SP, USD TBill, USD Sprd/Bfly, Swap Box, Market View - Curves, and Market View - IRVol enhancements