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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/12/21

Key Features in this Release:

  • Added “+/- stdev” checkbox so traders can specify number of standard deviations they would like to plot, also available in the Bond sheets

  • [GBP] Enhanced the CPI#x# and CPI# to use the CPI curve whilst adding RPI#x# and RPI# to use the RPI curve

  • Added support for generic Spain/Portugal Bills, as well as added the specific Bills for Portugal

  • Enabled the meeting dates to be extended out to 2025

  • Added a function to delete multiple tabs at the same time in the Fwd Swap Matrix, Sprd/Bfly, and Bond sheets

  • Autosave is applied to all the tables, should a trader move a column by dragging it to a new position, the new position of the column will be autosaved

  • Modified the XCCY ASW to show the currency and Index selected, as well as added historical data

  • Added support for “CMT RVS” under Curve Analysis and in the graph dropdown

Minor Fixes & Enhancements:


  • Added "OISprd C+R / stdev_d" column

  • Added generic history for “SOFR/ESTR 3M C”, “SOFR/ESTR 3M R crv”, “SOFR/ESTR 3M C+R” , “SOFR/ESTR Sprd 3M C”, “SOFR/ESTR Sprd 3M R crv”, “SOFR/ESTR Sprd” and “3M C+R” columns

CMT Monitor: Added the RV Analysis

Listed SABR Model: Added support TY, Friday and Wednesday weekly options

TBILL: [EUR] Added support for Portugal

Market Monitor– IRVOL: Added <right click> export to Trade Blotter from the OTM Strike

Fwd Swap Matrix:

  • Added “3M Cnvx Adj C+R" column for swaps

  • Added “Refresh All Rows” under “Edit” to clear our invalid entry cache

  • Added the Export/Import function for sharing tabs

CCY SSA + Covered:

  • Added series filter

  • Added historical data to the XCCY ASW columns, also available in the EUR Bond for USD XCCY ASW

EUR Bond: Added “Green Bond” system created tab

Swap Box: Added “Sprd ZS”, “Asw YY ZS”, “ASW 3M C+R”, “ASW 3M C”, “ASW 3M R”, “3M C+R”, “3M C”, “3M R CMT”, “OTR IOTA” columns under the Strategy Analysis

TIPS: Added the “load the WI” preference for user created WIs, as well as the highlighting for these

IT FRN: Backfilled the historical data for the “DM with curve” column


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