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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/22/2024


Key Features in this Release:

  • Sprd/Bfly

    • Added Mean Square Error, “MSE”, and its square root, “RMSE”, columns

    • Added support for ITRX XOVER CDSI S40 5Y

    • [CIX] Added support to select multiple strategies and create the CIX String

 

  • CCY Bond

    • Added “Split Lower Graph” preference

    • Added ability to import “MM Position” from Trade Blotter

 

  • Historical CTD

    • Added ability to order CTDs based on highest Implied Repo Rates

 

  • Trade Blotter

    • Added daily change columns for Bond/Swap/Future sections

 

 

 

Bug Fixes & Minor Enhancements:

  • EUR Sprd/Bfly:

    • Added support for DEO3, DEO4, and DE05

    • Added “ESprd Z C/C+R” and “ESprd Z Stdev/Stdev_d 1M/3M” columns

  • Future CTD: Added historical graph on “Dlv Prob %” & “Dlv Scen bp”

  • Forward Swap Matrix: 

    • [CZK/PNL/HUF] Updated default float index for the libor swaps to 3M for tenors 1yr or lower; 6M for all others 

    • [BRL] Added 3M C+R for the BRL futures

    • [Hist] Added the option to show the gap chart function

  • Market View – FX Curve: [AUDUSD] Added “AUDTN” currency

  • Trade Blotter: Added “Pull to Par P&L” & “Pull to Par P&L USD” columns to the summary table and blotter manager




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