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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/29/2024


Key Features in this Release:

  • Swap Box

    • Added preference to load DV01 in USD

 

  • EUR Bond

    • Added support for “ESprd Z Stdev”, “ESprd Z Stdev_d”, “ESprd Z Stdev_d 1M”, “ESprd Z Stdev_d 3M” columns

 

  • Fed Fund Simulation

    • Added ability to enter spreads and butterflies under the Inferred Future’s tab

 

  • Trade Blotter

    • Under Key Risk, added support for short end SOFR fitting points

    • Added Custom Column functionality


 

  • Forward Swap Matrix

    • Added support for single look CMS strategies

    • Added “C+R Adj Sprd” column for swaps

 

Bug Fixes & Minor Enhancements:

  • CCY Sprd/Bfly:

    • [EUR] Added support for “ESprd YY Rich-Cheap” heatmap

    • [USD] Added a preference to map US2 to USCT2 or backend contract of US future

    • Added preference to flip “3M C+R” column (+/-) direction for basis swaps and SFCT headliner

    • Added support for UKAPGPT Index

  • Trade Blotter:

    • [Blotter Manager] Added Bucket Risk(IBOR) and Bucket Risk(RFR) functionality

    • [Bond] Added support for PCS preference for bonds that are not in the system

  • EUR Bond: Added preference to change color for green bonds 

  • Market View – FX Curve: [EUR, GBP, CAD, JPY, AUD] Added “ON”, “TN”& “SN” points to the FX Rates table

  • Global Rates Monitor: Added “1M”, “3M”, “6M”, “1Y” as a “Diff” option

  • Trade Blotter: Under Bond section added “PCS”

  • JPY TBill: Added the XCCY spread to GBP




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