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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/12/2024


Key Features in this Release:

  • Future CTD

    • Added preference to use the 0 NB Fut Px adjusted by the current lowest net basis when calculating the delivery scenario analysis columns

    • Added CTD Matrix

 

  • Trade Blotter

    • Added “Clean Daily P&L”, “Clean PV”, “Prev Clean PV”, “Clean Daily P&L USD”, “Clean PV USD”, & “Prev Clean PV USD” columns to Blotter Manager, Summary, Bond, & Swap sections

 

  • Sprd/Bfly

    • [Regression] Added ability to color code data series into quarters

    • Added ability to enter columns in ticker format, also available in Forward Swap Matrix

 

  • CCY Bond

    • [Curve Analysis] Added ability to plot Model SSprd Z/OISprd Z curves

 

  • Swap Box

    • Added “SOFR Carry”, “SOFR Roll”, “SOFR C+R”, same for ESTR

    • Added ability to set default weight (“Preferences” – “Default Weight”)

 

  • EUR Sprd/Bfly Analysis

    • Added current level & change on day for Yld, ASW YY, ASW Z, ASW T

    • Added support for CMT format

 

 

 

Bug Fixes & Minor Enhancements:

  • Sprd/Bfly: 

    • Extended CMTRY & CMTBEI historical data to 10 years for all main tenors

    • Added ability to handle CIX functionality for SFR futures

    • Added “Key Risk (Cashflow)” as weight option for butterflies

    • [Custom Columns] Added support for signum (“sgn(x)”) function

  • Forward Swap Matrix:

    • Added support for SPX, NASDAQ, HY, IG, ITRX, XOVER, already available in Sprd/Bfly

    • Added ability to plot fwd & tail gaps under “Chg” tab

    • Added <double-click> for historical data function for “C+R/Stdev_d” column

    • Added “SLCMS” as additional syntax for “SNGLLKCMS”

  • AUD Semi: Added green bond filter

  • Historical CTD: Added ability to plot GB & NB

  • Historical Viewer: 

    • [GBP] Added supported for OISprd T

    • Added support for CNY & CNH FX

  • EUR SSA + Covered: Added ability to split lower graph of bonds by Ticker + Series (“Preferences” “Graph”- “Bond Group By”)

  • Fed Fund Simulation: Added historical data for “Current Rate”, “Step”, “Cum Step”, and “Fly” columns in bottom rich/cheap tab

  • TBA Analysis: Added support for GN30 II 6.5

  • CCY Bond: Added the “Color Management” function to be applied to the live graphs




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