RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/22/22


Key Features in this Release:


Future CTD

  • Added option to choose which bonds and WIs to include in the future’s delivery basket


Swap Box

  • Added support for user created TIPS


Sprd/Bfly

  • Added ability to send TBAs to Historical Viewer sheet

  • [CAD] Added support for CDGGBE Index


Global Rates Monitor

  • Added ability to select swap curve for each currency


Forward Swap Matrix

  • Added CMT support for Spain, Belgium, & Nederland


Market View - IRVol

  • [RV Analysis] Added “Vega3M Neutral” weight



Minor Fixes & Enhancements:


Market View:

  • [CT - EUR]: Updated CTITL2Y from 1/24 to 4/24 & CTITL3Y from 12/24 to 5/25 bonds

  • [Curves - AUD]: Added option to imply OIS rate from 3s swap and OIS/3s basis

  • [IRVOL – RV Analysis] Renamed default weight option to “Vega Neutral” & added configuration for realized vol term

TBA Analysis: Added preference to use FN15 roll for GN30 I & GN30 II

Global Preferences: Added ability to set smaller font sizes (6 & 8)


Previous week's release - Future NB Forecast, Trade Blotter, Fed Fund Simulation, CCY Bond, Global Rates Monitor, Future Option, and Forward Swap Matrix enhancements