RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/29/22


Key Features in this Release:



Future CTD

  • Updated delivery basket for TWE future


Forward Swap Matrix

  • When sending vol trades to Trade Blotter sheet, enabled “Notional Hedge”

  • Added support for all FX Vol tenors that are in Market View; also supported in Sprd/Bfly

  • [AUD] Added preference to calc AUD OIS3s basis using outright 3s & outright OIS


Sprd/Bfly

  • Added support for additional SOFR packs, bundles, and ability to specify starting month

  • Added preference to set belly of Maturity Weight as either 1 or 2


Historical Viewer

  • Added support for SEK, NOK, CHF, DKK bonds & swaps


Global Preferences

  • Added ability to change meeting cutoff dates across RiskVal



Minor Fixes & Enhancements:


Swap Monitor: Added ability to export table to Excel (<right click> - “Export to Excel”)

Global Rates Monitor: Added “5BD” option under “Preferences” – “Diff”

Market View

  • [Curves - EUR] Updated fitting points of ESTR curve

  • [Curves – USD] Added FVs to OTR Spline curve construction

  • [IRVol] Added functionality to save RV Analysis config

  • [IRVol] Under Preferences, added “Show Vol Heatmap” to show heatmap in implied vol, realized vol, & ratio tables

Trade Blotter: Extended exporting VAR historical data to 1-2 years

Historical CTD: Will show CTD up until current day for current future


Previous week's release - Future CTD, Swap Box, Sprd/Bfly, Global Rates Monitor, Forward Swap Matrix, and Market View - IRVol enhancements