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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/8/22

Key Features in this Release:

  • Created new “Realized P&L” trade type to pick up the future’s PnL

  • Added support for “1D R” column

  • [USD] Added “FSSprd Z vs SSprd dZ to “Graph” dropdown

  • [EUR] Added support for “FEsprd Z Gap” & “ESprd Z 3M R” columns

  • Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets

  • [USD/EUR] Added “SOFR/ESTR Z RVS” set of columns

  • Added ability to include/exclude 3Y & TWE in charting

  • Added option to select specific curves for different CCY swaps

  • Added support for ASIA, BNG, CPPIB, & IADB tickers

  • Added support for Mexican CB meeting dates

Minor Fixes & Enhancements:

Trade Blotter:

  • [Import file]: Added sub strategy column

  • [Blotter Manager] Added ability to check/uncheck trades by CCY, strategy, and sub strategy (function exists in individual tabs as well)

  • On a tab level, added ability to check/uncheck trades by sub strategy

  • On product type level, added ability to check/uncheck trades by CCY, strategy, & sub strategy

Historical Viewer: Added TBA generic timeseries

Sprd/Bfly: Updated the SS4 and SS25 to use the net weight between the 3/S4/5 and 20/S25/30

Global Rates Monitor: GBP ED$ will now show SFI

Market View:

  • [Curves – CPI Swap]: Added “Save Config” & “Reset Config” functions, which will save & reset the “Use” columns in the “Zero Coupon CPI Swaps” & “Monthly CPI” tables

  • [CMSSprd Vol]: Added <right-click> “Multi Graph”/”Sprd Graph”/”Bfly Graph” functionality

Fed Fund Simulator: Added support for SEK-RA$

Global Preferences: Added preference to price AUD3s6s basis with 3s curve, 6s curve without using 3s6s basis curve

Custom PCA Trade Sheet: Added “Curve” selection dropdown (CCYs set to “Auto-Build” will be shown as options)


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