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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/10/20

Key Features in this Release:

  • Enhanced the Alert Management across Forward Swap Matrix & Sprd/Bfly

  • Added an option to view OIS bucket risk in addition to LIBOR bucket risk

  • Add Repo trade type option

  • Added option to specific # of previous contracts to view the CTD bonds for expired contracts

  • Added support for strategies containing and individual CANHOU securities

  • Added ability to set CANHOU as the comp treasury

  • Added Turkey OIS curve

  • Added CMT curve for India and Indonesia

  • Added ability to set spot or forward hedge as the default for newly created strategies

Minor Fixes & Enhancements:

Custom Basis & Basis Swap Monitor

  • Added the ability to send strategies to the Forward Swap Matrix in pop-up graphs from the “fwd” tab

  • Added NZD vs EUR 3M cross-currency basis swap


  • Added indicator to tabs containing strategies with alerts

  • Added Sprd/Bfly monitors for all currencies with a CCY Bond sheet

CCY Bond:

  • Added Curve Analysis to all CCY Bond sheets

  • Added columns to show the Mean, Expected Return, and Total Return for both Yield and ASW YY

Forward Swap Matrix: Added RV Analysis for all currency tabs

RV Analysis: Added weighting column for spread and butterfly strategies

TIPS: Added the flip function to spread graphs for BEI and yield


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