top of page

RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/10/2024

Key Features in this Release:



  • Sprd/Bfly

    • [Seasonality Matrix] Added support for weekly change and weekly average

    • Added “DV01 Convexity Weight” option for bond flies

    • Added support for “RONIA” index, also available in Forward Swap Matrix



Bug Fixes & Minor Enhancements:

  • Trade Blotter:

    • [FRN] Added the Clean PV and Prev Clean PV in local currency and in USD

    • Added support for mortgage & FRN bonds in import file

    • Added support for credit index trades

    • Under “Tools” added “Clear Imported Bond Live Prices” & “Clear Imported Bond Closing Prices” functions

  • Forward Swap Matrix: 

    • Added “Tools” – “Reset Clearing House” to change clearing house to the selected one under “Preferences” – “Clearing House”

    • Added generic & roll adjustment functionality for IMM historical data graphs

    • Under “Preferences” – “Default Butterfly Weight” added “-0.5/1/-0.5” option

    • Added new examples under “Help” – “Examples” – “Basis” for each currency

  • GBP Sprd/Bfly: Added support for GBP SSA FRN bonds

  • Swap Box: Added “SFR Ted T” to “Table” – “Manage Columns” for top table

  • Hist Viewer: “Use Change” selection will be used as default for newly created strategies

  • USD S+SP:

    • Added <double-click> for historical data function for “Px”

    • Added “Format” – “Color Management”

  • Market View – WI SSA: Added “Series” option when creating WI

  • Global Preferences: Removed lognormal choice for AUD swaption vol


bottom of page