RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/13/22


Key Features in this Release:



CCY Bond

  • Added ability to include/exclude specific future rows

  • [EUR] Reassigned bonds’ “Orig”. This will be used to calculate “ESprd Z 3M Roll” column.


Trade Blotter

  • Added “Fx Scenario (Spot x Time)” to “Calculation” menu

  • Added ability to set time period for “Fx Scenario (Spot x Vol)”

  • [CMS Sprd Option] Added <right click> - “Corr Historical Rates” option & “Priced Corr” column


Sprd/Bfly

  • Added “IVSPS dYY/IVSPS Stdev_d”, & “IVSPS 5BD dYY/IVSPS YY Stdev_d” columns; also supporting IVSPS Z, IVSPO YY/Z, and IVSP YY/Z columns


New Global IVSP

  • [AUD] Added “Avg ASW YY” & “Avg IVSP YY” columns

  • Added ability to enter future DV01 to back out number of contracts


Fut Cal Roll

  • Added “Impl SOFR D1 D2” column


Market View – Curves

  • [EUR] Added ability to set OIS- ESTR spread



Minor Fixes & Enhancements:


CCY Bond

  • Added ability to show/hide filter bar (“Preferences – “Show Filter Bar”)

  • Added ability to show/hide tooltips (“Preferences – Show Header Tooltips”)

Trade Blotter:

  • [CMS Sprd Option] Renamed “Corr” column to “Rls Corr”

  • [EUR] Non-green bonds will be shown before Green bonds in “Bond Chooser”

Fut CTD: Including/excluding bonds from delivery basket will now include/exclude them from the scenario analysis

Market View:

  • [Curves] For CAD OIS curve, “derived from OIS3s” will be checked on default

  • [CMS Sprd Vol] Added “Corr” column to show correlation used to price SMD Sprd vols



Previous week's release - Market View - Basis Swap, Sprd/Bfly, CCY Bond, JPY TIPS, and USD TBill enhancements