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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/17/2024

Key Features in this Release:



  • Sprd/Bfly

    • Added the Matched Maturity SOFR rate column


  • Trade Blotter

    • [MTGE] Added the Convexity and $Convexity

    • [Swap] Allow users to enter the meeting dates as Start/Maturity dates


  • Bond Roll

    • Added a new 0 Forward Spread column

    • Moved the flag to share the original color preferences for the live graph and the curve analysis


Bug Fixes & Minor Enhancements:

  • Sprd/Bfly:

    • Added an alert to the Price Spread, “Px Sprd”, column

    • [RSI (14) Charts] Added the preference to show Stochastic and Bollinger on default

  • CCY SSA: Added the Convexity column

  • Market View:

    • Basis Swap: [AUD] Added the ability to choose the fitting points to the curve

    • CT: [EUR-BE/NL] Added the old, 2nd old, and 3rd old

    • Curves: [CAD] Updated the default fitting points to include 3M, 1y, 2y, in preparation for BA cessation

  • CCY SSA: Added additional currencies- CAD, AUD, SGD

  • Future NB Forecast: Added the function to adjust scenario future price by lowest net basis

  • Trade Blotter:

    • [Swap] Added support for FF Hedge

    • [Summary] Added support for hierarchies



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