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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/3/2024

Key Features in this Release:

  • Future CTD

    • Added support for new EU contract, EUF1

    • Allow traders to select a specific option that will be included in the Total Option Value

    • Added option Adjusted set of columns in the deliverable basket

  • CCY Sprd/Bfly

    • [Seasonality] Added “Last Period” box for users to load most recent spread history

    • [Seasonality] Added Issue and Supply support for EU benchmark bonds

    • Added support for daily & weekly change in graphs as a bar chart


  • Trade Blotter

    • [Listed Option] Added support for midcurve SOFR Future options



Bug Fixes & Minor Enhancements:

  • Sprd/Bfly:

    • Added support for generic FRTIIE# in other currencies' Sprd/Bfly sheets

    • [AUD] Added support for generic NSWTC GB timeseries; “NSWTC GB 10Y” format

  • New Global  IVSP: Adde preference to add/remove KOA future and to group futures by issuing country 

  • USD TIPS: [Curve Analysis] Added “SSprd P” for TIPS bonds

  • Swap Box: Added support for Forward MMY & Forward MMY SOFR in the forward analysis

  • CCY Bond: [Lower Graphs] Added a preference “Use large titles” under “graph”

  • Trade Blotter:

    • [Bond] Allow traders to overwrite and import closing prices, as well as highlight rows that have missing closing prices

    • [Bond] Allow traders to import their own live prices by ISIN

    • [Bond] Added preference to use local BBG to get closing price for daily PnL calculation for old trades when RVFI doesn't have closing price for this bond


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