RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/10/22


Key Features in this Release:



New Global IVSP

  • Added ability to send Matched Maturity SOFR Invoice spread to the Trade Blotter

Forward Curve Analysis

  • Added ability to plot spread of multiple dates

Hist Viewer

  • Added support for AUD TIPS

  • Added additional SER & SFR Px & Rates

Sprd/Bfly

  • Added option to set historical data & Y-axis as ticks or decimals

Bond Roll

  • [USD] Added an option to save forward Repo rate on restart


Minor Fixes & Enhancements:


Sprd/Bfly:

  • [USD] Added SOFR Spread Z Vol as the “SSprd Z Stdev_d” column

  • [EUR] Added “CA RYld Rich<->Chp” & “CA RYld ZS” columns, also added to EUR TIPS sheet

Fwd Swap Matrix: [AUD] Added OIS 0.5 year spot & forward history

USD Agency: Under “Preferences” – “Graph”, added “Include WI Bonds” option

Basis Swap & Custom Basis Swap: [JPY] Added lower matrix tabs for JSCC vs LCH

Market View – WI SSA/FRN/Agcy: “Maturity Date” & “First Coupon Date” will be automatically recalculated after setting “Interest Accrue Date”, already available in WI tab

Future CTD: Added an option to graph “Multiple Y Axis” under “Preferences”




Previous week's release - Future CTD, Market View - CCY Config, Swap Box, Custom Basis Swap & Basis Swap, CCY Bond, and Calendar ASW enhancements