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RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/17/22

Key Features in this Release:

  • Added seasonality matrix function to show the monthly average for every month over a year, additionally the monthly average over set amount of years

  • In Inferred OIS/SOFR/ESTR tabs, added ability to enter actual rates for time periods instead of rate hikes

  • Added ability to manually enter standard deviations for PCA Slope & PCA Parallel

  • Added ability to show SOFR/OIS/ASW swap z spread columns

  • Added option to show live graphs as bar chart

  • [USD] Added ability to use SOFR white pack for 2+ hedge

  • Added support for JPY WI Bonds

  • Added ability to automatically create new strategy line item from residual graphs

Minor Fixes & Enhancements:

CCY Bond: Added “^” to Custom Columns to be able to use exponents in the custom column formulas

Future CTD:

  • Added historical data for “Yld”, “ASW Z”, “IVSPS Z”, “OISprd Z” columns

  • Renamed "Dlv Prob%" -> "PCA Dlv Prob%", "Dlv Scen Std" -> "PCA Dlv Scen Std", & "Dlv Scen bp" -> "PCA Dlv Scen bp"


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