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


Key Features in this Release:


Forward Swap Matrix

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


Fed Fund Simulation

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


Future CTD

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


Future NetBasis Forecast

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


USD Bond

  • Added option to show live graphs as bar chart

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


Market View - WI

  • Added support for JPY WI Bonds


CCY Sprd/Bfly

  • 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"





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