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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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