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RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/25/21

Key Features in this Release:

Forward Swap Matrix

  • Added support for straddle swaption spot premiums and forward premiums, also available in the Sprd/Bfly

  • Added look back period “LBP” setting

Historical Viewer

  • Added support for "ZC InflSw", "SA ZC InflSw", "SA IOTA", "IOTA", "Carry Adj dBEI"


  • Added option to create standard tabs and custom tabs

USD Agency FRN

  • Added "MM Bullet CT Sprd", "MM Bullet CT BM", and "MM Bullet SOFR YY" columns

Forward Curve Analysis

  • When plotting multiple timeseries, traders can show spread and configure the weighting for selected curves


  • Added support for "IMMSOFR [HMUZ]# ", such as "IMMSOFRH2” and "IMMSOFR [HMUZ]#X# " such as "IMMSOFRH2X3"

Minor Fixes & Enhancements:

CCY Bond:

  • Added “FOISprd Z” under the “Graph” dropdown

  • Added option to export all sub- tabs from the bond roll in one document

Trade Blotter: When looking at BRL offshore NDIRS Swap and selecting EM risk under the “Calculation” dropdown, RiskVal added “All” tab

USD Swap 2+ RVS: Added option to exclude “2+dRVS” segment from the live graph

Previous week's release - Sprd/Bfly, Forward Swap Matrix, TIPS, USD Agency FRN, Fed Fund Simulation, and CCY Bond enhancements
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