top of page

RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/28/2024

Key Features in this Release:

  • Historical Viewer

    • Added additional regression scenarios with ability to modify the historical data

    • [GBP] Added “SONIA Sprd T/Z/P” for GBP TIPS

    • [USD] Added “SSprd YY” for USD TBill


  • Bond Roll

    • Added “RV Code” column to enter bonds to the Sprd/Bfly, also available in CCY TIPS/TBill/SSA/SSA FRN/Semi  



  • Future CTD

    • Added “Fair Value” column

    • Added ability to sort delivery basket by maturity date


  • Sprd/Bfly

    • [Seasonality] Added AUD 2Y, 5Y, & 10Y auction dates, also available in Historical Viewer

    • Added support for “MUTKCALM” (JPY OIS Index)

Bug Fixes & Minor Enhancements:

  • New Global IVSP: Added alert function for the “dNB” column

  • Sprd/Bfly: 

    • Added alert function for the “IOTA” column

    • Added ability to auto-convert the ISIN to RV code when entered

  • Historical Viewer: [GBP TIPS] Removed ASW T, Z, & P

  • USD Trsy 2+ RVS: Added “3M” lookback period option under “ClsDt”

  • Market view:

    • [Curves- Infl] Added support for 35Y & 45Y in GBP RPI; 40Y & 50Y in EUR/FR CPI

    • [Curves – USD – OIS] Added support for 35Y & 45Y fitting points for OIS swap

    • [Future] Added a tooltip to show BBG tickers when hovering over a “Roll” cell

    • [Curves – NZD – IBOR] Added preference to change the short-term index from NDBB to NFIX

  • CCY Bond: 

    • Renamed the “3M R Yld” column to “3M R MB”

    • [Curve Analysis] Updated the color management function color code graphs based on “Orig” selection when selecting more than 1 data type and using “Multi Y-Axis” function

  • Forward Swap Matrix: [JPY] Added Carry and Roll historical data for JSCC-LCH basis swap forwards

  • Trade Blotter: Added the bond “Delta P&L” and “Gamma P&L”(convexity) 


bottom of page