Key Features in this Release:
Allow Traders to configure Standard and Extended tab Terms
Added “Next Call Date”, “Call Prob %”, “Expected Maturity” in the Customized Callable Bond table
Added “Next Call Date” and “Expected Maturity” in the tooltip in the lower panel grids
Added Key Rate Risk
Added Multi- Sprd/Bfly graphing options to the “SOFR ASW YY” and “SOFR ASW Z” columns
[EUR] Enhanced exporting “Comp Sprd” strategies to Swap Box sheet so RiskVal sends four legged strategies instead of only two
Added option to hide bonds that are maturing in the upcoming months
Added option to skip calculating the Carry and Roll for bonds maturing in the upcoming months
Minor Fixes & Enhancements:
Trade Blotter: Added support for SOFR OTC Options, Caps and Floors
Market View:
[IRVol] – Renamed “%AnnualRatio” to “%Ratio”
[IRVol] – Added “% Ratio Z-Score” tab
Preferences:
Worksheet Management: under “Sheet Order&Color” added option to delete all selected worksheets
Global Preferences: Added “Show Crosshair” dropdown under the “Graph Settings”. By default, RiskVal shows crosshair in the popup graphs
Callable Grid: Set “Standard-SOFR” and “Extended-SOFR” as first two tabs
Custom Bond: [USD] Added “SOFR Sprd YY”, “SOFR Sprd dYY”, “SOFR Sprd Z” columns
Sprd/Bfly:
Added support for “SDDMMMYY” format such as "S15Sep21", "S15Aug21", etc. aside from current “SMMDDYYYY” format
Updated USD Agency bonds to use yield rolldown; consistent with USD Agency sheet
Calendar ASW:
Renamed “Fwd” to “FWD D2”
Made “D1/D2 ASW Z” fields fixed, and added more columns to show “D1/D2 ASW (YY/T/Z)”
Made “D1/D2 OISprd Z” fixed and added more columns to show D1/D2 OISprd (YY/Z)