RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/1/22


Key Features in this Release:


Market View - WI

  • Added ability to edit existing WIs

Future CTD Scenario Analysis

  • Added “GC Sprd”, “ED GC Sprd”, & “LD” GC Sprd columns to calculate the Net Basis with the repo special


New Global IVSP

  • Added change on day columns for gross basis & net basis, also in the Sprd/Bfly


Forward Swap Matrix

  • Added support for receiver & payer swaption premiums

  • Added support for CHF & NZD risk free rate futures


Market View

  • [Curves - AUD] Added ability to input CPI levels

  • [Future] Added column to show yesterday’s CTD


Historical Viewer

  • Added ability to plot monthly change


CCY Bond

  • Added ability to adjust size of symbols in lower panel graphs

  • [Gap Analysis] Added ISIN column for matched bond

Minor Fixes & Enhancements:


Sprd/Bfly: Added option to choose which auction points to plot in CMT strategy historical graphs

Market View:

  • [Curves – CPI] Lower left table renamed “CPI Trend” -> “CPI (SA)” & “CPI” -> “CPI (NSA)”

  • [CMSprd Vol] Added double click for historical data function to “Corr” column

New Global IVSP: GB & NB columns will now be highlighted yellow

EUR TIPS: Added “Carry ADJ RY ZS” column




Previous week's release - Market View - WI, Basis Swap, Custom Basis Swap, and CCY Bond enhancements