RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/10/20



Key Features in this Release:


Sprd/Bfly

  • Enhanced historical graphs with an added flag for traders to see roll adjusted historical data with or without decay

  • Added new option to set price ratio method (also available in Swap Box)

  • Updated CIX string generator to be based on the price ratio method (also updated in Swap Box)

  • Enhanced alert options by adding support for invoice yield, invoice spread, OIS spread, ASW spread, and CMT RVS change on day measures

Swap Box

  • Updated trade information table by making “Bond DV01”, “Swap DV01”, and “Swap FPV01” overridable fields

USD TIPS

  • Added Implied Forward 1Y BEI as a complete set of columns. The Imp Fwd BEI is the BEI of a given TIPS bond forwarded 1-year using the BEI of another bond that’s 1-year further maturity

[New] Global IVSP

  • Created a new screening tool for invoice spread analysis which combines G7 + AUD currencies as separate tabs

[New] EUR S+SP

  • Created a new sheet for all EUR S+ SP bonds to replace individual EUR S+SP sheets

Historical Viewer

  • Enhanced chart labels by automatically replotting graphs when making changes and prompting traders to save

  • Updated 3M R CMT to be new label (instead of 3M R) and added support for all EUR countries

  • Added historical data for IMMFRA U9-Z9 and IMMFRA(OIS) spread against 6M LIBOR



Minor Fixes & Enhancements:

Trade Blotter: Added support for 20y point in calc swap spread

Market View – Basis Swap: Added generic IMM historical data for CLP, COP, CHF, and THB

Market View – Repo: Added CoD (Change on day) column

Future CTD: Added ability to double click in cells to bring up historical graph for IRR and actual repo

Forward Swap Matrix:

  • Added historical data for 35, 40, and 45-year swaps in the EUR LIBOR tab

  • Added support for G7 country codes in the DKK tab


Previous week's release - Bond Roll, Trade Blotter, Conditional Curve, Conditional Trade and Sprd/Bfly enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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