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RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/15/22

Key Features in this Release:

  • Added Curve scenario to calculate the net basis along with a second set of PCA scenarios

  • Added closing date feature to show swaps as of date entered

  • [Future] Added “GB”, “IRR”, “REPO”, “NB”, & “dSOFR” columns

  • Added “2BD” change columns for live levels

  • Added support for FOMC OIS meeting dates up to 43rd meeting date

  • Added support for the monthly CPI rates, also in the FSM

  • Added “Fly” & “CumStep” columns

Minor Fixes & Enhancements:

CCY Bond: [Preferences – Edit PCS] Added ability to clear color settings

Trade Blotter:

  • Added “Sort” menu option to Blotter Manager

  • Added ability to override “1D Repo” cell

Future CTD:

  • Middle table default repo will be GC Repo + scenario spread adjustment

  • Added FSOFR & FESTR columns to show the forward matched maturity SOFR/ESTR rate

Global Preferences:

  • [GUI Preferences – Graph Setting – Line Chart Size] Added additional sizing options

  • [Calculation Preferences – Global Calculation Preferences] Added “AU RBA Meeting Date Roll Lag” & “NZ RBNA Meeting Date Roll Log” options

Market View:

  • [Repo] After overriding lower special repo table, cell will be highlighted

  • [Curves] Added OIS curves for RUB, COP, CZK, HKD, & CNY

USD SSA + Covered: Added ability to plot SSprd YY & SSprd Z


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