RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/29/22


Key Features in this Release:


Future CTD:

  • Added preference to choose PCA parallel or normal parallel for delivery probability & scenario analysis and save repo


Sprd/Bfly:

  • Added support for micro treasury yield futures

  • Added support for “DXY” index


Forward Swap Matrix:

  • Added flag to price CADOIS vs SOFR basis off the CADOIS-SOFR basis and the CAD3sOIS

  • Added support for CMSsprd Vol

Minor Fixes & Enhancements:

  • TBill: “Added Custom Columns” function to “Table” – “Manage Columns”

  • Bond CoD Graph: Added support for “New Config” and OISprd to GBP, JPY, CAD, AUD

  • Preferences: Under “Worksheet Mgmt” – “Sheet AutoLoad Mgmt”, added Trade Blotter as an option

  • EUR SSA: Added ESMTB ticker


Previous week's release - Market View - WI, AUD Bond CoD graph, USD TBill, Bond Roll, Future CTD Scenario Analysis, and SSA + Covered enhancements