Key Features in this Release:
Bond Roll
Improved the user experience in the Gap Analysis, a popular tool for Carry + Rolldown analysis and strategy generation
Bond Trade
Added function to send trades from Swap Box to Bond Trade
Added a new calculation option, “Calc Bucket Risk (SABR Delta)”, to calculate the skew adjusted delta for SABR model swaption trades
Added support for country-specific OTR bonds (e.g. IT2, IT10) for EUR bonds in the “key rate risk” and “key rate risk (cashflow)” calculations
Basis Swap
Enhanced the lower panel matrices with a color-coded background heatmap based on 3-months historical data as rich/cheap indicator
LIBOR & OIS Curves
Added a “Reset Config” button that allows traders to switch back from any custom fitting points to RiskVal’s default settings
Forward Swap Matrix
Enhanced IMM strategies to use generic historical data (e.g. IMMBSFF3)
User Experience
Enhanced the column formatting to enhance the view of trader’s columns and overall layout across all sheets
Bug Fixes & Minor Enhancements:
RVAcademy: Added Help menus with direct links to RiskVal Academy in the following sheets → Future CTD, Swap Box, Listed SABR, Calendar ASW, TIPS
EUR Bond: Included Country & maturity sort functionality in the OTR Summary
Bond Future: Support Chinese Bond Futures (TFS, TFC, and TFT)
Libor→ CPI Swap: Added flag to toggle live data as needed. Inflation traders who already open that CCY’s TIPS sheet will automatically subscribe