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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/11/19

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)

LiborCPI Swap: Added flag to toggle live data as needed. Inflation traders who already open that CCY’s TIPS sheet will automatically subscribe


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