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RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/5/2024

Key Features in this Release:

  • Sprd/Bfly

    • [Butterfly Generator] Allow traders to choose weight before populating list of strategies

    • Added “Beta/Corr/Resid Matrix”


  • Bond Roll

    • Allow traders to highlight and show bond details in the lower graphs

  • Forward Swap Matrix

    • Added CMT TIPS forward matrix in the lower panel

    • Enhanced “Manage Conditional Color” function to enable support for additional conditions; also added option to save color config

Bug Fixes & Minor Enhancements:

  • Market view:

    • [Curves- AUD- IBOR] Renamed “ED$ Conv Model” to “IBOR$ Cnvx Model”, “Edit ED$ Convexity” to “Edit IBOR$ Cnvx”, “Compare ED$ Cnvx” to “Compare IBOR$ Cnvx”

    • [CAD-OIS] Remove the “Derived fromOIS3s Basis” option

  • CCY Bond: 

    • Added alert function for “SA IOTA”

    • [GBP] Added “SONIA Sprd P” set of columns

  • Forward Swap Matrix:

    • [THB] Added OIS Off-Shore timeseries

    • Enabled “Preferences” – “IMM Tenor Limit” for other CCY tabs

  • XCCY Basis Swap: Added support for CoD, as well as an option to change line colors

  • Conditional Curve: Changed “Sprd” to “Spot Sprd”

  • USD FRN: Renamed “Load UWI” to “Load UWITF” & “Load BBG WITF”

  • Sprd/Bfly: 

    • Added the off the run T-Bills, up to 6th old

    • Added Alert for SA IOTA

  • GBP TIPS: Added historical data series for “SONIA Sprd T”

  • EUR SSA: Added the ASW YY 3 month carry, rolldown, and carry + rolldown

  • Trade Blotter: [FRN] Added “1D Carry”, “1D Repo”, “1D Rolldown”, “3M Repo”, “3M C” & “3M R” columns


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