RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/9/21


Key Features in this Release:


Sprd/Bfly

  • Added support for future IVSP (YY/T/Z) and IVSPO (YY/Z) using “<Bond Future>_IVSP/IVSPO_(YY/T/Z)”format

  • Revised the logic for the “Synthetic Forward Yield Weight” for butterfly strategies

  • [EUR]: Added Greek 15y, 20y, & 30y On-the-Run bonds; also available in Bond Roll &Fwd Swap Matrix sheets


[NEW] EUR Semi

  • Added new sheet for EUR Semi bonds


Historical Viewer

  • Added category to see historical data for expired FOMC meeting dates


Market View [IRVOL-RV Analysis]

  • Added Realized Market Vol “Rlzd MKT Vol”, Vol Score “Vol Score”, and three-month rolldown “3M Roll” columns


Forward Curve Analysis

  • Added support for “DDMMMYY” formatunder the “Fwd Term Curve Date” & “Tail Term” sections


New Global IVSP

  • Extended "Future Carry + Roll based on CTD” flag to cover the CCY IVSP and the New Global IVSP sheets



Minor Fixes & Enhancements:


Market View:

  • [Basis Swap]: In IMM tab, “Generic”is turned off by default

  • [Basis Swap]: In BRL tab, UC/GD is rolled to next month’s contract on the date before the last business day of each month & the UC previous contract and roll is used to derive the UC price for next month

  • [IRVol]: Mean Reversionis now adjusted by -1 in RV Analysis & Forward Swap Matrix sheets

  • [IRVol]: For swaption rolldown, enhanced “Gamma PnL Rolldown” tab to be equal to (1/2 * gamma * rolldown time * vol^2)& is either Realized Vol or Implied Vol based on what is set under the“Preferences”

CCY TIPS:

  • “Map to Generic” flag under “Preference” menuwhich will be applied to both TIPS and Nominal bonds and made consistent with the Sprd/Bfly

  • Added Carry Adjusted BEI & Carry Adjusted IOTA columns

Bond Roll: [GBP] Added the ability to set alerts on the“SONIASprd Z” column

Sprd/Bfly: [EUR]: Added “Ticker” filter for TIPS tab under the “Bond Chooser”



Previous week's release - Fed Fund Simulator, Trade Blotter, Forward Swap Matrix and Market View [Basis Swap] - Custom Basis enhancements