RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/12/22


Key Features in this Release:

CCY Bond

  • [RV Analysis] Added regression weekly change as “Weight” option, also available in Forward Swap Matrix

Sprd/Bfly

  • [Seasonality] To the Annual Date Range, added the options to show “x” days prior to the set date

Market View

  • [WI] 5-year maturity USD bond will be auto generated

Fed Fund Simulation

  • Added ability to override “FRA/ESTR Basis” & “Convexity” cells


Minor Fixes & Enhancements:

  • Forward Swap Matrix: Added carry & roll history for CNY, COP, CZK, HKD, NOK, RUB, THB IMMOIS and IMM Swap

  • CCY TIPS: Added the 2BD dBEI, 2BD dRYld, 2BD SA dBEI

  • Market View - [Curves - USD] Added historical data for convexity table


Previous week's release - Future CTD Scenario Analysis, CCY Bond, Forward Swap Matrix, and Sprd/Bfly enhancements