RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/14/20



Key Features in this Release:


Forward Swap Matrix

  • Added historical data to Expected Return and Mean Reversion Return fields in RV Analysis (also in Basis Swap Monitor)

  • Enhanced RV Analysis to generate top performing strategies with positive carry and rolldown flag

[New] Historical Viewer

  • The Historical Viewer sheet has been reworked and reorganized to increase usability, convenience, and is more intuitive

Trade Blotter

  • Enhanced Basis Swap trade types such that traders can enter custom levels for the Sprd01 value to solve for the notional amount

Listed Option SABR Model

  • Enhanced the Strategy section with an added Total Cost column, and added $Delta Neutral, zero cost call and put tabs

EUR SSA + Covered

  • Added flexibility for traders to change the Comp Trsy benchmark and assign a specific country for each SSA ticker

Sprd/Bfly

  • [USD] Support USD Agency discount notes such that traders can send strategies over from the USD Agency DN sheet



Minor Fixes & Enhancements:


Trade Blotter: Support SOFR swaps and ESTR swaps for traders to calculate Horizontal Analysis and PCA Scenarios

Conditional Curve: Added weight column, and adjusted the convention to be consistent with Fwd Swap Matrix

Sprd/Bfly:

  • [CAD] Added support for generic USD TIPS

  • [EUR] Added a generic ticker for the Italian 20-year bond (IT20)

Market View - IRVOL: Renamed the following fields: volDiff to CoD, Annual Diff to CoD, and realizedBPAnnualVol to realizedAnnual



Previous week's release - [NEW] USD Agency DN, Sprd/Bfly and Market View: Curves enhancements
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