Key Features in this Release:
Added support for SFI futures
[GBP] Added support for SFI future curve under the RVAnalysis
Added the 1 Standard Deviation Mean Reversion Frequency, "1 Std MR Freq", column, which counts the number of times a trade goes from +/- 1 Stdev level back to the mean
Added “ASW YY Rich/Cheap” and “ASW YY Z-Score” columns
Added option to show and hide different currencies
Added function to calculate the repo based on the SOFR Curve for USD Bond futures
Minor Fixes & Enhancements:
User Experience: Renamed “IVSP SOFR” and “IVSP ESTR” sets of columns to “IVSPS” and “IVSPE”across RiskVal
Sprd/Bfly:
Added historical data series for “C+R/Stdev_d" column
When entering FX vol such as “EURUSD-FXVOL-3M”, RiskValenables the FX Vol for this ccy pair;also available in the Forward Swap Matrix
Enabled sending FX FWD and FX VOL strategies to the Trade Blotter; also available in the Fwd Swap Matrix
Bond Roll: Added “Issue Date” column
Fwd Swap Matrix:
Added missing C+R historic data on IMM Swap, OIS Swap and IMMOIS for all currencies
Added “Notional Hedge” as exporting option to Trade Blotter, if strategy includes FXFWD, FX OPT FX VOL etc
Trade Blotter:Added “Calculations” support for Callable Bond trade type
CMT Monitor: Added “Hist”, “Change on day”, and “Z-Score” tabs
Swap Monitor:Added the ability to have multiple or single X and Y-axis when creating multigraphs
Basis Swap: RiskVal limits the Fwd and Tail selection to the available terms in the matrix