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RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/21/20

Key Features in this Release:

  • Added variety of font (size) options for table, worksheet title and system font

  • RVAnalysis: add the option to send to the Trade Blotter Sprd01

  • XCCY Basis Swap trades support overwriting of Sprd01 USD, to allow user to back out the notional

  • Enhanced the Summary panel such that traders can sum up the convexity of their bond and swap positions from the “$Gamma N” column

  • Enhanced the Historical VaR calculation and added Theta, which shows the Carry for bond positions

  • Added IRR-Repo column with historical data to track the spread between the implied repo vs actual repo rate

  • Added ESTR vs EONIA for the EUR Basis swap. Levels derived from ESTR and EONIA

  • Added “MMY SOFR” which is the Agency Discount Note’s money market yield minus the matched-maturity SOFR rate, as well as the spread’s change on day

Minor Fixes & Enhancements:


  • [USD] Added Fwd Zero Swap column, also available in the USD SP sheet

  • Added “Auto load WI” under Preferences

CAD Prov: Added Forward date field to populate the forward columns

Market View - Curves - CPI Swap: Added default PCS for GBP and DEM

CCY Bond: Allow traders to enable “multiple Y Axis”

Fwd Swap Matrix:

  • Nested the weight options under the “Change To” <right click> menu, under the weight column

  • Add the heatmaps for the Swap-CPI forward matrix

  • [NZD] Added the historical data for carry

  • Added local PCA weighting as an option under the Preferences column for butterfly strategies


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