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RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/28/20

Key Features in this Release:

  • Enhanced the Summary panel such that traders can calculate the Greek P&L for swaption trade types such as “Delta P&L”, “Gamma P&L”, “Vega P&L”, “Theta P&L” for both local CCY and USD (Currently only works for listed options)

  • In CMS Sprd option, added forward premium column for single look options

  • Enhanced the RVAnalysis tool with the option to generate forward and tail strategies for OIS swaps

  • RVAnalysis: Added support for Libor IMM as a curve choice

  • Added columns to indicate which bonds are considered “Green Bond”, “Social Bond”, “Sustainable Bond”, if applicable

  • Live Graph: Added the “Show Table” under “Preferences”

  • Applied the “Flip ASW” preference in the Global Preferences menu to Asset Swap, OIS Spread, and Invoice Spread data series

  • Added background heatmap color to visualize richness/cheapness

  • Updated the TIPS tab to use SA BEI as the default and added the flag to flip the breakeven direction

  • Added a preference to show/hide the statistics (Z-Score and Mean/Std_d) and description tables

  • Added the “to Trade Blotter” function

Minor Fixes & Enhancements:

USD Agcy DN:

  • Updated the “1M C” drop down menu to “Carry+Roll” (Also added to USD TBill sheet)

  • Highlighted “MMY TB-T”, “MMY OIS”, “MMY dOIS”, “MMY SOFR”, “MMY dSOFR” columns

  • Added historical graph on “MMY ADN-TBill” and “TBill MMY”

  • Added TED/FF/3M SOFR Hedge calculation

CCY Bond: RV analysis

  • Renamed “Same direction C+R” to “Positive C+R” and “Same direction Yld Exp Return” to “Positive Yield MR Return”

  • Option “Positive Yield MR Return” shows only when measure is CMT RVS

Historical Viewer: Extended the “Flip ASW” flag to the historical data

On the run: Added 20Y OTR

TBA Analysis: Allow traders to override the “Live Price” column


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