RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/7/20



Key Features in this Release:


[NEW] USD Agency DN

  • Created a new USD Agency Discount Notes (“DN”) sheet for agency traders to analyze Zero Coupon Agency Discount Notes. Supported tickers include: FNMDN, FREDN, FFCBDN, and FHLBDN

Sprd/Bfly

  • Enhanced the CIX string generator for cross-market strategies with the flexibility to include or exclude the FX adjustment. Also available in the Swap Box

  • [AUD] Enhanced the “Sprd” column for strategies containing AUD Bond Futures which will use the Invoice Yield instead of the CTD Yld. Additionally, bond/bond future strategies will use the spot yield such that “Inv Yld” = (Future Yld - Bond Yld) *100

  • Added a new function to remove unsupported strategies, such as expired strategies or strategies with incorrect formatting

Market View: Curves

  • Consolidated Libor, OIS, SOFR/ESTR curves configuration such that when users click “reset config”, users do not have to click the “Save Config” button. This way, future fitting point defaults will automatically get propagated to the user.



Minor Fixes & Enhancements:


Calendar ASW: For calendar trades, set the “Derived Yield Leg” to use the non-active future by default. This option is available under ‘Tools’ dropdown

EUR Bond: When users subscribe to eurozone countries (Greece, Slovenia, Ireland, Slovakia), RiskVal will automatically build the corresponding CMT and ASW Z Spline curves. Unsubscribing to either of these eurozone countries will simultaneously remove the auto-build for these curves

Forward Swap Matrix: Lower matrices support “hist” and “Chg” tabs across CMT Roll, Roll, Carry + Roll, Vol Adj Roll, Running CPS, CPI, Swap-CPI

Listed SABR: Added the function to <right click> to delete tabs

Trade Blotter: Updated the BRL Bond P&L calculation



Previous week's release - Trade Blotter, SOFR, Sprd/Bfly and SSA enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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