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RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/10/21

Key Features in this Release:

  • Added the ability to select multiple bonds & run Key Rate (Cashflow) Risk

  • Allow traders to create “Sprd Graph” between bond and future & then send it to Sprd/Bfly and Swap Box sheets

  • Added support for SOFR & ESTR swaptions

  • [IRVol] Added ability to customize “RatioOver10YTail”

  • [Curves - EUR] Allow traders to choose to fit EUR IMM 3s6s basis in order to build EURIBOR6s swap zero curve

  • Added support for CIX for strategies with more than 4 legs

  • [CAD]: Fixed auction seasonality data

Minor Fixes & Enhancements:


  • Added “SSprd YY” "SSprd dYY", "SSprd Z", and "SSprd dZ" columns with historical data

  • Separated OISprd columns into “OISprd YY”, “OISprd dYY”, “OISprd Z”, & “OISprd dZ” with historical data

Global Rates Monitor: Added ability to create “Sprd Graph” & “Multi Graph” for Live levels; also supported across CCYs

Market View:

  • [Curves-CMB]: CMB curve will be set to “Auto Build” on demand

  • [IRVol]: Added default PCS

Historical Viewer: When entering two different time frames, added preference to align them

Sprd/Bfly: Added history for “Exp Ret – CT MR” & “CTSprd MR Ret” columns

Preferences: Added “Auto Load Management” for Swap Box and Calendar ASW sheets


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