RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/16/22


Key Features in this Release:

Sprd/Bfly

  • [Seasonality] Added TBill auctions, also available in Forward Swap Matrix

Forward Swap Matrix

  • [XCtry RV Analysis] Added ability to choose curve for each currency

Trade Blotter

  • Added Original Trade Date column for Realized P&L


Bug Fixes & Minor Enhancements:

Trade Blotter: [Export] Added “Select All” & “Select None” buttons

EUR Bond: Set NETHER 0.0 15-Jan-2038 as 15yr benchmark

GBP/EUR Bond: Added the IVSPO YY and Z historical data

EUR Sprd/Bfly: Added support for “NL15”, Netherlands 15yr CT


Previous week's release - Trade Blotter, Forward Swap Matrix, CCY Bond, and Future CTD enhancements