RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/17/21


Key Features in this Release:


Sprd/Bfly

  • Allow traders to choose the distance between left and right wings with body in the Butterfly Generator

  • Enhanced “BM Corr” cells to allow traders to access historical and regression scatterplot data more easily

  • Added support for SSprd YY/Z set of columns for US CMT strategies


EUR SSA + Covered

  • Added support for EU SSA Bills


Market View

  • [Curves] Added support for CMT RY curves for EUR and CAD, also available in the Forward Swap Matrix

  • [Curves:] Added ED$ Convexity curve under the USD - Libor tab

  • [Basis Swap] Added Sonia v SOFR, also available in the Custom Basis


Future NB Forecast

  • Allow traders to use “Step Repo” curve to calculate the repo


Minor Fixes & Enhancements:


CCY Bond: Added “1~5 Y” as new sector filter

USD TIPS: Added support for SSprd YY and SSprd Z set of columns

Market View:

  • Curves: [USD – CMT B] Added “DV01” column

  • Curves-Libor: Traders can enter custom dates to get the discount factor

USD S+SP: Added column to show match maturity zero coupon OIS rate, this column is used to calculate “OISprd YY”

Listed Option SABR: Added support for 1/16 strike increment for ED$ Futures

Forward Swap Matrix: [HDK/NOK] Adjusted the CMT to limit the spot and forwards to 10 yrs in both the top table and “CMT”, “Swap-CMT”, and “CMT Roll” tabs

Trade Blotter: Under the Swap and Swaption sections, renamed Floating Index from “FedFund” to “OIS”


Previous week's release - CCY Bond, Trade Blotter, Market View, and Sprd/Bfly enhancements