RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/24/21


Key Features in this Release:


Sprd/Bfly

  • [EUR, CAD]: Added support for CMTRY

  • Added new regression weighting method for butterflies - Regression (level) Weight using 2 Sprd & Regression (daily change) Weight using 2 Sprd. Also available in Forward Swap Matrix


Trade Blotter

  • [Bond] If forward date is entered, “FYld Trade” & “FPx Trade” columns will be populated and added to the “Sum(Trade Sprd)”

  • [Swaption] Added “$Sticky Delta N” & “$Sticky Delta N USD” columns. Can also be added to Summary section.


USD & EUR SSA

  • Added ROMANI ticker and standard tabs


Market View - WI

  • Added the ability to generate the WI Coupon Based on CMT Curve


[NEW]CANHOU FRN

  • Set sheet to load Canhou FRNs


Minor Fixes & Enhancements:


Forward Swap Matrix:

  • Double clicking “BM Corr” will show correlation history

  • <Right-click> – “Regression Graph” in “BM Corr” will show regression chart

  • For Vol strategies, added support for “Premium Hedge” when <right-click> - “To Trade Blotter”

  • [Lower matrix – CPI Tab]: Added double click for historical graph & renamed data table column from “Carry Adj” to “Roll Adj”

USD TBill: Added “CMB RVS”, “CMB dRVS”, “CMB 3M Rch-Chp”, “CMB RVS ZS” columns. Also available in Sprd/Bfly.

OTC vs Exch MidCurve Vol:

  • Renamed “CCY OTC NVol” to “CCY OTC NVol Swaption”

  • Added “CCY OTC NVol Cap/Floor”

USD TIPS: If WITII has px = 0, won’t affect graphs

USD Bond: Added Convexity/ Modified Duration column (“Cnvx/M Dur”)


Previous week's release - Sprd/Bfy, EUR SSA + Covered, Market View and Future NB Forecast enhancements