Key Features in this Release:
In the Global Preferences, added a flag to give traders the option to automatically dock newly opened floating windows to already open windows
Enhanced RV Analysis to support FRA and IMM FRA strategies
Highlight the calendar roll fields for contracts where the roll is stale, such that RiskVal will calculate the calendar roll using the previous day’s future closing px difference
Added flag to give traders the option to calculate the $C+R fields with or without the weight of each leg
Added “$Ann C+R” column which calculates the annualized carry and rolldown
[USD] Added the “Sprd Graph” and “Bfly Graph” for SOFR, SOFR YY and SOFR ASW Z columns; also added “To Sprd/Bfly” and “To Swap Box” options from the right-click menu
[EUR] Added the “Sprd Graph” and “Bfly Graph” for ESTR, ESTR YY and ESTR ASW Z columns; also added “To Sprd/Bfly” and “To Swap Box” options from the right-click menu
Added RV Analysis tool
Added a flag to turn on/off the roll adjustment for generic future contracts
Minor Fixes & Enhancements:
Sprd/Bfly:
In the Seasonality graph, added a tooltip for the Start/End Date to show supported date format
If Calc PCA weight is not supported, RVFI will show a warning message
IVSP & New Global IVSP: Added the background yellow highlight for IVSP SOFR YY
Future Calendar Roll: Added “Multiple Y Axis” graph setting under the “Preferences” dropdown which is also available in the New Global IVSP window
Bond Roll:
Enhanced RV Analysis with added highlighting to emphasize the corresponding columns for the selected metric, while using that same metric to calculate C+R in Expected Return and Mean Reversion Return
Added 1y~10y filter in the Sector drop-down
Added historical data for “Par Swap”
Trade Blotter:
For any of the date columns such as "Fixed Start" or "Fixed Maturity" fields, added tooltip to show date format based on the user's "input date format" in global preferences
The “Blotter Manager” has been turned on by default
Forward Swap Matrix:
Added cross country availability using the two-letter country code such that traders can enter G7 swap rates in the CHF tab
Enabled historical data for NOK CMT# and CMT#x# RVS