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RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/25/20

Key Features in this Release:

Docked Floating Windows

  • In the Global Preferences, added a flag to give traders the option to automatically dock newly opened floating windows to already open windows

Forward Swap Matrix

  • Enhanced RV Analysis to support FRA and IMM FRA strategies

Market View - Future

  • 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

Swap Box

  • Added flag to give traders the option to calculate the $C+R fields with or without the weight of each leg

Bond Roll

  • 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

SSA + Covered

  • Added RV Analysis tool

Future Calendar Roll

  • Added a flag to turn on/off the roll adjustment for generic future contracts

Minor Fixes & Enhancements:


  • 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

Previous week's release - Bond Roll, SSA + Covered, Sprd/Bfly, Forward Swap Matrix and Swap Box enhancements
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