RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/3/21


Key Features in this Release:


Sprd/Bfly

  • Allow traders to edit existingstrategies with “Strategy Editor” tool

  • Added regression historical data for “CT BM Corr”, “CT BM Beta”, “Curve Corr” and “Curve Residual” columns

  • [EUR] Added support for “Alias Name”; also available in the EUR Bond sheet


Trade Blotter

  • [Swap] Added shortcut for future delivery dates and CTD maturity dates


Forward Swap Matrix

  • Added support for Reserve Bank of New Zealand meeting dates using “RBNZ#”& “RBNZMYY” formats


Historical Viewer

  • Allow traders to choose the dependent timeseries in the multi-linear regression analysis


Swap Box

  • Added SOFR/ESTR Spread Carry, Roll, Carry+Rroll, and $Carry+Roll set of columns if traders enter strategy with all USD/EUR legs



Minor Fixes & Enhancements:


User Experience: Renamed "Vol Adj C+R" column to "(C+R) /Stdev_d" across system

Sprd/Bfly:

  • Added support for Spanish 8Y bond “ES8”

  • [USD] Show TBA Price in tick format under the “Sprd” column

  • [USD] Default TBA spread to use duration weight

  • [USD] Added TBA example strategies under “Help” – “Examples”

AUD Semi: under “Preference” – “Graph” added options to show “Multiple X Axis” and/or “Multiple Y Axis”

Historical Viewer: Added support for SPX P/E Ratio

Forward Swap Matrix:Added support for “CMB#Wx#M” format;RiskVal will build a CMB Curve from TBill

Trade Blotter:[MTGE] Added support for TBA format such as “FNCL 2 921”; RiskVal will auto-convert the format to be consistent with TBA entries in Sprd/Bfly sheet

Custom Bond: Allow traders to add new rows with<right-click>


Previous week's release - Sprd/Bfly, Forward Swap Matrix, Trade Blotter, [EUR] TBill and Historical Viewer enhancements