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RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/9/22

Key Features in this Release:

  • [Swaption] Added “Gamma N USD”, “Vega N USD”, & “Theta N USD” columns

  • After configuring forward & tail terms, lower matrix data will be auto populated

  • Added the Mean Reversion Return divided by the Daily Vol, with the ability to sort by this measure

  • Added a flag to switch the Gross Basis and Net Basis from 32s to decimals

Bug Fixes & Minor Enhancements:

USD & EUR SSA + Covered: Partitioned ticker chooser into 2 sections: Agency & Sovereign

CCY Bond: Added ability to highlight/un-highlight CTDs & UWIs, similar to existing functionality for OTRs


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