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


Key Features in this Release:

Trade Blotter

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

Forward Swap Matrix

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

USD Bond - RV Analysis

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

Future CTD

  • 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


Previous week's release - TBill and CB Rate Monitor enhancements