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Sprd/Bfly Enhancements | Weekly Release 6/18/21

Enhancement #1

Added the option to enable recalculating the “Modified Duration” upon restart

Added a flag to allow traders to choose whether to recalculate the Modified Duration weighting upon restart of their RiskVal or keep the original Modified Duration.

Under “Preferences” – “Weight Calc Frequency” – “Modified Duration Calc Freq” traders can select “Calc Once” or “Calc When Restart”


Enhancement #2

Added “Refresh Weights” option to allow traders to recalculate all selected weights

To help traders recalculate their selected weighting methods, RiskVal enhanced the “Weight” column with the “Refresh” option.

Traders can select multiple “Weight” fields, <right click> and hit “Refresh Weights”.

RiskVal will recalculate all selected weights as in screenshot above.

In this screenshot, the weights have been recalculated.


Enhancement #3

Added “Key Rate Risk” weighting option for S+SP bonds

Traders can select “Key Rate (Cashflow) Weight” for the S+SP bonds under the “Weight” column.

After <right clicking> on the “Weight” column, traders should select “Change Weight To…” – “Sprd/Bfly Weight” and select “Key Rate (Cashflow) Weight”.

RiskVal will recalculate their “Weight” column


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