Sprd/Bfly Enhancement | Weekly Release 7/9/21


Enhancement #1


Added support for future IVSP (YY/T/Z) and IVSPO (YY/Z) using “<Bond Future>_IVSP/IVSPO_(YY/T/Z)” format


Traders can enter future IVSP (YY/T/Z) and IVSPO (YY/Z) as tickers under the “Curve” column using <BondFuture>_IVSP_(YY/T/Z)" and <BondFuture>_IVSPO_(YY/Z)" formats.

Note: Also supported in the Forward Swap Matrix sheet

Enhancement #2

Revised the logic for the “Synthetic Forward Yield Weight” for butterfly strategies


In this week’s release, RiskVal team adjusted the logic behind Synthetic Forward Yield weight.

Synthetic Forward Yield weight applies for both spreads and butterfly strategies. Only spread strategies support combination of bonds and bond futures.

Traders can <right-click> on the "Weight" column, and hit "Change Weight To..." before selecting "Synthetic Fwd Yield Weight".

Enhancement #3


[EUR]: Added Greek 15y, 20y, & 30y On-the-Run bonds; also available in Bond Roll & Fwd Swap Matrix sheets


Traders can enter 15y, 20y, and 30y Greek On-The-Run bonds in the Sprd/bfly sheet. RiskVal supports “GR#” format in the Sprd/bfly sheet, and “GRB#” format in the Forward Swap Matrix sheet.

Note: Also highlighted in the EUR Bond sheet in green with the rest of the OTR bonds, setting under “Format” – “Highlight OTR