Enhancement #1
Added “SSprd YY Stdev_d” & “IVSPS YY Stdev_d” columns
RiskVal added support for SOFR/IVSPS spread YY realized daily vol based on 3-month historical data.
Traders can add both columns form “Table” – “Manage Columns”.
Enhancement #2
Added support for PCA weights for CMT strategies
Traders can enter CMT strategies using the “CMT#” format. Traders who are looking to change weighting to PCA weighting have to <right click> on the “Weight” column and select “Change Weight To...” – “Sprd/Bfly Weight” – and form the list choose “PCA Weight”.
Note: Hover over “Weight” column to see selected weight