top of page

USD Sprd/Bfly Enhancement | Weekly Release 3/4/22

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


bottom of page