Pricing [New] STIR futures convexity now takes the smile into account [New] Added support of zero-coupon rates as stripping instruments [Bug] Fixed issues on NDFs Contribution [New] Made contribution from Excel publicly available (see ContributionExamples.xls in installation folder) Portfolio [New] Significant performance improvement on historical Var/ES. Risk explained P&Ls are used to identify worst case… Read More »
Pricing [New] Add pricing of cash settled bond futures (AUD)
Contribution [Bug] Historical data contribution was failing with Bloomberg provider Miscellaneous [New] Deals can be created from a flat file. Format is similar to SDR flat files (Admin right is required).
Pricing [New] FRNs (floating rate notes) are now supported in CRZ [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date Portfolio [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges [New] Upgraded SIMM to… Read More »
XVA stands for Valuation Adjustments, i.e. the valuation of the credit, funding and regulatory capital requirements embedded in derivative contracts. Traditional risk-neutral pricing assumes risk free discounting and neglects all these aspects, so adjustments need to be added to account for them. “Adjustment” does not mean it is minor, and XVA adjustments can be very… Read More »