Monthly Archives: October 2018

Pricing [New] Added Vol square root T scenario on asset volatilities [New] Added ‘Strike Volatility’ scenario allowing to convert an asset vol surface into an Expiry x Strike grid [New] Added Cubic Spline asset smile interpolation Contribution [New] Added auto-contribution feature in Market Status view [New] Added ability to reset Bloomberg connection (Main Menu >… Read More »

Pricing [New] Added support of AUD & NZD inflation bonds [New] Added support of inflation bond curve. Used for NZCPI [Bug] Fixed some bugs on the solver [Bug] Delta hedge deal was wrong on swaptions [Bug] Multi-callable deal could fail to price near a call date [Bug] Historical data sliding chart failed on end-of-month swap… Read More »