Monthly Archives: March 2019

Common [New] Added Portfolio Replication view [New] Added Automatic API code generation, similar to macro recording in Excel (Beta version) [New] In Market Data Analysis, added historical forward chart on views already supporting forward charts [New] Market status now supports all markets (previously only live markets), with specific rules defined in User > Options for… Read More »

Pricing [New] Improved modelling of dividends: dividends can be affine, added all-in ratio (accounting for taxation), no risk on announced dividends, new scenarios [New] Asset volatility matrices now support at the delta representation [New] Added sigma-beta Rate/Vol dynamics in IR Volatility (scenario and contribution). With this option, the SABR param  is kept constant when rates move,… Read More »