Monthly Archives: November 2023

Common [New] Auto add required missing fixings from Bloomberg [New] Added support of Eurex OTC Clear yield curves (csv files) Assets [New] In Autocall, added in fine payment and bonus coupon [New] Worst of/Best of options now support American barriers. Reverse Convertibles, Bonus & Airbag Certificates now accept a worst of version [New] Improved asset… Read More »

Common [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile [New] Market Data CRZ Flat Files now support unordered tenors and strikes [New] File Inputs allowing multiple files now support wildcards (*,?) Assets… Read More »