Common [New] In pricing params, added an option to refine greeks (smaller bumps), set to true by default [New] Added ‘bulk add bonds’ view, allowing to create bonds from ICE data [New] In portfolio views added allocation filter to deal with trades with multiple allocation [Bug] In Realized P&L View, P&L of deal traded at… Read More »
Common [New] Add market data from files: one can now append existing secondary tables CC [New] Cryptocurrencies are now supported in FRTB Capital measures [Bug] Future options supported only monthly tenors CR [New] Added calibration of Seniority recovery ratios in credit curve contribution view [New] Added calibration of Seniority recovery ratios from ICE DataX files… Read More »
Common [New] Realized P&L can now be calculated between two different sets at the same date [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional [New] Added support of new SDR formats (using UPI FISN) Assets [New] Added a scenario to transform volatility surface into RR/BF… Read More »