Pricing
- [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD
- [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating)
- [New] Added the ability not to include the futures convexity in the 3M yield curves
- [Bug] Unexpected stub due to rolls on 28/02 could cause yield curve stripping failures
Contribution
- [New] Added SDR view for NDFs
- [New] Added ability to contribute historical market data from Bloomberg (Yield curves, bonds, futures, FX spot, FX volatilities)
- [New] Bloomberg feed can now be used on Bond curves
- [New] Bloomberg feed can now be used on forward swaps (in outright yield curves)
Market Data Analysis
- [New] Added “Credit – Instantaneous Forwards” view
- [New] Various performance improvements
Portfolio
- [New] Added “Initial Margin for CCPs” view
- [New] Added “FRTB DRC IMA” view