Pricing
- [New] STIR futures convexity now takes the smile into account
- [New] Added support of zero-coupon rates as stripping instruments
- [Bug] Fixed issues on NDFs
Contribution
- [New] Made contribution from Excel publicly available (see ContributionExamples.xls in installation folder)
Portfolio
- [New] Significant performance improvement on historical Var/ES. Risk explained P&Ls are used to identify worst case scenarios, and only PVs of these scenarios are computed. Used in “Historical VaR/ES” and “IM – CCPs” views, not in FRTB IMA because of a conflict with P&L attribution.
- [New] Add printing / exporting functionalities on pivot tables