Pricing
- [New] Added LSV (Local Stochastic Volatility model) to price exotics on assets (FX/EQ/CO underlyings)
- [New] Added CLV (Collocating Volatility model) to price exotics on assets (FX/EQ/CO underlyings)
- [New] Added SVI smile parametrisation
- [New] Historical data chart. Now, one can choose between instruments with fixed dates or sliding dates
- [New] Add local portfolio view. This view allows to build portfolios from deals open in the GUI
- [New] Solver now accepts Spot/Forward as variable to solve in the option pricing screen (FX/EQ/CO underlyings)
- [New] On options, added a command to automatically create a delta hedge deal
Contribution
- [New] Added contribution dashboard. This makes it possible to contribute a lot of market data with low memory usage.
- [New] Now takes into account closing times to avoid false negatives in contribution status
Market Data Analysis
- [New] Improved FX smile chart by adding support of equity and commodities and ability to display smile calibrated from exotic models
- [New] Added 3D surface chart on many views
Portfolio
- [New] Added new keys to define the portfolio: Asset class, CFI, user id, alternate id, accounting, …
- [New] Realized P&L now supports split by FX pair