Pricing
- [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model
- [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO)
- [New] Added pricing of Lookback options (on FX/EQ/CO)
- [New] Added pricing of BRL bonds (special conventions)
- [New] Added support of cross-currency asset swaps
- [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility to allow specification of the volatility dynamics wrt to underlying
- [New] Allow HJM model calibration (used in Exotics & XVA) not to calibrate mean-reversion
Portfolio
- [New] Added bond view: computes typical bond risk measures on a bond portfolio
- [New] FRTB SA upgraded to version d436. It’s also possible to choose an earlier version (e.g. use d352)