Common
- [New] Added a Payoff Script engine. This engine is linked to the HJM model and supports Least Square Monte-Carlo (aka American MC)
- [New] Most existing deals can be converted to a payoff script deal, thus providing many fully working examples. Autocalls to follow
- [New] On portfolio measures with non-linear measures (Capital, IM, XVA) added a Stand-alone mode to compute each granularity group separately
- [New] In Historical VaR portfolio view, both VaR and ES are now calculated. A Volatility measure has been added.
- [New] On ‘Fixing expiries’ portfolio view, one now calculates fixing sensitivity
- [New] On ‘Option expiries’ portfolio view, one now calculates Delta, Gamma and Vega
IR
- [New] Added support of Fixed/Float Loan/Deposits in flat file
- [Bug] Yield curve Historical contribution was wrong when curve structure was different in the past
- [Bug] Bonds not quoted in clean price in Bloomberg were incorrectly contributed
EQ/FX/CO
- [New] Improved accuracy of Heston formula when vol of vol is very high
- [New] In Option pricing screen, added ability to set the settlement date of a delta hedge in forward
FX
- [New] In flat files, on FX products, Currency field now accounts for notional currency