Common
- [New] Server has been upgraded to gRPC for better performance and .NET 5 new features
- [New] Most deals can now be converted into a flat file row
- [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them.
- [New] Added user-defined counterparty shortcuts (in User Options)
- [New] In portfolio definition, it is now possible to apply a deal filter on flat files
- [New] In Portfolio view, it is now possible to export all views to Excel in one go
- [New] Historical VaR dates can now have a non-daily periodicity
- [Bug] Saving views could result in tabs remaining hidden
- [Bug] Notional property of cash account deal was zero (was just a display issue)
- [Bug] VaR on bond failed when Bond market data (idiosyncratic adjustment) was empty
EQ
- [New] Added pricing of convertible bonds. Uses a new defaultable equity model
- [New] In Market Data Analysis – Equity Calibration, it is possible to check this new defaultable equity model
EQ/FX/CO
- [New] Added contribution from historical volatility. Historical volatility is terminal, aka sliding-converging
CR
- [New] Now taking restructuring clause price impact into account through different recovery ratios
IR
- [New] Bond curves now support generic tenors (e.g. 10Y). This is slightly inaccurate as exact underlying bond is not known
- [New] Bond and future contribution screens now allow by default contribution when some feeds are missing
- [Bug] Fix date issue on CHFOIS1M short future (this future has special date conventions)
API
- [New] Replace calls to WebServiceClient (old server) with RPC Client (new server). Old server will remain active for some time.