Common
- [New] Refinitiv/Reuters provider now supports historical contribution
- [New] Flat file now supports Eris and Deliverable swap futures
- [New] Improved feedback on Flat File parsing errors
- [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords
Exotics
- [New] In Payoff script, all relevant measures are now calculated by default
- [New] Payoff script future payments are now available in the corresponding portfolio view
- [New] In Payoff script, added ‘Digital’ keyword which represents a smooth digital. It is used when converting discrete KI/KO clause of auto-callables to match the new pricing
- [New] In Payoff script, it is now possible to simulate an underlying at a date before its fixing date
- [Bug] Vega corresponding to KI/KO clause of auto-callable was wrong when the clause is Discrete because the digital required smoothing
EQ
- [New] Equity Baskets now support exotic payoffs on single underlyings such as American Barriers, KI/KO
CO
- [New] Added pricing of commodity swaptions
IR
- [New] Yield Curve stripping is now deactivated when all curve instruments allow curve construction with closed formula (those instruments are FWD and ZC)
- [New] Short Future options on non IBOR indices are now available
- [New] Added European swaptions to the Payoff script