Common
- [Bug] VaR optimization through risk-explained could be wrong (return results based on risk-explained instead of true PV) when there are several computation sets (Measures Granularity != None)
IR
- [New] Callable deals now support exercise dates other than schedule dates. American options parsed from Bloomberg or ICE have a monthly exercise calendar
- [New] In ‘bulk add bonds’ view, added support of extendible bonds from ICE data
- [Bug] In ‘bulk add bonds’ view, various small fixes to support more cases to parse ICE bonds
- [New] Added a view to contribute IR Vol Cube from OTM volatilities, including Bloomberg VCUB output
- [New] Added support of MXN F-TIIE rate (MXNOIS in CRZ). Small changes to account for 28D period swaps
- [New] In bond curves and bond adjustment contribution views, bonds can now be identified by ISIN, CUSIP or FIGI instead of just by name
- [Bug] In Cap & Floor blotter, spot c&f vs OIS rate were wrong, the first period being removed by mistake (which is the correct convention for IBOR rates)
- [Bug] Contribution of seasonality was wrong for Aussie style CPIs (AUCPI and NZCPI)
Versions 24.0.17 and 24.0.18 were patches.