Common [New] Correlation market data (used for quanto and multi-asset exotics) can now be defined per category as fallback [New] Added correlation contribution between single names from historical data, and between categories from SIMM market data (when relevant) IR [New] Improved bond option pricing using closed formula in HJM Model and OTM calibration at exercise… Read More »
Common [New] Added tracking error portfolio view [New] Added payoff charts (PV and intrinsic value) on option blotters [New] In ‘Market Data Bulk Operations’ view, it is now possible to save/load market data defined as flat files CC [New] Added support of Bitget, Bybit and Kraken feeds [New] Gamma P&L portfolio view now supports crypto… Read More »
Common [New] Added fields Category3 and Category4 in Deals CC [Bug] In option expiry report, future options appeared as physically settled IR [Bug] Bond TRS pricing could fail when calculating Theta [Bug] Callable bond required exotic model inputs in order to price at last exercise date with CallableBondMatureAtNextCall=true
Common [New] In Flat Files, Quote Type is also supported for Bond repos [Bug] Fixed issue on portfolio filter [Bug] Filter on field Book behaved incorrectly with multiple allocation in drilldown views CC [New] Added scenario to bump convenience yield (or equivalently dividend or repo)
Common [New] In pricing params, added an option to refine greeks (smaller bumps), set to true by default [New] Added ‘bulk add bonds’ view, allowing to create bonds from ICE data [New] In portfolio views added allocation filter to deal with trades with multiple allocation [Bug] In Realized P&L View, P&L of deal traded at… Read More »
Common [New] Add market data from files: there is now an option to stop on parsing error IR/CR [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible) [New] European Bond Options are now supported in flat file [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD,… Read More »
Common [New] Added ‘Check Market Data’ functionality in the Realized P&L view [New] Flat File/API: most identifiers are now case insensitive [Bug] Deal grouping/compression was flawed [Bug] InMemoryDataService was not working as expected when AutoRefreshMarketData = true Assets [New] Market data analysis view now support baskets and composite assets (when relevant) [New] Improved implied volatility… Read More »
CC [New] Perpetual Crypto futures are supported [New] Crypto futures vs another crypto are supported [New] Crypto futures now support idiosyncratic adjustment EQ [New] Added deal template for equity listed options Assets [Bug] Importance sampling control variate was biased when used with LSV
Common [New] Added a portfolio view to compute net asset value from quotes [New] Deal input masks now support incremental Capital/IM/XVA calculation and can be used in the local portfolio view [Bug] In autocallables, Fee adjustment was not applied on Target coupons EQ [New] Dividend contribution view now supports real-time/historical contribution of continuous dividends. Continuous… Read More »
Common [New] SPAN initial margin method now supports weekly future/listed options [New] Improved deal conversion to payoff scripts by making it more generic (using formulas instead of constants when possible) [New] Portfolio views now accept sources with non-deal (coarser) granularity [Bug] Minor fixes in Code execution and Code recording to avoid pop-ups to open in… Read More »