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 »
Common [New] In the GUI, introduced buttons encapsulating parameters to improve usability (ParametricCommand in API) [New] In the contribution dashboard, added Bulk historical contribution option, allowing significantly faster historical contribution for feeds supporting it (Bloomberg and Bloomberg DL) [New] Historical contribution of SO Correlation based on historical data is now possible. SO Correlation is compatible… Read More »
Common [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution [Bug] Fixed issue in Bloomberg Data… Read More »
Common [New] Added Monte-Carlo VaR – Risk factor simulation portfolio view. State-of-the-art implementation with fat tails (t-Student distribution) and major variance reduction [New] In Market Data Analysis, added new relative value measure : scenario impact [New] It is now possible to add a bond or equity from Bloomberg Data License [Bug] Bloomberg Data License is… Read More »
Common [New] Add Market Data From Files > CRZ Flat view now also accepts Excel files [Bug] For SIMM, US jursidiction excluded cash settled equity forwards Assets [New] Added support of Forward Volatility Agreements FX [New] FX Variance and volatility swaps now support FpML format (in and out)
Common [New] Added support of S&P Data Lake market data (csv files) [New] Added support of ICE DataX market data (csv files) aka SuperDerivatives [Bug] Flat file automatic format detection failed when several files were selected CR [New] Added Payoff script support for CDS and Recovery swaps IR [New] It is now possible to save… Read More »
Common [New] There is now a way to check all missing market data in one click for portfolio views requiring historical market data [New] Flat file now supports one additional fee per trade [New] Added (Digit) Range option payoff. Combined with Fixing type = AVG, this allows to price range accruals [Bug] A few properties… Read More »
Common [New] Added FRTB IMA Risk Explained portfolio view [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve) [New] Minor improvements in Market data comparer tool Assets [New] Added pricing of American options Portfolio Replication [New]… Read More »
Common [New] In pricing params, added a new option to include past flows in pricing (removing need to create cash account deals) [New] Scenarios on pricing params now support a deal or netting set filter CC [New] Added pricing of Inverse Crypto Futures EQ [Bug] ‘Add Equity’ and ‘Bulk add equities’ views could fail with… Read More »
Common [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation IR [New] Futures contribution views now allow automatic future rolls [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was… Read More »