Common [New] Added Filtered Historical Simulation (on hVaR) [New] For Historical VaR, added the ability to save shocks from historical market data [New] On market data analysis, it is now possible for a scenario to inherit base market properties [New] Improved risk calculation performance on multi-callable products (up to x3) IR [New] Added option to… Read More »
Common [New] On Exotic deals, Open Market Data Analysis now also launches views to check calibration IR [New] Added Spot and Forward Inflation ZC Grids (Market Data Analysis) [New] Swaps now support full coupons on one leg, stub on the other leg [New] LCH Files now support stubs [Bug] On callables, fee adjustment was wrong… Read More »
Common [New] Added ability to append deals from the main window in a portfolio view. This makes incremental calculation available on all portfolio views for any new or amended deal [New] Added computation of schedule-based initial margin, based on document BCBS d475 [New] In Add Deals From File views, formats are now being guessed from… Read More »
Common [New] Added ability to load/save market data with csv files [New] Improved performance when loading very large portfolios through flat files [New] In the portfolio views Price/greeks and Historical price & greeks, it is now more intuitive to choose the measures to calculate [New] Custom pricing measures can now be conditional on a deal… Read More »
Common [New] Add flexibility on IBOR Migration view: several fallback scenarios with different params, overrides [New] Added full pricing details (all relevant/selected measures) on each flow [New] In auto-callables, added continuous Knock-In/Knock-Out [New] In auto-callables, added Knock-In/Knock-Out based on CMS Spreads [New] In market data viewer, its now possible to open the underlying deal by… Read More »
Pricing [New] Added variance/vol swap booking screen (on FX/EQ/CO) [New] Added daily fixing impact of var/vol swaps in risk report [New] Added AFI asset smile interpolation as defined in https://pdfs.semanticscholar.org/ed07/75c39330d2dd09b55f3e0af85e5684b244a8.pdf [New] Improved Generic Leg to support FX strips [Bug] IR Delta was wrong on NZCPI products (specific case where the inflation curve is built from inflation… Read More »
Pricing [New] Added support of AUD & NZD inflation bonds [New] Added support of inflation bond curve. Used for NZCPI [Bug] Fixed some bugs on the solver [Bug] Delta hedge deal was wrong on swaptions [Bug] Multi-callable deal could fail to price near a call date [Bug] Historical data sliding chart failed on end-of-month swap… Read More »
Pricing [New] Added support of exotic bonds (such as callable bonds): bonds are defined internally with a booking screen, linked to market identifiers (e.g. ISIN) and are bookable as a security with the usual bond screen [New] Added market scenario to bump a forward bucket of a yield curve [New] Added more flexibility in yield… Read More »
Pricing [New] Added ‘Monotone Convex’ Spline as described in www.math.ku.dk/~rolf/HaganWest.pdf [New] Added full details view on bond and bond futures to check static data as well as pricing details [New] Added market scenario to remove inflation seasonality [Bug] Inflation bond risks were wrong (Inflation delta missing) [Bug] Inflation bond index ratio rounding was not applied Contribution… Read More »
Pricing [New] Added AED, SAR, MAD and TND currencies [New] Added Gold commodity as a currency (XAU) [New] Added Equity Variance Swaps [New] Added Equity Swaps (TRS) including the resettable IR leg