Common [New] Migrated to .NET 8 / C# 12. Expect 15% performance improvement (except I/O) IR [New] Added Cap/Floor periodicity field in Blotter/Market data analysis/SDR views. This is an additional parameter required for cap/floors vs OIS. Previously, it was assumed to be the same as the swap floating leg periodicity. [Bug] floating loan payment gap… Read More »
Common [New] Added a portfolio reconciliation tool allowing to update the deals in database from a file [New] Flat file now supports all option payoffs, added payoffs with two strikes or digits IR [Bug] IR Vol smoothing relative value failed in version 24.1.5 [Bug] Repo trade could fail in version 24.1.5
Common [New] Added bulk deal transformations (Reverse, Asset swaps, delta hedges, future underlyings) in portfolio content view [New] In cap & floor and asset option blotters, added the ability to calculate spread or fly ratios [New] In Historical VaR, it is now possible to exclude manually some dates from VaR contribution [New] Repo haircut can… Read More »
Common [New] It is now possible to specify numerical precision in portfolio views [New] It is now possible to specify a result currency different from reporting currency in portfolio views IR [New] In swaption blotter, added the ability to calculate spread or fly ratios [New] In spot IR swap and Inflation swap market data analysis… Read More »
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… Read More »
Common [Bug] Deleting market data in ‘Market Data Bulk Operations’ could fail (only in v24.0.15) EQ [New] Equity indices can now be decomposed into their constituents CR [New] Improved credit curve stripping in the case where recovery is different from ISDA recovery IR [New] Bond option now takes Z-Spread bond adjustment into account [Bug] Callable… Read More »
Common [New] Flat File, added a QuoteType field for bonds, bond options and CDS indices [Bug] Add market data from files. One market data in error could cause other curves not to be contributed IR [Bug] Bond TRS price was wrong when first fixing date is in the past API [New] Bond price conversion methods… Read More »
Common [New] Bond idiosyncratic adjustment is now available also for exotic bonds (determined thanks to Pricing Params > Adjust Securities) [New] Change of market structure (Save as market in Risk Representation) now also updates inherited markets [New] VaR optimization through risk-explained is now very reliable thanks to dynamic selection of worst scenarios (used to be… Read More »
Common [New] Add market data from files: one can now append existing secondary tables CC [New] Cryptocurrencies are now supported in FRTB Capital measures [Bug] Future options supported only monthly tenors CR [New] Added calibration of Seniority recovery ratios in credit curve contribution view [New] Added calibration of Seniority recovery ratios from ICE DataX files… Read More »
Common [New] Realized P&L can now be calculated between two different sets at the same date [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional [New] Added support of new SDR formats (using UPI FISN) Assets [New] Added a scenario to transform volatility surface into RR/BF… Read More »