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 »
Common [New] In Market Data Bulk Operations, added Data Points counter on market data CC [New] Added discount references corresponding to collateral being a non-remunerated cryptocurrency (e.g. BTC0). Futures and Future Options CSAs updated to use these discount references [New] Future adjustment can now be multiplicative [New] Added a scenario to convert future adjustment between… Read More »
Common [New] Realized P&L view now displays PVs before and after each effect IR [New] Added pricing parameter to make callable bond mature at next call date Asset [New] Asset vol calibration view now supports flat file input CC [New] Added cryptocurrencies as eligible reporting currencies [New] Cash-settled products now support exchange dependent fixing [Bug]… Read More »
Common [New] Scenario selection is more user-friendly [New] Refresh Markets button now also refreshes market data in the past [New] Illiquid issuers with neither funding nor credit curve have now their discount curve mapped to rating credit curve and CDS proxy factors CC [New] Added the ability to extrapolate the crypto curve with a flat… Read More »