Pricing [New] Added TRY currency (IR flows and options) [New] Added Non-deliverable IRS on CNY [New] Added Non-deliverable CCS on RUB, PHP, IDR. Now supporting 27 currencies [New] Legs with notional exchange or non-deliverable future are supported in multi-leg and callable templates, thus allowing pricing of multi-callable cross-currency/ND/zero-coupon swaps [New] Added Non-deliverable CCS product template… Read More »
Pricing [New] STIR futures convexity now takes the smile into account [New] Added support of zero-coupon rates as stripping instruments [Bug] Fixed issues on NDFs Contribution [New] Made contribution from Excel publicly available (see ContributionExamples.xls in installation folder) Portfolio [New] Significant performance improvement on historical Var/ES. Risk explained P&Ls are used to identify worst case… Read More »
Contribution [Bug] Historical data contribution was failing with Bloomberg provider Miscellaneous [New] Deals can be created from a flat file. Format is similar to SDR flat files (Admin right is required).
Pricing [New] FRNs (floating rate notes) are now supported in CRZ [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date Portfolio [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges [New] Upgraded SIMM to… Read More »
Pricing [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating) [New] Added the ability not to include the futures convexity in the 3M yield curves [Bug] Unexpected stub due to rolls on 28/02 could cause… Read More »
Pricing [New] Preparation for new currencies: HKD, SGD, MXN [Bug] Fixed synchronization issues on live markets Portfolio [New] Added FRTB Reduced SBM view (see BCBS document d408) [New] Improved market loading performance on views requiring calculations on a range of dates: hVar, FRTB IMA, FRTB CVA IMA, Historical price & greeks Market Data Analysis [Bug]… Read More »
Pricing [New] Added support of Wrong Way risk on CVA: a correlation between exposure and time of default is defined at credit curve level Portfolio [New] Added BA-CVA (FRTB) view [New] Added Marginal Impact of Risk on FRTB-SBM view [New] Added dynamic chart linked to pivot table [Bug] FRTB-IMA marginal allocation was wrong Contribution [New]… Read More »
Pricing [New] Added Eris style Swap Futures [New] Added Deliverable Swap Futures [New] Add FX Futures and FX Future options [New] Added CSA specification. Previously, only perfect CSAs were supported [Bug] Fixed incorrect stubs occurring at end of month Contribution [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly… Read More »
The standard market formula used to price cash-settled swaptions is a copy of the physical delivery Black formula, where the classical annuity term is replaced with a single-factor one (discounting on the underlying swap rate fixing at maturity). As reported in Mercurio and OpenGamma notes, this formula is not arbitrage-free. In order to get a proper… Read More »