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 »
Common [New] Auto add required missing fixings from Bloomberg [New] Added support of Eurex OTC Clear yield curves (csv files) Assets [New] In Autocall, added in fine payment and bonus coupon [New] Worst of/Best of options now support American barriers. Reverse Convertibles, Bonus & Airbag Certificates now accept a worst of version [New] Improved asset… Read More »
Common [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile [New] Market Data CRZ Flat Files now support unordered tenors and strikes [New] File Inputs allowing multiple files now support wildcards (*,?) Assets… Read More »
Common [New] Script-based templates are now saved in database as templates instead of scripts (making them easier to use) [New] All views with input files now support archives (ZIP and GZ formats) [Bug] In Task scheduler, changing time was failing [Bug] Market closure task failed to be triggered by the task scheduler EQ,FX [New] Added… Read More »
Common [New] Improved calculation time when historical ranges of prices are involved [Bug] VaR could fail to calculate (in rare cases where VaR = 0) [New] In Market Data Bulk Operations, added tools to copy/remove secondary tables [Bug] In contribution view, secondary table entries could get duplicated each time the file was saved
Assets [New] Added pricing of Best-Of/Worst-Of options on FX and Equity baskets Common [New] Users can now share blotters [New] Added support for swaption feeds where ticker logic depends on expiry/underlying (New USD Swaptions in Bloomberg) [Bug] Bulk historical contribution (in the contribution dashboard) was failing on Bloomberg fixing tickers IR [New] In flat file,… Read More »
Common [New] Amended headers in export to Excel output to prevent identical names [Bug] Fixed bug in Bloomberg Data License [Bug] Fixed bug in serialisation in v23.0.5
Common [New] In contribution view, added a view to detect outliers in historical market data (based on Z-Score) [New] Added a shortcut to open a risk-explained view when relevant (VaR/IM/Capital) [New] Added special treatment in hVaR on Bond and Future adjustments to account for the fact that their contribution window may begin after the first… Read More »