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 »
Common [New] It is now possible to compress deals from flat files in Portfolio Definition tab [New] Yield curve contributions from 3rd party provider files (ICE DataX, DataLake and CME DataMine) now support yield curve structure mismatch (allow to contribute basis curves even if inputs are outright curves) [New] Improved ‘Compare Markets’ view: performance and… Read More »
Common [New] Added the following asset classes in Opera exposure: Convertible Bond, Commodity, Currency, Digital Assets [New] Added Opera VaR, Sensitivity and Stress tests risk reports [New] SDR Views upgraded to support the new DTCC format. For each reported trade, added MIC [New] Many scenarios now have more filtering properties. For instance an equity market… Read More »