Author Archives: Franck Albert

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 »

Common [New] Migrated to .NET 6 / C# 10. Expect 10% performance improvement (except I/O) [New] Various server-side improvements [New] Opening of Market Data Viewer and first call of Quick Launch are now much faster EQ [New] Added Equity Exposure OP Template. Other OP risk reports to follow IR [New] Added Sovereign & Interest Rate… Read More »

Common [New] Added a view to compare two portfolios [New] Excel files having 1 million rows are now supported [Bug] Closed security positions (aggregate amount = 0) were displayed in Security Positions portfolio view Assets [New] Added support of forward start options on Vanilla and Lookback options IR [New] Added support of Interest rate basis… Read More »

Common [New] Contribution views as well as Market Data views now have an ‘Open Market Data Analysis’ function that will open relevant views attached to the market data [New] One can now add a counterparty from a BIC or ISIN code [New] In Flat files, it is now possible to see suggestions to get the… Read More »

Common [New] Added Mifid 2 Post trade reporting viewer on Bonds and Equities [Bug] Load portfolio could fail when it was trying to add on the fly a new bond appearing several times Assets [New] Flat file now supports the following exotic options : Asian/American options, Barriers, Touch option, lookbacks EQ/CO [Bug] It was impossible… Read More »

Common [New] On Historical Var view, added a functionality to see a detailed risk explanation for a given scenario [New] Added a new flat file format for market data (CRZ Flat) and added a contribution view to bulk contribute them [New] Improved macro recording to support sub-properties and command parameters IR [New] Outdated rates (such… Read More »