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view to bulk contribute them [New] Improved macro recording to support sub-properties and command parameters IR [New] Outdated rates (such… Read More »
Common [New] Added ability to reconnect to Refinitiv Server [Bug] Refinitiv RIC failed when used several times (in different market data) [Bug] In contribution view, future rolls were disregarded when xml was saved with option Save Results = true [Bug] In contribution view, after yield curve futures roll, new futures were not selected
Assets [New] Added crypto-currencies, starting with BTC and ETH. All payoffs, including exotic ones, are supported. [New] Added composite assets, i.e., assets denominated in a non-standard currency. All payoffs, including exotic ones, are supported. Geodesic effective strikes are used to calculate volatility smile [New] Flat file now supports asset cash representing past physically settled flows… Read More »
Common [New] Added a view to compare two deals (Main window > Tools) [Bug] Portfolio deal filter could fail to open Exotics in Universal Model [New] HJM Model calibration views (in Market Data Analysis) can now be linked exactly to the model used by a deal [New] Sensitivities to Model correlation market data (modelling multi-factor… Read More »
Common [New] On CCR Capital views (and for KVA ccr calculation), improved the MPOR calculations for CSAs with disputes, CSAs with exotics, and settlement to market [New] Added two sources of SDR Data: DTCC SEC for single-name credit derivatives, and DTCC Canada for interest rates [New] In risk representation, it is now possible to specify… Read More »
Common [New] Amended BA-CVA and SA-CVA calculations according to https://www.bis.org/bcbs/publ/d507.pdf [New] SIMM now accepts dummy counterparties [New] CCR IMM accepts dummy counterparties if the Risk weights are overridden [New] In most contribution views, one can right-click a cell to open the underlying deal [New] In Historical Chart, it is now possible to choose two historical… Read More »
Common [New] Refinitiv/Reuters provider now supports historical contribution [New] Flat file now supports Eris and Deliverable swap futures [New] Improved feedback on Flat File parsing errors [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords Exotics [New] In Payoff script, all relevant measures are now calculated by default [New] Payoff script… Read More »