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 »
Common [New] Added a view ‘Required Tickers’ that let you see which data provider tickers are required in order to contribute a set of market data CO [New] Added support of commodity swaps with payment in non-standard currency with various FX averaging methods EQ [New] Added Equity Baskets. Supported payoffs are linear payoffs, European and… Read More »
Common [New] Most views having a yield curve in input now default to the default curve, even if it is a RFR curve [New] Added checks in historical contribution and Market data bulk operations to prevent user from contributing corrupted market data CR [New] Added modelling of stochastic intensity with JCIR++ model (Extended Cox-Ingersoll-Ross with… Read More »
Common [New] Finalized Solvency Capital Requirement portfolio view adding Spread, Concentration and Equity components [New] In Market Set Comparer, added a threshold on differences [Bug] Fixed two bugs on SA-CCR (on caps & floors and non-deliverable swaps) CR [New] Added credit contingent clause on most products (CR LEG available through generic, multi-leg or exotic deals)… Read More »
Common [New] On CCR Capital, added SA Risk weight method [New] In Market status of close root sets, it is now possible to see market data at all dates [New] In contribution window, it is now possible to contribute into the default set but also its live ancestors [Bug] In flat file, some caps &… Read More »
Common [New] Added a market set comparer view, allowing to copy market data from one set to the other [New] In Market Data Bulk Operations, added ability to transform market data from a scenario [New] In Market Data Bulk Operations, added clean up functionality to fix slightly wrong market data [New] In Market Data Analysis,… Read More »