Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »
Common [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’ [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users [New] Tickers defined as spreads now support different sources for each leg [Bug] InjectRawMarketData scenario failed to serialize IR [New] Added a market data analysis… Read More »
Common [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!) [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default… Read More »
Common [New] Autocalls can now be converted to a payoff script deal, thus providing many fully working examples [New] In payoff scripts, added user-defined functions allowing script factorisation [New] Added a portfolio view to assess discount curve changes (any portfolio measure can be calculated) [New] Added new bulk transformations in Market definition – Risk Representation… Read More »
Common [New] Added a Payoff Script engine. This engine is linked to the HJM model and supports Least Square Monte-Carlo (aka American MC) [New] Most existing deals can be converted to a payoff script deal, thus providing many fully working examples. Autocalls to follow [New] On portfolio measures with non-linear measures (Capital, IM, XVA) added… Read More »
Common [New] Minor change to support next SIMM version (from 1st Dec 20). Only BRL FX risk is impacted IR [New] Following switch to ESTER discounting in EUR, now allows discounting to have different defaults according to market date [Bug] In SDR, SOFR and ESTER underlyings were wrongly reported as Fed Funds and EONIA EQ/FX/CO… Read More »
Common [New] One can now select all cells of a table by clicking on the top left corner cell [New] In Risks calculation inside a booking screen, added a source column to view fixing impacts CO [New] HJM model now supports several factors on convenience yields [New] HJM model now supports accurate approximation for forward… Read More »
Common [New] On Booking screens, added a details button to display data related to the product (static and pricing data) [New] In the market data viewer, added a ‘Conventions’ button to display market data conventions [New] On deal status, we now check market consistency and not only if market data are out of date [New]… Read More »
Common [New] Added new auto-generated documentation (in Menu > Help), beta version [New] Added ability to reduce granularity on linear portfolio views (for memory purpose) [New] Improved American Monte-Carlo algorithm to eliminate look-ahead bias. Very small impact on value [New] In Market data analysis, a historical chart is now displayed in tooltips by default [New]… Read More »
Common [New] In market data analysis, charts now update in real-time (except historical charts). It’s also possible to freeze a curve (mix in the same chart frozen and unfrozen lines) [New] Migrated some windows in the Menu > Tools window to the Tools folder located in the views [New] Added Fixer live date feed for… Read More »