Common [New] Added a portfolio view to compute historical VaR/ES detailed risk explain [New] Added a portfolio view to change counterparty, agreement and CSA [New] Added a SIMM back testing portfolio view [New] In ‘Add Deals from file’ views, it is now possible to launch an existing portfolio view with the selected deals [New] In… Read More »
Common [New] In Future payments view, added flow schedule details on interest payments [New] In portfolio views, it is now possible to use preset pivot table views [New] Added Theta & Carry measures (Greek outputs) [Bug] Coverage column in leg details was not updated when basis changes EQ/CO/FX [New] Added pricing & booking of gamma… Read More »
Common [New] P&L reconciliation (between explained and realized) is now available on XVA [New] On Portfolio future payments view, added underlying and notional [Bug] It was impossible to save a portfolio view as an Excel file through the API EQ/CO [New] Added event weights market data analysis view [Bug] Fixed some stability issues on Local… Read More »
Common [New] Improved performance when loading from database thanks to compression at transport level [New] It is now possible to save a portfolio view as an xml file when the deals are not persisted (deal id <0) IR [New] Added support of OIS Futures (including SOFR) [New] Updated ERIS swap futures according to their new… Read More »
Common [New] For Historical VaR, added the ability define shocks and to specify them through from flat files. This is also available for capital measures requiring a value at risk: FRTB IMA, CVA IMM [Bug] Add deals from files views were failing to start FX/EQ/CO [New] Equivalent notional / Portfolio replication is now available on… Read More »
Being at the forefront of the IBOR indexes migration, CRZ Pricing is proud and delighted of being part of this groundbreaking, essential, comprehensive training course on IBOR transition. In collaboration with Dantum Consulting, the course is endorsed by CISI (6 CPD points) and covers the main aspects of this transition. Claim your 10% discount for… Read More »
Common [New] Added a file aggregator view allowing to build a portfolio out of flat files of different formats [New] Incremental impact is now available on most portfolio views [New] Scenarios are now available also on non-linear portfolio views (Capital & Initial Margin, XVA to follow) [New] Added Generic scenario allowing to shift any market… Read More »
Common [New] Added Relative value based on historical quintiles on most Market data analysis (MDA) views [New] Added Carry/Roll down relative value analysis on swap, bond and CDS MDA views [New] Added smoothing relative value analysis on swap, inflation, bond, CDS and swaption straddles MDA views [New] Added view ‘Add Deals from XML Files’ allowing… Read More »
Common [New] Added support of yield curve turns of the year [New] Added bulk transformations in Market definition – Risk Representation. Ex: allows to transform all xccy curves in FX curves with a few clicks [New] In contribution view, added instantaneous forward chart for Yield/Inflation/Credit curves [New] Improved yield curve contribution from SDR. Now handles… Read More »
Common [New] Added Portfolio Dashboard allowing to hide ptf views and summarize them with one number [New] In ‘Add Deals From File’ it’s now possible to launch a portfolio view without saving the deals in DB [New] Added zooming functionality on all charts [Bug] Portfolio pricing was slower since latest version (views Price/greeks and Historical… Read More »