Common [New] Added Initial Margin calculation with the SPAN method for futures and future options [New] Added Initial Margin Dashboard to aggregate IM across all calculation methods (SPAN, hVaR, SIMM) [New] Portfolio views will now automatically open dependencies whenever they are missing [New] Added risks calculations in pricing screen with ability to override all sensitive… Read More »
Common [New] In Market Data Analysis, added support of unlimited number of markets [New] On charts, added composite lines, i.e. ability to add curves such as spread, fly, ratio of other curves [New] On historical data charts, added analysis lines such as (moving) historical vol/correl, linear regression, etc. Also added line analyses such as max,… Read More »
Common [New] Added Portfolio Replication view [New] Added Automatic API code generation, similar to macro recording in Excel (Beta version) [New] In Market Data Analysis, added historical forward chart on views already supporting forward charts [New] Market status now supports all markets (previously only live markets), with specific rules defined in User > Options for… Read More »
Pricing [New] Improved modelling of dividends: dividends can be affine, added all-in ratio (accounting for taxation), no risk on announced dividends, new scenarios [New] Asset volatility matrices now support at the delta representation [New] Added sigma-beta Rate/Vol dynamics in IR Volatility (scenario and contribution). With this option, the SABR param is kept constant when rates move,… Read More »
Pricing [New] Added Credit Default baskets, aka Nth to defaults [New] Added Credit Default swaptions (single name and indices) [New] Improved credit correlation model to support more pricing methods (exact, binomial, not just LHP) [New] Added support of bespoke credit portfolios, defined in absolute or relative terms [New] Upgraded SIMM and capital measures to support… Read More »
Pricing [New] Added Equity/Commodity Futures and Future options [New] Added Dividend Futures and Dividend swaps (through SubType EQ DIVIDEND) [New] Added pricing of Double Knock-in and Knock-out (on FX/EQ/CO) [New] Auto-callable on single asset now uses asset model (e.g. LSV) instead of HJM model [Bug] Counterparty overrides (in market definition) could fail to apply [Bug]… Read More »
Portfolio [New] Added BCBS d436 measures for P&L attribution (Spearman correl, KS, Chi-Squared) [Bug] Various bug fixes on the bond risk view
Pricing [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO) [New] Added pricing of Lookback options (on FX/EQ/CO) [New] Added pricing of BRL bonds (special conventions) [New] Added support of cross-currency asset swaps [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility… Read More »
Contribution [New] Added possibility to allow missing feeds in a contribution screen [New] Minor adjustments to handle TP ICAP market data feed on FX Portfolio [New] Added view ‘Scenarios with re-hedge’ [New] Upgraded SIMM to SIMM v2.1 effective 01/12/2018 Miscellaneous [New] Added support of FIXML messages
Pricing [New] Added pricing of CDS Index tranches, added Base correlation market data [New] Added 5 currencies : THB, TWD, ILS, CLP, COP [New] Added incremental XVA calculation in all booking screens Contribution [New] Added TP ICAP market data feed on inflation zero-coupon swaps [Bug] Fixed bug on TP ICAP feed when the same RIC was… Read More »