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 »
Pricing [New] Added Vol square root T scenario on asset volatilities [New] Added ‘Strike Volatility’ scenario allowing to convert an asset vol surface into an Expiry x Strike grid [New] Added Cubic Spline asset smile interpolation Contribution [New] Added auto-contribution feature in Market Status view [New] Added ability to reset Bloomberg connection (Main Menu >… Read More »
Pricing [New] Added LSV (Local Stochastic Volatility model) to price exotics on assets (FX/EQ/CO underlyings) [New] Added CLV (Collocating Volatility model) to price exotics on assets (FX/EQ/CO underlyings) [New] Added SVI smile parametrisation [New] Historical data chart. Now, one can choose between instruments with fixed dates or sliding dates [New] Add local portfolio view. This… Read More »
Pricing [New] Improved smile interpolation on assets (FX/EQ/CO underlyings) [New] Improved Monte-Carlo precision thanks to the ‘Match Covariance’ method (applicable on XVA and multi-callable products) Portfolio [New] Added monitoring of exposure limits [New] CEM now takes into account the ‘Settlement to Market’ CSA feature [New] Added Desk granularity Miscellaneous [New] Allow deal allocation to multiple… Read More »
Pricing [New] Added support of American barriers on assets (FX/EQ/CO underlyings) [New] Added support of event weights for asset volatility [New] FX volatility now supports several BF and RR widths, typically 25% and 10% delta Market Data Analysis [New] Added event weight view on FX Contribution [New] Added connectivity to Reuters API [New] Added event… Read More »
Pricing [New] Added ‘FWD’ yield curve instrument allowing support of meeting dates/turns of the year Contribution [New] Added contribution of rate fixings Market Data Analysis [New] Added ability to save results/export results to Excel Portfolio [New] Added grid computing. Requires admin rights in this preliminary version. Miscellaneous [New] Task Scheduler now supports several time triggers… Read More »
Contribution [Bug] Contribution of historical bond curves could fail
Pricing [New] Added LPI product [New] Added new payoffs: capped (float-call), floored (float+put), collared (float+put-call) [New] Added volatility swaps and options on volatility or variance swaps on FX, Equity and Commodity asset classes. The pricing is done thanks to an Heston model which is calibrated on the fly. [New] Deal audit improved to better spot… Read More »