Common [New] Flat File, added a QuoteType field for bonds, bond options and CDS indices [Bug] Add market data from files. One market data in error could cause other curves not to be contributed IR [Bug] Bond TRS price was wrong when first fixing date is in the past API [New] Bond price conversion methods… Read More »
Common [New] Bond idiosyncratic adjustment is now available also for exotic bonds (determined thanks to Pricing Params > Adjust Securities) [New] Change of market structure (Save as market in Risk Representation) now also updates inherited markets [New] VaR optimization through risk-explained is now very reliable thanks to dynamic selection of worst scenarios (used to be… Read More »
Common [New] In pricing params, added an option to refine greeks (smaller bumps), set to true by default [New] Added ‘bulk add bonds’ view, allowing to create bonds from ICE data [New] In portfolio views added allocation filter to deal with trades with multiple allocation [Bug] In Realized P&L View, P&L of deal traded at… Read More »
Common [New] Add market data from files: one can now append existing secondary tables CC [New] Cryptocurrencies are now supported in FRTB Capital measures [Bug] Future options supported only monthly tenors CR [New] Added calibration of Seniority recovery ratios in credit curve contribution view [New] Added calibration of Seniority recovery ratios from ICE DataX files… Read More »
Common [New] Realized P&L can now be calculated between two different sets at the same date [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional [New] Added support of new SDR formats (using UPI FISN) Assets [New] Added a scenario to transform volatility surface into RR/BF… Read More »
Common [New] Add market data from files: there is now an option to stop on parsing error IR/CR [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible) [New] European Bond Options are now supported in flat file [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD,… Read More »
Common [New] In Market Data Bulk Operations, added Data Points counter on market data CC [New] Added discount references corresponding to collateral being a non-remunerated cryptocurrency (e.g. BTC0). Futures and Future Options CSAs updated to use these discount references [New] Future adjustment can now be multiplicative [New] Added a scenario to convert future adjustment between… Read More »
Common [New] Added ‘Check Market Data’ functionality in the Realized P&L view [New] Flat File/API: most identifiers are now case insensitive [Bug] Deal grouping/compression was flawed [Bug] InMemoryDataService was not working as expected when AutoRefreshMarketData = true Assets [New] Market data analysis view now support baskets and composite assets (when relevant) [New] Improved implied volatility… Read More »
Common [New] Realized P&L view now displays PVs before and after each effect IR [New] Added pricing parameter to make callable bond mature at next call date Asset [New] Asset vol calibration view now supports flat file input CC [New] Added cryptocurrencies as eligible reporting currencies [New] Cash-settled products now support exchange dependent fixing [Bug]… Read More »
Common [New] Scenario selection is more user-friendly [New] Refresh Markets button now also refreshes market data in the past [New] Illiquid issuers with neither funding nor credit curve have now their discount curve mapped to rating credit curve and CDS proxy factors CC [New] Added the ability to extrapolate the crypto curve with a flat… Read More »