Common [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution [Bug] Fixed issue in Bloomberg Data… Read More »
Common [New] In contribution view, added a view to detect outliers in historical market data (based on Z-Score) [New] Added a shortcut to open a risk-explained view when relevant (VaR/IM/Capital) [New] Added special treatment in hVaR on Bond and Future adjustments to account for the fact that their contribution window may begin after the first… Read More »
Common [New] It is now possible to compress deals from flat files in Portfolio Definition tab [New] Yield curve contributions from 3rd party provider files (ICE DataX, DataLake and CME DataMine) now support yield curve structure mismatch (allow to contribute basis curves even if inputs are outright curves) [New] Improved ‘Compare Markets’ view: performance and… Read More »
Common [New] Added Monte-Carlo VaR – Risk factor simulation portfolio view. State-of-the-art implementation with fat tails (t-Student distribution) and major variance reduction [New] In Market Data Analysis, added new relative value measure : scenario impact [New] It is now possible to add a bond or equity from Bloomberg Data License [Bug] Bloomberg Data License is… Read More »
Common [New] Added the following asset classes in Opera exposure: Convertible Bond, Commodity, Currency, Digital Assets [New] Added Opera VaR, Sensitivity and Stress tests risk reports [New] SDR Views upgraded to support the new DTCC format. For each reported trade, added MIC [New] Many scenarios now have more filtering properties. For instance an equity market… Read More »
Common [New] Migrated to .NET 6 / C# 10. Expect 10% performance improvement (except I/O) [New] Various server-side improvements [New] Opening of Market Data Viewer and first call of Quick Launch are now much faster EQ [New] Added Equity Exposure OP Template. Other OP risk reports to follow IR [New] Added Sovereign & Interest Rate… Read More »
Common [New] Add Market Data From Files > CRZ Flat view now also accepts Excel files [Bug] For SIMM, US jursidiction excluded cash settled equity forwards Assets [New] Added support of Forward Volatility Agreements FX [New] FX Variance and volatility swaps now support FpML format (in and out)
Common [New] Added a view to compare two portfolios [New] Excel files having 1 million rows are now supported [Bug] Closed security positions (aggregate amount = 0) were displayed in Security Positions portfolio view Assets [New] Added support of forward start options on Vanilla and Lookback options IR [New] Added support of Interest rate basis… Read More »
Common [New] Added support of S&P Data Lake market data (csv files) [New] Added support of ICE DataX market data (csv files) aka SuperDerivatives [Bug] Flat file automatic format detection failed when several files were selected CR [New] Added Payoff script support for CDS and Recovery swaps IR [New] It is now possible to save… Read More »
Common [New] There is now a way to check all missing market data in one click for portfolio views requiring historical market data [New] Flat file now supports one additional fee per trade [New] Added (Digit) Range option payoff. Combined with Fixing type = AVG, this allows to price range accruals [Bug] A few properties… Read More »