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 »
Common [New] Contribution views as well as Market Data views now have an ‘Open Market Data Analysis’ function that will open relevant views attached to the market data [New] One can now add a counterparty from a BIC or ISIN code [New] In Flat files, it is now possible to see suggestions to get the… Read More »
Common [New] Added Mifid 2 Post trade reporting viewer on Bonds and Equities [Bug] Load portfolio could fail when it was trying to add on the fly a new bond appearing several times Assets [New] Flat file now supports the following exotic options : Asian/American options, Barriers, Touch option, lookbacks EQ/CO [Bug] It was impossible… Read More »
Common [New] On Historical Var view, added a functionality to see a detailed risk explanation for a given scenario [New] Added a new flat file format for market data (CRZ Flat) and added a contribution view to bulk contribute them [New] Improved macro recording to support sub-properties and command parameters IR [New] Outdated rates (such… Read More »