Common [New] Added a portfolio view to compute historical VaR/ES detailed risk explain [New] Added a portfolio view to change counterparty, agreement and CSA [New] Added a SIMM back testing portfolio view [New] In ‘Add Deals from file’ views, it is now possible to launch an existing portfolio view with the selected deals [New] In… Read More »
Common [New] In Future payments view, added flow schedule details on interest payments [New] In portfolio views, it is now possible to use preset pivot table views [New] Added Theta & Carry measures (Greek outputs) [Bug] Coverage column in leg details was not updated when basis changes EQ/CO/FX [New] Added pricing & booking of gamma… Read More »
Common [New] Added Filtered Historical Simulation (on hVaR) [New] For Historical VaR, added the ability to save shocks from historical market data [New] On market data analysis, it is now possible for a scenario to inherit base market properties [New] Improved risk calculation performance on multi-callable products (up to x3) IR [New] Added option to… Read More »
Common [New] P&L reconciliation (between explained and realized) is now available on XVA [New] On Portfolio future payments view, added underlying and notional [Bug] It was impossible to save a portfolio view as an Excel file through the API EQ/CO [New] Added event weights market data analysis view [Bug] Fixed some stability issues on Local… Read More »
Common [New] On Exotic deals, Open Market Data Analysis now also launches views to check calibration IR [New] Added Spot and Forward Inflation ZC Grids (Market Data Analysis) [New] Swaps now support full coupons on one leg, stub on the other leg [New] LCH Files now support stubs [Bug] On callables, fee adjustment was wrong… Read More »
Common [New] Improved performance when loading from database thanks to compression at transport level [New] It is now possible to save a portfolio view as an xml file when the deals are not persisted (deal id <0) IR [New] Added support of OIS Futures (including SOFR) [New] Updated ERIS swap futures according to their new… Read More »
Common [New] For Historical VaR, added the ability define shocks and to specify them through from flat files. This is also available for capital measures requiring a value at risk: FRTB IMA, CVA IMM [Bug] Add deals from files views were failing to start FX/EQ/CO [New] Equivalent notional / Portfolio replication is now available on… Read More »
Common [New] Added ability to append deals from the main window in a portfolio view. This makes incremental calculation available on all portfolio views for any new or amended deal [New] Added computation of schedule-based initial margin, based on document BCBS d475 [New] In Add Deals From File views, formats are now being guessed from… Read More »
Common [New] Added a file aggregator view allowing to build a portfolio out of flat files of different formats [New] Incremental impact is now available on most portfolio views [New] Scenarios are now available also on non-linear portfolio views (Capital & Initial Margin, XVA to follow) [New] Added Generic scenario allowing to shift any market… Read More »
Common [New] Added ability to load/save market data with csv files [New] Improved performance when loading very large portfolios through flat files [New] In the portfolio views Price/greeks and Historical price & greeks, it is now more intuitive to choose the measures to calculate [New] Custom pricing measures can now be conditional on a deal… Read More »