Pricing [New] Added Credit Default baskets, aka Nth to defaults [New] Added Credit Default swaptions (single name and indices) [New] Improved credit correlation model to support more pricing methods (exact, binomial, not just LHP) [New] Added support of bespoke credit portfolios, defined in absolute or relative terms [New] Upgraded SIMM and capital measures to support… Read More »
Pricing [New] Added Equity/Commodity Futures and Future options [New] Added Dividend Futures and Dividend swaps (through SubType EQ DIVIDEND) [New] Added pricing of Double Knock-in and Knock-out (on FX/EQ/CO) [New] Auto-callable on single asset now uses asset model (e.g. LSV) instead of HJM model [Bug] Counterparty overrides (in market definition) could fail to apply [Bug]… Read More »
Portfolio [New] Added BCBS d436 measures for P&L attribution (Spearman correl, KS, Chi-Squared) [Bug] Various bug fixes on the bond risk view
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 »
The past ten years since the GFC have been remarkable in many ways for the derivative markets and the instruments traded. Among other things, the trend towards greater complexity in the financial markets and their increased regulation has been a dominant force, reshaping the way business is conducted, inflating the cost base and forcing consolidation.… 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 variance/vol swap booking screen (on FX/EQ/CO) [New] Added daily fixing impact of var/vol swaps in risk report [New] Added AFI asset smile interpolation as defined in https://pdfs.semanticscholar.org/ed07/75c39330d2dd09b55f3e0af85e5684b244a8.pdf [New] Improved Generic Leg to support FX strips [Bug] IR Delta was wrong on NZCPI products (specific case where the inflation curve is built from inflation… 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 support of AUD & NZD inflation bonds [New] Added support of inflation bond curve. Used for NZCPI [Bug] Fixed some bugs on the solver [Bug] Delta hedge deal was wrong on swaptions [Bug] Multi-callable deal could fail to price near a call date [Bug] Historical data sliding chart failed on end-of-month swap… Read More »