Miscellaneous [Bug] The pricer could fail to start Portfolio [New] Added ability to save portfolio results to the database. Results are saved with Netting Set x Book x Product granularity (not deal by deal) to reduce storage size. In this preliminary version, only admin users can save to the database.
Pricing [New] Added TRY currency (IR flows and options) [New] Added Non-deliverable IRS on CNY [New] Added Non-deliverable CCS on RUB, PHP, IDR. Now supporting 27 currencies [New] Legs with notional exchange or non-deliverable future are supported in multi-leg and callable templates, thus allowing pricing of multi-callable cross-currency/ND/zero-coupon swaps [New] Added Non-deliverable CCS product template… Read More »
Pricing [New] Added Non-deliverable IRS on 4 currencies (BRL, INR, KRW, MYR) Contribution [New] Added ability for end user to contribute his own market data in CRZ Server (with user access restrictions) Miscellaneous [New] Added support of floating licences [New] Counterparty is now mapped to LEI (Legal Entity Identifier) instead of BIC for better interoperability… Read More »
Pricing [New] STIR futures convexity now takes the smile into account [New] Added support of zero-coupon rates as stripping instruments [Bug] Fixed issues on NDFs Contribution [New] Made contribution from Excel publicly available (see ContributionExamples.xls in installation folder) Portfolio [New] Significant performance improvement on historical Var/ES. Risk explained P&Ls are used to identify worst case… Read More »
Pricing [New] Add pricing of cash settled bond futures (AUD)
Contribution [Bug] Historical data contribution was failing with Bloomberg provider Miscellaneous [New] Deals can be created from a flat file. Format is similar to SDR flat files (Admin right is required).
Pricing [New] FRNs (floating rate notes) are now supported in CRZ [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date Portfolio [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges [New] Upgraded SIMM to… Read More »
Pricing [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating) [New] Added the ability not to include the futures convexity in the 3M yield curves [Bug] Unexpected stub due to rolls on 28/02 could cause… Read More »
Pricing [New] Preparation for new currencies: HKD, SGD, MXN [Bug] Fixed synchronization issues on live markets Portfolio [New] Added FRTB Reduced SBM view (see BCBS document d408) [New] Improved market loading performance on views requiring calculations on a range of dates: hVar, FRTB IMA, FRTB CVA IMA, Historical price & greeks Market Data Analysis [Bug]… Read More »
Pricing [New] Added four currencies: CZK, HUF, PLN & ZAR [New] Added ability to discount a yield curve with an underlying in another currency (ZAR3M is discounted at USDOIS) [New] Added customized measures defined as a function of a scenario and other measures Contribution [Bug] Max Variation could fail and has been removed temporarily Market… Read More »