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 »
Pricing [New] Added support of Wrong Way risk on CVA: a correlation between exposure and time of default is defined at credit curve level Portfolio [New] Added BA-CVA (FRTB) view [New] Added Marginal Impact of Risk on FRTB-SBM view [New] Added dynamic chart linked to pivot table [Bug] FRTB-IMA marginal allocation was wrong Contribution [New]… Read More »
Pricing [New] Added Eris style Swap Futures [New] Added Deliverable Swap Futures [New] Add FX Futures and FX Future options [New] Added CSA specification. Previously, only perfect CSAs were supported [Bug] Fixed incorrect stubs occurring at end of month Contribution [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly… Read More »
Pricing [New] Added Mandatory termination options [New] Added Cap & floor blotter Contribution [New] Added Missing fixings contribution screen [New] Added Max variation to prevent contribution errors [New] Added manual ATM volatility Cap & floor calibration [Bug] USD ATM Volatility would not open since the addition of USDCME3M curve [Bug] Contribution was too frequent when… Read More »