Common [New] Added a portfolio view to compute net asset value from quotes [New] Deal input masks now support incremental Capital/IM/XVA calculation and can be used in the local portfolio view [Bug] In autocallables, Fee adjustment was not applied on Target coupons EQ [New] Dividend contribution view now supports real-time/historical contribution of continuous dividends. Continuous… Read More »
Common [New] Auto add required missing fixings from Bloomberg [New] Added support of Eurex OTC Clear yield curves (csv files) Assets [New] In Autocall, added in fine payment and bonus coupon [New] Worst of/Best of options now support American barriers. Reverse Convertibles, Bonus & Airbag Certificates now accept a worst of version [New] Improved asset… Read More »
Common [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile [New] Market Data CRZ Flat Files now support unordered tenors and strikes [New] File Inputs allowing multiple files now support wildcards (*,?) Assets… Read More »
Common [New] SPAN initial margin method now supports weekly future/listed options [New] Improved deal conversion to payoff scripts by making it more generic (using formulas instead of constants when possible) [New] Portfolio views now accept sources with non-deal (coarser) granularity [Bug] Minor fixes in Code execution and Code recording to avoid pop-ups to open in… Read More »
Common [New] Script-based templates are now saved in database as templates instead of scripts (making them easier to use) [New] All views with input files now support archives (ZIP and GZ formats) [Bug] In Task scheduler, changing time was failing [Bug] Market closure task failed to be triggered by the task scheduler EQ,FX [New] Added… Read More »
Common [New] Improved calculation time when historical ranges of prices are involved [Bug] VaR could fail to calculate (in rare cases where VaR = 0) [New] In Market Data Bulk Operations, added tools to copy/remove secondary tables [Bug] In contribution view, secondary table entries could get duplicated each time the file was saved
Assets [New] Added pricing of Best-Of/Worst-Of options on FX and Equity baskets Common [New] Users can now share blotters [New] Added support for swaption feeds where ticker logic depends on expiry/underlying (New USD Swaptions in Bloomberg) [Bug] Bulk historical contribution (in the contribution dashboard) was failing on Bloomberg fixing tickers IR [New] In flat file,… Read More »
Common [New] In the GUI, introduced buttons encapsulating parameters to improve usability (ParametricCommand in API) [New] In the contribution dashboard, added Bulk historical contribution option, allowing significantly faster historical contribution for feeds supporting it (Bloomberg and Bloomberg DL) [New] Historical contribution of SO Correlation based on historical data is now possible. SO Correlation is compatible… Read More »
Common [New] Amended headers in export to Excel output to prevent identical names [Bug] Fixed bug in Bloomberg Data License [Bug] Fixed bug in serialisation in v23.0.5
Common [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution [Bug] Fixed issue in Bloomberg Data… Read More »