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 »
Common [New] In contribution view, added a view to detect outliers in historical market data (based on Z-Score) [New] Added a shortcut to open a risk-explained view when relevant (VaR/IM/Capital) [New] Added special treatment in hVaR on Bond and Future adjustments to account for the fact that their contribution window may begin after the first… Read More »
Common [New] It is now possible to compress deals from flat files in Portfolio Definition tab [New] Yield curve contributions from 3rd party provider files (ICE DataX, DataLake and CME DataMine) now support yield curve structure mismatch (allow to contribute basis curves even if inputs are outright curves) [New] Improved ‘Compare Markets’ view: performance and… Read More »