Common [New] Added FRTB IMA Risk Explained portfolio view [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve) [New] Minor improvements in Market data comparer tool Assets [New] Added pricing of American options Portfolio Replication [New]… Read More »
Common [New] Added ability to reconnect to Refinitiv Server [Bug] Refinitiv RIC failed when used several times (in different market data) [Bug] In contribution view, future rolls were disregarded when xml was saved with option Save Results = true [Bug] In contribution view, after yield curve futures roll, new futures were not selected
Common [New] In pricing params, added a new option to include past flows in pricing (removing need to create cash account deals) [New] Scenarios on pricing params now support a deal or netting set filter CC [New] Added pricing of Inverse Crypto Futures EQ [Bug] ‘Add Equity’ and ‘Bulk add equities’ views could fail with… Read More »
Assets [New] Added crypto-currencies, starting with BTC and ETH. All payoffs, including exotic ones, are supported. [New] Added composite assets, i.e., assets denominated in a non-standard currency. All payoffs, including exotic ones, are supported. Geodesic effective strikes are used to calculate volatility smile [New] Flat file now supports asset cash representing past physically settled flows… Read More »
Common [New] Added a view to compare two deals (Main window > Tools) [Bug] Portfolio deal filter could fail to open Exotics in Universal Model [New] HJM Model calibration views (in Market Data Analysis) can now be linked exactly to the model used by a deal [New] Sensitivities to Model correlation market data (modelling multi-factor… Read More »
Common [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation IR [New] Futures contribution views now allow automatic future rolls [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was… Read More »
Common [New] US Bond and Bond futures input prices are now in 32nds [New] Improved deal audit by adding a comparison of Economic differences between versions IR [New] Added bond blotter [Bug] ND XCCY swaps could fail in Flat file FX [New] In exotic model, calibration of cross FX is now super-fast (almost immediate even… Read More »
Common [New] On CCR Capital views (and for KVA ccr calculation), improved the MPOR calculations for CSAs with disputes, CSAs with exotics, and settlement to market [New] Added two sources of SDR Data: DTCC SEC for single-name credit derivatives, and DTCC Canada for interest rates [New] In risk representation, it is now possible to specify… Read More »
Common [New] Amended BA-CVA and SA-CVA calculations according to https://www.bis.org/bcbs/publ/d507.pdf [New] SIMM now accepts dummy counterparties [New] CCR IMM accepts dummy counterparties if the Risk weights are overridden [New] In most contribution views, one can right-click a cell to open the underlying deal [New] In Historical Chart, it is now possible to choose two historical… Read More »
Common [New] Added Refinitiv market data provider. Reuters, using old connectivity framework, is kept temporarily. Only real-time is supported so far, historical contribution to follow [Bug] Market data comparer showed many false positives (only in v21.1.12) CR [New] Switched ISDA Yield curves to RFR in accordance with ISDA CDS Standard Model – News (cdsmodel.com) EQ… Read More »