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 »
Common [New] Refinitiv/Reuters provider now supports historical contribution [New] Flat file now supports Eris and Deliverable swap futures [New] Improved feedback on Flat File parsing errors [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords Exotics [New] In Payoff script, all relevant measures are now calculated by default [New] Payoff script… Read More »
Common [New] SIMM now supports multiple jurisdictions, addons product class multipliers. These parameters are entered through additional CRIF files [New] SIMM CRIF additional files now supports all kinds of text files IR [Bug] UCITS Leverage measure was failing on Inflation ZC swaps
Common [New] Added a view ‘Required Tickers’ that let you see which data provider tickers are required in order to contribute a set of market data CO [New] Added support of commodity swaps with payment in non-standard currency with various FX averaging methods EQ [New] Added Equity Baskets. Supported payoffs are linear payoffs, European and… Read More »
Common [New] Most views having a yield curve in input now default to the default curve, even if it is a RFR curve [New] Added checks in historical contribution and Market data bulk operations to prevent user from contributing corrupted market data CR [New] Added modelling of stochastic intensity with JCIR++ model (Extended Cox-Ingersoll-Ross with… Read More »
Common [Bug] Market Status lag of close market sets was based on last update instead of actual market date CR [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes. [New] Added credit contingent payoffs to the payoff script [New] Added a smile chart for credit… Read More »
Common [New] Finalized Solvency Capital Requirement portfolio view adding Spread, Concentration and Equity components [New] In Market Set Comparer, added a threshold on differences [Bug] Fixed two bugs on SA-CCR (on caps & floors and non-deliverable swaps) CR [New] Added credit contingent clause on most products (CR LEG available through generic, multi-leg or exotic deals)… Read More »
Common [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks [New] Added historical contribution of seasonality [New] On CCR Capital, added a Risk weight override method. In this case,… Read More »
Common [New] On CCR Capital, added SA Risk weight method [New] In Market status of close root sets, it is now possible to see market data at all dates [New] In contribution window, it is now possible to contribute into the default set but also its live ancestors [Bug] In flat file, some caps &… Read More »