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 »
Common [New] Added a view to contribute manually caplet volatility from c&f straddle prices, wedges or volatilities [New] In the solver, it is now possible to solve simultaneously a strike and an amortization rate [New] In Contribution, added ‘None’ Data Provider to ensure that no real-time feed is applied by mistake [Bug] In Auto-refresh mode,… Read More »
Common [New] Added a market set comparer view, allowing to copy market data from one set to the other [New] In Market Data Bulk Operations, added ability to transform market data from a scenario [New] In Market Data Bulk Operations, added clean up functionality to fix slightly wrong market data [New] In Market Data Analysis,… Read More »