Common [New] Bond adjustment market data now accepts most common bond formats (e.g., ISIN, CUSIP) [New] Flat File now supports Bloomberg future option tickers (e.g., ISIN, CUSIP) [New] Automatically add bonds present in flat files if they don’t exist in the system [New] In bond adjustment market data contribution, one can now select the bonds… Read More »
Common [New] IM hVaR Risk Explained view now takes the latest improvements on LCH SwapClear and Eurex OTCClear IM calculations [New] Added underlying value (e.g., asset forward, swap rate) in the deal pricing measures [New] Added scenarios for Initial Margin liquidity parameters [New] Fine-tuned Historical VaR to better match IM CCP calculations: burn-in period, scenarios… Read More »
IR [New] Added support of Eurex OTC CSV files [Bug] Historical contribution of bond idiosyncratic adjustments from Bloomberg was wrong [Bug] In Risk transformations, forward tenor transformations with IMM tenors could fail in Advanced projection mode EQ/FX/CO [Bug] On Phoenix deals, market data dependencies were incomplete
Common [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities… Read More »
Common [New] In historical chart, one can now choose the market data set [Bug] Market data from local sets were not displayed in market data explorer [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade) [Bug] Marginal allocation by Category 1 & 2 was failing IR… Read More »
Common [New] For more transparency, most static data are now visible in Market Data Viewer (e.g., Bond types) [New] Historical contribution of fixings in yield curves now fallbacks to historical fixings if missing in the feed [Bug] Portfolio view Price Details refused to compute greeks considered as not required (e.g., IR Swap gamma) [Bug] In… Read More »
Common [New] Historical market data contribution now uses currency calendar by default [New] Historical contribution of market data: end user can now compare with existing market data when any and choose between existing or new data [New] Bond (idiosyncratic) market data: one can now choose to select only CTDs or bond future deliverables [New] It… Read More »
Common [New] Market data in local close sets are now persisted in a local database acting as a cache [New] In SIMM Risk Explained view, it’s now possible to optimise initial margin by rebalancing risk between two counterparties [New] Added support of Leverage portfolio measure with two methods: UCITS and Bond notional equivalent [Bug] Category1… Read More »
Common [New] Server has been upgraded to gRPC for better performance and .NET 5 new features [New] Most deals can now be converted into a flat file row [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them. [New] Added user-defined counterparty shortcuts (in… Read More »
Common [New] In market data conventions window, added an instrument details tab [New] Add a deal grouping portfolio view allowing to aggregate deals with similar characteristics. For instance IR swaps differing only in notional amount and fixed rate will be aggregated [New] FpML parsing is now much faster: ~x20, >500 deals parsed /core/second [New] In… Read More »