Common [New] Client clearing is now distinguished from house clearing in IM CCP portfolio view [New] Portfolio definition can now be a combination of deals from database and deals from flat files [New] Flat file Repo trade now supports haircuts [Bug] In ‘Add Deals from flat file’ view, cash product was corrupted
Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »
Common [New] Added IM hVaR Risk Explained portfolio view [New] Added CVA – FRTB SA Risk Explained portfolio view [Bug] In noteworthy strikes views, max vanna strikes were biased [New] In ‘Add Deals from flat file’ views Improved error feedback. Also improved robustness when inputs are slightly incorrect [Bug] In ‘Add Deals from flat file’… Read More »
Common [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’ [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users [New] Tickers defined as spreads now support different sources for each leg [Bug] InjectRawMarketData scenario failed to serialize IR [New] Added a market data analysis… Read More »
Common [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets [New] Improved accuracy of callable products through a better choice of regression vectors [New] Added a Quick Launch button [New] Add a PV column as well as Total PV in Local Portfolio View [New] Added an… Read More »
Common [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!) [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default… Read More »
Common [New] Autocalls can now be converted to a payoff script deal, thus providing many fully working examples [New] In payoff scripts, added user-defined functions allowing script factorisation [New] Added a portfolio view to assess discount curve changes (any portfolio measure can be calculated) [New] Added new bulk transformations in Market definition – Risk Representation… Read More »
Common [New] Payoff Script engine now supports XVA. [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template. [New] It is now possible in the historical data chart to add portfolio-based time series,… Read More »
Common [New] Added a Payoff Script engine. This engine is linked to the HJM model and supports Least Square Monte-Carlo (aka American MC) [New] Most existing deals can be converted to a payoff script deal, thus providing many fully working examples. Autocalls to follow [New] On portfolio measures with non-linear measures (Capital, IM, XVA) added… Read More »
Common [New] Minor change to support next SIMM version (from 1st Dec 20). Only BRL FX risk is impacted IR [New] Following switch to ESTER discounting in EUR, now allows discounting to have different defaults according to market date [Bug] In SDR, SOFR and ESTER underlyings were wrongly reported as Fed Funds and EONIA EQ/FX/CO… Read More »