Pricing
- [New] Added Eris style Swap Futures
- [New] Added Deliverable Swap Futures
- [New] Add FX Futures and FX Future options
- [New] Added CSA specification. Previously, only perfect CSAs were supported
- [Bug] Fixed incorrect stubs occurring at end of month
Contribution
- [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly priced. Non-negligible impact only on 30Y column.
Market Data Analysis
- [New] Added Carry and Rolldown measures on spot swap rates
Portfolio
- [New] Added Incremental impact on XVA
- [New] Added computation of exposures (EE, NEE, PFE) for perfect CSA without initial margin
- [New] Added FRTB IMA (GES, SES, P&L attribution)
- [New] Added SA-CCR view
- [New] Added SA-CVA (FRTB) view
- [New] Added CVA Risk capital charge Standardised Approach view
- [New] Added CVA Risk capital charge IMM view
- [New] IRC: added marginal allocation
- [New] SIMM upgraded to v1.3 (Added XCCY risks)
Miscellaneous
- [New] Added contextual help on many views
- [New] Added swap brokerage cost in Swaption cash-settlement calculator