Pricing
- [New] Added support of Wrong Way risk on CVA: a correlation between exposure and time of default is defined at credit curve level
Portfolio
- [New] Added BA-CVA (FRTB) view
- [New] Added Marginal Impact of Risk on FRTB-SBM view
- [New] Added dynamic chart linked to pivot table
- [Bug] FRTB-IMA marginal allocation was wrong
Contribution
- [New] Monitoring of live market updates. Definition of rules (Tools > Market Status Rules) and real-time monitoring of these rules
Market Data Analysis
- [New] Each view status is linked to the market status: A warning/error is triggered in case of out of date market data
- [Bug] Underlyings were not always ordered in combo boxes
Miscellaneous
- [New] Added macros: ability to define, execute and save complex tasks for Portfolio/Market/Contribution/Admin views
- [New] Added the notion of (trading) desk for a deal. Was required for FRTB P&L attribution. It is a new key available in the pivot table for any portfolio view.
- [New] Calendars now follow FpML convention (Ex: ‘EUTA’ for euro target instead of ‘EUR’)