Pricing
- [New] Added four currencies: CZK, HUF, PLN & ZAR
- [New] Added ability to discount a yield curve with an underlying in another currency (ZAR3M is discounted at USDOIS)
- [New] Added customized measures defined as a function of a scenario and other measures
Contribution
- [Bug] Max Variation could fail and has been removed temporarily
Market Data Analysis
- [New] Added Equivalent notional measure (matching a PV01) on spot swap rates view
- [Bug] Market status required FX Spot to be contributed on non-EUR views
Portfolio
- [New] Added CVA FRTB IMA view