Pricing
- [New] FRNs (floating rate notes) are now supported in CRZ
- [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date
Portfolio
- [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges
- [New] Upgraded SIMM to SIMM v2.0. SIMM parameters are stored as market data, so any call prior to 04/12/17 will use SIMM v1.3 as expected.
- [New] Added ability to customize reduced & forward tenors risk transformations
Market Data Analysis
- [New] Swap Rates view now supports spreads and butterflies (syntax examples: 5Y/10Y & 5Y/10Y/30Y)
- [Bug] Historical charts could fail
Contribution
- [New] Now supports B-Pipe connectivity
- [New] Automation of Missing market data contribution in market status
- [Bug] Bond prices were not mapped in Bloomberg
- [Bug] Bond curve contribution was failing with Bloomberg provider