Pricing
- [New] Added TRY currency (IR flows and options)
- [New] Added Non-deliverable IRS on CNY
- [New] Added Non-deliverable CCS on RUB, PHP, IDR. Now supporting 27 currencies
- [New] Legs with notional exchange or non-deliverable future are supported in multi-leg and callable templates, thus allowing pricing of multi-callable cross-currency/ND/zero-coupon swaps
- [New] Added Non-deliverable CCS product template
Portfolio
- FRTB IMA-CVA view is not a valid capital charge and has been removed (cf. BCBS d362)
- [New] FRTB SA-CVA and BA-CVA now support 2 versions corresponding to 2 BCBS documents (d325 and QIS)
Contribution
- [New] On bond curves, added ability to load automatically the benchmarks (Bloomberg feed only)
- [New] Added contribution of credit curves
- [Bug] Bloomberg B-Pipe is now fully tested and validated
- [Bug] All Bloomberg tickers have been tested and validated
Miscellaneous
- [New] End user can now add missing bonds (Tools > Add a bond)