Pricing
- [New] Option added in pricing params to automatically calculate relevant measures (in deal screens)
- [New] Added new pricing measures: implied IR Volatility, FX Volatility, SO Correlation and Credit Spread
- [New] Added CFI and Trading Venue in deal envelope
- [New] Added support of repo and break clauses in FpML
- [New] Migrated from FpML 5.7 to FpML 5.10
- [Bug] Solving for implied interest rate vol was counter-intuitive on non-vanilla swaptions (mid-curves, amortized). Now solving is done with rates perfectly correlated so that implied vol equals black normal vol.
- [Bug] On Bond TRS, bond list was limited to OATs. The usual screen to choose bonds is now in place
- [Bug] There was a small bias on basis curves contributed as a difference of two swaps. The default convention of the basis swap was applied instead of the two-swap convention.
Contribution
- [New] Added JPYJSCC6M index and support for defining feed combinations
- [Bug] Refresh issue when changing manually a bond in a bond curve