Pricing
- [New] Added LPI product
- [New] Added new payoffs: capped (float-call), floored (float+put), collared (float+put-call)
- [New] Added volatility swaps and options on volatility or variance swaps on FX, Equity and Commodity asset classes. The pricing is done thanks to an Heston model which is calibrated on the fly.
- [New] Deal audit improved to better spot differences
- [New] Added variance interpolation on FX, Equity and Commodity volatilities. Set it as default, following market practice.
- [New] Added support of Thinkfolio trades
- [Bug] BRL ND XCCY was wrong
Contribution
- [Bug] Bloomberg historical data were wrong as scaling/transformations were not applied
Miscellaneous
- [New] Added ability to add a dummy bond