Pricing
- [New] Added support of exotic bonds (such as callable bonds): bonds are defined internally with a booking screen, linked to market identifiers (e.g. ISIN) and are bookable as a security with the usual bond screen
- [New] Added market scenario to bump a forward bucket of a yield curve
- [New] Added more flexibility in yield curve steepening/flattening scenarios as well as FX scenarios
- [New] Added support of cross-currency swap with no initial exchange of notional
Contribution
- [New] Added historical contribution of IR Volatility
Portfolio
- [New] Added monitoring of risk limits
Miscellaneous
- [New] It’s now easier to select a bond: ISIN or CUSIP are accepted as inputs
- [New] Upgraded GUI library. Various performance improvements for large data sets